Transamerica Asset Allocation Variable Funds N-CSR Certified annual shareholder report (management investment company)

As filed with the SEC on March 9, 2012.

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)

Dennis P. Gallagher, Esq. P.O. Box 9012, Clearwater, Florida 33758-9771

(Name and Address of Agent for Service)

Registrant’s Telephone Number, including Area Code: (727) 299-1800

Date of fiscal year end: December 31

Date of reporting period: January 1, 2011 – December 31, 2011

Item 1: Report(s) to Shareholders. The Annual Report is attached.

TRANSAMERICA PARTNERS VARIABLE FUNDS

TRANSAMERICA ASSET

ALLOCATION VARIABLE FUNDS

Annual Report

December 31, 2011

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 annual report of the Transamerica Asset Allocation Variable Funds and the annual reports of the Transamerica Partners Portfolios and the Calvert VP SRI 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 (“SAI”), which is available without charge, upon request: (i) by calling 1-888-233-4339; (ii) on the Subaccounts’ website at www.transamericapartners.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, 2011, is available without charge, upon request by calling 1-800-851-9777 and on the SEC’s website at http://www.sec.gov.

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, DC. 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

440 Mamaroneck Avenue

Harrison, New York 10528

December 31, 2011

To Contract Holders with Interests in

the Transamerica Partners Variable Funds:

We are pleased to present the most recent annual reports for the Transamerica Partners Portfolios and for the Calvert VP SRI Balanced Portfolio. As required under applicable law, we are sending these annual reports to contract holders of Group Variable Annuity Contracts issued by Transamerica Financial Life Insurance Company 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 VP SRI Balanced Portfolio, a series of Calvert Variable Series, Inc.

Please call your retirement plan administrator, Diversified Retirement Corporation, at (800) 755-5801 if you have any questions regarding these reports.

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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 adviser in the future. We value the trust you have placed in us.

This 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 understand market conditions over the last year in order to provide a context for reading this report. As 2011 began, the Federal Reserve was in the middle of a second round of monetary stimulus known as quantitative easing (“QE2”). This effort began pumping what would eventually total $600 billion into the U.S. economy. In response, the U.S. economy and corporate earnings picked up steam throughout the 1^st quarter. Equity and bond markets followed suit. During this same time, commodities prices and inflation also surged. In order to fight the inflation the Federal Reserve stimulus was creating, most central banks across the globe tightened monetary policy. In the spring, this global tightening collided with a global supply chain disruption caused by the Japanese tsunami. As a result, the global economy began slowing. As summer arrived, slower growth combined with concerns about high U.S. and European debt levels. Developments came to a head in late summer as the credit rating of the U.S. was lowered and Europe faced the possibility of a default by Greece. As a result, the global equity and corporate bond markets fell sharply while U.S. Treasuries rallied as investors sought safety. Fortunately, commodity prices including oil also fell sharply, putting more disposable income in consumer pockets.

As summer transitioned to fall, the U.S. economy re-strengthened. As a result, the U.S. corporate equity and bond markets responded in the fourth quarter by recovering much of the summer’s losses. For the twelve months ending December 31, 2011, the Dow Jones Industrial Average returned 8.38%, the Standard & Poor’s 500^® Index returned 2.11%, and the Barclays Capital U.S. Aggregate Bond Index returned 7.84%. While the U.S. economy re-strengthened, the rest of the global economy continued to experience either slowing growth or contraction as European austerity programs continued to be implemented and European banks began selling Asian assets. As a result, European and Asian markets failed to recover the summer’s losses and the Morgan Stanley Capital International World ex-US Index returned (11.78)% for the year ending December 31, 2011. This serves as a good reminder that it is always 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 adviser is a key resource to help you build a complete picture of your current and future financial needs. Financial advisers are familiar with the market’s history, including long-term returns and volatility of various asset classes. With your financial adviser, you can develop an investment program that incorporates factors such as your goals, your investment timeline, and your risk tolerance.

Please contact your financial adviser 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 Chairman of the Board, President & Chief Executive Officer Transamerica Asset Allocation Variable Funds Christopher A. Staples Vice President & Chief Investment Officer Transamerica Asset Allocation Variable Funds

The views expressed in this report reflect those of the portfolio managers only and may not necessarily represent the views of the Transamerica Asset Allocation Variable Funds. These views are subject to change based upon market conditions. These views should not be relied upon as investment advice and are not indicative of trading intent on behalf of the Transamerica Asset Allocation Variable Funds.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 1

Understanding Your Funds’ Expenses

(unaudited)

UNIT HOLDER EXPENSES

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 following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in the Subaccounts and to compare these costs with the ongoing costs of investing in other funds.

The examples are based on an investment of $1,000 invested at July 1, 2011 and held for the entire period until December 31, 2011.

ACTUAL EXPENSES

The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number shown under the heading “Expenses paid during Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the Subaccount’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Subaccount’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Subaccount versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

			Actual Expenses				Hypothetical Expenses (B)
Fund Name	Beginning Account Value		Ending Account Value		Expenses Paid During Period (A)		Ending Account Value		Expenses Paid During Period (A)		Annualized Expense Ratio (C)
Transamerica Asset Allocation Variable Funds - Short Horizon Subaccount	$	1,000.00	$	1,012.20	$	1.01	$	1,024.20	$	1.02		0.20	%
Transamerica Asset Allocation Variable Funds - Intermediate Horizon Subaccount		1,000.00		958.10		0.99		1,024.20		1.02		0.20	%
Transamerica Asset Allocation Variable Funds - Intermediate/Long Horizon Subaccount		1,000.00		934.00		0.97		1,024.20		1.02		0.20	%

(A) Expenses are equal to each Subaccount’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days).

(B) 5% return per year before actual expenses.

(C) Expense ratios do not include expenses of the investment companies in which the portfolios invest.

Transamerica Asset Allocation Variable Funds

Annual Report 2011

Page 2

Schedules of Investments Composition

At December 31, 2011

(the following charts summarize the Schedule of Investments of each Subaccount by asset type)

(unaudited)

Transamerica Asset Allocation Variable Funds - Short Horizon Subaccount	% of Net Assets
Fixed Income		89.9	%
Domestic Equity		8.0
International Equity		1.9
Money Market		0.2
Other Assets and Liabilities - Net		0.0	*
Total		100.0	%
Transamerica Asset Allocation Variable Funds - Intermediate Horizon Subaccount	% of Net Assets
Fixed Income		50.3	%
Domestic Equity		38.8
International Equity		10.7
Money Market		0.2
Other Assets and Liabilities - Net		0.0	*
Total		100.0	%
Transamerica Asset Allocation Variable Funds - Intermediate/Long Horizon Subaccount	% of Net Assets
Domestic Equity		54.2	%
Fixed Income		29.4
International Equity		16.2
Money Market		0.2
Other Assets and Liabilities - Net		0.0	*
Total		100.0	%

* Amount rounds to less than 0.1%.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 3

Transamerica Asset Allocation Variable —

Short Horizon Subaccount

SCHEDULE OF INVESTMENTS

At December 31, 2011

	Shares		Value (000’s)
INVESTMENT COMPANIES - 100.0%*
Domestic Equity - 8.0%
Transamerica Partners Variable Large Growth ‡		5,181	$	262
Transamerica Partners Variable Large Value ‡		5,657		260
Transamerica Partners Variable Small Core ‡		5,172		190
Fixed Income - 89.9%
Transamerica Partners Variable Core Bond ‡		102,897		4,195
Transamerica Partners Variable High Quality Bond ‡		78,674		1,379
Transamerica Partners Variable High Yield Bond ‡		37,878		931
Transamerica Partners Variable Inflation-Protected Securities ‡		53,681		1,479
International Equity - 1.9%
Transamerica Partners Variable International Equity ‡		9,693		172
Money Market - 0.2%
Transamerica Partners Variable Money Market ‡		842		18
Total Investment Companies (cost $7,352)**				8,886
Other Assets and Liabilities - Net				(2	)
Net Assets			$	8,884

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

* Each Subaccount invests its assets in an affiliated fund of Transamerica Partners Variable Funds.

‡ Non-income producing security.

** Aggregate cost for federal income tax purposes is $7,352. Aggregate gross/net unrealized appreciation for all securities in which there is an excess of value over tax cost was $1,534.

VALUATION SUMMARY (all amounts in thousands):*

	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Investment Companies	$	8,886	$	—	$	—	$	8,886

* See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 4

Transamerica Asset Allocation Variable —

Intermediate Horizon Subaccount

SCHEDULE OF INVESTMENTS

At December 31, 2011

	Shares		Value (000’s)
INVESTMENT COMPANIES - 100.0%*
Domestic Equity - 38.8%
Transamerica Partners Variable Large Growth ‡		64,015	$	3,235
Transamerica Partners Variable Large Value ‡		66,360		3,055
Transamerica Partners Variable Small Core ‡		57,169		2,100
Fixed Income - 50.3%
Transamerica Partners Variable Core Bond ‡		127,646		5,203
Transamerica Partners Variable High Quality Bond ‡		99,406		1,743
Transamerica Partners Variable High Yield Bond ‡		54,562		1,342
Transamerica Partners Variable Inflation-Protected Securities ‡		93,285		2,570
International Equity - 10.7%
Transamerica Partners Variable International Equity ‡		130,224		2,312
Money Market - 0.2%
Transamerica Partners Variable Money Market ‡		2,048		43
Total Investment Companies (cost $19,392)**				21,603
Other Assets and Liabilities - Net				(4	)
Net Assets			$	21,599

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

* Each Subaccount invests its assets in an affiliated fund of Transamerica Partners Variable Funds.

‡ Non-income producing security.

** Aggregate cost for federal income tax purposes is $19,397. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $2,722 and $516, respectively. Net unrealized appreciation for tax purposes is $2,206.

VALUATION SUMMARY (all amounts in thousands):*

	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Investment Companies	$	21,603	$	—	$	—	$	21,603

* See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 5

Transamerica Asset Allocation Variable —

Intermediate/Long Horizon Subaccount

SCHEDULE OF INVESTMENTS

At December 31, 2011

	Shares		Value (000’s)
INVESTMENT COMPANIES - 100.0%*
Domestic Equity - 54.2%
Transamerica Partners Variable Large Growth ‡		115,270	$	5,826
Transamerica Partners Variable Large Value ‡		115,306		5,308
Transamerica Partners Variable Small Core ‡		110,342		4,052
Fixed Income - 29.4%
Transamerica Partners Variable Core Bond ‡		100,656		4,102
Transamerica Partners Variable High Quality Bond ‡		31,074		545
Transamerica Partners Variable High Yield Bond ‡		46,916		1,154
Transamerica Partners Variable Inflation-Protected Securities ‡		87,837		2,420
International Equity - 16.2%
Transamerica Partners Variable International Equity ‡		255,889		4,544
Money Market - 0.2%
Transamerica Partners Variable Money Market ‡		2,656		56
Total Investment Companies (cost $26,477)**				28,007
Other Assets and Liabilities - Net				(4	)
Net Assets			$	28,003

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

* Each Subaccount invests its assets in an affiliated fund of Transamerica Partners Variable Funds.

‡ Non-income producing security.

** Aggregate cost for federal income tax purposes is $26,501. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $2,604 and $1,098, respectively. Net unrealized appreciation for tax purposes is $1,506.

VALUATION SUMMARY (all amounts in thousands):*

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Investment Companies	$	28,007	$	—	$	—	$	28,007

* See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 6

STATEMENTS OF ASSETS AND LIABILITIES

At December 31, 2011

(all amounts except unit value in thousands)

	Short Horizon			Intermediate Horizon			Intermediate/Long Horizon
Assets:
Investments in affiliated investment companies, at value	$	8,886		$	21,603		$	28,007
Receivables:
Units sold		8			16			22
Affiliated investment companies sold		15			58			43
		8,909			21,677			28,072
Liabilities:
Accounts payable and accrued liabilities:
Units redeemed		2			47			4
Affiliated investment companies purchased		21			27			60
Investment advisory fees		2			4			5
		25			78			69
Net Assets	$	8,884		$	21,599		$	28,003
Net Assets Consist of:
Cost of accumulation units		4,749			13,346			21,084
(Accumulated) net investment (loss)		(222	)		(627	)		(870	)
Undistributed net realized gains		2,823			6,669			6,259
Net unrealized appreciation on investments in affiliated investment companies		1,534			2,211			1,530
Net Assets	$	8,884		$	21,599		$	28,003
Accumulation units		468			1,189			1,583
Unit value	$	18.99		$	18.17		$	17.70
Investments in affiliated investment companies, at cost	$	7,352		$	19,392		$	26,477

STATEMENTS OF OPERATIONS

For the year ended December 31, 2011

(all amounts in thousands)

	Short Horizon			Intermediate Horizon			Intermediate/Long Horizon
Investment advisory fees	$	19		$	47		$	60
Net investment loss		(19	)		(47	)		(60	)
Net realized and unrealized gain (loss) on investments in affiliates:
Realized gain from investments in affiliated investment companies		315			994			541
Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies		80			(836	)		(909	)
Net realized and unrealized gain (loss) on investments in affiliated investment companies		395			158			(368	)
Net increase (decrease) In net assets resulting from operations	$	376		$	111		$	(428	)

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 7

STATEMENTS OF CHANGES IN NET ASSETS

For the years ended:

(all amounts in thousands)

	Short Horizon						Intermediate Horizon						Intermediate/Long Horizon
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
From operations:
Net investment loss	$	(19	)	$	(19	)	$	(47	)	$	(47	)	$	(60	)	$	(58	)
Net realized gain on investments in affiliated investment companies		315			217			994			411			541			236
Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies		80			508			(836	)		2,219			(909	)		3,697
Net increase (decrease) in net assets resulting from operations		376			706			111			2,583			(428	)		3,875
From unit transactions:
Units sold		1,591			2,071			3,096			3,088			3,376			3,680
Units redeemed		(2,691	)		(3,281	)		(5,788	)		(5,786	)		(5,936	)		(7,042	)
Net decrease in net assets resulting from unit transactions		(1,100	)		(1,210	)		(2,692	)		(2,698	)		(2,560	)		(3,362	)
Total increase (decrease) in net assets		(724	)		(504	)		(2,581	)		(115	)		(2,988	)		513
Net assets:
Beginning of year		9,608			10,112			24,180			24,295			30,991			30,478
End of year	$	8,884		$	9,608		$	21,599		$	24,180		$	28,003		$	30,991
Undistributed net investment income	$	(222	)	$	(203	)	$	(627	)	$	(580	)	$	(870	)	$	(810	)
Units outstanding beginning of year		527			597			1,334			1,498			1,722			1,932
Units sold		85			117			169			184			187			226
Units redeemed		(144	)		(187	)		(314	)		(348	)		(326	)		(436	)
Units outstanding end of year		468			527			1,189			1,334			1,583			1,722

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 8

FINANCIAL HIGHLIGHTS

For the years ended:

	Short Horizon
For a unit outstanding throughout each period	December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007
Unit value
Beginning of year	$	18.24		$	16.95		$	14.66		$	16.28		$	15.59
Investment operations
From net investment (loss)(A)		(0.04	)		(0.04	)		(0.03	)		(0.03	)		(0.03	)
From net realized and unrealized gains (loss) on investments in affiliated investment companies		0.79			1.33			2.32			(1.59	)		0.72
Total from investment operations		0.75			1.29			2.29			(1.62	)		0.69
Unit value
End of year	$	18.99		$	18.24		$	16.95		$	14.66		$	16.28
Total return		4.07	%		7.65	%		15.62	%		(9.95	%)		4.43	%
Net assets End of Year (000’s)	$	8,884		$	9,608		$	10,112		$	9,450		$	11,097
Ratio and supplemental data
Expenses to average net assets(B)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment (loss), to average net assets		(0.20	%)		(0.20	%)		(0.20	%)		(0.20	%)		(0.20	%)
Portfolio turnover rate(C)		46	%		36	%		28	%		125	%		55	%
	Intermediate Horizon
For a unit outstanding throughout each period	December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007
Unit value
Beginning of year	$	18.13		$	16.22		$	13.46		$	18.16		$	17.44
Investment operations
From net investment (loss)(A)		(0.04	)		(0.03	)		(0.03	)		(0.03	)		(0.04	)
From net realized and unrealized gains (loss) on investments in affiliated investment companies		0.08			1.94			2.79			(4.67	)		0.76
Total from investment operations		0.04			1.91			2.76			(4.70	)		0.72
Unit value
End of year	$	18.17		$	18.13		$	16.22		$	13.46		$	18.16
Total return		0.19	%		11.81	%		20.51	%		(25.88	%)		4.13	%
Net assets End of Year (000’s)	$	21,599		$	24,180		$	24,295		$	21,990		$	32,583
Ratio and supplemental data
Expenses to average net assets(B)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment (loss), to average net assets		(0.20	%)		(0.20	%)		(0.20	%)		(0.20	%)		(0.20	%)
Portfolio turnover rate(C)		42	%		25	%		34	%		111	%		18	%

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 9

FINANCIAL HIGHLIGHTS (continued)

For the years ended:

	Intermediate/Long Horizon
For a unit outstanding throughout each period	December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007
Unit value
Beginning of year	$	17.99		$	15.78		$	12.89		$	19.30		$	18.56
Investment operations
From net investment (loss)(A)		(0.04	)		(0.03	)		(0.03	)		(0.03	)		(0.04	)
From net realized and unrealized gains (loss) on investments in affiliated investment companies		(0.25	)		2.24			2.92			(6.38	)		0.78
Total from investment operations		(0.29	)		2.21			2.89			(6.41	)		0.74
Unit value
End of year	$	17.70		$	17.99		$	15.78		$	12.89		$	19.30
Total return		(1.66	%)		14.05	%		22.42	%		(33.21	%)		3.99	%
Net assets End of Year (000’s)	$	28,003		$	30,991		$	30,478		$	33,453		$	52,704
Ratio and supplemental data
Expenses to average net assets(B)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment (loss), to average net assets		(0.20	%)		(0.20	%)		(0.20	%)		(0.20	%)		(0.20	%)
Portfolio turnover rate(C)		34	%		23	%		54	%		105	%		21	%

^(A)  Calculation is based on average number of units outstanding.

^(B)  Ratios exclude expenses incurred by the underlying affiliated investment companies in which the Subaccounts invest.

^(C)  Does not include the Portfolio activity of the underlying affiliated investment companies.

Note: Prior to January 1, 2010, the financial highlights were audited by another independent registered public accounting firm.

The notes to the financial statements are an integral part of this report.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 10

NOTES TO FINANCIAL STATEMENTS

At December 31, 2011

(all amounts in thousands)

NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Transamerica Asset Allocation Variable Funds (the “Separate Account”), is a non-diversified separate account of Transamerica Financial Life Insurance Company (“TFLIC”), and 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 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”). Each Subaccount invests all of its investable assets among certain Transamerica Partners Variable Funds (“TPVF”). Certain TPVF subaccounts invest all their investable assets in the Transamerica Partners Portfolios.

This report should be read in conjunction with the Subaccounts’ current prospectus, which contains more complete information about the Subaccounts, including investment objectives and strategies.

In the normal course of business, the Separate Account enters into contracts that contain a variety of representations that provide general indemnifications. The Separate Account’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Separate Account and/or its affiliates that have not yet occurred. However, based on experience, the Separate Account expects the risk of loss to be remote.

In preparing the Separate Account’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions may be used that affect reported amounts and disclosures. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Separate Account.

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 in which it invests. These expenses are not reflected in the expenses in the Statements of Operations and are not included in the ratios to average net assets shown in the Financial Highlights.

Security transactions: Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Net realized gain (loss) from investments in affiliates for the Subaccounts are from investments in units of affiliated investment companies.

NOTE 2. SECURITY VALUATIONS

All investments in securities are recorded at their estimated fair value. The value of each Subaccount’s investment in a corresponding subaccount of TPVF is valued at the unit value per share of each Subaccount determined as of the close of business of the New York Stock Exchange (“NYSE”), normally, 4:00 P.M. Eastern time, each day the NYSE is open for business. The Subaccount utilizes various methods to measure the fair value of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:

Level 1—Unadjusted quoted prices in active markets for identical securities.

Level 2—Inputs, other than quoted prices included in Level 1, that are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

Level 3—Unobservable inputs, which may include Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the sub-advisor, issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 11

NOTES TO FINANCIAL STATEMENTS (continued)

At December 31, 2011

(all amounts in thousands)

NOTE 2. (continued)

Fair value measurements: Investment company securities are valued at the net asset value of the underlying subaccounts. These securities are actively traded and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.

The hierarchy classification of inputs used to value the Subaccounts’ investments at December 31, 2011 are disclosed in the Valuation Summary of each of the Subaccounts’ Schedule of Investments. Transfers between Levels are considered to have occurred at the end of the reporting period.

There were no transfers into or out of any Levels as described above during the year ended December 31, 2011.

NOTE 3. RELATED PARTY TRANSACTIONS

The Separate Account has entered into an Investment Advisory Agreement with TAM. TAM is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly-owned subsidiaries of AEGON NV. AUSA is wholly-owned by AEGON USA, LLC (“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.

Pursuant to the Investment Advisory Agreement TAM provides general investment advice to each Subaccount. For providing these services and facilities and for bearing the related expenses, TAM receives a monthly fee from each Subaccount which is accrued daily and payable monthly at an annual rate equal to 0.20% of the average daily net assets of each Subaccount.

TFLIC is the legal holder of the assets in the Subaccounts and will at all times maintain assets in the Subaccounts with a total market value of at least equal to the contract liabilities for the Subaccounts.

Certain Managing Board Members and officers of TFLIC are also trustees, officers or employees of TAM 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 Transamerica Partners Portfolios for which they receive fees.

Deferred compensation plan: Under a non-qualified deferred compensation plan, effective January 1, 1996, as amended and restated (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, or the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), as elected by the Trustee.

NOTE 4. SECURITIES TRANSACTIONS

The cost of affiliated investments purchased and proceeds from affiliated investments sold for the year ended December 31, 2011 were as follows:

	Purchases of affiliated investments:				Proceeds from maturities and sales affiliated investments:
Fund	Long-term		U.S. Government		Long-term		U.S. Government
Short Horizon	$	4,282	$	—	$	5,400	$	—
Intermediate Horizon		9,819		—		12,558		—
Intermediate/Long Horizon		10,249		—		12,869		—

NOTE 5. 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. 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. Management has evaluated the Separate Account’s tax positions taken for all open tax years (2008-2010), or expected to be taken in the Separate Account’s 2011 tax returns. Each subaccount is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 12

NOTES TO FINANCIAL STATEMENTS (continued)

At December 31, 2011

(all amounts in thousands)

NOTE 6. ACCOUNTING PRONOUNCEMENTS

In May 2011, the Financial Accounting Standards Board (“FASB”) issued the authoritative guidance “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs” which seeks to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. The adoption of this disclosure requirement is effective for financial statements interim and annual periods beginning after December 15, 2011. Management is currently evaluating the application of the adoption of the additional disclosure requirements and its impact on the Subaccounts’ financial statements.

In April 2011, FASB issued an amendment to authoritative guidance “Reconsideration of Effective Control for Repurchase Agreements” which amends specifically the criteria required to determine whether a repurchase agreement and similar agreements should be accounted for as sales of financial assets or secured borrowings with commitments. The adoption of this guidance is effective for the first interim or annual period beginning on or after December 15, 2011 prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Management is currently evaluating the application of the adoption of the additional disclosure requirements and its impact on the Subaccounts’ financial statements.

NOTE 7. SUBSEQUENT EVENT

Management has evaluated subsequent events through the date of issuance of the financial statements, and determined that no other material events or transactions would require recognition or disclosure in the Subaccounts’ financial statements.

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 13

Report of Independent Registered Public Accounting Firm

To the Board of Directors of Transamerica Financial Life Insurance Company and the Contractholders of Transamerica Asset Allocation Variable Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Transamerica Asset Allocation Variable Funds (comprising, respectively, Transamerica Asset Allocation—Short Horizon Subaccount, Transamerica Asset Allocation—Intermediate Horizon Subaccount and Transamerica Asset Allocation—Intermediate/Long Horizon Subaccount) (collectively, the “Subaccounts”) as of December 31, 2011, and the related statements of operations for the year then ended and the statements of changes in net assets and the financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Subaccounts�� management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated March 1, 2010, expressed an unqualified opinion on those financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Subaccounts’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Subaccounts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the transfer agent and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Subaccounts constituting Transamerica Asset Allocation Variable Funds at December 31, 2011, and the results of their operations for the year then ended and the changes in their net assets and the financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 27, 2012

Transamerica Asset Allocation Variable Funds Annual Report 2011

Page 14

BOARD MEMBERS AND OFFICERS

(unaudited)

The Board Members and executive officers of the Trust are listed below. The Board governs each fund and is responsible for protecting the interests of the shareholders. The Board Members are experienced executives who meet periodically throughout the year to oversee the business affairs of each fund and the operation of the Trust by its officers. The Board also reviews the management of each fund’s assets by the investment adviser and its respective sub-adviser. The funds are among the funds advised and sponsored by TAM (collectively, “Transamerica Asset Management Group”). Transamerica Asset Management Group (“TAMG”) consists of Transamerica Funds, Transamerica Series Trust (“TST”), Transamerica Income Shares, Inc. (“TIS”), Transamerica Partners Funds Group (“TPFG”), Transamerica Partners Funds Group II (“TPFG II”), Transamerica Partners Portfolios (“TPP”), and Transamerica Asset Allocation Variable Funds (“TAAVF”) and consists of 159 funds as of the date of this report.

The mailing address of each Board Member is c/o Secretary, 570 Carillon Parkway, St. Petersburg, Florida 33716. The Board Members, their year of birth, their positions with the Trust, and their principal occupations for the past five years (their titles may have varied during that period), the number of funds in TAMG the Board oversees, and other board memberships they hold are set forth in the table below.

Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
INTERESTED BOARD MEMBER**
John K. Carter (1961)	Chairman, Board Member, President, and Chief Executive Officer	Since 2007	Chairman, Board Member, President and Chief Executive Officer, TPP, TPFG, TPFG II and TAAVF (2007 – present);	159	N/A
			Chairman (2007 – present), Board Member (2006 – present), President and Chief Executive Officer (2006 – present), Senior Vice President (1999 – 2006), Chief Compliance Officer, General Counsel and Secretary (1999 – 2006), Transamerica Funds and TST;
			Chairman (2007 – present), Board Member (2006 – present), President and Chief Executive Officer (2006 – present), Senior Vice President (2002 – 2006), General Counsel, Secretary and Chief Compliance Officer (2002 – 2006), TIS;
			Chairman, President and Chief Executive Officer (2006 – present), Director (2002 – present), Senior Vice President (1999 – 2006), General Counsel and Secretary (2000 – 2006), Chief Compliance Officer (2004 – 2006), TAM;
			Chairman, President and Chief Executive Officer (2006 – present), Senior Vice President (1999 – 2006), Director (2002 – present), General Counsel and Secretary (2001 – 2006), Transamerica Fund Services, Inc. (“TFS”);
			Vice President, AFSG Securities Corporation (2001 – 2010);

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Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Chairman and Board Member (2008 – 2010), President (2007 – 2010), Chief Executive Officer (2006 – 2010), Vice President, Secretary and Chief Compliance Officer (2003 – 2006), Transamerica Investors, Inc. (“TII”);
			Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (“TIF”) (2002 – 2004); and
			Director, (2008 – present), Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 – 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 – 2005).
Alan F. Warrick (1948)	Interested Board Member	Since 2012	Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (January 2012 – present);	159	N/A
			Consultant, AEGON USA (2010 – present);
			Senior Advisor, Lovell Minnick Equity Partners (2010 – present);
			Retired (2010 – present); and
			Managing Director for Strategic Business Development, AEGON USA (1994 – 2010).
INDEPENDENT BOARD MEMBERS***
Sandra N. Bane (1952)	Board Member	Since 2008	Retired (1999 – present); Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2008 – present); Board Member, TII (2003 – 2010); and Partner, KPMG (1975 – 1999).	159	Big 5 Sporting Goods (2002 – present); AGL Resources, Inc. (energy services holding company) (2008 – present)
Leo J. Hill (1956)	Lead Independent Board Member	Since 2007	Principal, Advisor Network Solutions, LLC (business consulting) (2006 – present); Board Member, TST (2001 – present); Board Member, Transamerica Funds and TIS (2002 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present);	159	N/A

Transamerica Asset Allocation Variable Funds Annual Report 2011

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Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Board Member, TII (2008 – 2010);
			President, L. J. Hill & Company (a holding company for privately-held assets) (1999 – present);
			Market President, Nations Bank of Sun Coast Florida (1998 – 1999);
			Chairman, President and Chief Executive Officer, Barnett Banks of Treasure Coast Florida (1994 – 1998);
			Executive Vice President and Senior Credit Officer, Barnett Banks of Jacksonville, Florida (1991 – 1994); and
			Senior Vice President and Senior Loan Administration Officer, Wachovia Bank of Georgia (1976 – 1991).
David W. Jennings (1946)	Board Member	Since 2009	Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 – present);	159	N/A
			Board Member, TII (2009 – 2010);
			Managing Director, Hilton Capital (2010 – present);
			Principal, Maxam Capital Management, LLC (2006 – 2008); and
			Principal, Cobble Creek Management LP (2004 –2006).
Russell A. Kimball, Jr. (1944)	Board Member	Since 2007	General Manager, Sheraton Sand Key Resort (1975 – present);	159	N/A
			Board Member, TST (1986 – present);
			Board Member, Transamerica Funds, (1986 –1990), (2002 – present);
			Board Member, TIS (2002 – present);
			Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); and
			Board Member, TII (2008 – 2010).
Eugene M. Mannella (1954)	Board Member	Since 1993	Chief Executive Officer, HedgeServ Corporation (hedge fund administration) (2008 – present);	159	N/A
			Self-employed consultant (2006 – present);

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Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Managing Member and Chief Compliance Officer, HedgeServ Investment Services, LLC (limited purpose broker-dealer) (April 2011 – present);
			President, ARAPAHO Partners LLC (limited purpose broker-dealer) (1998 – 2008);
			Board Member, TPP, TPFG, TPFG II and TAAVF (1993 – present);
			Board Member, Transamerica Funds, TST and TIS (2007 – present);
			Board Member, TII (2008 – 2010); and
			President, International Fund Services (alternative asset administration) (1993 – 2005).
Norman R. Nielsen, Ph.D. (1939)	Board Member	Since 2007	Retired (2005 – present); Board Member, Transamerica Funds, TST and TIS (2006 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); Board Member, TII (2008 – 2010);	159	Buena Vista University Board of Trustees (2004 – present)
			Director, Aspire Resources, Inc. (formerly, Iowa Student Loan Service Corporation) (2006 –present);
			Director, League for Innovation in the Community Colleges (1985 – 2005);
			Director, Iowa Health Systems (1994 – 2003);
			Director, U.S. Bank (1985 – 2006); and
			President, Kirkwood Community College (1985 – 2005).
Joyce G. Norden (1939)	Board Member	Since 1993	Retired (2004 – present); Board Member, TPFG, TPFG II and TAAVF (1993 – present); Board Member, TPP (2002 – present); Board Member, Transamerica Funds, TST and TIS (2007 – present);	159	Board of Governors, Reconstruction -ist Rabbinical College (2007 – present)
			Board Member, TII (2008 – 2010); and

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Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 – 2004).
Patricia L. Sawyer (1950)	Board Member	Since 1993	Retired (2007 – present); President/Founder, Smith & Sawyer LLC (management consulting) (1989 – 2007); Board Member, Transamerica Funds, TST and TIS (2007 – present); Board Member, TII (2008 – 2010); Board Member, TPP, TPFG, TPFG II and TAAVF (1993 – present);	159	Honorary Trustee, Bryant University (1996 – present)
			Trustee, Chair of Finance Committee and Chair of Nominating Committee (1987 – 1996), Bryant University;
			Vice President, American Express (1987 – 1989);
			Vice President, The Equitable (1986 – 1987); and
			Strategy Consultant, Booz, Allen & Hamilton (1982 – 1986).
John W. Waechter (1952)	Board Member	Since 2007	Attorney, Englander and Fischer, LLP (2008 – present); Retired (2004 – 2008); Board Member, TST and TIS (2004 – present); Board Member, Transamerica Funds (2005 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); Board Member, TII (2008 – 2010); Employee, RBC Dain Rauscher (securities dealer) (2004); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 – 2004); and Treasurer, The Hough Group of Funds (1993 – 2004).	159	Operation PAR, Inc. (2008 – present); West Central Florida Council – Boy Scouts of America (2008 – present)

* Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the Trust’s Declaration of Trust.

** May be deemed an “interested person” (as that term is defined in the 1940 Act) of the Trust because of his current or former service with TAM or an affiliate of TAM.

*** Independent Board Member means a Board Member who is not an “interested person” (as defined under the 1940 Act) of the Trust.

Transamerica Asset Allocation Variable Funds Annual Report 2011

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OFFICERS

The mailing address of each officer is c/o Secretary, 570 Carillon Parkway, St. Petersburg, Florida 33716. The following table shows information about the officers, including their year of birth, their positions held with the Trust and their principal occupations during the past five years (their titles may have varied during that period). Each officer will hold office until his or her successor has been duly elected or appointed or until his or her earlier death, resignation or removal.

Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
John K. Carter (1961)	Chairman, Board Member, President, and Chief Executive Officer	Since 2007	See the table above.
Dennis P. Gallagher (1970)	Vice President, General Counsel and Secretary	Since 2007	Vice President, General Counsel and Secretary, Transamerica Funds, TST and TIS (2006 – present);
			Vice President, General Counsel and Secretary, TPP, TPFG, TPFG II and TAAVF (2007 – present);
			Vice President, General Counsel and Secretary, TII, (2006 – 2010);
			Director, Senior Vice President, General Counsel, Operations and Secretary, TAM (2006 – present);
			Director, Senior Vice President, General Counsel, Chief Administrative Officer and Secretary, TFS (2006 – present);
			Assistant Vice President, TCI (2007 – present);
			Director, Deutsche Asset Management (1998 – 2006); and
			Corporate Associate, Ropes & Gray LLP (1995 – 1998).
Christopher A. Staples (1970)	Vice President and Chief Investment Officer	Since 2007	Vice President and Chief Investment Officer (2007 – present), Senior Vice President – Investment Management (2006 – 2007), Vice President – Investment Management (2005 – 2006), Transamerica Funds, TST and TIS;
			Vice President and Chief Investment Officer, TPP, TPFG, TPFG II and TAAVF (2007 – present);
			Vice President and Chief Investment Officer (2007 – 2010); Vice President – Investment Administration (2005 – 2007), TII;
			Director (2005 – present), Senior Vice President – Investment Management (2006 – present) and Chief Investment Officer (2007 – present), TAM;
			Director, TFS (2005 – present); and
			Assistant Vice President, Raymond James & Associates (1999 – 2004).

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Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
Elizabeth Strouse (1974)	Vice President, Treasurer and Principal Financial Officer	Since 2010	Vice President, Treasurer and Principal Financial Officer (December 2011 –present), Assistant Treasurer (2010 – December 2011), Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF;
			Director, Fund Financial Services (2009 – present), TFS;
			Director, Fund Administration, TIAA-CREF (2007 – 2009); and
			Manager (2006 – 2007) and Senior (2003 – 2006) Accounting and Assurance, PricewaterhouseCoopers, LLC.
Robert S. Lamont, Jr. (1973)	Vice President, Chief Compliance Officer and Conflicts of Interest Officer	Since 2010	Vice President, Chief Compliance Officer and Conflicts of Interest Officer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 – present);
			Vice President and Senior Counsel, TAM and TFS (2007 – present);
			Senior Counsel, United States Securities and Exchange Commission (2004 – 2007); and
			Associate, Dechert, LLP (1999 – 2004).
Bradley O. Ackerman (1966)	Deputy Chief Compliance Officer and Anti-Money Laundering Officer	Since 2009	Deputy Chief Compliance Officer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (January 2012 – present);
			Anti-Money Laundering Officer, TPP, TPFG, TPFG II and TAAVF (2009 – present);
			Anti-Money Laundering Officer, Transamerica Funds, TST and TIS (2007 – present);
			Senior Compliance Officer, TAM (2007 – present); and
			Director, Institutional Services, Rydex Investments (2002 – 2007).
Sarah L. Bertrand (1967)	Assistant Secretary	Since 2009	Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 – present);
			Assistant Secretary, TII (2009 – 2010);
			Assistant Vice President and Director, Legal Administration, TAM and TFS (2007 – present);
			Assistant Secretary and Chief Compliance Officer, 40|86 Series Trust and 40|86 Strategic Income Fund (2000 – 2007); and
			Second Vice President and Assistant Secretary, Legal and Compliance, 40|86 Capital Management, Inc. (1994 – 2007).
Timothy J. Bresnahan (1968)	Assistant Secretary	Since 2009	Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 – present);
			Assistant Secretary, TII (2009 – 2010);
			Counsel, TAM (2008 – present);

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Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
			Counsel (contract), Massachusetts Financial Services, Inc. (2007);
			Assistant Counsel, BISYS Fund Services Ohio, Inc. (2005 – 2007); and
			Associate, Greenberg Traurig, P.A. (2004 – 2005).
Margaret A. Cullem-Fiore (1957)	Assistant Secretary	Since 2010	Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 – present); Assistant Vice President, TCI (2009 – present); Vice President and Senior Counsel, TAM and TFS (2006 – present); Vice President and Senior Counsel, Transamerica Financial Advisors, Inc. (2004 – 2007); and Vice President and Senior Counsel, Western Reserve Life Assurance Co. of Ohio (2006).

* Elected and serves at the pleasure of the Board of the Trust.

If an officer has held offices for different funds for different periods of time, the earliest applicable date is shown. No officer of the Trust, except for the Chief Compliance Officer, receives any compensation from the Trust.

Additional information about the Funds’ Board Members can be found in the Statement of Additional Information, available, without charge, upon request, by calling toll free 1-888-233-4339 or on the Trust’s website at www.transamericainvestments.com

Transamerica Asset Allocation Variable Funds Annual Report 2011

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Transamerica Partners Portfolios

I

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MARKET ENVIRONMENT

While not without volatility, 2011 proved to be a very good environment for bond investors. Over the course of the year market participants were faced with an unprecedented downgrade of the U.S. credit rating, a political debate in Washington over raising the debt ceiling, and a European sovereign debt crisis. The result was longer term Treasuries generating a return of 29.9% according to Barclays Capital index data. The economic recovery continued to gain traction in the first few months of the year only to fade in response to a variety of negative headlines surrounding uncertainty in Washington, slower U.S. growth, and Europe’s debt woes. Increased volatility was also brought on as investors weighed the effects of unrest in the Middle East and the tsunami in Japan. In the U.S., economic data painted a slightly brighter picture with fourth quarter 2010 gross domestic product numbers being revised upward from 2.8% to 3.1%. This combined with continued employment momentum lead to positive excess returns. In the spring, this trend reversed with a series of negative data points related to job growth, housing prices and economic output. This coupled with uncertainty surrounding the Greek debt crisis and the political debate in Washington D.C. caused market participants to shed risk and seek the relative safety of U.S. Treasuries. Spreads on higher beta fixed income sectors moved broadly wider over the second quarter with the exception of asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). During the third quarter, Standard & Poor’s unprecedented downgrade of the U.S. sovereign credit rating and continued concern over Europe drove fixed income markets. Against this backdrop, interest rates fell and spreads widened. Despite this, most spread sectors exhibited positive total returns but lagged the performance of Treasuries. The last few months of the year were characterized by more positive domestic economic data led by jobless claims. This seemed to overshadow the lingering issues still entrenched in Europe. Spreads ground modestly tighter albeit on lower volumes as dealers closed up their books in anticipation of year end. Many strategists have begun to quietly speak of a “decoupling” from Europe but we don’t feel that the U.S. has completely overcome this concern.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners High Quality Bond Portfolio (“Portfolio”) returned 2.16%. By comparison, its benchmark, the Bank of America Merrill Lynch U.S. Corporate & Government, 1-3 Years Index (“Index”), returned 1.56%.

STRATEGY REVIEW

The year 2011 has not been the story of economic recovery that many investors were predicting at the end of last year. Our overweight to certain spread sectors was rewarded as demand for high quality fixed income was strong as investors looked to shed risk and seek out alternatives to low-yielding money markets. The net result was that sector allocation was the largest contributor to performance for 2011 as Merganser’s overweight’s to ABS and commercial mortgage-backed securities (“CMBS”) drove the outperformance versus the index.

In the asset-backed sector, spreads tightened throughout the year due to strong investor appetite for high quality AAA rated paper. Heavy equipment holding CNH Equipment Trust posted a high single digit return as portions of the heavy equipment segment continue to see upgrades in subordinated tranches. Auto lease holding Avis Budge Rental Car Funding AESOP LLC also enjoyed strong performance as an off the run sector that saw spread tightening.

In the corporate sector, total returns for 2011 were positive as U.S. Treasury yields fell dramatically; however, excess returns versus the benchmark were negative due to dramatic spread widening. Throughout the year, financials were far and away the largest detractor from performance in the Portfolio from a sector allocation standpoint. Positions in Bank of America Corp. and American Express Credit Corp. both exhibited negative total returns for the year. This was slightly offset by our industrial corporate holdings in companies such as CVS Caremark Corp. and Airgas, Inc. Merganser’s selection of high quality investment grade securities consistently added to returns while minimizing credit risk.

CMBS was one of the few spread sectors to post positive excess return versus U.S. Treasuries in 2011. Consistent with all sectors in which we invest, Merganser’s focus in CMBS is in the highest quality tranches at the top of the capital structure. Our diligent stress testing and focus on the top tier tranches of the capital structure has allowed us to capture this spread tightening while avoiding potential troublesome pockets of the market. In particular, Wachovia Bank Commercial Mortgage Series 2007-C30 Class APB and Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A2 were top performers in the sector for the Portfolio.

The Portfolio also benefited from its duration positioning throughout 2011. The Portfolio maintained an overweight in the 3-5 year band which benefited from Treasury curve flattening. Additionally, the Portfolio was able to pick up additional yield which contributed to total return.

Douglas A. Kelly, CFA

Peter S. Kaplan, CFA

Co-Portfolio Managers

Merganser Capital Management, Inc.

MARKET ENVIRONMENT

When the year opened, there was a widespread sense that the economic recovery that began in 2009 would persevere. While Europe’s debt problems were a significant issue, they appeared to be relatively well contained. It was only a few short months, however, before the world encountered a renewed recession scare sparked largely by deteriorating debt conditions in the Eurozone as well as some weaker-than-expected U.S. economic data. This Europe-induced fog of fear combined with political unrest in the Middle East and the rating downgrade of U.S. Treasury debt, resulted in a dramatic rally in U.S. Treasury Inflation-Protected Securities (TIPS) led by the front end of the yield curve. By the time the year drew to a close, positive forces reemerged as the U.S. economic growth picture had brightened and signs of progress regarding Europe’s debt crisis began to take hold.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Inflation-Protected Securities Portfolio (“Portfolio”) returned 12.33%. By comparison, its benchmark, the Barclays Capital U.S. TIPS Index, returned 13.56%.

STRATEGY REVIEW

For the year, the Portfolio maintained a real yield curve-flattening bias between the 10-year and 30-year points on the curve based on the view that improving economic data would pressure the intermediate portion of the curve to move higher. This positioning detracted from performance for a majority of the year as the real yield curve steepened due to a confluence of factors including: weakening U.S. economic data, political tensions in the Arab states, the U.S. Treasury debt rating downgrade, and escalating fears about the sovereign debt crisis in Europe. In addition, the Portfolio’s short duration compared to the benchmark index detracted from performance. Toward the end of the year, the Portfolio’s positioning was beneficial as U.S. economic data began to show signs of resilience and fears of a Eurozone collapse abated. Over the course of the year, the Portfolio actively traded exposure across the yield curve to take advantage of auctions and buybacks, including those under the Federal Reserve’s Operation “Twist” program. Our fundamental view continues to be that inflation expectations priced into the market make valuations more attractive on the long end of the real yield curve. The Portfolio ended the year with a shorter duration compared to the benchmark index as economic data in the U.S. has proven to be resilient in the near term.

The Portfolio uses interest rate derivative instruments, which may include futures contracts or options, mainly for the purpose of managing risks relating to portfolio duration and yield curve positioning. The Portfolio may also trade foreign currency exchange contracts or use foreign currency derivatives to manage currency risk in the Portfolio. During the period, derivatives had minimal impact on performance.

Martin Hegarty

Stuart Spodek

Brian Weinstein

Co-Portfolio Managers

BlackRock Financial Management, Inc.

MARKET ENVIRONMENT

When the year opened, there was a widespread sense that the economic recovery that began in 2009 would persevere. While Europe’s debt problems were a significant issue, they appeared to be relatively well contained. It was only a few short months, however, before the world encountered a renewed recession scare sparked largely by deteriorating debt conditions in the Eurozone as well as some weaker-than-expected U.S. economic data. This Europe-induced fog of fear was fueled further by political unrest in the Middle East and the rating downgrade of U.S. Treasury debt. By the time the year drew to a close, positive forces re-emerged as the U.S. economic growth picture had brightened and signs of progress regarding Europe’s debt crisis began to take hold.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Core Bond Portfolio (“Portfolio”) returned 6.20%. By comparison, its benchmark, the Barclays Capital U.S. Aggregate Bond Index, returned 7.84%.

STRATEGY REVIEW

For the 12-month period ending December 31, 2011, the Portfolio underperformed its benchmark, the Barclays Capital U.S. Aggregate Bond Index.

The Portfolio maintained a shorter duration bias (lower sensitivity to interest rates) relative to its benchmark index throughout most of the period. Although our duration and curve stance was beneficial during certain parts of the year, the overall impact on performance for the 12-month period was negative as interest rates declined to historically low levels in the latter half due to fears of a global slowdown and persistent sovereign debt problems in Europe. Throughout the 12-month period, the Portfolio was overweight relative to its benchmark index in non-government spread sectors (securities driven by movements in credit risk), and underweight in government-owned/government-related sectors. Spread sectors performed well in the first half of the year, and also toward year-end amid improving economic fundamentals and accommodative monetary policy. However, volatility dominated the markets for most of the year and caused periods in which investor sentiment switched to “risk off” mode, resulting in spread sectors dramatically underperforming U.S. Treasury securities. On balance, the Portfolio’s sector allocation had a negative impact on performance for the period as a whole. During the period, we increased the Portfolio’s quality profile and level of liquidity in an effort to limit volatility from exogenous factors, mostly emanating from Europe. We tactically managed investment grade credits, cautiously seeking to take advantage of relative value opportunities in industrials and financials. We slightly reduced the Portfolio’s exposure to non-agency residential mortgage-backed securities (“MBS”) and commercial mortgage-backed securities. To increase portfolio liquidity, we added to the Portfolio’s agency MBS and U.S. Treasury holdings during the latter half of the period. The Portfolio maintained an up-in-quality bias, which was a positive relative contributor to performance within risk sectors since lower quality securities struggled during periods of risk aversion. Also contributing positively to performance was security selection within securitized products, such as agency MBS and asset-backed securities. In addition, an out-of-index allocation to non-agency MBS helped performance early in the period. Finally, exposure to high-quality foreign agency debt was a positive factor for the Portfolio. Toward period end, the Portfolio adopted a somewhat more constructive stance on credit by reducing duration and adding to corporate credit in particular.

The Portfolio uses interest rate derivative instruments, which may include futures contracts or options, mainly for the purpose of managing risks relating to portfolio duration and yield curve positioning. The Portfolio may also trade foreign currency exchange contracts or use foreign currency derivatives to manage currency risk in the Portfolio. During the period, derivatives had minimal impact on performance.

Matthew Marra

Rick Rieder

Eric Pellicciaro

Bob Miller

Co-Portfolio Managers

BlackRock Financial Management, Inc.

MARKET ENVIRONMENT

The High Yield bond market started the 2011 year on a strong note with solid corporate fundamentals, low default risk, a record setting new issue calendar, and a healthy supply of mutual fund inflows. These were all contributing factors to above average returns in the first half of the year. The second half of the year; however, was a much different story. Macroeconomic issues such as the European debt crisis, slowed growth in the U.S. economy, the global impact from the natural disaster in Japan, and high oil prices all helped contribute to a volatile second half of 2011. Amidst the volatility, the market did end the year with a very strong October and a strong December leading to a yearly return of 4.38% according to the Bank of America Merrill Lynch High Yield Master II Index (“BofA Merrill Lynch High Yield Master II”). Throughout the course of the year spreads widened from 560 basis points to 743 basis points over U.S. Treasuries while the yield declined from 7.50% to 8.36% and the yield to maturity went from 7.85% to 8.65%.

Higher quality credits became increasingly attractive with market volatility plaguing investors for the majority of the year. The BB rated segment of the market saw the best performance among the rating classes, returning 6.11% for the year, followed by B rated bonds, which saw a 4.64% return. The CCC and below rated securities experienced a more difficult year with a loss of 1.40%. The standout sectors for the year were food and drug retail and cable/satellite television returning 14.53% and 10.09%, respectively, while the worst performing sector was printing and publishing, posting a loss of 6.02%. Though macro events were a primary driver of performance, companies on a micro level remained relatively solid throughout the year, leading to a 1.76% par-weighted default rate which is well below the 25 year historical average of 4.21% as measured by J.P. Morgan. The default rate is expected to remain well below its historical average for the next few years as liquidity in the market remains high.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners High Yield Bond Portfolio (“Portfolio”) returned 4.93%. By comparison, its benchmark, the BofA Merrill Lynch High Yield Master II, returned 4.38%.

STRATEGY REVIEW

Performance was driven by credit selection along with issue selection within the company. Metals & Mining was the top contributor to the Portfolio as Quadra FNX Mining, Ltd. was acquired by KGHM Polska, resulting in a total return of 22.38% for the investment in Quadra FNX Mining, Ltd. The services sector was the second largest contributor to returns as RSC Equipment Rental, Inc./RSC Holdings III LLC was acquired by United Rentals North America, Inc., and the overall sector contributed 49 basis points to total return for the Portfolio. In addition, the Portfolio did not hold positions in Travelport or Sabre Holdings, which contributed to positive relative returns. Our negative view on homebuilders also contributed to positive relative returns. In addition, we continued to underweight financials and utilities which had a positive effect on relative returns of 45 basis points. Containers, healthcare, retail and leisure were factors in the Portfolio’s return for the year with Sealed Air Corp., HCA Holdings, Inc., Ltd. Brands, Inc. and the Reynolds Group Issuer, Inc. among the top performing names in the Portfolio. Our exposure to gaming and paper restrained relative performance by approximately 74 basis points. Holdings in Caesar’s Entertainment Operating Co., Inc. and Verso Paper Holdings LLC also detracted from the results. As the outlook for rising interest rates waned, we lengthened the duration of the Portfolio during the year by increasing exposure to BB rated securities. We continued to reduce our exposure to CCC rated bonds from 19.43% to 12.15% as the shorter maturities were refinanced and as the CCC segment of the market rallied early in the year.

We expect the Federal Reserve will remain committed to keeping interest rates low as the economy continues to grow at subpar levels. Healthy corporate fundamentals should result in a continued low default environment. Absent confidence about macroeconomic trends, particularly Europe’s ability to contain its debt crisis and the U.S.’s ability to break out of its slow growth pattern, we are likely to continue our conservative approach to the market as higher-rated credits are better positioned to weather economic stresses. Macro-driven events often create greater inefficiencies in the market, which plays to our value-based strategy of selecting credits through credit research. We think relative-value trading opportunities are likely to present themselves should systemic risk continue to serve as the major driver of market performance. As they do, we will look to take advantage of these opportunities across sectors, ratings tiers and credit.

Linda Carter, CFA

Michael W. Weilheimer, CFA

Co-Portfolio Managers

Eaton Vance Management

MARKET ENVIRONMENT

BlackRock Financial Management, Inc.

When the year opened, there was a widespread sense that the economic recovery that began in 2009 would persevere. While Europe’s debt problems were a significant issue, they appeared to be relatively well contained. It was only a few short months, however, before the world encountered a renewed recession scare sparked largely by deteriorating debt conditions in the Eurozone as well as some weaker-than-expected U.S. economic data. This Europe-induced fog of fear was fueled further by political unrest in the Middle East and the rating downgrade of U.S. Treasury debt. By the time the year drew to a close, positive forces reemerged as the US economic growth picture had brightened and signs of progress regarding Europe’s debt crisis began to take hold.

J.P. Morgan Investment Management Inc.

The year 2011 will be marked as one most equity investors are glad to see pass. Cultural revolutions, earthquakes and tsunamis, ratings downgrades of major economies, and extraordinary political events dominated the investment landscape. Volatility in the U.S. equity markets was at the highest levels since the 2008–2009 financial crisis. The Standard & Poor’s 500^® Index (“S&P 500”) moved over 2% intraday nearly every other day during the second half of 2011. Such volatility only was surpassed three times since the year 2000.

The year started off strong with yet another quarter of solid results from U.S. companies, including a 10% year-over-year increase in revenue and the eighth-consecutive quarter of better-than-expected earnings. By the middle of the first quarter; however, investors were once again faced with rising uncertainty as various conflicts in the Middle East pushed oil prices higher followed by a devastating earthquake and subsequent tsunami in Japan. After these events, the S&P 500 sold off sharply and, by mid-March, was down almost 7% from its February peak.

Attention quickly shifted to Europe as the sovereign debt crisis intensified. At the end of June, a Greek default was narrowly averted when the parliament approved new austerity measures allowing bailout funds to be released. As contagion spread to core Europe, the European Central Bank (“ECB”) reluctantly initiated its Securities Markets Program in August by purchasing Italian and Spanish bonds in the secondary market. Meanwhile, the United States came extremely close to a default as politicians agreed at the last minute to raise the debt ceiling. Even so, Standard & Poor’s downgraded the U.S. sovereign rating from AAA to AA+. The Federal Reserve (“Fed”) announced that it would keep interest rates exceptionally low through mid-2013. Additionally, in September, the Fed introduced a new monetary easing policy termed “Operation Twist,” essentially a maturity extension program intended to put downward pressure on longer-term interest rates.

As concerns grew that the crisis might spread to larger European countries, many U.S. money market funds decreased lending activities with major French banks. In response to the increased stress in the interbank lending market, the ECB, in coordination with other leading central banks, agreed to provide increased U.S. dollar liquidity. Skepticism surrounding U.S. policy actions and the ongoing European crisis kept markets depressed. The third quarter was the toughest for U.S. equity markets as the S&P 500 declined 13.9% and was down 8.7% for the first nine months of the year.

However, a turn in sentiment led U.S. equity markets to rally sharply in the fourth quarter, allowing the S&P 500 to finish the year in positive territory. Investor confidence improved as economic data supported the fact that the U.S. is not headed towards a recession, and European policymakers took bolder actions in their efforts to stave off a sovereign debt crisis. Positive economic surprises in December included an upward move in the Institute for Supply Management Manufacturing Survey, a solid increase in the number of housing starts, and declines in initial jobless claims. There were also significant policy developments in Europe. The ECB took aggressive actions to support the banking system as it cut interest rates for the second time in as many months by 0.25% to 1.00%, reduced reserve requirements for European banks from 2.0% to 1.0%, and announced it would conduct two long-term refinancing operations (LTROs) with a maturity of 36 months and an option for banks to repay after one year.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Balanced Portfolio (“Portfolio”) returned 3.60%. By comparison, its primary and secondary benchmarks, the Barclays Capital U.S. Aggregate Bond Index and the S&P 500, returned 7.84% and 2.11%, respectively.

STRATEGY REVIEW

BlackRock Financial Management, Inc.

The Portfolio maintained a shorter duration bias (lower sensitivity to interest rates) relative to its benchmark index throughout most of the period. Although our duration and curve stance was beneficial during certain parts of the year, the overall impact on performance for the 12-month period was negative as interest rates declined to historically low levels in the latter half due to fears of a global slowdown and persistent sovereign debt problems in Europe. Throughout the 12-month period, the Portfolio was overweight relative to its benchmark index in non-government spread sectors (securities driven by movements in credit risk), and underweight in government-owned/government-related sectors. Spread sectors performed well in the first half of the year and toward year-end amid improving economic fundamentals and accommodative monetary policy. However, volatility dominated the markets for most of the year and caused periods in which investor sentiment switched to “risk off” mode, resulting in spread sectors dramatically underperforming U.S. Treasury securities. On balance, the Portfolio’s sector allocation had a negative impact on performance for the period as a whole. During the period, we increased the Portfolio’s quality profile and level of liquidity in an effort to limit volatility from exogenous factors, mostly emanating from Europe. We tactically managed investment grade credits, cautiously seeking to take advantage of relative value opportunities in industrials and financials. We slightly reduced the Portfolio’s exposure to non-agency residential mortgage-backed securities (“MBS”) and commercial mortgage-backed securities. To increase portfolio liquidity, we added to the Portfolio’s agency MBS and U.S. Treasury holdings during the latter half of the period. The Portfolio maintained an up-in-quality bias, which was a positive relative contributor to performance within risk sectors since lower quality securities struggled during periods of risk aversion. Also contributing positively to performance was security selection within securitized products such as agency MBS and asset-backed securities. In addition, an out-of-index allocation to non-agency MBS helped performance early in the period. Finally, exposure to high-quality foreign agency debt was a positive factor for the Portfolio. Toward period end, the Portfolio adopted a somewhat more constructive stance on credit by reducing duration and adding to corporate credit in particular.

STRATEGY REVIEW (continued)

J.P. Morgan Investment Management Inc.

The strategy underperformed its benchmark in 2011 as stock selection in consumer cyclical, utilities and basic materials sectors detracted from performance.

Within the telecommunications sector, Sprint Nextel Corp (“Sprint Nextel”). detracted from performance over the fourth quarter and year. Shares dropped earlier in the year after the company reported disappointing margins, driven by increased second-quarter expenses, including higher promotion costs. Additionally, Sprint Nextel announced a network rebuild plan that is expected to hurt margins moving forward. We have reduced our position in the company due to the uncertainty surrounding the release of the Apple iPhone and the expected negative impact of the new rebuild plan. Within the pharmaceutical and medical technology sector, a position in pharmaceutical company Dendreon detracted from performance for the year, having never recovered from the tumble in August. The company owns global rights to Provenge, a personalized vaccine for prostate cancer, which should be competitively positioned to increase penetration and benefit from long-term patent protection. However, shares fell after Dendreon missed second-quarter earnings and removed guidance, challenged by a slower-than-expected product adoption and lessened visibility into future revenue growth. With the lack of nearer-term catalyst given lackluster growth so far, we sold the position even though we believe in the differentiated offering and end demand. Within the basic materials sector, an overweight position in Alcoa, Inc. (“Alcoa”) detracted from returns over the quarter and year. Shares of the aluminum producer fell after the company reported weaker-than-expected earnings earlier in the year. Margins saw some pressure, as currency, electricity, oil, and material costs adversely impacted results, while growth in industrial, aerospace, and auto demand was limited. Despite disappointing results, we continue to believe that demand should increase in Alcoa’s core markets and abroad.

On the positive side, stock selection in the systems and network hardware, health services and systems, and energy sectors contributed to returns.

Within the media sector, CBS Corp. contributed to performance over the fourth quarter as well as the year. Throughout the year, the media giant saw strength in its advertising sales and pricing power. Additionally, CBS Corp. reported strong revenues across business segments, including international syndication and better costs. Moving forward, we have maintained an overweight position in CBS Corp. as the company is still attractively valued and has appealing long-term growth prospects. Within the pharmaceutical and medical technology sector, an overweight in Biogen Idec, Inc. was a top contributor to performance for the year. The company had solid earnings growth driven by revenue generation from its leading products, as well as encouraging clinical results of its new oral compound for multiple sclerosis. Given its strong biotechnology franchise with a promising product pipeline, we believe Biogen Idec, Inc. is one of the top names in the sector and, with focus on research and development, it is well positioned to differentiate itself from peers for market-share gain and long-term growth. Within the systems hardware sector, an overweight in Apple, Inc. performed well. Apple, Inc. demonstrated strong earnings driven by profitability in iPhones and iPads. Apple, Inc. has developed an ecosystem that that drives consumer taste and behavior and creates an effective barrier to entry. As the company looks attractively valued based on normalized earnings, we believe that it is strongly positioned, should continue to execute well and gain share in the rapidly growing mobility and tablet markets.

From a style perspective, we saw a reversal in a trend that has occurred over the past few years as larger stocks outperformed smaller stocks. The S&P 500 rose a modest 2.11%, outperforming the 4.18% loss for the Russell 2000^® Index. Market leadership in 2011 was narrow as traditional valuation measures, with the exception of dividend yield, did not work. Of the major style categories, large-cap growth was the top performer as investors sought companies best positioned to maintain earnings growth in what is expected to be a below-trend growth environment. When looking at sectors within the S&P 500 Index, the utilities sector was clearly the standout, returning 19.9% and benefiting from investor appetite for dividends and greater earnings stability. The laggard in 2011 was the financials sector, losing, 17.1% as the group continued to wrestle with regulatory uncertainty, record-low interest rates and muted revenue growth.

The Portfolio uses interest rate derivative instruments, which may include futures contracts or options, mainly for the purpose of managing risks relating to portfolio duration and yield curve positioning. The Portfolio may also trade foreign currency exchange contracts or use foreign currency derivatives to manage currency risk in the Portfolio. During the period, derivatives had minimal impact on performance.

Matthew Marra	Raffaele Zingone, CFA
Rick Rieder	Scott Blasdell, CFA
Eric Pellicciaro	Terance Chen
Co-Portfolio Managers	Co-Portfolio Managers
BlackRock Financial Management, Inc.	J.P. Morgan Investment Management, Inc.

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Despite unusual volatility, the market ended 2011 pretty much where it started, thanks to a rally at the end of the year. Global macro developments drove performance across markets all year long, especially in the second half of the year. Risk sensitivity played the central role in both intraday and day-to-day movement of broad market indices. Volatility climbed during the spring and stayed elevated through the year’s end. Correlation among, and within, asset classes rose to record levels, turning equity markets episodically into one-way bets. Markets rewarded low-risk, high-quality stocks with strong momentum, particularly during the middle two quarters.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Large Value Portfolio (“Portfolio”) returned 2.32%. By comparison, its primary and secondary benchmarks, the Russell 1000^® Value Index and the Standard & Poor’s 500^® Index, returned 0.39% and 2.11%, respectively.

STRATEGY REVIEW

The Portfolio invests in a broadly diversified selection of large-cap stocks using our disciplined investment approach. We are fully invested in U.S. equities, we avoid broad sector bets, and we take only modest industry-level and stock-specific bets. Our goal is to outperform the benchmark with incremental gains across many holdings. Using bottom-up stock selection, we evaluate companies relative to their industry peers using three broad categories of measures: value, management, and momentum. Value refers to the somewhat traditional ratios of price to fundamental value; management means we look for evidence that a company’s management team has and will continue to emphasize earning power; and momentum indicates when stocks might begin to rise toward full valuation. As we search for opportunities, we keep a sharp eye on minimizing transaction costs, helping us maximize profits in our stock-selection effort.

Over the course of the erratic year, our focus on holding companies with effective (and efficient) management, and avoiding the contrary, was critical to our success, notably in the technology sector. For example, not holding Hewlett-Packard, a company with poor long-term growth prospects relative to its peers, added to the bottom line. Avoiding companies with weak earnings momentum, such as Bank of America, Morgan Stanley, and Goldman Sachs, also contributed positively to relative return. Even the value component of our work, despite strong headwinds to value investing in general, benefitted the Portfolio, supporting our picks in the healthcare and energy sectors.

Although our stock selection worked well overall, it was less successful in the materials sector due to weakness in copper prices as holding Freeport-McMoRan Copper & Gold, Inc. detracted from the Portfolio. That said, given our diversification at the individual stock level and the benchmark’s relatively small allocation to this sector, the impact was minimal.

Theodore R. Aronson

Stefani Cranston

Gina Marie N. Moore

Martha E. Ortiz

R. Brian Wenzinger

Christopher J.W. Whitehead

Co-Portfolio Managers

Aronson Johnson Ortiz, LP

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Despite unusual volatility, the market ended 2011 pretty much where it started, thanks to a rally at the end of the year. Global macro developments drove performance across markets all year long, especially in the second half of the year. Risk sensitivity played the central role in both intraday and day-to-day movement of broad market indices. Volatility climbed during the spring and stayed elevated through the year’s end. Correlation among, and within, asset classes rose to record levels, turning equity markets episodically into one-way bets. Markets rewarded low-risk, high-quality stocks with strong momentum, particularly during the middle two quarters.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Large Core Portfolio (“Portfolio”) returned 3.51%. By comparison, its primary and secondary benchmarks, the Russell 1000^® Index and the Standard & Poor’s 500^® Index, returned 1.50% and 2.11%, respectively.

STRATEGY REVIEW

The Portfolio invests in a broadly diversified selection of large-cap stocks using our disciplined investment approach. We are fully invested in U.S. equities, we avoid broad sector bets, and we take only modest industry-level and stock-specific bets. Our goal is to outperform the benchmark with incremental gains across many holdings. Using bottom-up stock selection, we evaluate companies relative to their industry peers using three broad categories of measures: value, management, and momentum. Value refers to the somewhat traditional ratios of price to fundamental value; management means we look for evidence that a company’s management team has and will continue to emphasize earning power; momentum indicates when stocks might begin to rise toward full valuation. As we search for opportunities, we keep a sharp eye on minimizing transaction costs, helping us maximize profits in our stock-selection effort.

Over the course of the erratic year, avoiding companies with weak earnings momentum, such as Bank of America and Citigroup, Inc., was critical to our success. Our focus on companies with effective (and efficient) management also added value in 2011, notably in the technology sector. For example, underweighting Hewlett-Packard, a company with poor long-term growth prospects relative to its peers, contributed positively to performance. Even the value component of our work, despite strong headwinds to value investing in general, added to the bottom line, with our measure of price-to-sales supporting our healthcare picks Aetna, Inc., Humana, Inc., and UnitedHealth Group, Inc.

Although our stock selection worked well overall, it was less successful in the materials sector due to weakness in copper prices. Holdings in Teck Resources, Freeport-McMoRan Copper & Gold, Inc., and Southern Copper all detracted from the Portfolio. That said, given our diversification at the individual stock level and the benchmark’s relatively small allocation to this sector, the impact was minimal.

Theodore R. Aronson

Stefani Cranston

Gina Marie N. Moore

Martha E. Ortiz

R. Brian Wenzinger

Christopher J.W. Whitehead

Co-Portfolio Managers

Aronson Johnson Ortiz, LP

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Jennison Associates LLC

The U.S. stock market rallied strongly in the first several months of the reporting period on indications of continued global expansion, but relinquished much of its advance through the end of the year as investors’ worries about government debt and slowing economic growth drove heightened volatility.

Solid corporate earnings gains and continued spending, both corporate and personal, provided tailwinds that allowed the U.S. economy to continue expanding, although at a generally lackluster rate. Business production and housing measures were mixed and overall job growth remained anemic.

Strong commodity prices earlier in the period reflected continued demand in developing economies, which remained the primary drivers of global growth. However, raw materials, commodities, food, and energy prices grew more volatile as markets faced new challenges posed by a sovereign debt crisis in Europe, political turmoil in the Middle East, and a devastating earthquake and tsunami in Japan. In China, the government applied the brakes on growth and attempted to ease resource constraints, which spurred commodity cost inflation, rising real estate prices, and tightening labor rates.

The U.S. economy finished the year on firmer footing as fears of an autumn slowdown failed to materialize. Into year-end, most economic indicators, including employment, manufacturing, and housing, signaled accelerating improvement. While the pace of economic growth remained subpar, the end of year strength put to rest fears of another recession. The resilience of the U.S. economy was noteworthy in light of the magnitude of global macroeconomic and political shocks, and the inability of the U.S. House and Senate to overcome differences and to find a compromise.

Wellington Management Company, LLP

The one-year period ending December 31, 2011 was yet another extremely volatile period for equity markets. Global equities started the year on a strong note and continued to march higher in the first quarter of 2011, driven by investors’ enthusiasm for additional government debt purchases by the U.S. Federal Reserve, the extension of tax cuts in the U.S., strong earnings growth, and generally improving economic data. This enthusiasm reversed later in the period as concerns surfaced that the global economy could slip back into recession, resulting in a rapid decline in equity markets. Fears about sovereign debt and solvency in the Eurozone, slowing economic expansion in China and the U.S., and uncertainty about the sustainability of corporate earnings growth combined to produce an extremely volatile stock market, and return correlations among stocks spiked as investors shed risk and fled to safety. Markets ended the year on a positive note in the final month of the period with encouraging employment and manufacturing data in the U.S.

In this environment, seven of the ten sectors in the Russell 1000 Growth Index (+2.6%) posted positive returns during the period. The Utilities (+19.9%) and Consumer Staples (+15.3%) sectors increased the most, while the Materials sector (-9.8%) and Industrials (-2.5%) sectors posted the largest declines for the year.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Large Growth Portfolio (“Portfolio”) returned (1.78)%. By comparison, its primary and secondary benchmarks, the Russell 1000^® Growth Index and the Standard & Poor’s 500^® Index, returned 2.64% and 2.11%, respectively.

STRATEGY REVIEW

Jennison Associates, LLC

The Portfolio is built from the bottom up, based on the fundamentals of individual companies. Consumer staples holdings generated the Portfolio’s largest returns, although an underweight position in the sector hurt performance relative to the benchmark. Natural foods retailer Whole Foods Market, Inc. climbed on strong sales trends and market share gains. Estee Lauder Cos., Inc.’s strong revenue and earnings were fueled by successful new product launches and increased market penetration, particularly in emerging markets.

An overweight position in consumer discretionary worked well, but stock selection in the sector detracted from relative return, as Marriott International’s (“Marriot”) decline moderated Starbucks Corp.’s strong advance. Marriott, one of the world’s leading hoteliers, was hit by concerns that it would be hurt by anemic economic growth. Starbucks Corp. benefited from strong domestic and international growth, and enthusiasm about its expanded presence in the premium single-cup coffee market.

Stock selection was detrimental in energy, financials, and health care. In energy, oil services company Schlumberger, Ltd. was adversely affected by falling energy prices. It continues to develop new products and technologies providing dominant market share in what we consider important secular growth markets. In the financials sector, Goldman Sachs Group, Inc.’s decline reflected concerns about potential litigation against the company related to allegations it misled clients by not disclosing its proprietary interest in certain collateralized debt transactions. In health care, Illumina, Inc. (“Illumina”) was hurt by purchasing delays caused by research funding concerns. It develops genotyping, next-generation sequencing, and gene-expression tools to isolate and analyze genetic information. The commercialization of gene-based medicine is still in its early stages, and the opportunity for growth in Illumina’s core business remains strong in our view, despite near-term headwinds.

Stock selection benefitted relative return in Industrials, where Precision Castparts Corp. rose on an improved outlook for its industrial gas turbine operations and solid growth in its investment cast products and forged products aerospace business.

Several information technology holdings posted substantial gains. MasterCard, Inc.’s revenues and earnings exceeded consensus forecasts; the company received an additional boost when the Federal Reserve limited debit-transaction fees charged by banks less onerously than had been feared. Apple, Inc.’s financial results beat consensus forecasts, as sales of iPhones and iPads continued to impress. Detractors of note in the Information Technology sector included internet protocol routing company Juniper Networks, Inc., which was hurt by a deteriorating macroeconomic backdrop. NetApp, Inc.’s earnings were in line with consensus projections, but revenues were shy of estimates, and sales guidance came in below consensus forecasts.

STRATEGY REVIEW (continued)

Wellington Management Company, LLP

The Portfolio’s investment process leverages the extensive research resources of Wellington Management and emphasizes a balance of growth, quality, and valuation criteria in selecting stocks. We utilize risk analysis tools to help maintain the Portfolio’s emphasis on stock selection and minimize other sources of relative risk. With this bottom-up approach incorporating diversified sources of alpha and effective risk analysis, our goal is to generate consistent outperformance over time.

The Portfolio underperformed its benchmark primarily due to security selection. During the period, positive relative results from security selection in the health care and consumer discretionary sectors was not enough to offset weaker stock selection within information technology and materials. Sector allocation, a result of bottom-up stock selection, also detracted from relative performance, due largely to an underweight position in consumer staples.

The Portfolio’s largest relative detractors during the period included natural resources company Teck Resources, Ltd., an underweight position in tobacco company Philip Morris International, Inc., and provider of storage and data management solutions company NetApp, Inc. The Portfolio’s positions in Oracle Corp. and Walter Energy, Inc. also hurt absolute performance results during the period.

The Portfolio’s largest contributors to relative performance during the period included diversified health and “well-being” company UnitedHealth Group, Inc., global integrated hardware, software, and IT services company International Business Machines Corp., and Internet and software services company IAC/InterActiveCorp. The Portfolio’s position in Apple, Inc. also contributed positively to returns during the year.

As of the end of the period, the Portfolio was most overweight the information technology sector, and most underweight the consumer staples sector.

The Portfolio did not utilize derivatives during the period.

Blair A. Boyer	Paul E. Marrkand, CFA
Michael A. Del Balso
Spiros “Sig” Segalas
Co-Portfolio Managers	Portfolio Manager
Jennison Associates LLC	Wellington Management Company, LLP

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Cramer, Rosenthal, McGlynn, LLC

As in the third quarter, business and investor confidence has been shaken and it will take time for business leaders to be comfortable making long-term commitments. The same seems to apply to investors. We understand the trepidation when on any given day, a news headline can appear out of nowhere to dramatically upset the capital markets. We are disappointed in our investment results for the second half of 2011, but remain very encouraged by the opportunities afforded us for the coming year. The characteristics we seek are abundant: the low growth/short business cycle is compelling management to more aggressively manage their assets, leading to numerous change dynamics; low free cash flow valuations are prevalent; corporations have historically strong balance sheets; and, finally, there is a significant amount of investor anxiety, which leads to behavioral overreaction/relative neglect. By staying true to our investment approach, we are confident that our stock selections will be validated in the coming quarters.

J.P. Morgan Investment Management Inc.

The year 2011 will be marked as one most equity investors are glad to see pass. Cultural revolutions, earthquakes and tsunamis, ratings downgrades of major economies, and extraordinary political events dominated the investment landscape. Volatility in the U.S. equity markets was at the highest levels since the 2008–2009 financial crisis. The year started off strong with yet another quarter of solid results from U.S. companies, including a 10% year-over-year increase in revenue, and the eighth-consecutive quarter of better-than-expected earnings. By the middle of the first quarter, however, investors were once again faced with rising uncertainty as various conflicts in the Middle East pushed oil prices higher, followed by a devastating earthquake and subsequent tsunami in Japan.

Attention quickly shifted to Europe as the sovereign debt crisis intensified. At the end of June, a Greek default was narrowly averted when the parliament approved new austerity measures allowing bailout funds to be released. As contagion spread to core Europe, the European Central Bank (“ECB”) reluctantly initiated its Securities Markets Program in August by purchasing Italian and Spanish bonds in the secondary market. Meanwhile, the United States came extremely close to a default as politicians agreed at the last minute to raise the debt ceiling. Even so, Standard & Poor’s downgraded the U.S. sovereign rating from AAA to AA+. The Federal Reserve (“Fed”) announced that it would keep interest rates exceptionally low through mid-2013. Additionally, in September, the Fed introduced a new monetary easing policy termed “Operation Twist,” essentially a maturity extension program intended to put downward pressure on longer-term interest rates.

However, a turn in sentiment led U.S. equity markets to rally sharply in the fourth quarter. Investor confidence improved as economic data supported the fact that the U.S. is not headed towards a recession, and European policymakers took bolder actions in their efforts to stave off a sovereign debt crisis. Positive economic surprises in December included an upward move in the Institute for Supply Management Manufacturing Survey, an increase in the number of housing starts, and declines in initial jobless claims.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Mid Value Portfolio (“Portfolio”) returned (2.19)%. By comparison, its benchmark, the Russell Midcap^® Value Index (“Russell Midcap^® Value”), returned (1.38)%.

STRATEGY REVIEW

Cramer, Rosenthal, McGlynn, LLC

2011 was a tale of two halves for the Portfolio as the first half of the year was marked by continued differentiation which provided for a more favorable environment for our bottom up style of investing. During the first half of 2011, our research was rewarded as investors differentiated among those companies with better fundamentals, and we experienced a period of better relative performance. The strategy outperformed the Russell MidCap^® Value by approximately 200 basis points year-to-date through 6/30/2011 and was ahead by approximately 500 basis points on a one year basis as of 6/30/11. During the second half of 2011, the declining trend across stock correlations dramatically reversed as the markets finished a tumultuous third quarter, and then rapidly rebounded in early October on stronger U.S. economic data and a potential plan to stabilize the Eurozone, sustaining these gains into year end. This type of an environment was very challenging for the Portfolio as many of the stocks which outperformed during the first half retreated in the second half.

Amidst this backdrop, third quarter corporate earnings were once again robust with 70% exceeding forecasts, but reflected a slowing trend. The stock prices of the 30% who disappointed were treated very harshly as investors shed companies exhibiting any kind of difficulty regardless of valuation or long term investment appeal. Unfortunately, we had our fair share of such stocks across the mid cap value strategy during the fourth quarter, including positions such as Rovi Corp. and BMC Software, Inc.

After a strong start to the year, our healthcare stocks also significantly lagged the market in the second half. The primary factors continue to be: low utilization trends resulting from sustained high unemployment, more consumer driven healthcare plans, the residual impact of Food and Drug Administration/U.S. Department of Justice enforcement action, and peer medical journals/media criticism of the efficacy of some therapies. The FDA has stepped up its quality control compliance and Hospira, Inc. (“Hospira”) is in the process of remediating these functions at its largest domestic plant. Hospira will spend $300 million over 2+ years, most of it non-recurring. While near term earnings are depressed, the earnings power is not meaningfully compromised, and yet the stock has declined by 40% since our purchase last spring. Two other medical product companies, Stryker Corp. and St. Jude Medical, Inc., have suffered 30%+ declines since last spring and trade at multiples similar to Hospira. Despite these challenges, our stock selection was rewarded across other areas of the Portfolio and some of our top holdings were among the leading contributors for the year which included El Paso Corp., Tyco International, Ltd., Viacom, NYSE Euronext and Baker Hughes.

J.P. Morgan Investment Management Inc.

The Portfolio outperformed the Russell Midcap^® Value during 2011, primarily due to a combination of stock selection and an overweight in the consumer discretionary sector, along with stock selection in the materials sector. Stock selection was positive in 9 out of 10 GICS

STRATEGY REVIEW (continued)

(Global Industry Classification Standard) sectors for 2011. An overweight in the telecommunication services sector and an underweight in the utilities sector detracted from results.

The Williams Cos., Inc. (“Williams Cos.”), an integrated natural gas company, was one of the top contributors to performance. Shares rallied on the announcement that Williams Cos. will be separated into two publicly traded companies. The restructuring plan calls for the separation of the company’s exploration and production business via an initial public offering (IPO) of up to 20% of its interest. The remaining interest is expected to be distributed to Williams Cos.’s shareholders via a tax-free spin-off in 2012. After the separation of the exploration and production segments is complete, Williams Cos. will be an operator of midstream infrastructure and natural gas pipeline assets. Also helping to propel the stock’s advance was the company’s announcement that it would increase its quarterly dividend.

Detracting from performance was Newfield Exploration Co. (“Newfield”), an independent oil and gas company. The stock underperformed during the period as the company announced that second-quarter production would be hurt by mechanical issues with equipment off the shores of Malaysia. The company also announced an increase in capital spending, which disappointed investors as there was no corresponding increase in production announced in association with the additional spending. We view the decline in production as temporary. Newfield has multiple fields under development, which have the potential to drive earnings growth going forward. Some of the more promising projects include development of the Southern Alberta Basin in Montana, where all wells to date have successfully uncovered oil deposits, and recently purchased acreage in the Uinta Basin in Utah.

Jay B. Abramson	Gloria Fu, CFA
Robert L. Rewey, III	Lawrence Playford, CFA
	Jonathan K.L. Simon
Co-Portfolio Managers	Co-Portfolio Managers
Cramer, Rosenthal, McGlynn, LLC	J.P. Morgan Investment Management Inc.

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Despite strong relative performance through the end of November that had Transamerica Partners Mid Growth Portfolio within 100 basis points of the benchmark for the year, a perverse market during December rewarded market laggards and punished winners, resulting in a very poor month and a weak quarter. We describe the market as “perverse” due to its apparent reward of weak fundamentals and punishment of strong fundamentals. From a macroeconomic perspective, this is likely a symptom of financial anxiety causing investors to sell winners and hedge funds to cover their offsetting shorts. Regardless of the cause, the outcome was both disappointing and frustrating.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Mid Growth Portfolio (“Portfolio”) returned (6.90)%. By comparison, its benchmark, the Russell Midcap^® Growth Index, returned (1.65)%.

STRATEGY REVIEW

Contributors to performance over the last year were Alexion Pharmaceuticals, Inc., Cabot Oil & Gas Corp., and SINA Corporation. Alexion Pharmaceuticals, Inc., a biotechnology company that sells a drug named Soliris for a genetic blood disorder called PNH, rose due to financial results that continue to exceed forecasts as the drug reaches new markets, and its patient base grows through longer survival. Cabot Oil & Gas Corp., an energy company focused on the development of natural gas reserves in the Pennsylvania Marcellus shale, increased. The company possesses what may be some of the most productive natural gas acreage in North America. SINA Corporation, the leading Chinese Internet portal, climbed as it benefited from the rapid adoption of the Internet in the world’s most populous country. Beyond financial results, which exceeded forecasts, Weibo, Sina’s Twitter-like service, continued to experience rapid subscriber growth.

The largest detractors from performance were Patterson-UTI Energy, Inc., DeVry Inc., and McDermott International Inc. Patterson-UTI Energy Inc., a provider of services to exploration and production companies, declined due to fears that land drilling activity would collapse as a result of economic weakness and lower oil prices. McDermott International, Inc., an engineering and construction company, fell despite a significant increase in bidding activity due to weaker profit margins that caused financial results to disappoint investors. Although DeVry Inc., a post-secondary education company, had successfully resisted the regulatory and economic pressures that bedeviled many of its competitors, it finally succumbed just as the environment seemed to be improving.

Environmental uncertainties are likely to continue dominating the investment landscape during 2012, obscuring company-specific results and making the stock market reluctant to pay for strong fundamentals. Although a global monetary easing cycle is now in place, resolutions to the European and U.S. debt crises are not yet in sight. In this uncertain environment, the market’s investment horizon may remain short, offsetting strong earnings growth with valuation compression. Though we understand that the market may not pay for strong results until macroeconomic uncertainty begins to subside, we will continue to do our best to keep our portfolios stocked with positively surprising fundamentals in the anticipation of eventual reward.

Entering the year we are most overweight technology, where a variety of secular trends support growth. We are also overweight consumer discretionary shares, where strong product and company-specific stories prevail, supported by recently improved domestic economic activity. Conversely, we are most underweight financials, where deleveraging continues to weigh on loan growth and reregulation threatens profitability. We are also underweight materials shares, preferring domestic shale energy exposure over global commodities at risk from weak economic activity.

Clifford Fox, CFA

Michael Iacono, CFA

Katerina Wasserman

Columbus Circle Investors

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

The one-year period ending December 31, 2011 was yet another extremely volatile period for equity markets. Global equities started the year on a strong note and continued to march higher in the first quarter of 2011, driven by investors’ enthusiasm for additional government debt purchases by the U.S. Federal Reserve, the extension of tax cuts in the U.S., strong earnings growth, and generally improving economic data. This enthusiasm reversed later in the period; however, as concerns surfaced that the global economy could slip back into recession, resulting in a rapid decline in equity markets. Fears about sovereign debt and solvency in the Eurozone, slowing economic expansion in China and the U.S., and uncertainty about the sustainability of corporate earnings growth combined to produce an extremely volatile stock market, and return correlations among stocks spiked as investors shed risk and fled to safety. Despite these lingering concerns, markets ended the year on a positive note in the final month of the period in response to encouraging employment and manufacturing data in the U.S.

In this environment, seven of the ten sectors in the Russell 2000^® Value Index (“Russell 2000^® Value”) (-5.5%) posted negative returns for the period. The energy and telecommunication services sectors declined the most, while the utilities sector performed best.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Small Value Portfolio (“Portfolio”) returned 1.35%. By comparison, its benchmark, the Russell 2000^® Value, returned (5.50)%.

STRATEGY REVIEW

The Team employs a bottom-up stock selection process that utilizes Wellington Management’s proprietary, fundamental research to identify undervalued companies that have the potential for significant outperformance over time. We take a long-term approach, focusing on high-quality companies with a record of above-average rates of profitability that sell at a discount relative to their intrinsic value and the overall small cap market. Companies with a history of above-average profitability are likely to have a strong and sustainable competitive position within a market niche. These companies typically generate strong cash flows that can be used to build the value of the business or fund measures that otherwise benefit shareholders, such as dividend distributions and share repurchases. The quality of a company’s management, its strategic direction, and expectations with regard to the use of current and future cash flows are integral components of our valuation process.

During the period, strong selection in the industrials, financials, and information technology sectors contributed most to outperformance. This was somewhat offset by weaker stock selection within energy and health care. Allocation among sectors, a residual of the bottom-up stock selection process, was modestly negative due to an overweight in Industrials and underweight in utilities.

The Portfolio’s largest contributors to relative performance during the period included Delphi Financial Group, Inc., an insurance holding company specializing in life and disability insurance, inland barge operator Kirby Corp., and Carlisle Cos., Inc., a diversified industrial manufacturer with significant operations in commercial roofing and specialty tires and wheels.

The Portfolio’s largest relative detractors during the period included independent oil and gas exploration and production company Penn Virginia Corp., cleaning products and solutions manufacturer Zep, Inc., and Scorpio Tankers, Inc., a transportation firm focused on seaborne shipments of refined petroleum products. Our position in contract research organization ICON PLC also detracted from relative and absolute results during the period.

The Portfolio’s investment approach emphasizes individual stock selection; sector weights are a residual of the process. We do, however, carefully consider diversification across economic sectors to limit risk. As of the end of the period, the Portfolio was most overweight the industrials and consumer discretionary sectors, and most underweight financials. Based on our two- to three-year time horizon, we continue to find opportunities created by the inefficiencies frequently found among small cap companies.

The Portfolio did not utilize derivatives during the period.

Timothy J. McCormack, CFA

Shaun F. Pedersen

Co-Portfolio Managers

Wellington Management Company, LLP

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Fort Washington Investment Advisors, Inc.

Over the last several quarters, the European debt crisis has been at the forefront of investors’ minds with a few diversions from the U.S. debt ceiling negotiations, including the Japanese earthquake, and fears of economic slowdown in China, among others. The markets remain extremely volatile, not only quarter to quarter as evidenced by the last two quarters’ decline and rebound in the Russell 2000^® Growth Index, but also on a daily and even intraday basis. Europe will likely remain front and center as a significant amount of debt needs to be refinanced in the first quarter of 2012 alone.

On the positive side of the ledger, however, is a U.S. economy that is quite resilient as various economic reports over the last couple of months have shown modest improvements in employment as well as in the manufacturing sector. In addition, recent coordinated monetary action by the world’s central banks and rate cuts in China may help improve liquidity, sentiment, and economic fundamentals, at least in the near term.

Invesco Advisors, Inc.

U.S. equity markets enjoyed a strong rally in the fourth quarter, as mid-summer concerns over a full-blown financial contagion emanating from Europe did not materialize. Once Eurozone leaders announced their plans to more aggressively manage their sovereign debt problems, investors refocused their attention on investment opportunities in the U.S., where economic news was positive on balance and supportive of the stock market rally. Unemployment continued to inch lower, inflation remained tame as commodity prices slipped, and consumer confidence and spending both increased despite a continued decline in home prices. The Federal Reserve continued to support the recovery by keeping interest rates at zero and indicating no increase until at least mid-2013. On the geopolitical front, the war in Iraq officially ended in December. However, sovereign debt troubles in Europe continue to act as an overhang for the markets and remain the primary risk. In addition, a slowdown in global demand from China as its economy cools is also of concern. Lastly, the U.S. debt burden still lingers given the failure of the Congressional super committee to agree to long-term spending cuts. Despite these issues, the U.S. markets were resilient.

For 2011, the Russell 2000^® Index (“Russell 2000^®”) returned (4.18)% trailing both its mid-cap and large-cap peers, reversing small-cap’s leadership since 2008. For the third consecutive year, growth stocks outpaced value stocks in both large and small capitization segments, indicating that investors are still focused on growth prospects at this stage in the economic cycle.

Wellington Management Company, LLP

The one-year period ending December 31, 2011 was yet another extremely volatile period for equity markets. Global equities started the year on a strong note and continued to march higher in the first quarter of 2011, driven by investors’ enthusiasm for additional government debt purchases by the U.S. Federal Reserve, the extension of tax cuts in the U.S., strong earnings growth, and generally improving economic data. This enthusiasm reversed later in the period, however, as concerns surfaced that the global economy could slip back into recession, resulting in a rapid decline in equity markets. Fears about sovereign debt and solvency in the Eurozone, slowing economic expansion in China and the U.S., and uncertainty about the sustainability of corporate earnings growth combined to produce an extremely volatile stock market, and return correlations among stocks spiked as investors shed risk and fled to safety. Despite these lingering concerns, markets ended the year on a positive note in the final month of the period in response to encouraging employment and manufacturing data in the U.S.

In this environment, seven of the ten sectors in the Russell 2000 Value^® Index (-5.50%) posted negative returns for the period. The energy and telecommunication services sectors declined the most, while the utilities sector performed best.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Small Core Portfolio (“Portfolio”) returned (2.19)%. By comparison, its primary and secondary benchmarks, the Russell 2000^® and the Standard & Poor’s 500^® Index, returned (4.18)% and 2.11%, respectively.

STRATEGY REVIEW

Fort Washington Investment Advisors, Inc.

The sectors with the most positive relative performance for the year include energy, healthcare, materials, consumer discretionary, and industrials. Information technology was the largest detractor from relative performance while consumer staples were a slight negative.

Stocks with the greatest outperformance for 2011 included:

• Energy – Brigham Exploration, International Coal, and Newpark Resources, Inc.

• Healthcare – Alexion Pharmaceuticals, SonoSite, and BioMarin Pharmaceuticals, Inc.

• Materials – LSB Industries, Inc. and Balchem Corp.

• Consumer discretionary – Tractor Supply Co., 99 Cents Only Stores, and LKQ Corp.

• Industrials – Wabtec Corp., Clarcor, Inc., and Landstar System, Inc.

• Technology – Taleo Corp., Mellanox Technologies, Ltd., and MAXIMUS, Inc.

Stocks with the greatest negative impact on the Portfolio included:

• Technology – Skyworks Solutions, Inc., Oclaro, Riverbed Technology, Inc., and Vistaprint NV

• Healthcare – Inspire Pharmaceuticals, NxStage Medical, Inc., and United Therapeutics Corp.

• Consumer discretionary – WMS Industries, Capella Education Co., and PetMed Express

• Energy – PetroQuest Energy, Inc.

The Portfolio continues to be positioned in companies that we believe can increase sales and profits in spite of the difficult economic and market environment. We continue to look for companies with good business models that 1) generate high levels of cash flow using modest or no financial leverage, 2) have unique products or services that have a competitive, sustainable advantage, and 3) are experiencing improving secular (preferable), or cyclical, fundamentals.

STRATEGY REVIEW (continued)

As of the end of fourth quarter 2011, the Portfolio is positioned as follows:

Overweight Sectors

• Consumer discretionary – companies focusing on value-conscious consumers, and/or experiencing strong organic top line growth driven by domestic geographic expansion and/or recurring revenue.

• Healthcare – orphan-drug producers and device manufacturers with new product introductions.

• Industrials – focus on transportation, niche capital goods, commercial aerospace/defense, electrical equipment companies and companies with recurring revenue.

Underweight Sectors

• Consumer staples – companies with growth opportunities in Central and South American retailing, food rendering and renewable energy production plus a traditional food producer with new products.

• Technology – companies that should benefit from the growth of internet traffic and the demand for increased mobility.

• Materials – makers of specialty chemicals for agricultural, consumer and energy end markets.

• Energy – Oil service and exploration and production companies that should benefit from domestic onshore shale plays and international offshore oil & gas drilling.

• Financials – pawn brokers and debt collection companies that should benefit from the continued contraction in consumer credit, higher gold prices and increasing supply of charged off credit card debt.

Invesco Advisors, Inc.

The Portfolio is an active small capitalization strategy designed to capture excess returns through Invesco Global Quantitative Equity’s proprietary multi-factor stock selection model. We believe that relative returns are predictable based on certain fundamental and behavioral concepts. To capture excess return, our process 1) systematically evaluates stocks within their respective industries using four key investment concepts: Earnings momentum, price trend, management action, and relative value, and 2) constructs the Portfolio and manages risk to limit the impact of unintended beta, size, and industry biases through an optimization technique that seeks to maximize expected return at a specified level of risk. The research team is dedicated to an on-going effort to identify factors that are strong predictors of return and that also complement our existing stock selection model. Stock selection is expected to be the primary driver of excess returns because we control for risk associated with sector/industry bets, style exposures, and beta. We are also very risk-management driven as the Portfolio has a low tracking error target of 4%.

Our stock selection model’s positive exposures to momentum and earnings yield factors were strong contributors to excess return. Overweighting the consumer services, health care, and energy sectors added value. In addition, having a slightly lower beta than the benchmark helped in the second and third quarters when the market declined.

Stock selection hurt results for the year particularly within basic materials (chemicals, gold), technology (semiconductors, hardware), telecommunications (wireless, telephone), and commercial services (industrial services). Overweighting OM Group, Inc. (chemicals), Imation Corp. (computers & peripherals), IDT Corp. (diversified telecommunication services), and Career Education (industrial services) had the greatest negative impact. Partially offsetting those negative results was selection within financials (REITs), transport (truck/sea/air freight, airlines), and energy (reserves). Specifically, overweighting Extra Space Storage, Inc. (real estate investment trusts), Alaska Air Group (airlines), and W&T Offshore, Inc. (oil, gas & consumable fuels) aided performance.

The Portfolio holds Russell Index futures solely for the purpose of equitizing cash.

Wellington Management Company, LLP

The Team employs a bottom-up stock selection process that utilizes Wellington Management’s proprietary, fundamental research to identify undervalued companies that have the potential for significant outperformance over time. We take a long-term approach, focusing on high-quality companies with a record of above-average rates of profitability that sell at a discount relative to their intrinsic value and the overall small cap market. Companies with a history of above-average profitability are likely to have a strong and sustainable competitive position within a market niche. These companies typically generate strong cash flows that can be used to build the value of the business or fund measures that otherwise benefit shareholders, such as dividend distributions and share repurchases. The quality of a company’s management, its strategic direction, and expectations with regard to the use of current and future cash flows are integral components of our valuation process.

During the period, strong selection in the industrials, financials, and information technology sectors contributed most to outperformance. This was somewhat offset by weaker stock selection within energy and health care. Allocation among sectors, a residual of the bottom-up stock selection process, was modestly negative due to an overweight in industrials and underweight in utilities.

The Portfolio’s largest contributors to relative performance during the period included Delphi Financial Group, Inc., an insurance holding company specializing in life and disability insurance, inland barge operator Kirby Corp., and CarlisleCos., Inc., a diversified industrial manufacturer with significant operations in commercial roofing and specialty tires and wheels.

The Portfolio’s largest relative detractors during the period included independent oil and gas exploration and production company Penn Virginia Corp., cleaning products and solutions manufacturer Zep, Inc., and Scorpio Tankers, Inc., a transportation firm focused on seaborne shipments of refined petroleum products. Our position in contract research organization ICON PLC also detracted from relative and absolute results during the period.

STRATEGY REVIEW (continued)

The Portfolio’s investment approach emphasizes individual stock selection; sector weights are a residual of the process. We do, however, carefully consider diversification across economic sectors to limit risk. As of the end of the period, the Portfolio was most overweight the industrials and consumer discretionary sectors, and most underweight financials. Based on our two- to three-year time horizon, we continue to find opportunities created by the inefficiencies frequently found among small cap companies.

Richard R. Jandrain III	Ralph Coutant, CFA	Timothy J. McCormack, CFA
Daniel J. Kapusta	Anthony Munchak, CFA	Shaun F. Pedersen
Bihag N. Patel, CFA	Glen Murphy, CFA
David K. Robinson, CFA	Francis Orlando, CFA
	Anthony Shufflebotham, CFA
Co-Portfolio Managers	Co-Portfolio Managers	Co-Portfolio Managers
Fort Washington Investment Advisors, Inc.	Invesco Advisers, Inc.	Wellington Management Company, LLP

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

The year 2011 was marked by high volatility, record stock correlations, and multiple sentiment reversals. The first half of the year saw moderating, although steady, stock gains driven by improving industrial data and government stimulus. Higher beta sectors like energy, technology and materials led the market in the first quarter, although investors became increasingly risk-averse into late spring as commodity prices began to stall, suggesting a pause in economic growth.

Stock performance flattened and sentiment reversed in the second quarter on uncertainty surrounding the impact of the Japanese earthquake and tsunami. As a result, defensive sectors like consumer staples, healthcare and even telecom began to outperform riskier, higher-beta stocks.

It seemed investor fears were justified, given sharp stock declines in August as business activity slowed to a crawl, raising questions of the sustainability of the global recovery and flaming fears of a double-dip recession. Uncertainty surrounding the Eurozone financial crisis and the U.S. debt ceiling issues led to record stock volatility and historically high correlations. Industrial stocks were particularly hard hit in the third quarter, given close ties to the economic cycle, while the least economically-sensitive stocks like staples, healthcare and real estate investment trusts outperformed.

The year ended with yet another reversal, this time favoring higher beta stocks as economic data showed signs of improvement, including Gross Domestic Product expansion and a healing U.S. jobs market. Energy, industrials, materials and technology sectors carried the Russell 2000^® Growth Index (“Russell 2000^® Growth”) to the close of 2011, suggesting perhaps an improved outlook for 2012.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners Small Growth Portfolio (“Portfolio”) returned (6.45)%. By comparison, its benchmark, the Russell 2000^® Growth, returned (2.91)%.

STRATEGY REVIEW

Consumer discretionary continued to be a top contributor to the Portfolio’s performance again this year due primarily to strong stock selection, while an underweight position relative to the benchmark produced a modest headwind to returns. Given a robust spending environment in 2010 and falling consumer confidence levels into 2011, we preferred a modest underweight versus the benchmark. Instead, we remained focused on quality companies with strong positioning and momentum. Two top performers were Domino’s Pizza, Inc. and Genesco, Inc., both of which also benefited from secular themes in their respective industries.

Strong stock selection in the materials sector also contributed to the Porfolio’s performance. Although our slight overweight position created a modest drag, owning key top-performing stocks like Buckeye Technologies, Inc. and Rock-Tenn in the sector produced meaningful outperformance.

Technology was a significant detractor to performance for the year. High-valuation, high-beta stocks saw continued momentum into the first quarter as investors sought more risk. Given our focus on high quality growth companies with reasonable valuations, we did not participate in this high valuation trade, and saw performance suffer as a result. Towards the end of the year, some of our technology stocks experienced macro-related missteps and posted weak earnings results. In general, weak stock selection coupled with an unfavorable environment that rewarded high-flying stocks led the Portfolio to underperform within this sector.

For several years now the market has been trading less on company-specific fundamentals and more so on macro headlines, which we don’t view as sustainable. The middle of 2011 saw the re-emergence of the long-term trend where higher quality companies outperform their lower quality counterparts. We believe this heralded an environment with new market leadership, where quality company fundamentals will once again begin reasserting themselves in driving stock price performance. It is this type of environment where the Portfolio’s investment process has delivered some of the strongest relative performance in our 13 year history, leading to our high conviction and confidence level that our focus on quality companies with solid cash generation and strong balance sheets will be rewarded in 2012.

Mark D. Garfinkel, CFA

James N. Behre

Co-Portfolio Managers

Perimeter Capital Partners LLC

Note: Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell indexes. Russell^® is a trademark of Russell Investment Group.

MARKET ENVIRONMENT

Market conditions for the annual reporting period January 1, 2011 through December 31, 2011 were challenging. Myriad events caused turbulence in global equity markets throughout the year, such as the unrest in the Middle East and North Africa, the Japanese earthquake and Thailand flooding, and the European sovereign debt crisis. These events led investors to seek safety in the form of more defensively-oriented stocks and dividend oriented companies.

The market environment continues to be dominated by uncertainty and concerns surrounding the future of Europe’s economy and the Euro. Western Europe represents approximately 18% of global Gross Domestic Product, significant enough to create disruptions in other economies and in the global financial markets. The subdued performance of major financial institutions in Europe mirrors the low expectations investors have for these systemically important entities going forward. Our portfolio has fewer holdings tied primarily to the European economy than in past periods, reflecting the uncertainty of the outlook for the region. Successful resolution of the European financial crisis would presumably go a long way toward bolstering investor confidence in global securities markets, but the core issue of a lack of united fiscal and monetary policy in the region persists. While we have been mindful of maintaining healthy exposure to more defensively positioned companies, certain factors that could hamper global progress have not come to pass, including a potential hard landing for China and a recession in the U.S. In the months ahead, we are hopeful that the environment will improve in Europe. Meanwhile, many of the hurdles facing the region are seemingly priced into current valuations, which appear compelling.

PERFORMANCE

For the year ended December 31, 2011, Transamerica Partners International Equity Portfolio (“Portfolio”) returned (13.51)%. By comparison, its benchmark, the Morgan Stanley Capital International All Country World ex-U.S. Index (“MSCI ACWI ex-US”), returned (13.33)%.

STRATEGY REVIEW

The Portfolio is built from the bottom up, with stocks selected one at a time, based on the fundamentals of individual companies. For the calendar year 2011, the Portfolio underperformed relative to the MSCI ACWI ex-US, largely due to stock selection in the financials, energy and health care sectors.

Relative performance was strongest in the consumer discretionary and industrials sectors, primarily due to stock selection. On a country basis, top contributors to relative return were Germany, Canada and South Korea. British American Tobacco PLC, Canadian National Railway Co. and ARM Holdings PLC (“ARM”) were the Portfolio’s top contributors to return for the annual period. British American Tobacco PLC is a defensively positioned company with a leadership position in its markets, pricing power, and a healthy balance sheet. Canadian National Railway Co. was helped by expansion of its port activity, allowing increased trading of U.S. and Canadian goods to and from Asia. Due to solid management execution and a focus on high quality and relatively inexpensive products, ARM has cemented its status as the top designer of chips for mobile phones, powering more than 90% of all handsets while taking market share from Intel in the personal computer sector.

Relative performance was weakest in the financials, energy and health care sectors due to stock selection. China, Taiwan and the Netherlands had the weakest relative performance from a geographic perspective. The largest detractors from performance were HTC Corp. (“HTC”), Credit Suisse Group AG and ArcelorMittal. Patent litigation issues and a loss of market share, partially attributed to product cycle and poor shipment development in the U.S., weighed on HTC. Along with sovereign debt concerns, profitability at Credit Suisse Group AG is being impacted by regulatory requirements in its investment banking unit and a risk-averse low interest rate environment in its wealth management business. ArcelorMittal suffered from a global decline in demand for steel, and the inability to take advantage of emerging market growth as shifting currency valuations reduced cost effectiveness in large markets including Brazil.

The Portfolio’s derivative positions, which were limited to currency forward contracts, were beneficial to annual performance.

William V. Fries, CFA

Wendy Trevisani

Lei Wang, CFA

Co-Portfolio Managers

Thornburg Investment Management, Inc.

Transamerica Partners Money Market Portfolio	% of Net Assets
Commercial Paper		21.9	%
Repurchase Agreement		17.4
Certificate of Deposit		16.7
Short-Term U.S. Government Obligation		16.2
U.S. Government Obligation		10.7
U.S. Government Agency Obligation		8.1
Corporate Debt Security		4.8
Short-Term Foreign Government Obligation		2.7
Other Assets and Liabilities - Net		1.5
Total		100.0	%
Transamerica Partners High Quality Bond Portfolio	% of Net Assets
Corporate Debt Security		37.8	%
Asset-Backed Security		28.4
Mortgage-Backed Security		18.3
Securities Lending Collateral		7.8
U.S. Government Obligation		4.9
U.S. Government Agency Obligation		4.8
Repurchase Agreement		3.4
Foreign Government Obligation		1.9
Other Assets and Liabilities - Net		(7.3	)
Total		100.0	%
Transamerica Partners Inflation-Protected Securities Portfolio	% of Net Assets
U.S. Government Obligation		94.4	%
Repurchase Agreement		4.3
Securities Lending Collateral		0.8
Structured Note Debt		0.5
Foreign Government Obligation		0.3
Purchased Swaption		0.3
Mortgage-Backed Security		0.1
Purchased Option		0.0	*
Other Assets and Liabilities - Net(A)		(0.7	)
Total		100.0	%
Transamerica Partners Core Bond Portfolio	% of Net Assets
U.S. Government Agency Obligation		49.9	%
Corporate Debt Security		31.4
Mortgage-Backed Security		11.4
U.S. Government Obligation		7.6
Repurchase Agreement		7.3
Asset-Backed Security		4.8
Securities Lending Collateral		3.8
Foreign Government Obligation		3.6
Preferred Corporate Debt Security		0.3
Municipal Government Obligation		0.3
Convertible Bond		0.1
Purchased Swaption		0.1
Preferred Stock		0.1
Common Stock		0.0	*
Purchased Option		0.0	*
Warrant		0.0	*
Other Assets and Liabilities - Net(A)		(20.7	)
Total		100.0	%

Transamerica Partners High Yield Bond Portfolio	% of Net Assets
Corporate Debt Security		90.7	%
Loan Assignment		5.6
Repurchase Agreement		0.7
Common Stock		0.7
Convertible Preferred Stock		0.3
Preferred Stock		0.2
Preferred Corporate Debt Security		0.0	*
Convertible Bond		0.0	*
Warrant		0.0	*
Investment Company		0.0	*
Right		0.0	*
Other Assets and Liabilities - Net		1.8
Total		100.0	%
Transamerica Partners Balanced Portfolio	% of Net Assets
Common Stock		58.7	%
U.S. Government Agency Obligation		21.9
Securities Lending Collateral		18.9
Corporate Debt Security		12.9
Mortgage-Backed Security		5.5
Repurchase Agreement		3.7
Foreign Government Obligation		2.1
Asset-Backed Security		2.0
U.S. Government Obligation		1.4
Preferred Corporate Debt Security		0.2
Preferred Stock		0.1
Municipal Government Obligation		0.1
Warrant		0.0	*
Purchased Option		0.0	*
Other Assets and Liabilities - Net(A)		(27.5	)
Total		100.0	%
Transamerica Partners Large Value Portfolio	% of Net Assets
Common Stock		98.6	%
Securities Lending Collateral		3.8
Repurchase Agreement		1.3
Other Assets and Liabilities - Net		(3.7	)
Total		100.0	%
Transamerica Partners Large Core Portfolio	% of Net Assets
Common Stock		97.9	%
Securities Lending Collateral		3.3
Repurchase Agreement		1.9
Other Assets and Liabilities - Net		(1.3	)
Total		100.0	%
Transamerica Partners Large Growth Portfolio	% of Net Assets
Common Stock		99.5	%
Securities Lending Collateral		3.5
Repurchase Agreement		0.4
Other Assets and Liabilities - Net		(3.4	)
Total		100.0	%
Transamerica Partners Mid Value Portfolio	% of Net Assets
Common Stock		97.1	%
Securities Lending Collateral		5.0
Repurchase Agreement		2.2
Other Assets and Liabilities - Net		(4.3	)
Total		100.0	%

Transamerica Partners Mid Growth Portfolio	% of Net Assets
Common Stock		99.8	%
Securities Lending Collateral		25.7
Repurchase Agreement		0.3
Other Assets and Liabilities - Net		(25.8	)
Total		100.0	%
Transamerica Partners Small Value Portfolio	% of Net Assets
Common Stock		97.4	%
Securities Lending Collateral		25.7
Repurchase Agreement		2.6
Other Assets and Liabilities - Net		(25.7	)
Total		100.0	%
Transamerica Partners Small Core Portfolio	% of Net Assets
Common Stock		98.2	%
Securities Lending Collateral		25.7	%
Repurchase Agreement		1.4
Investment Company		0.2
Short-Term U.S. Government Obligation		0.1
Other Assets and Liabilities - Net(A)		(25.7	)
Total		100.0	%
Transamerica Partners Small Growth Portfolio	% of Net Assets
Common Stock		100.1	%
Securities Lending Collateral		25.7
Repurchase Agreement		0.3
Warrant		0.0	*
Other Assets and Liabilities - Net		(26.1	)
Total		100.0	%
Transamerica Partners International Equity Portfolio	% of Net Assets
Common Stock		94.1	%
Securities Lending Collateral		4.8
Repurchase Agreement		3.2
Preferred Stock		1.8
Other Assets and Liabilities - Net(A)		(3.9	)
Total		100.0	%

* Amount rounds to less than 0.1%.

^(A)  The Other Assets and Liabilities - Net category may include, but is not limited to, Forward Currency contracts, Futures contracts, Swap Agreements, Written Options and Swaptions, Securities Sold Short, and Cash Collateral.

	Principal (000’s)		Value (000’s)
COMMERCIAL PAPER p - 21.9%
Capital Markets - 1.5%
Credit Suisse
0.87%, 02/14/2012	$	15,250	$	15,242
Commercial Banks - 8.8%
Australia & New Zealand Banking Group, Ltd.
0.62%, 02/28/2012 - 144A		12,000		11,994
0.64%, 02/07/2012 - 144A		13,550		13,546
HSBC USA, Inc.
0.24%, 01/23/2012		28,000		27,998
National Australia Funding Delaware, Inc.
0.40%, 01/06/2012 - 144A		24,350		24,349
Nordea Bank Finland PLC
0.36%, 01/11/2012		10,450		10,450
Diversified Financial Services - 5.1%
JPMorgan Chase & Co.
0.02%, 01/04/2012		27,450		27,450
Rabobank USA Financial Corp.
0.70%, 01/12/2012		23,700		23,697
Food Products - 1.9%
Nestle Capital Corp.
0.10%, 02/03/2012 - 144A		18,900		18,899
Household Products - 1.0%
Procter & Gamble Co.
0.12%, 03/20/2012 - 144A		9,500		9,499
Pharmaceuticals - 3.6%
Johnson & Johnson
0.14%, 04/02/2012 - 144A		24,500		24,496
Novartis Finance Corp.
0.12%, 01/04/2012 - 144A		11,200		11,200
Total Commercial Paper (cost $218,820)				218,820
CERTIFICATES OF DEPOSIT p - 16.7%
Commercial Banks - 16.7%
Bank of Montreal
0.39%, 09/26/2012		11,100		11,100
Bank of Nova Scotia
0.29%, 01/13/2012		20,450		20,450
Barclays Bank PLC
0.51%, 02/06/2012		16,300		16,300
Commonwealth Bank of Australia
0.27%, 05/21/2012 - 144A		26,800		26,800
Royal Bank of Canada
0.25%, 03/12/2012		12,450		12,450
Standard Chartered Bank
0.43%, 02/10/2012		20,150		20,150
Svenska Handelsbanken AB
0.42%, 02/13/2012		15,000		15,000
Toronto-Dominion Bank
0.24%, 02/08/2012		20,300		20,300
Westpac Banking Corp.
0.28%, 05/11/2012		23,400		23,400
Total Certificates of Deposit (cost $165,950)				165,950
CORPORATE DEBT SECURITIES - 4.8%
Commercial Banks - 3.9%
Eksportfinans ASA
0.67%, 03/15/2012 * §		6,600		6,601
0.68%, 03/19/2012 * §		13,200		13,202
Westpac Banking Corp.
0.30%, 02/21/2012 *		18,700		18,717

	Principal (000’s)		Value (000’s)		��
Diversified Financial Services - 0.9%
JPMorgan Chase & Co.
0.78%, 06/15/2012 *	$	8,850	$	8,874
Total Corporate Debt Securities (cost $47,394)				47,394
SHORT-TERM FOREIGN GOVERNMENT OBLIGATION p - 2.7%
World Bank Discount Notes
0.05%, 02/01/2012		26,950		26,949
Total Short-Term Foreign Government Obligation (cost $26,949)
SHORT-TERM U.S. GOVERNMENT OBLIGATIONS p - 16.2%
Fannie Mae
0.02%, 01/17/2012		13,350		13,350
0.04%, 04/02/2012		26,950		26,947
0.10%, 03/14/2012		7,250		7,249
Freddie Mac
0.01%, 02/17/2012 - 02/29/2012		22,000		22,000
0.02%, 03/09/2012		6,850		6,850
0.03%, 01/27/2012 - 02/01/2012		32,700		32,700
0.06%, 05/01/2012		8,650		8,649
0.09%, 01/17/2012 - 05/18/2012		43,550		43,543
Total Short-Term U.S. Government Obligations (cost $161,288)				161,288
U.S. GOVERNMENT AGENCY OBLIGATIONS - 8.1%
Fannie Mae
0.28%, 07/26/2012 *		27,200		27,222
0.31%, 10/18/2012 *		7,550		7,559
Freddie Mac
0.21%, 05/01/2012 *		13,400		13,405
0.24%, 04/03/2012 *		27,500		27,507
0.26%, 02/16/2012 *		5,400		5,400
Total U.S. Government Agency Obligations (cost $81,093)				81,093
U.S. GOVERNMENT OBLIGATIONS - 10.7%
U.S. Treasury Note
0.63%, 06/30/2012		21,150		21,207
0.88%, 01/31/2012		16,850		16,860
1.00%, 03/31/2012 - 04/30/2012		54,500		54,648
1.13%, 01/15/2012		13,650		13,656
Total U.S. Government Obligations (cost $106,371)				106,371
REPURCHASE AGREEMENTS - 17.4%
Barclays Bank PLC
0.02% p, dated 12/30/2011, to be repurchased at $49,900 on 01/03/2012. Collateralized by U.S. Government Obligations, 5.375% - 6.25%, due 5/15/2030 - 2/15/2031, and with a total value of $50,231.		49,900		49,900
Deutsche Bank AG
0.05% p, dated 12/30/2011, to be repurchased at $27,100 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 0.6%, due 11/14/2013, and with a value of $27,621.		27,100		27,100

	Principal (000’s)		Value (000’s)
Goldman Sachs
0.09% p, dated 12/30/2011, to be repurchased at $54,600 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 4.00%, due 11/4/2026 - 11/17/2031, and with a total value of $55,366.	$	54,600	$	54,600
HSBC Bank USA
0.02% p, dated 12/30/2011, to be repurchased at $29,730 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 0.00%, due 5/15/2018 - 1/15/2030, and with a total value of $30,325.		29,730		29,730
HSBC USA, Inc.
0.03% p, dated 12/30/2011, to be repurchased at $11,500 on 01/03/2012. Collateralized by a U.S. Government Obligation, 2.00%, due 04/30/2016, and with a value of $11,730.		11,500		11,500
State Street Bank & Trust Co.
0.03% p, dated 12/30/2011, to be repurchased at $2 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $5.		2		2
Total Repurchase Agreements (cost $172,832)				172,832
Total Investment Securities (cost $980,697)				980,697
Other Assets and Liabilities - Net				14,932
Net Assets			$	995,629

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

* Floating or variable rate note. Rate is listed as of 12/30/2011.

p Rate shown reflects the yield at 12/30/2011.

§ Illiquid. At 12/31/2011, the fair value of illiquid investment securities aggregated to $19,803, or 1.99% of the portfolio’s net assets.

Aggregate cost for federal income tax purposes is $980,697, which equals the book cost; therefore, net unrealized appreciation/depreciation is $0.

DEFINITION (all amounts in thousands):

144A 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2011, these securities aggregated $140,783, or 14.14%, of the portfolio’s net assets.

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1  - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Certificates of Deposit	$	—	$	165,950	$	—	$	165,950
Commercial Paper		—		218,820		—		218,820
Corporate Debt Securities		—		47,394		—		47,394
Repurchase Agreements		—		172,832		—		172,832
Short-Term Foreign Government Obligations		—		26,949		—		26,949
Short-Term U.S. Government Obligations		—		161,288		—		161,288
U.S. Government Agency Obligations		—		81,093		—		81,093
U.S. Government Obligations		—		106,371		—		106,371
Total	$	—	$	980,697	$	—	$	980,697

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Principal (000’s)		Value (000’s)
U.S. GOVERNMENT OBLIGATIONS - 4.9%
U.S. Treasury Note
0.25%, 10/31/2013 ^	$	18,600	$	18,602
0.38%, 07/31/2013		4,000		4,010
Total U.S. Government Obligations (cost $22,603)				22,612
U.S. GOVERNMENT AGENCY OBLIGATIONS - 4.8%
Fannie Mae
2.50%, 05/15/2014		950		991
4.00%, 12/25/2029 - 07/25/2033		233		234
5.50%, 12/01/2022		660		724
6.00%, 07/01/2014 - 09/01/2014		144		155
Freddie Mac
1.00%, 03/27/2013		5,000		5,042
2.87%, 12/15/2016		57		57
3.38%, 03/15/2018		1,718		1,771
4.00%, 09/15/2016 - 09/15/2017		508		513
5.50%, 04/01/2017		244		264
6.00%, 10/15/2021		720		733
6.50%, 02/01/2013 - 04/01/2013		29		30
Ginnie Mae
4.66%, 12/16/2030 *		818		844
5.59%, 11/20/2059		4,061		4,451
5.65%, 06/20/2059		4,959		5,450
5.75%, 12/15/2022		685		771
Total U.S. Government Agency Obligations (cost $21,776)				22,030
FOREIGN GOVERNMENT OBLIGATIONS - 1.9%
Province of Ontario Canada
2.30%, 05/10/2016 ^		4,795		4,938
Province of Quebec Canada
4.88%, 05/05/2014 ^		3,650		3,981
Total Foreign Government Obligations (cost $8,901)				8,919
MORTGAGE-BACKED SECURITIES - 18.3%
Bear Stearns Commercial Mortgage Securities
Series 2007-PW15, Class A2
5.21%, 02/11/2044		106		106
CFCRE Commercial Mortgage Trust
Series 2011-C1, Class A2
3.76%, 04/15/2044 - 144A		3,000		3,123
Commercial Mortgage Pass-Through Certificates
Series 2001-J2A, Class B
6.30%, 07/16/2034 - 144A		2,425		2,432
Series 2005-LP5, Class A2
4.63%, 05/10/2043		1,266		1,268
Series 2006-C8, Class A3
5.31%, 12/10/2046		5,690		5,916
Community Program Loan Trust
Series 1987-A, Class A4
4.50%, 10/01/2018		164		165
Credit Suisse Mortgage Capital Certificates
Series 2007-C5, Class A2
5.59%, 09/15/2040		2,841		2,879
CW Capital Cobalt, Ltd.
Series 2006-C1, Class A2
5.17%, 08/15/2048		2,903		2,941
DBUBS Mortgage Trust
Series 2011-LC1A, Class A1
3.74%, 11/10/2046 - 144A		4,422		4,631

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
DBUBS Mortgage Trust (continued)
Series 2011-LC3A, Class A2
3.64%, 08/10/2044	$	1,400	$	1,475
GE Capital Commercial Mortgage Corp.
Series 2005-C1, Class A2
4.35%, 06/10/2048		1,005		1,004
Greenwich Capital Commercial Funding Corp.
Series 2005-GG3, Class A2
4.31%, 08/10/2042		427		427
Series 2006-GG7, Class A2
5.88%, 07/10/2038 *		18		18
GS Mortgage Securities Corp. II
Series 2004-GG2, Class A4
4.96%, 08/10/2038		3,636		3,668
Series 2006-GG6, Class A2
5.51%, 04/10/2038 *		544		548
Series 2006-GG6, Class AAB
5.59%, 04/10/2038 *		3,718		3,948
Series 2006-GG8, Class AAB
5.54%, 11/10/2039		4,546		4,762
Series 2007-GG10, Class AAB
5.79%, 08/10/2045 *		5,010		5,264
Interstar Millennium Trust
Series 2003-3G, Class A2
1.07%, 09/27/2035 *		155		143
JP Morgan Chase Commercial Mortgage Securities Corp.
Series 2006-LDP7, Class A2
5.86%, 04/15/2045 *		251		252
Series 2007-C1, Class A3
5.79%, 02/15/2051		7,000		7,321
LB-UBS Commercial Mortgage Trust
Series 2003-C7, Class A3
4.56%, 09/15/2027 *		4,550		4,574
Series 2005-C7, Class A2
5.10%, 11/15/2030		619		618
Series 2006-C4, Class AAB
5.84%, 06/15/2032 *		3,592		3,829
Series 2006-C7, Class A2
5.30%, 11/15/2038		1,651		1,654
Series 2007-C2, Class A2
5.30%, 02/15/2040		1,962		1,967
Merrill Lynch Mortgage Trust
Series 2005-MKB2, Class A2
4.81%, 09/12/2042		966		965
Series 2006-C1, Class A2
5.62%, 05/12/2039 *		463		475
Merrill Lynch/Countrywide Commercial Mortgage Trust
Series 2007-8, Class A2
5.93%, 08/12/2049 *		1,817		1,924
Wachovia Bank Commercial Mortgage Trust
Series 2003-C5, Class A1
2.99%, 06/15/2035		166		166
Series 2003-C9, Class A3
4.61%, 12/15/2035		896		906
Series 2007-C30, Class A3
5.25%, 12/15/2043		4,700		4,750
Series 2007-C30, Class APB
5.29%, 12/15/2043		5,000		5,206

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
Wachovia Bank Commercial Mortgage Trust (continued)
Series 2007-C33, Class A3
5.90%, 02/15/2051 *	$	4,300	$	4,558
Wells Fargo Mortgage Backed Securities Trust
Series 2005-9, Class 1A1
4.75%, 10/25/2035		80		80
Total Mortgage-Backed Securities (cost $83,248)				83,963
ASSET-BACKED SECURITIES - 28.4%
AmeriCredit Automobile Receivables Trust
Series 2009-1, Class B
9.79%, 04/15/2014		1,000		1,074
Avis Budget Rental Car Funding AESOP LLC
Series 2010-5A, Class A
3.15%, 03/20/2017 - 144A		2,000		2,023
BMW Vehicle Owner Trust
Series 2010-A, Class A4
2.10%, 10/25/2016		4,000		4,066
Capital One Multi-Asset Execution Trust
Series 2008-A3, Class A3
5.05%, 02/15/2016		4,750		5,001
CarMax Auto Owner Trust
Series 2010-2, Class A3
1.41%, 02/16/2015		4,301		4,322
CenterPoint Energy Transition Bond Co., LLC
Series 2009-1, Class A1
1.83%, 02/15/2016		3,694		3,754
Chase Funding Mortgage Loan Asset-Backed Certificates
Series 2003-4, Class 1A6
4.43%, 10/25/2014 *		1,103		1,102
Citibank Credit Card Issuance Trust
Series 2009-A4, Class A4
4.90%, 06/23/2016 ^		2,100		2,305
Citibank Omni Master Trust
Series 2009-A8, Class A8
2.38%, 05/16/2016 - 144A *		2,850		2,868
CNH Equipment Trust
Series 2009-B, Class A4
5.17%, 10/15/2014		1,710		1,749
Series 2009-C, Class A4
3.00%, 08/17/2015		3,000		3,046
Series 2009-C, Class B
4.98%, 04/15/2016		500		519
Series 2010-A, Class B
4.04%, 09/15/2016		2,175		2,239
Series 2010-B, Class A4
1.74%, 01/17/2017		4,400		4,446
Series 2011-B, Class A4
1.29%, 09/15/2017		3,495		3,475
Discover Card Master Trust
Series 2008-A4, Class A4
5.65%, 12/15/2015 ^		4,500		4,815
Entergy Texas Restoration Funding LLC
Series 2009-A, Class A1
1.00%, 02/01/2016		1,664		1,694
Ford Credit Auto Owner Trust
Series 2010-A, Class A3
1.32%, 06/15/2014		1,928		1,935
Series 2010-B, Class A4
1.58%, 09/15/2015		2,725		2,757
Series 2010-B, Class B
2.54%, 02/15/2016		5,500		5,659

	Principal (000’s)		Value (000’s)
ASSET-BACKED SECURITIES (continued)
Ford Credit Floorplan Master Owner Trust
Series 2010-5, Class A1
1.50%, 09/15/2015	$	2,000	$	2,003
GE Capital Credit Card Master Note Trust
Series 2009-2, Class A
3.69%, 07/15/2015		4,377		4,446
Series 2010-3, Class A
2.21%, 06/15/2016		3,000		3,059
GE Equipment Midticket LLC
Series 2009-1, Class A4
3.13%, 11/16/2020		4,750		4,812
GE Equipment Transportation LLC
Series 2011-1, Class A4
1.33%, 05/20/2019		1,000		1,002
Honda Auto Receivables Owner Trust
Series 2009-2, Class A3
2.79%, 01/16/2012		124		124
Series 2009-2, Class A4
4.43%, 08/15/2012		2,650		2,700
Series 2010-1, Class A3
1.25%, 10/21/2013		1,309		1,312
Huntington Auto Trust
Series 2011-1A, Class A4
1.31%, 11/15/2016 - 144A		2,000		1,987
Series 2011-1A, Class B
1.84%, 01/17/2017 - 144A		1,500		1,494
Hyundai Auto Receivables Trust
Series 2010-B, Class A4
1.63%, 03/15/2017		2,000		2,026
Series 2011-A, Class A4
1.78%, 12/15/2015		3,000		3,051
Macquarie Equipment Funding Trust
Series 2011-A, Class A3
1.91%, 04/20/2017 - 144A		1,800		1,819
Massachusetts RRB Special Purpose Trust
Series 2005-1, Class A4
4.40%, 03/15/2015		1,397		1,433
MBNA Credit Card Master Note Trust
Series 2004-B1, Class B1
4.45%, 08/15/2016		1,100		1,169
Mercedes-Benz Auto Receivables Trust
Series 2010-1, Class A3
1.42%, 08/15/2014		1,367		1,373
MMAF Equipment Finance LLC
Series 2009-AA, Class A4
3.51%, 01/15/2030 - 144A		5,385		5,582
Series 2011-AA, Class A3
1.27%, 09/15/2015 - 144A		1,350		1,349
North Carolina State Education Assistance Authority
Series 2011-2, Class A1
0.87%, 10/26/2020 *		1,370		1,361
Railcar Leasing LLC
Series 1, Class A2
7.13%, 01/15/2013 - 144A		3,386		3,480
Toyota Auto Receivables Owner Trust
Series 2010-A, Class A3
1.27%, 12/16/2013		2,697		2,704
USAA Auto Owner Trust
Series 2009-2, Class A4
2.53%, 06/17/2013		1,005		1,023
Series 2010-1, Class A3
1.30%, 06/16/2014		1,449		1,453

	Principal (000’s)		Value (000’s)
ASSET-BACKED SECURITIES (continued)
Volkswagen Auto Loan Enhanced Trust
Series 2010-1, Class A4
2.14%, 08/22/2016	$	1,870	$	1,900
Series 2011-1, Class A3
1.22%, 06/22/2015		3,250		3,266
World Financial Network Credit Card Master Trust
Series 2009-B, Class A
3.79%, 05/15/2016		2,450		2,485
Series 2009-D, Class A
4.66%, 05/15/2017		1,250		1,310
Series 2010-A, Class A
3.96%, 04/15/2019		4,750		5,069
World Omni Auto Receivables Trust
Series 2010-A, Class A4
2.21%, 09/15/2013		2,200		2,231
World Omni Automobile Lease Securitization Trust
Series 2011-A, Class A3
1.49%, 10/15/2014		3,750		3,772
Total Asset-Backed Securities (cost $129,285)				129,644
CORPORATE DEBT SECURITIES - 37.8%
Aerospace & Defense - 0.3%
Lockheed Martin Corp.
2.13%, 09/15/2016		1,320		1,322
Beverages - 2.1%
Anheuser-Busch InBev Worldwide, Inc.
2.50%, 03/26/2013 ^		4,700		4,787
Bottling Group LLC
6.95%, 03/15/2014 ^		4,210		4,732
Capital Markets - 3.9%
Credit Suisse
5.50%, 05/01/2014		4,230		4,397
Goldman Sachs Group, Inc.
0.62%, 02/06/2012 *		4,330		4,323
3.63%, 08/01/2012 ^		3,005		3,023
Morgan Stanley
6.00%, 05/13/2014		6,100		6,159
Chemicals - 0.6%
Airgas, Inc.
4.50%, 09/15/2014		2,591		2,745
Commercial Banks - 4.1%
Bank of Nova Scotia
2.25%, 01/22/2013 ^		6,640		6,731
PNC Funding Corp.
2.70%, 09/19/2016 ^		4,175		4,250
Wells Fargo Bank NA - Series AI
4.75%, 02/09/2015		5,000		5,216
Westpac Banking Corp.
2.25%, 11/19/2012 ^		2,705		2,732
Commercial Services & Supplies - 1.4%
Yale University
2.90%, 10/15/2014		6,250		6,617
Consumer Finance - 2.9%
American Express Credit Corp.
1.42%, 06/24/2014 * ^		4,345		4,261
7.30%, 08/20/2013		3,350		3,636
Capital One Financial Corp.
2.13%, 07/15/2014 ^		2,195		2,167
Caterpillar Financial Services Corp.
1.38%, 05/20/2014 ^		1,410		1,428
Household Finance Corp.
6.38%, 11/27/2012		1,750		1,800

	Principal (000’s)		Value (000’s)
Diversified Financial Services - 8.4%
Bank of America Corp.
4.90%, 05/01/2013	$	3,025	$	3,027
Citigroup, Inc.
5.50%, 10/15/2014		4,625		4,755
CME Group, Inc.
5.40%, 08/01/2013 ^		2,275		2,424
Diageo Finance BV
5.50%, 04/01/2013		3,320		3,510
FUEL Trust
3.98%, 06/15/2016 - 144A		1,750		1,750
4.21%, 04/15/2016 - 144A		2,060		2,077
General Electric Capital Corp.
1.88%, 09/16/2013		2,000		2,025
2.10%, 01/07/2014 ^		5,700		5,786
John Deere Capital Corp.
5.25%, 10/01/2012		2,875		2,975
JPMorgan Chase & Co.
3.45%, 03/01/2016		5,610		5,699
NYSE Euronext
4.80%, 06/28/2013		3,670		3,861
Diversified Telecommunication Services - 1.4%
AT&T, Inc.
4.95%, 01/15/2013		6,375		6,644
Electric Utilities - 1.5%
Hydro Quebec
2.00%, 06/30/2016		4,160		4,247
Public Service Electric & Gas Co.
5.13%, 09/01/2012		2,365		2,431
Food & Staples Retailing - 0.3%
CVS Caremark Corp.
3.25%, 05/18/2015		1,100		1,160
Household Products - 0.8%
Procter & Gamble Co.
1.38%, 08/01/2012 ^		3,870		3,889
Insurance - 4.2%
Berkshire Hathaway, Inc.
1.40%, 02/10/2012 ^		4,920		4,925
3.20%, 02/11/2015 ^		2,465		2,613
Metropolitan Life Global Funding I
2.50%, 09/29/2015 - 144A		7,285		7,327
5.13%, 06/10/2014 - 144A		430		463
New York Life Global Funding
5.38%, 09/15/2013 - 144A		3,745		3,995
Machinery - 0.5%
Caterpillar, Inc.
1.38%, 05/27/2014		2,365		2,393
Media - 0.6%
Comcast Corp.
5.30%, 01/15/2014 ^		2,600		2,802
Office Electronics - 0.7%
Xerox Corp.
8.25%, 05/15/2014		3,005		3,391
Oil, Gas & Consumable Fuels - 1.7%
Shell International Finance BV
4.00%, 03/21/2014 ^		4,025		4,326
Total Capital Canada, Ltd.
1.63%, 01/28/2014		3,460		3,518
Pharmaceuticals - 0.8%
Novartis Capital Corp.
4.13%, 02/10/2014		3,215		3,440
Real Estate Investment Trusts - 0.2%
Boston Properties, LP
6.25%, 01/15/2013 ^		776		806

	Principal (000’s)		Value (000’s)
Wireless Telecommunication Services - 1.4%
ALLTEL Corp.
7.00%, 07/01/2012	$	6,150	$	6,337
Total Corporate Debt Securities (cost $171,033)				172,922
	Shares		Value (000’s)
SECURITIES LENDING COLLATERAL - 7.8%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		35,891,640		35,892
Total Securities Lending Collateral (cost $35,892)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 3.4%
State Street Bank & Trust Co.
0.03% p , dated 12/30/2011, to be repurchased at $15,687 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $16,001.	$	15,687		15,687
Total Repurchase Agreement (cost $15,687)
Total Investment Securities (cost $488,425)				491,669
Other Assets and Liabilities - Net				(33,441	)
Net Assets			$	458,228

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $35,154.

* Floating or variable rate note. Rate is listed as of 12/30/2011.

Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a fair value of $3,480, or 0.76% of the portfolio’s net assets.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $488,433. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $5,091 and $1,855, respectively. Net unrealized appreciation for tax purposes is $3,236.

DEFINITION (all amounts in thousands):

144A 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2011, these securities aggregated $46,400, or 10.13%, of the portfolio’s net assets.

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Asset-Backed Securities	$	—	$	129,644	$	—	$	129,644
Corporate Debt Securities		—		172,922		—		172,922
Foreign Government Obligations		—		8,919		—		8,919
Mortgage-Backed Securities		—		83,963		—		83,963
Repurchase Agreement		—		15,687		—		15,687
Securities Lending Collateral		35,892		—		—		35,892
U.S. Government Agency Obligations		—		22,030		—		22,030
U.S. Government Obligations		—		22,612		—		22,612
Total	$	35,892	$	455,777	$	—	$	491,669

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Principal (000’s)		Value (000’s)
U.S. GOVERNMENT OBLIGATIONS - 94.4%
U.S. Treasury Bond
3.75%, 08/15/2041 ^g	$	2,128	$	2,502
4.38%, 05/15/2040		830		1,078
U.S. Treasury Inflation Indexed Bond
0.13%, 04/15/2016 a		25,359		26,437
0.63%, 07/15/2021		19,143		20,478
1.13%, 01/15/2021		2,955		3,296
1.75%, 01/15/2028		11,527		13,863
2.00%, 01/15/2026		3,645		4,481
2.13%, 02/15/2040 - 02/15/2041		30,405		40,934
2.38%, 01/15/2025 - 01/15/2027		24,051		30,702
2.50%, 01/15/2029		5,917		7,894
3.38%, 04/15/2032		729		1,123
3.63%, 04/15/2028		9,814		14,592
3.88%, 04/15/2029		12,844		20,014
U.S. Treasury Inflation Indexed Note
0.50%, 04/15/2015		21,785		22,794
0.63%, 04/15/2013		252		256
1.25%, 04/15/2014 a		10,796		11,313
1.38%, 07/15/2018 ^		1,197		1,355
1.38%, 01/15/2020 g		10,631		12,104
1.63%, 01/15/2015 - 01/15/2018		4,885		5,508
1.88%, 07/15/2013 - 07/15/2015		21,321		22,714
1.88%, 07/15/2019 g		6,999		8,247
2.00%, 04/15/2012 - 01/15/2016		36,529		37,761
2.13%, 01/15/2019		5,110		6,074
2.38%, 01/15/2017		7,023		8,153
2.50%, 07/15/2016		9,966		11,527
2.63%, 07/15/2017		606		722
3.00%, 07/15/2012		1,366		1,396
U.S. Treasury Note
1.00%, 10/31/2016 ^		1,375		1,388
Total U.S. Government Obligations (cost $317,858)				338,706
FOREIGN GOVERNMENT OBLIGATIONS - 0.3%
Hellenic Republic Government Bond
2.30%, 07/25/2030		EUR1,158		271
Italy Buoni Poliennali Del Tesoro
2.10%, 09/15/2021		844		808
Total Foreign Government Obligations (cost $2,008)				1,079
MORTGAGE-BACKED SECURITY - 0.1%
GMAC Commercial Mortgage Securities, Inc.
Series 2004-C3, Class A4
4.55%, 12/10/2041	$	183		184
Total Mortgage-Backed Security (cost $175)
STRUCTURED NOTES DEBT - 0.5%
Commercial Banks - 0.1%
International Bank for Reconstruction & Development CPI
2.09%, 12/10/2013 *		315		322
Consumer Finance - 0.2%
SLM Corp. CPI
4.23%, 01/31/2014 *		900		851
Diversified Financial Services - 0.2%
Bear Stearns Cos., LLC CPI
5.37%, 03/10/2014 *		649		657
Total Structured Notes Debt (cost $1,788)				1,830

	Notional Amount (000’s)		Value (000’s)
PURCHASED OPTIONS - 0.0% ¥
Call Options - 0.0% ¥
Euro	EUR	2,600	$	¨
Call Strike $1.42
Expires 01/13/2012
Euro		2,600		10
Call Strike $1.38
Expires 02/23/2012
Euro		2,670		33
Call Strike $1.42
Expires 06/11/2012
USD vs. JPY	$	7,040		¨
Call Strike $81.00
Expires 01/13/2012
Total Purchased Options (cost $117)				43
PURCHASED SWAPTIONS - 0.3% p
Call Options - 0.3%
If exercised the Series receives 4.39%, and pays floating 3 month LIBOR, European Style		5,000		1,021
Expires 05/08/2012
Put Options - 0.0% ¥
If exercised the Series receives floating 3 month LIBOR, and pays 3.9%, European Style		3,600		62
Expires 09/19/2013
If exercised the Series receives floating 3 month LIBOR, and pays 4.39%, European Style		5,000		1
Expires 05/08/2012
Total Purchased Swaptions (cost $677)				1,084
	Shares		Value (000’s)
SECURITIES LENDING COLLATERAL - 0.8%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		2,716,190		2,716
Total Securities Lending Collateral (cost $2,716)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 4.3%
State Street Bank & Trust Co.
0.03% p , dated 12/30/2011, to be repurchased at $15,358 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.50%, due 11/15/2040, and with a value of $15,666.	$	15,358		15,358
Total Repurchase Agreement (cost $15,358)
Total Investment Securities (cost $340,697)				361,000
Other Assets and Liabilities - Net				(2,456	)
Net Assets			$	358,544

	Notional Amount (000’s)			Value (000’s)
WRITTEN OPTIONS - 0.0% ¥
Call Options - 0.0% ¥
10-Year U.S. Treasury Note Future	$	(47	)	$	(19	)
Call Strike $132.00
Expires 01/27/2012
Euro	EUR	(2,600	)		(23	)
Call Strike $1.35
Expires 02/23/2012
Euro		(2,670	)		(55	)
Call Strike $1.38
Expires 06/11/2012
Euro		(2,670	)		(33	)
Call Strike $1.42
Expires 06/11/2012
Euro		(2,600	)		(10	)
Call Strike $1.38
Expires 02/23/2012
Euro		(2,600	)		¨
Call Strike $1.42
Expires 01/13/2012
Total Written Options (premiums: $(320))					(140	)

WRITTEN SWAPTIONS: p

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate			Expiration Date		Notional Amount (000’s)			Premiums (Received) (000’s)			Value (000’s)
Call - Interest Rate Swap, European Style	CITI	3-month USD LIBOR	Receive		2.15	%		09/09/2013	$	(3,600	)	$	(81	)	$	(111	)
Call - Interest Rate Swap, European Style	UBS	3-month USD LIBOR	Receive		3.90			03/19/2012		(6,000	)		(229	)		(1,006	)
Call - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Receive		4.01			02/02/2012		(5,200	)		(202	)		(944	)
Call - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Receive		4.78			02/25/2014		(4,000	)		(233	)		(819	)
Put - Interest Rate Swap, European Style	CITI	3-month USD LIBOR	Pay		2.00			12/13/2012		(11,300	)		(111	)		(92	)
Put - Interest Rate Swap, European Style	UBS	3-month USD LIBOR	Pay		3.90			03/19/2012		(6,000	)		(229	)		(¨	)
Put - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Pay		4.01			02/02/2012		(5,200	)		(202	)		¨
Put - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Pay		4.78			02/25/2014		(4,000	)		(233	)		(58	)
												$	(1,520	)	$	(3,030	)

SWAP AGREEMENTS: p

INTEREST RATE SWAP AGREEMENTS - FIXED RATE PAYABLE:

Floating Rate Index	Fixed Rate			Maturity Date		Counterparty		Currency Code		Notional Amount (000’s)		Market Value (000’s)			Premiums Paid (000’s)		Net Unrealized Appreciation (Depreciation) (000’s)
3-Month USD-LIBOR		0.57	%		09/23/2016		DUB		USD	$	400	$	¨		$	¨	$	¨
3-Month USD-LIBOR		0.44			08/08/2021		CITI		USD		6,600		430			¨		430
3-Month USD-LIBOR		0.54			09/13/2021		DUB		USD		4,000		67			¨		67
6-Month EURIBOR		1.00			12/13/2013		DUB		EUR		22,100		(36	)		¨		(36	)
U.S. CPI Urban Consumers NAS		1.00			10/25/2020		MYC		USD		2,495		36			¨		36
U.S. CPI Urban Consumers NAS		1.00			06/23/2021		DUB		USD		4,345		201			¨		201
												$	698		$	¨	$	698

INTEREST RATE SWAP AGREEMENTS - FIXED RATE RECEIVABLE:

Floating Rate Index	Fixed Rate			Maturity Date		Counterparty	Currency Code	Notional Amount (000’s)		Market Value (000’s)			Premiums Paid (Received) (000’s)			Net Unrealized Appreciation (Depreciation) (000’s)
3-Month USD-LIBOR		4.13	%		12/20/2021	DUB	USD	$	3,600	$	(704	)	$	(148	)	$	(556	)
U.S. CPI Urban Consumers NAS		1.84			10/25/2015	MYC	USD		4,730		55			¨			55
										$	(649	)	$	(148	)	$	(501	)

FUTURES CONTRACTS: g

Description	Type		Contracts			Expiration Date	Net  Unrealized Appreciation (Depreciation) (000’s)
10-Year U.S. Treasury Note		Long		202		03/21/2012	$	219
2-Year U.S. Treasury Note		Short		(87	)	03/30/2012		(9	)
30-Year U.S. Treasury Bond		Short		(181	)	03/21/2012		(345	)
3-Month Canadian Bankers’ Acceptance		Short		(152	)	03/19/2012		52
5-Year U.S. Treasury Note		Long		314		03/30/2012		127
German Euro Bund		Short		(33	)	03/08/2012		(165	)
German Euro Schatz		Short		(200	)	03/08/2012		(68	)
Ultra Long U.S. Treasury Bond		Short		(86	)	03/21/2012		(168	)
							$	(357	)

FORWARD FOREIGN CURRENCY CONTRACTS:

Currency	Counterparty	Contracts Bought (Sold) (000’s)			Settlement Date	Amount in U.S. Dollars Bought (Sold) (000’s)			Net Unrealized Appreciation (Depreciation) (000’s)
Euro	DUB		(174	)	01/25/2012	$	(234	)	$	9
Euro	CITI		(57	)	01/25/2012		(77	)		3
Euro	CITI		(1,320	)	01/25/2012		(1,815	)		107
Euro	DUB		500		01/25/2012		670			(23	)
Japanese Yen	RBS		(423,053	)	03/05/2012		(5,471	)		(33	)
									$	63

Collateral (Received) Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of 12/31/2011:

Counterparty	Total Market Value of  OTC Derivatives (000’s)			Collateral (Received)/Pledged (000’s)			Net Exposures  (1) (000’s)
CITI	$	337		$	(1,224	)	$	(787	)
DUB		(2,159	)		2,082			(77	)
MYC		91			—			91
RBS		(33	)		—			(33	)
UBS		(1,006	)		672			(334	)

⁽¹⁾  Net exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default.

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $2,662.

g A portion of these securities in the amount of $1,342 has been segregated as collateral with the broker to cover margin requirements for open futures contracts.

a A portion of these securities in the amount of $2,755 has been segregated as collateral with the broker for open swaps contracts and/or for swaptions.

* Floating or variable rate note. Rate is listed as of 12/30/2011.

Securities fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. These securities had a total fair value of $(78), or (0.02)% of the portfolio’s net assets.

¥ Percentage rounds to less than 0.1%.

¿ Amount is less than 1.

p Securities with an aggregate market value of $1,224 have been pledged by the broker as collateral for open swap contracts and/or swaptions.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $341,558. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $20,951 and $1,509, respectively. Net unrealized appreciation for tax purposes is $19,442.

DEFINITIONS:
CITI	Citigroup, Inc.
CPI	Consumer Price Index
DUB	Deutsche Bank AG
EURIBOR	Euro InterBank Offered Rate
LIBOR	London Interbank Offered Rate
MYC	Morgan Stanley Capital Services
NAS	National Academy of Sciences
OTC	Over The Counter
RBS	Royal Bank of Scotland Group PLC
CURRENCY ABBREVIATIONS:
EUR	Euro
JPY	Japanese Yen
USD	United States Dollar

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Foreign Government Obligations	$	—		$	1,079		$	—	$	1,079
Mortgage-Backed Securities		—			184			—		184
Purchased Options		—			43			—		43
Purchased Swaptions		—			1,084			—		1,084
Repurchase Agreement		—			15,358			—		15,358
Securities Lending Collateral		2,716			—			—		2,716
Structured Notes Debt		—			1,830			—		1,830
U.S. Government Obligations		—			338,706			—		338,706
Total	$	2,716		$	358,284		$	—	$	361,000
Other Financial Instruments	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Written Options	$	—		$	(140	)	$	—	$	(140	)
Written Swaptions		—			(3,030	)		—		(3,030	)
Total	$	—		$	(3,170	)	$	—	$	(3,170	)
Other Financial Instruments	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Futures Contracts - Appreciation	$	398		$	—		$	—	$	398
Futures Contracts - Depreciation		(755	)		—			—		(755	)
Forward Foreign Currency Contracts - Appreciation		—			119			—		119
Forward Foreign Currency Contracts - Depreciation		—			(56	)		—		(56	)
Interest Rate Swaps - Appreciation		—			789			—		789
Interest Rate Swaps - Depreciation		—			(592	)		—		(592	)
Total	$	(357	)	$	260		$	—	$	(97	)

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

Other financial instruments are derivative instruments that are valued at unrealized appreciation (depreciation) on the instrument.

	Principal (000’s)		Value (000’s)
U.S. GOVERNMENT OBLIGATIONS - 7.6%
U.S. Treasury Bond
4.38%, 05/15/2041	$	300	$	391
U.S. Treasury Inflation Indexed Bond
2.13%, 02/15/2041		11,488		15,517
U.S. Treasury Note
0.25%, 12/15/2014 ^		7,140		7,117
0.88%, 11/30/2016 ^ g		6,465		6,485
2.00%, 11/15/2021 ^ a		25,084		25,369
3.13%, 11/15/2041 ^ a g		62,605		65,588
Total U.S. Government Obligations (cost $118,591)				120,467
U.S. GOVERNMENT AGENCY OBLIGATIONS - 49.9%
Fannie Mae
1.95%, 08/01/2034 *		27		28
2.05%, 01/01/2035 *		57		59
2.49%, 08/01/2035 *		153		161
3.09%, 03/01/2041 *		1,539		1,607
3.15%, 03/01/2041 *		2,068		2,151
3.32%, 12/01/2040 *		3,526		3,676
3.50%, 10/01/2026 - 12/01/2041		103,464		106,696
3.52%, 10/09/2019 p		5,460		4,198
4.00%, 09/01/2024 - 12/01/2041		144,742		153,102
4.50%, 01/01/2041 - 06/01/2041		60,720		65,007
4.63%, 05/01/2013		10,200		10,745
5.00%, 07/01/2034 - 07/01/2035		26,244		28,382
5.25%, 08/01/2012		5,040		5,179
5.50%, 07/01/2014 - 01/01/2039		63,464		69,283
5.79%, 08/01/2037 *		15		16
6.00%, 02/01/2034 - 03/01/2038		23,023		25,662
6.50%, 09/01/2037 - 10/01/2039		17,078		19,118
7.00%, 01/01/2015 - 09/01/2016		110		119
Fannie Mae, TBA
3.50%		2,700		2,823
4.50%		80,900		86,120
5.00%		2,100		2,269
6.00%		35,100		38,566
Farmer Mac Guaranteed Notes Trust 2007-1
5.13%, 04/19/2017 - 144A		900		1,050
Freddie Mac
2.50%, 12/01/2034		37		38
3.05%, 02/01/2041 *		2,526		2,639
3.97%, 01/25/2021 *		3,740		4,112
4.76%, 09/01/2035 *		4,203		4,443
5.43%, 04/01/2037 *		337		356
5.50%, 06/15/2015 - 12/01/2016		2,895		3,093
5.54%, 05/01/2037 *		181		193
5.56%, 01/01/2038 *		976		1,044
5.63%, 06/13/2016		9,195		10,422
5.66%, 02/01/2037 *		69		72
5.86%, 05/01/2037 *		179		191
5.96%, 09/01/2037 *		212		229
6.00%, 09/01/2013 - 05/01/2031		1,687		1,874
Freddie Mac, TBA
4.50%		1,400		1,483
5.00%		20,400		21,920
5.50%		100		109
Ginnie Mae
6.50%, 12/20/2031		45		51
Ginnie Mae, TBA
4.00%		13,800		14,803

	Principal (000’s)		Value (000’s)
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Ginnie Mae, TBA (continued)
4.50%	$	25,500	$	27,783
5.00%		27,500		30,461
5.50%		12,500		14,029
6.00%		11,700		13,243
Resolution Funding Corp., Interest STRIPS
1.66%, 07/15/2018 p		1,200		1,079
1.82%, 10/15/2018 p		1,200		1,070
Tennessee Valley Authority
5.25%, 09/15/2039		7,500		9,574
5.98%, 04/01/2036		440		607
U.S. Small Business Administration
4.50%, 02/01/2014		355		366
Total U.S. Government Agency Obligations (cost $776,837)				791,301
FOREIGN GOVERNMENT OBLIGATIONS - 3.6%
Hellenic Republic Government Bond
4.60%, 09/20/2040	EUR	780		173
Hydro Quebec
8.05%, 07/07/2024	$	8,200		12,193
8.40%, 01/15/2022		3,065		4,482
9.40%, 02/01/2021		1,695		2,582
Indonesia Government International Bond
4.88%, 05/05/2021 - 144A		405		433
4.88%, 05/05/2021 - Reg S		1,022		1,094
Italy Buoni Poliennali Del Tesoro
4.75%, 09/15/2016	EUR	12,590		15,443
Poland Government International Bond
5.13%, 04/21/2021	$	3,505		3,566
Republic of Brazil
7.13%, 01/20/2037		670		925
Republic of Peru
6.55%, 03/14/2037		380		483
Republic of Poland
6.38%, 07/15/2019		490		543
Republic of South Africa
5.50%, 03/09/2020		1,185		1,327
Republic of Turkey
5.63%, 03/30/2021		2,765		2,796
7.00%, 03/11/2019		1,010		1,119
Russian Federation
7.50%, 03/31/2030		3,578		4,155
United Mexican States
5.13%, 01/15/2020 ^		3,605		4,119
5.63%, 01/15/2017		1,693		1,947
Total Foreign Government Obligations (cost $57,260)				57,380
MORTGAGE-BACKED SECURITIES - 11.4%
Adjustable Rate Mortgage Trust
Series 2004-2, Class 7A2
1.13%, 02/25/2035 *		30		26
American Home Mortgage Assets LLC
Series 2006-2, Class 2A1
0.48%, 09/25/2046 *		1,180		555
Banc of America Funding Corp.
Series 2005-E, Class 4A1
2.68%, 03/20/2035 *		430		379
Banc of America Large Loan, Inc.
Series 2010-UB4, Class A4A
5.03%, 12/20/2041 - 144A *		3,510		3,679

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
Banc of America Merrill Lynch Commercial Mortgage, Inc.
Series 2002-2, Class A3
5.12%, 07/11/2043	$	6,454	$	6,490
Series 2006-5, Class AM
5.45%, 09/10/2047		525		494
Series 2007-3, Class A2
5.62%, 06/10/2049 *		2,308		2,331
Series 2007-3, Class A4
5.62%, 06/10/2049 *		4,240		4,547
Bear Stearns Adjustable Rate Mortgage Trust
Series 2004-8, Class 14A1
5.39%, 11/25/2034 *		2,212		1,923
Series 2005-1, Class 4A1
5.23%, 03/25/2035 *		2,486		2,181
Bear Stearns Alt-A Trust
Series 2004-11, Class 2A2
2.81%, 11/25/2034 *		136		93
Bear Stearns Commercial Mortgage Securities
Series 2005-PW10, Class AM
5.45%, 12/11/2040 *		610		578
Series 2007-PW17, Class A4
5.69%, 06/11/2050 *		750		826
Bear Stearns Mortgage Funding Trust
Series 2006-AR5, Class 1A2
0.50%, 12/25/2046 *		1,199		234
Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2006-CD3, Class A5
5.62%, 10/15/2048		1,170		1,282
Countrywide Alternative Loan Trust
Series 2005-36, Class 2A1A
0.60%, 08/25/2035 *		1,989		795
Series 2005-36, Class 3A1
2.73%, 08/25/2035 *		214		134
Series 2005-38, Class A3
0.64%, 09/25/2035 *		521		247
Series 2005-50CB, Class 1A1
5.50%, 11/25/2035		4,515		3,352
Series 2005-51, Class 3A3A
0.60%, 11/20/2035 *		1,729		776
Series 2005-59, Class 1A1
0.59%, 11/20/2035 *		262		132
Series 2006-OA21, Class A1
0.47%, 03/20/2047 *		4,778		2,114
Series 2007-5CB, Class 1A31
5.50%, 04/25/2037		3,307		1,874
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2003-60, Class 1A1
3.11%, 02/25/2034 *		241		196
Series 2004-23, Class A
2.55%, 11/25/2034 *		126		63
Series 2004-R2, Class 1AF1
0.71%, 11/25/2034 - 144A *		67		55
Series 2005-3, Class 1A2
0.58%, 04/25/2035 *		367		201
Series 2006-OA5, Class 2A1
0.49%, 04/25/2036 *		2,002		1,002

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-C3, Class A5
3.94%, 05/15/2038	$	14,005	$	14,314
Series 2004-AR5, Class 7A2
2.57%, 06/25/2034 *		517		469
Credit Suisse Mortgage Capital Certificates
Series 2007-C2, Class A2
5.45%, 01/15/2049 *		2,045		2,065
Series 2011-4R, Class 5A1
5.28%, 05/27/2036 - 144A *		4,048		3,788
DBRR Trust
Series 2011-C32, Class A3A
5.74%, 06/17/2049 - 144A *		1,500		1,615
Deutsche ALT-A Securities, Inc., Alternate Loan Trust
Series 2006-OA1, Class A1
0.49%, 02/25/2047 *		3,007		1,661
Deutsche Mortgage Securities, Inc.
Series 2005-WF1, Class 1A3
5.25%, 06/26/2035 - 144A *		1,270		1,178
Extended Stay America Trust
Series 2010-ESHA, Class A
2.95%, 11/05/2027 - 144A		2,229		2,234
Series 2010-ESHA, Class B
4.22%, 11/05/2027 - 144A		5,000		5,019
Series 2010-ESHA, Class C
4.86%, 11/05/2027 - 144A		2,450		2,480
Series 2010-ESHA, Class D
5.50%, 11/05/2027 - 144A		945		948
First Horizon Alternative Mortgage Securities
Series 2006-FA8, Class 1A8
0.66%, 02/25/2037 *		491		252
GMAC Commercial Mortgage Securities, Inc.
Series 2006-C1, Class AM
5.29%, 11/10/2045 *		920		917
GMAC Mortgage Corp., Loan Trust
Series 2003-AR2, Class 1A1
3.54%, 12/19/2033 *		42		38
Series 2005-AR1, Class 3A
3.06%, 03/18/2035 *		138		111
Greenpoint Mortgage Funding Trust
Series 2006-AR4, Class A1A
0.35%, 09/25/2046 *		¿		¿
Greenwich Capital Commercial Funding Corp.
Series 2005-GG3, Class A3
4.57%, 08/10/2042		11,200		11,324
Series 2006-GG7, Class AJ
5.88%, 07/10/2038 *		1,270		889
Series 2007-GG9, Class A4
5.44%, 03/10/2039		1,245		1,348
GS Mortgage Securities Corp. II
Series 2005-GG4, Class A4A
4.75%, 07/10/2039		3,175		3,389
Series 2007-GG10, Class A4
5.79%, 08/10/2045 *		3,430		3,725
GSR Mortgage Loan Trust
Series 2005-AR1, Class 2A1
2.76%, 01/25/2035 *		2,837		2,523
Harborview Mortgage Loan Trust
Series 2005-8, Class 1A2A
0.61%, 09/19/2035 *		512		282
Series 2006-11, Class A1A
0.45%, 12/19/2036 *		6,091		2,915

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
Impac CMB Trust
Series 2004-6, Class 1A1
1.09%, 10/25/2034 *	$	73	$	52
IndyMac INDA Mortgage Loan Trust
Series 2006-AR2, Class 4A1
5.43%, 09/25/2036 *		2,420		1,666
Series 2007-AR7, Class 1A1
5.73%, 09/25/2037 *		730		523
IndyMac Index Mortgage Loan Trust
Series 2005-AR14, Class 2A1A
0.59%, 07/25/2035 *		1,700		952
Series 2007-AR15, Class 2A1
5.00%, 08/25/2037 *		1,318		762
JPMorgan Chase Commercial Mortgage Securities Corp.
Series 2004-CB8, Class A1A
4.16%, 01/12/2039 - 144A		1,445		1,488
Series 2004-LN2, Class A2
5.12%, 07/15/2041		3,470		3,669
Series 2006-CB14, Class AM
5.45%, 12/12/2044 *		1,420		1,404
Series 2007-CB18, Class A3
5.45%, 06/12/2047		3,936		4,134
Series 2007-LD11, Class ASB
6.00%, 06/15/2049 *		2,000		2,126
JPMorgan Mortgage Trust
Series 2004-A1, Class 1A1
4.76%, 02/25/2034 *		352		340
Series 2004-A3, Class 1A1
2.54%, 07/25/2034 *		105		102
Series 2006-A2, Class 5A1
2.65%, 11/25/2033 *		224		212
Series 2006-S2, Class 2A2
5.88%, 07/25/2036		631		591
Series 2006-S3, Class 1A12
6.50%, 08/25/2036		1,626		1,471
Series 2007-S1, Class 1A2
5.50%, 03/25/2022		483		445
Series 2007-S1, Class 2A22
5.75%, 03/25/2037		1,782		1,398
LB-UBS Commercial Mortgage Trust
Series 2003-C7, Class A3
4.56%, 09/15/2027 *		7,395		7,435
Series 2006-C4, Class AM
5.89%, 06/15/2038 *		660		672
Series 2006-C7, Class AM
5.38%, 11/15/2038		660		638
Series 2007-C2, Class A3
5.43%, 02/15/2040		9,658		10,302
Series 2007-C6, Class A4
5.86%, 07/15/2040 *		2,355		2,580
Series 2007-C7, Class A3
5.87%, 09/15/2045 *		3,190		3,499
MASTR Adjustable Rate Mortgages Trust
Series 2007-R5, Class A1
2.57%, 11/25/2035 - 144A *		891		459
Merrill Lynch Mortgage Investors, Inc.
Series 2004-A1, Class 2A1
2.42%, 02/25/2034 *		450		404
Series 2004-A3, Class 4A3
5.01%, 05/25/2034 *		331		324
Series 2005-A3, Class A1
0.56%, 04/25/2035 *		94		67

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
Merrill Lynch Mortgage Investors, Inc. (continued)
Series 2005-A4, Class 2A2
2.63%, 07/25/2035 *	$	429	$	327
Series 2005-A5, Class A3
2.61%, 06/25/2035 *		400		285
MLCC Mortgage Investors, Inc.
Series 2003-F, Class A1
0.93%, 10/25/2028 *		100		82
Morgan Stanley Capital I
Series 1998-WF2, Class G
6.34%, 01/15/2013 - 144A *		2,410		2,527
Series 2007-IQ15, Class A2
5.84%, 06/11/2049 *		2,200		2,227
Morgan Stanley Mortgage Loan Trust
Series 2004-8AR, Class 4A2
2.51%, 10/25/2034 *		368		326
Series 2006-3AR, Class 2A3
2.70%, 03/25/2036 *		835		415
Morgan Stanley Re-REMIC Trust
Series 2011-IO, Class A
2.50%, 03/23/2051 - 144A		1,960		1,957
Nomura Asset Acceptance Corp.
Series 2004-R2, Class A1
6.50%, 10/25/2034 - 144A *		157		158
Prime Mortgage Trust
Series 2006-DR1, Class 2A1
5.50%, 05/25/2035 - 144A		4,552		3,920
Series 2006-DR1, Class 2A2
6.00%, 05/25/2035 - 144A		817		721
RBSCF Trust
Series 2010-RR3, Class WBTA
5.90%, 04/16/2017 - 144A *		8,050		8,876
RBSGC Mortgage Pass-Through Certificates
Series 2007-B, Class 1A4
0.74%, 01/25/2037 *		852		422
Residential Accredit Loans, Inc.
Series 2007-QO1, Class A1
0.44%, 02/25/2047 *		847		446
Series 2007-QO4, Class A1A
0.48%, 05/25/2047 *		1,640		881
Residential Asset Securitization Trust
Series 2005-A14, Class A4
5.50%, 12/25/2035		348		342
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-20, Class 3A1
2.53%, 01/25/2035 *		666		488
Series 2005-15, Class 1A1
2.50%, 07/25/2035 *		949		593
Series 2007-3, Class 3A1
5.22%, 04/25/2047 *		3,260		1,957
Structured Asset Mortgage Investments, Inc.
Series 2003-AR4, Class A1
0.63%, 01/19/2034 *		99		74
Voyager BRSTN Delaware Trust, IO
Series 2009-1, Class UAU7
0.54%, 12/26/2036 - 144A *		778		318
WaMu Alternative Mortgage Pass-Through Certificates
Series 2006-AR3, Class A1A
1.18%, 05/25/2046 *		2,199		1,022
WaMu Mortgage Pass-Through Certificates
Series 2005-AR8, Class 2A1A
0.58%, 07/25/2045 *		107		78

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
WaMu Mortgage Pass-Through Certificates (continued)
Series 2006-AR14, Class 1A3
2.30%, 11/25/2036 *	$	1,900	$	1,209
Series 2007-OA4, Class 1A
0.98%, 05/25/2047 *		2,228		1,272
Series 2007-OA6, Class 1A1B
1.02%, 07/25/2047 *		2,206		663
Wells Fargo Mortgage Backed Securities Trust
Series 2006-3, Class A9
5.50%, 03/25/2036		1,865		1,825
Total Mortgage-Backed Securities (cost $196,144)				181,169
ASSET-BACKED SECURITIES - 4.8%
321 Henderson Receivables I LLC
Series 2010-1A, Class A
5.56%, 07/15/2059 - 144A		5,683		6,145
Series 2010-2A, Class A
4.07%, 01/15/2048 - 144A		1,795		1,855
Series 2010-3A, Class A
3.82%, 12/15/2048 - 144A		3,658		3,603
AmeriCredit Automobile Receivables Trust
Series 2011-5, Class C
3.44%, 10/08/2017		1,650		1,653
Amortizing Residential Collateral Trust
Series 2002-BC5, Class M1
1.33%, 07/25/2032 *		347		265
Chase Funding Mortgage Loan Asset-Backed Certificates
Series 2003-4, Class 1A5
5.42%, 05/25/2033 *		1,072		1,030
Citibank Omni Master Trust
Series 2009-A8, Class A8
2.38%, 05/16/2016 - 144A *		11,940		12,014
Series 2009-A17, Class A17
4.90%, 11/15/2018 - 144A		1,875		2,039
Conseco Finance Securitizations Corp.
Series 2002-1, Class A
6.68%, 12/01/2033 *		1,039		1,098
Series 2002-2, Class A2
6.03%, 03/01/2033 *		1,361		1,419
Countrywide Home Equity Loan Trust
Series 2006-RES, Class 4Q1B
0.58%, 12/15/2033 - 144A *		318		188
DT Auto Owner Trust
Series 2011-3A, Class C
4.03%, 02/15/2017 - 144A		1,010		1,010
Globaldrive BV
Series 2008-2, Class A
4.00%, 10/20/2016		1,165		1,517
Merrill Lynch Mortgage Investors, Inc.
Series 2007-SD1, Class A1
0.74%, 02/25/2047 *		1,348		587
Mirant Mid Atlantic Pass-Through Trust
Series C
10.06%, 12/30/2028		312		323
Nelnet Student Loan Trust
Series 2006-1, Class A5
0.61%, 08/23/2027 *		2,230		2,062
RAAC Series
Series 2007-RP4, Class A
0.64%, 06/25/2037 - 144A *		1,372		654

	Principal (000’s)		Value (000’s)
ASSET-BACKED SECURITIES (continued)
Renaissance Home Equity Loan Trust
Series 2007-2, Class AF6
5.88%, 06/25/2037 *	$	1,492	$	675
Santander Consumer Acquired Receivables Trust
Series 2011-S1A, Class B
1.66%, 08/15/2016 - 144A		2,488		2,460
Series 2011-S1A, Class C
2.01%, 08/15/2016 - 144A		1,970		1,947
Series 2011-WO, Class C
3.19%, 10/15/2015 - 144A		2,490		2,477
Santander Drive Auto Receivables Trust
Series 2010-2, Class B
2.24%, 12/15/2014		3,840		3,830
Series 2010-2, Class C
3.89%, 07/17/2017		4,520		4,594
Series 2010-B, Class B
2.10%, 09/15/2014 - 144A		3,100		3,094
Series 2010-B, Class C
3.02%, 10/17/2016 - 144A		3,285		3,252
Series 2011-S1A, Class B
1.48%, 07/15/2013 - 144A		1,900		1,880
Series 2011-S1A, Class D
3.10%, 03/15/2013 - 144A		1,758		1,742
Scholar Funding Trust
Series 2011-A, Class A
1.32%, 10/28/2043 - 144A *		2,372		2,305
Securitized Asset Backed Receivables LLC
Series 2007-BR3, Class A2B
0.51%, 04/25/2037 *		2,700		901
SLC Student Loan Trust
Series 2008-1, Class A4A
2.15%, 12/15/2032 *		400		410
SLM Student Loan Trust
Series 2004-B, Class A2
0.75%, 06/15/2021 *		893		855
Series 2008-5, Class A3
1.72%, 01/25/2018 *		2,070		2,102
Series 2008-5, Class A4
2.12%, 07/25/2023 *		2,445		2,509
Structured Asset Securities Corp.
Series 2003-AL2, Class A
3.36%, 01/25/2031 - 144A		2,783		2,544
Series 2007-TC1, Class A
0.59%, 04/25/2031 - 144A *		1,670		1,184
U.S. Small Business Administration
Series 2002-P10B, Class 1
5.20%, 08/10/2012		340		348
Total Asset-Backed Securities (cost $80,778)				76,571
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.3%
New York City Municipal Water Finance Authority
5.38%, 06/15/2043		1,670		1,852
5.50%, 06/15/2043		2,000		2,244
Total Municipal Government Obligations (cost $3,617)				4,096
PREFERRED CORPORATE DEBT SECURITIES - 0.3%
Capital Markets - 0.1%
Credit Suisse
5.86%, 05/15/2017 * Ž		3,045		2,474
Lehman Brothers Holdings Capital Trust VII
5.86%, 05/31/2012 Ž ‡ §		1,945		¿

	Principal (000’s)		Value (000’s)
Capital Markets (continued)
State Street Capital Trust IV
1.55%, 06/15/2037 *	$	290	$	191
Commercial Banks - 0.1%
ABN Amro North American Holding Preferred Capital Repackage Trust I
6.52%, 11/08/2012 - 144A * Ž^		2,720		1,853
Diversified Financial Services - 0.1%
JPMorgan Chase Capital XXV - Series Y
6.80%, 10/01/2037		875		878
Total Preferred Corporate Debt Securities (cost $8,731)				5,396
CORPORATE DEBT SECURITIES - 31.4%
Auto Components - 0.1%
BorgWarner, Inc.
4.63%, 09/15/2020		1,185		1,259
Capital Markets - 1.3%
BP Capital Markets PLC
3.13%, 10/01/2015		1,370		1,435
Credit Suisse
5.40%, 01/14/2020		1,060		1,000
Goldman Sachs Group, Inc.
5.25%, 07/27/2021		2,230		2,175
Morgan Stanley
2.95%, 05/14/2013 *		9,540		9,162
4.00%, 07/24/2015		1,840		1,725
4.20%, 11/20/2014		1,740		1,678
5.50%, 07/28/2021		4,200		3,883
Chemicals - 0.7%
CF Industries Holdings, Inc.
7.13%, 05/01/2020		4,340		5,131
Dow Chemical Co.
4.13%, 11/15/2021		1,460		1,498
Lyondell Chemical Co.
11.00%, 05/01/2018		2,442		2,668
Lyondellbasell Industries NV
6.00%, 11/15/2021 - 144A^		2,035		2,111
Westlake Chemical Corp.
6.63%, 01/15/2016		44		45
Commercial Banks - 3.4%
ABN Amro Bank NV
6.38%, 04/27/2021	EUR	380		448
Bank of Scotland PLC
5.25%, 02/21/2017 - 144A	$	100		105
Barclays Bank PLC
5.93%, 12/31/2049 - 144A * Ž ^		630		523
Capital One Capital VI
8.88%, 05/15/2040 ^		2,190		2,273
CIT Group, Inc.
6.63%, 04/01/2018 - 144A ^		761		788
7.00%, 05/01/2017 ^		1,860		1,860
Commerzbank AG
6.38%, 03/22/2019	EUR	1,000		918
Credit Suisse Group Finance US, Inc.
3.63%, 09/14/2020 *		505		558
Discover Bank
7.00%, 04/15/2020 ^	$	330		345
8.70%, 11/18/2019		400		456
DNB Boligkreditt AS
2.10%, 10/14/2015 - 144A		11,965		11,868
2.90%, 03/29/2016 - 144A		10,975		11,157
Eksportfinans ASA
5.50%, 05/25/2016 ^		2,375		2,190

	Principal (000’s)		Value (000’s)
Commercial Banks (continued)
Fifth Third Capital Trust IV
6.50%, 04/15/2037 *	$	2,125	$	2,083
Glitnir Banki Hf
6.33%, 07/28/2011 - 144A  ‡		290		75
6.69%, 06/15/2016 - 144A     ‡		800		¿
HSBC Bank Brasil SA - Banco Multiplo
4.00%, 05/11/2016 - 144A		5,850		5,806
HSBC Bank PLC
3.10%, 05/24/2016 - 144A		2,900		2,900
HSBC Holdings PLC
6.10%, 01/14/2042 ^		1,275		1,445
KFW
1.38%, 07/15/2013		3,000		3,027
Landsbanki Islands HF
6.10%, 08/25/2011 - 144A  ‡		320		11
Sparebank 1 Boligkreditt AS
1.25%, 10/25/2013 - 144A		6,990		6,940
Construction Materials - 0.0% ¥
Lafarge SA
7.13%, 07/15/2036 ^		700		618
Consumer Finance - 0.9%
Capital One Financial Corp.
3.15%, 07/15/2016 ^		7,810		7,843
4.75%, 07/15/2021		3,160		3,252
SLM Corp.
6.25%, 01/25/2016		2,845		2,767
Diversified Consumer Services - 0.0% ¥
Service Corp., International
7.50%, 04/01/2027		55		53
7.63%, 10/01/2018		50		55
Diversified Financial Services - 3.5%
AngloGold Ashanti Holdings PLC
5.38%, 04/15/2020		1,355		1,346
CDP Financial, Inc.
3.00%, 11/25/2014 - 144A		4,505		4,685
Citigroup, Inc.
4.59%, 12/15/2015 ^		9,890		9,953
5.00%, 09/15/2014		1,210		1,198
Ford Motor Credit Co., LLC
6.63%, 08/15/2017		1,740		1,894
General Electric Capital Corp.
0.70%, 04/10/2012 *		4,255		4,256
General Electric Capital Corp. - Series A
6.88%, 01/10/2039		2,130		2,552
JPMorgan Chase & Co.
3.15%, 07/05/2016		4,256		4,276
4.63%, 05/10/2021 ^		5,110		5,287
JPMorgan Chase Bank NA
6.00%, 07/05/2017 - 10/01/2017		8,320		8,929
Kaupthing Bank Hf
7.13%, 05/19/2016 - 144A ‡		200		¿
Northern Rock Asset Management PLC
5.63%, 06/22/2017 - 144A		1,335		1,404
Reynolds Group Issuer, Inc.
6.88%, 02/15/2021 - 144A		2,320		2,308
7.88%, 08/15/2019 - 144A ^		2,760		2,884
Russian Agricultural Bank OJSC Via RSHB Capital SA
6.30%, 05/15/2017 - 144A		170		170
Swiss Re Capital I LP
6.85%, 05/25/2016 - 144A * Ž		2,285		1,942
WEA Finance LLC
4.63%, 05/10/2021 - 144A		1,280		1,256

	Principal (000’s)		Value (000’s)
Diversified Financial Services (continued)
Woodside Finance, Ltd.
4.60%, 05/10/2021 - 144A^	$	855	$	873
Diversified Telecommunication Services - 1.4%
America Movil SAB de CV
2.38%, 09/08/2016		3,420		3,410
Frontier Communications Corp.
7.13%, 03/15/2019		75		73
GTE Corp.
6.84%, 04/15/2018		763		914
Intelsat Jackson Holdings SA
7.25%, 04/01/2019 - 144A		1,412		1,433
Level 3 Financing, Inc.
8.13%, 07/01/2019 - 144A^		2,053		2,022
8.75%, 02/15/2017		377		384
Sprint Capital Corp.
6.88%, 11/15/2028		822		587
8.75%, 03/15/2032		80		65
Telefonica Emisiones SAU
4.95%, 01/15/2015		4,850		4,825
6.42%, 06/20/2016		75		78
Verizon Communications, Inc.
3.50%, 11/01/2021		2,080		2,166
6.10%, 04/15/2018 ^		2,223		2,671
6.40%, 02/15/2038		1,004		1,274
8.95%, 03/01/2039		210		336
Virgin Media Secured Finance PLC
6.50%, 01/15/2018		2,160		2,295
Electric Utilities - 1.4%
Alabama Power Co.
3.95%, 06/01/2021		1,905		2,090
Cleveland Electric Illuminating Co.
5.95%, 12/15/2036 ^		468		499
8.88%, 11/15/2018		459		616
Duke Energy Carolinas LLC
4.25%, 12/15/2041		1,560		1,632
Energy Future Intermediate Holding Co., LLC
10.00%, 12/01/2020		6,135		6,473
Florida Power Corp.
6.40%, 06/15/2038		1,000		1,356
Georgia Power Co.
3.00%, 04/15/2016 ^		3,370		3,573
Jersey Central Power & Light Co.
7.35%, 02/01/2019 ^		1,025		1,287
Midamerican Energy Holdings Co.
5.95%, 05/15/2037		2,560		3,025
Trans-Allegheny Interstate Line Co.
4.00%, 01/15/2015 - 144A ^		1,050		1,094
Energy Equipment & Services - 0.8%
Cie Generale de Geophysique-Veritas
7.75%, 05/15/2017 ^		105		106
Complete Production Services, Inc.
8.00%, 12/15/2016		195		203
El Paso Pipeline Partners Operating Co., LLC
6.50%, 04/01/2020		2,440		2,690
Ensco PLC
3.25%, 03/15/2016		700		714
4.70%, 03/15/2021 ^		1,459		1,519
Enterprise Products Operating LLC
6.13%, 10/15/2039 ^		2,030		2,267
Gulfmark Offshore, Inc.
7.75%, 07/15/2014		40		40

	Principal (000’s)		Value (000’s)
Energy Equipment & Services (continued)
Pride International, Inc.
6.88%, 08/15/2020	$	995	$	1,167
Rockies Express Pipeline LLC
3.90%, 04/15/2015 - 144A		3,949		3,903
Food Products - 0.4%
Kraft Foods, Inc.
5.38%, 02/10/2020		3,300		3,808
6.50%, 08/11/2017		1,120		1,332
Sara Lee Corp.
4.10%, 09/15/2020 ^		1,239		1,250
Health Care Equipment & Supplies - 0.4%
Boston Scientific Corp.
6.25%, 11/15/2015		5,230		5,798
Health Care Providers & Services - 0.9%
Fresenius Medical Care U.S. Finance, Inc.
6.88%, 07/15/2017		280		298
HCA, Inc.
6.50%, 02/15/2020		3,408		3,536
7.25%, 09/15/2020		4,395		4,636
Tenet Healthcare Corp.
6.25%, 11/01/2018 - 144A		2,010		2,045
8.88%, 07/01/2019		2,855		3,205
UnitedHealth Group, Inc.
3.38%, 11/15/2021		665		688
Hotels, Restaurants & Leisure - 0.4%
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/2018 ^		1,685		1,154
Inn of the Mountain Gods Resort & Casino
1.25%, 11/30/2020 - 144A		40		21
MGM Resorts International
10.38%, 05/15/2014		1,710		1,954
11.13%, 11/15/2017 ^		2,240		2,554
Independent Power Producers & Energy Traders - 0.1%
AES Corp.
7.75%, 03/01/2014 ^		67		72
Constellation Energy Group, Inc.
7.60%, 04/01/2032		675		870
Insurance - 2.8%
Allianz Finance II BV
5.75%, 07/08/2041 *	EUR	1,000		1,101
American International Group, Inc.
5.45%, 05/18/2017	$	1,555		1,486
8.18%, 05/15/2058 *		480		427
AXA SA
5.25%, 04/16/2040 *	EUR	1,000		944
Fairfax Financial Holdings, Ltd.
5.80%, 05/15/2021 - 144A	$	3,430		3,269
Hartford Financial Services Group, Inc.
6.00%, 01/15/2019		1,470		1,509
ING Verzekeringen NV
3.27%, 06/21/2021 *	EUR	380		414
Lincoln National Corp.
7.00%, 06/15/2040	$	1,450		1,639
Manulife Financial Corp.
3.40%, 09/17/2015		3,480		3,499
MetLife Capital Trust IV
7.88%, 12/15/2037 - 144A		555		576
Metropolitan Life Global Funding I
2.50%, 01/11/2013 - 144A		17,330		17,541
2.88%, 09/17/2012 - 144A ^		1,525		1,545

	Principal (000’s)		Value (000’s)
Insurance (continued)
Muenchener Rueckversicherungs AG
6.00%, 05/26/2041 *	EUR	200	$	240
Prudential Financial, Inc.
4.50%, 11/15/2020 ^	$	1,000		1,006
4.75%, 09/17/2015		3,595		3,796
5.38%, 06/21/2020 ^		1,500		1,605
7.38%, 06/15/2019		1,630		1,927
XL Group PLC
6.50%, 04/15/2017 * Ž ^		1,620		1,268
Life Sciences Tools & Services - 0.0% ¥
Life Technologies Corp.
5.00%, 01/15/2021		461		482
Machinery - 0.1%
Joy Global, Inc.
5.13%, 10/15/2021		900		961
Media - 2.5%
CBS Corp.
4.63%, 05/15/2018		670		697
5.75%, 04/15/2020 ^		1,060		1,192
8.88%, 05/15/2019		1,460		1,875
CCH II LLC
13.50%, 11/30/2016		5,880		6,792
Clear Channel Worldwide Holdings, Inc. -Series B
9.25%, 12/15/2017 ^		950		1,026
Comcast Corp.
5.88%, 02/15/2018		2,709		3,132
6.95%, 08/15/2037		2,935		3,734
COX Communications, Inc.
8.38%, 03/01/2039 - 144A		3,525		4,720
CSC Holdings LLC
8.50%, 04/15/2014		1,166		1,290
DIRECTV Holdings LLC
3.13%, 02/15/2016		1,046		1,060
DISH DBS Corp.
7.00%, 10/01/2013		115		123
Lamar Media Corp. - Series B
6.63%, 08/15/2015 ^		20		20
NBCUniversal Media LLC
4.38%, 04/01/2021		575		607
5.15%, 04/30/2020		5,746		6,397
News America, Inc.
6.65%, 11/15/2037		40		45
7.63%, 11/30/2028		1,070		1,292
Time Warner Cable, Inc.
5.50%, 09/01/2041		2,070		2,181
5.88%, 11/15/2040		2,045		2,213
Time Warner, Inc.
4.70%, 01/15/2021		950		1,023
6.10%, 07/15/2040		630		739
Metals & Mining - 1.1%
Barrick Gold Corp.
2.90%, 05/30/2016		8,979		9,217
Barrick North America Finance LLC
4.40%, 05/30/2021		65		70
Cliffs Natural Resources, Inc.
4.88%, 04/01/2021		2,495		2,486
Newcrest Finance Pty, Ltd.
4.45%, 11/15/2021 - 144A		2,135		2,106
Novelis, Inc.
8.75%, 12/15/2020 ^		2,735		2,933
Old AII, Inc.
9.00%, 12/15/2014 ‡		560		¿

	Principal (000’s)		Value (000’s)
Metals & Mining (continued)
Steel Dynamics, Inc.
6.75%, 04/01/2015	$	105	$	107
7.38%, 11/01/2012 ^		55		57
Multiline Retail - 0.8%
Dollar General Corp.
11.88%, 07/15/2017		3,630		4,012
Macy’s Retail Holdings, Inc.
5.90%, 12/01/2016		3,455		3,861
7.45%, 07/15/2017		2,484		2,900
QVC, Inc.
7.50%, 10/01/2019 - 144A		1,730		1,855
Multi-Utilities - 0.2%
Dominion Resources, Inc.
1.95%, 08/15/2016		2,650		2,663
Oil, Gas & Consumable Fuels - 5.2%
Anadarko Petroleum Corp.
5.95%, 09/15/2016		5,445		6,172
6.38%, 09/15/2017		3,763		4,362
Arch Coal, Inc.
7.25%, 10/01/2020 ^		4,130		4,223
Chesapeake Energy Corp.
6.63%, 08/15/2020		2,346		2,516
Consol Energy, Inc.
8.00%, 04/01/2017		2,610		2,858
8.25%, 04/01/2020 ^		365		403
El Paso Corp.
6.50%, 09/15/2020		1,605		1,735
7.80%, 08/01/2031		19		22
Enterprise Products Operating LLC
6.30%, 09/15/2017		4,150		4,860
KeySpan Gas East Corp.
5.82%, 04/01/2041 - 144A		2,100		2,562
Kinder Morgan Energy Partners, LP
5.95%, 02/15/2018		2,150		2,456
6.38%, 03/01/2041		660		744
6.55%, 09/15/2040		470		526
Kinder Morgan Finance Co., ULC
5.70%, 01/05/2016		2,125		2,173
Marathon Petroleum Corp.
6.50%, 03/01/2041		3,154		3,574
MEG Energy Corp.
6.50%, 03/15/2021 - 144A		4,030		4,121
Nexen, Inc.
6.40%, 05/15/2037		1,670		1,769
7.50%, 07/30/2039		2,660		3,189
OGX Petroleo e Gas Participacoes SA
8.50%, 06/01/2018 - 144A		635		622
Peabody Energy Corp.
6.25%, 11/15/2021 - 144A		4,790		4,958
Pemex Project Funding Master Trust
6.63%, 06/15/2035		1,060		1,202
Petrobras International Finance Co.
3.88%, 01/27/2016		5,825		6,001
5.75%, 01/20/2020		7,340		7,856
5.88%, 03/01/2018 ^		1,010		1,105
6.13%, 10/06/2016		371		411
Plains Exploration & Production Co.
10.00%, 03/01/2016		455		504
Range Resources Corp.
5.75%, 06/01/2021		450		487
7.25%, 05/01/2018		3,480		3,724
Rockies Express Pipeline LLC
6.85%, 07/15/2018 - 144A		856		884

	Principal (000’s)		Value (000’s)
Oil, Gas & Consumable Fuels (continued)
SemGroup, LP (Escrow Shares)
8.75%, 11/15/2049 - 144A	$	125		$            ¿
Transocean, Inc.
6.38%, 12/15/2021		1,000		1,063
6.50%, 11/15/2020		1,500		1,549
Western Gas Partners, LP
5.38%, 06/01/2021		3,010		3,191
Williams Partners, LP
4.13%, 11/15/2020		1,750		1,796
Paper & Forest Products - 0.3%
International Paper Co.
4.75%, 02/15/2022 ^		1,750		1,859
6.00%, 11/15/2041 ^		1,280		1,390
Inversiones CMPC SA
4.75%, 01/19/2018 - 144A		985		1,028
Pharmaceuticals - 0.3%
Teva Pharmaceutical Finance Co., BV
3.65%, 11/10/2021		850		865
Teva Pharmaceutical Finance II BV
3.00%, 06/15/2015		2,330		2,426
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/2021		2,050		2,085
Real Estate Investment Trusts - 0.6%
ERP Operating, LP
4.63%, 12/15/2021		2,100		2,141
Hospitality Properties Trust
5.63%, 03/15/2017 ^		1,507		1,526
Mack-Cali Realty, LP
7.75%, 08/15/2019		1,300		1,549
Ventas Realty, LP
4.75%, 06/01/2021		1,155		1,115
Vornado Realty, LP
5.00%, 01/15/2022		3,495		3,525
Real Estate Management & Development - 0.1%
Forest City Enterprises, Inc.
6.50%, 02/01/2017		30		28
7.63%, 06/01/2015		35		34
Realogy Corp.
7.88%, 02/15/2019 - 144A ^		2,020		1,758
Road & Rail - 0.4%
Burlington Northern Santa Fe LLC
5.75%, 05/01/2040		4,680		5,599
Software - 0.3%
First Data Corp.
7.38%, 06/15/2019 - 144A ^		2,565		2,411
8.25%, 01/15/2021 - 144A ^		175		157
Oracle Corp.
5.38%, 07/15/2040		1,690		2,059
Wireless Telecommunication Services - 1.0%
Cricket Communications, Inc.
7.75%, 05/15/2016		2,093		2,161
Crown Castle Towers LLC
6.11%, 01/15/2020 - 144A		7,340		8,098
MetroPCS Wireless, Inc.
7.88%, 09/01/2018 ^		117		119
SBA Tower Trust
5.10%, 04/15/2017 - 144A		1,570		1,635
Sprint Nextel Corp.
9.00%, 11/15/2018 - 144A		3,740		3,927
Total Corporate Debt Securities (cost $488,649)				498,128

	Principal (000’s)		Value (000’s)
CONVERTIBLE BOND - 0.1%
Machinery - 0.1%
Navistar International Corp.
3.00%, 10/15/2014	$	1,020	$	1,099
Total Convertible Bond (cost $1,207)
	Shares		Value (000’s)
PREFERRED STOCKS - 0.1%
Consumer Finance - 0.0% ¥
Ally Financial, Inc., 7.00% - 144A		341		244
Diversified Financial Services - 0.1%
Citigroup Capital XIII, 7.88% *		63,052		1,643
U.S. Government Agency Obligation - 0.0% ¥
Fannie Mae, 0.00% *		1,300		3
Fannie Mae, 0.00% *		81,175		112
Freddie Mac, 8.38% *		93,300		124
Total Preferred Stocks (cost $3,819)				2,126
COMMON STOCK - 0.0% ¥
Oil, Gas & Consumable Fuels - 0.0% ¥
SemGroup Corp. - Class A ‡ ^		323		8
Total Common Stock (cost $8)
WARRANT - 0.0% ¥
Oil, Gas & Consumable Fuels - 0.0% ¥
SemGroup Corp. ‡
Expiration: 11/30/2014
Exercise Price: $25.00		340		2
Total Warrant (cost $¿)
	Notional Amount (000’s)		Value (000’s)
PURCHASED OPTIONS - 0.0% ¥
Call Options - 0.0% ¥
10-Year U.S. Treasury Note Future	$	357		61
Call Strike $133.00
Expires 01/27/2012
10-Year U.S. Treasury Note Future		142		58
Call Strike $132.00
Expires 01/27/2012
Euro	EUR	32,875		8
Call Strike $1.45
Expires 02/17/2012
Put Options - 0.0% ¥
10-Year U.S. Treasury Note Future	$	191		18
Put Strike $128.00
Expires 01/27/2012
10-Year U.S. Treasury Note Future		366		17
Put Strike $127.00
Expires 01/27/2012
Eurodollar Future		1,070		3
Put Strike $99.00
Expires 01/13/2012

	Notional Amount (000’s)		Value (000’s)
Put Options (continued)
Eurodollar, Mid-Curve 1-Year Future	$	2,358	$	94
Put Strike $99.00
Expires 03/16/2012
Total Purchased Options (cost $1,134)				259
PURCHASED SWAPTIONS - 0.1%
Call Options - 0.1%
If exercised the Series receives 1.76%, and pays floating 3 month LIBOR, European Style		40,800		827
Expires 01/26/2012
If exercised the Series receives 5%, and pays 5-Year CDX, European Style		17,505		326
Expires 01/18/2012
Put Options - 0.0% ¥
If exercised the Series receives floating 3 month LIBOR, and pays 1.76%, European Style		40,800		t
Expires 01/26/2012
If exercised the Series receives floating 3 month LIBOR, and pays 2.95%, European Style		5,400		226
Expires 06/14/2012
If exercised the Series receives floating 3 month LIBOR, and pays 2.5%, European Style		18,400		t
Expires 01/26/2012
If exercised the Series receives floating 3 month LIBOR, and pays 2.7%, European Style		37,300		4
Expires 01/27/2012
If exercised the Series receives floating 3 month LIBOR, and pays 2.85%, European Style		20,300		t
Expires 01/13/2012
If exercised the Series receives floating 3 month LIBOR, and pays 3.5%, European Style	EUR	16,400		662
Expires 11/08/2012
Total Purchased Swaptions (cost $2,446)				2,045

	Shares		Value (000’s)
SECURITIES LENDING COLLATERAL - 3.8%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		60,688,179	$	60,688
Total Securities Lending Collateral (cost $60,688)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 7.3%
State Street Bank & Trust Co. 0.03% p, dated 12/30/2011, to be repurchased at $116,416 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 3.0% - 3.5%, due 11/15/2040 -11/25/2040, and with a total value of $118,744.	$	116,415		116,415
Total Repurchase Agreement (cost $116,415)
Total Investment Securities (cost $1,916,324)				1,917,150
Other Assets and Liabilities - Net				(328,559	)
Net Assets			$	1,588,591

	Principal (000’s)			Value (000’s)
SECURITIES SOLD SHORT - (15.5%)
U.S. Government Agency Obligations - (15.5%)
Fannie Mae, TBA
3.50%	$	(80,600	)	$	(82,892	)
4.00%		(104,400	)		(109,392	)
5.50%		(49,300	)		(53,583	)
Total Securities Sold Short (proceeds $(244,044))				$	(245,867	)

WRITTEN SWAPTIONS:

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate			Expiration Date	Notional Amount (000’s)			Premiums (Received) (000’s)			Value (000’s)
Call - Interest Rate Swap, European Style	GSC	3-month USD LIBOR	Receive		2.08	%	02/07/2012	$	(39,100	)	$	(339	)	$	(1,038	)
Call - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Receive		2.56		12/19/2013		(8,600	)		(443	)		(439	)
Call - Interest Rate Swap, European Style	CITI	3-month USD LIBOR	Receive		2.58		12/16/2013		(8,000	)		(412	)		(420	)
Call - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Receive		2.59		12/16/2013		(2,000	)		(103	)		(106	)
Call - Interest Rate Swap, European Style	UBS	3-month USD LIBOR	Receive		4.02		02/02/2012		(15,100	)		(586	)		(2,756	)
Put - Interest Rate Swap, European Style	GSC	3-month USD LIBOR	Pay		2.08		02/07/2012		(39,100	)		(339	)		t
Put - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Pay		2.56		12/19/2013		(8,600	)		(443	)		(443	)
Put - Interest Rate Swap, European Style	CITI	3-month USD LIBOR	Pay		2.58		12/16/2013		(8,000	)		(412	)		(403	)
Put - Interest Rate Swap, European Style	DUB	3-month USD LIBOR	Pay		2.59		12/16/2013		(2,000	)		(103	)		(100	)
Put - Interest Rate Swap, European Style	UBS	3-month USD LIBOR	Pay		4.02		02/02/2012		(15,100	)		(586	)		t
											$	(3,766	)	$	(5,705	)

CREDIT DEFAULT WRITTEN SWAPTION ON CREDIT INDICES: p

Description	Counterparty	Buy/Sell Protection	Exercise Rate			Expiration Date		Notional Amount (000’s)			Premiums (Received) (000’s)			Value (000’s)
Put - OTC CDX.NA.HY.17.V1, European Style	MSC	Sell		5.00	%		01/18/2012	$	(13,129	)	$	(164	)	$	(2	)

OTC SWAP AGREEMENTS: p

CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - BUY PROTECTION:⁽¹⁾

Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread (BP) at 12/31/2011(2)		Notional Amount (000’s)(3)		Market Value (000’s)		Premiums Paid (000’s)		Unrealized Appreciation (Depreciation) (000’s)
Spain, 1.00%		1.00	03/20/2016	MSC		3.73	$	8,000	$	808	$	475	$	333
Spain, 1.00%		1.00	03/20/2016	DUB		3.73		8,000		808		473		335
									$	1,616	$	948	$	668

CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION:⁽⁴⁾

Reference Obligation	Fixed Deal Receive Rate			Maturity Date		Counterparty	Implied Credit Spread (BP) at 12/31/2011(2)		Notional Amount (000’s)(3)		Market Value (000’s)			Premiums (Received) (000’s)			Unrealized Appreciation (Depreciation) (000’s)
Assured Guaranty Corp.		5.00	%		12/20/2014	CITI		11.15	$	15	$	(2	)	$	(2	)	$	t
Assured Guaranty Corp.		5.00			12/20/2014	CITI		11.15		640		(94	)		(100	)		6
Assured Guaranty Corp.		5.00			03/20/2015	CITI		11.27		65		(10	)		(12	)		2
Assured Guaranty Corp.		5.00			12/20/2016	CITI		11.57		941		(196	)		(226	)		30
Aviva USA Corp.		1.00			05/25/2012	DUB		1.08		4,800		(17	)		(12	)		(5	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			12/20/2016	CITI		3.22		7,625		(741	)		(554	)		(187	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			12/20/2016	CITI		3.22		1,175		(114	)		(92	)		(22	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			09/20/2016	DUB		3.19		1,560		(143	)		(124	)		(19	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			09/20/2016	MSC		3.19		1,960		(179	)		(152	)		(27	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			09/20/2016	BOA		3.19		470		(43	)		(37	)		(6	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			09/20/2016	GSC		3.19		1,200		(110	)		(93	)		(17	)
MetLife, Inc., 5.00%, 06/15/2015		1.00			09/20/2016	MSC		3.19		1,180		(108	)		(82	)		(26	)
											$	(1,757	)	$	(1,486	)	$	(271	)

OTC SWAP AGREEMENTS: (continued) p

CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION:⁽¹⁾

Reference Obligation	Fixed Deal Pay Rate			Maturity Date	Counterparty	Implied Credit Spread (BP) at 12/31/2011(2)		Notional Amount (000’s)(3)		Market Value (000’s)(5)			Premiums Paid (Received) (000’s)			Unrealized Appreciation (Depreciation) (000’s)
Dow Jones North America Investment Grade Index - Series 5, 1.00%		1.00	%	12/20/2016	MSC		1.20	$	16,340	$	151		$	185		$	(34	)
Dow Jones North America Investment Grade Index - Series 5, 1.00%		1.00		12/20/2016	CITI		1.20		21,170		195			305			(110	)
Emerging Markets Index - Series 14, 5.00%		5.00		12/20/2015	MSC		2.86		4,380		(318	)		(438	)		120
North America Investment Grade Index - Series 16, 1.00%		1.00		06/20/2016	MSC		1.18		6,752		52			106			(54	)
North America Investment Grade Index - Series 17, 1.00%		1.00		12/20/2016	MSC		1.20		10,675		99			192			(93	)
										$	179		$	350		$	(171	)
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION:(4)
Reference Obligation	Fixed Deal Receive Rate			Maturity Date	Counterparty	Currency Code		Notional Amount (000’s)(3)		Market Value (000’s)(5)			Premiums (Received) (000’s)			Unrealized Appreciation (000’s)
CMBX.NA.3.AAA		0.08	%	12/13/2049	MSC		USD	$	2,215	$	(208	)	$	(256	)	$	48
CMBX.NA.4.AAA		0.35		02/17/2051	MSC		USD		2,215		(223	)		(265	)		42
North America High Yield Index - Series 17, 1.00%		5.00		12/20/2016	CITI		USD		14,700		(1,013	)		(1,399	)		386
North America High Yield Index - Series 17, 2.00%		5.00		12/20/2016	DUB		USD		3,185		(219	)		(240	)		21
										$	(1,663	)	$	(2,160	)	$	497
INTEREST RATE SWAP AGREEMENTS - FIXED RATE PAYABLE:
Floating Rate Index	Fixed Rate			Maturity Date	Counterparty	Currency Code		Notional Amount (000’s)		Market Value (000’s)			Premiums Paid (000’s)			Net Unrealized Appreciation (Depreciation) (000’s)
3-Month USD-LIBOR		0.73	%	12/22/2013	BOA		USD		41,300	$	14		$	t		$	14
3-Month USD-LIBOR		0.73		12/22/2013	CITI		USD		9,400		4			t			4
3-Month USD-LIBOR		0.74		12/22/2013	DUB		USD		19,600		7			t			7
3-Month USD-LIBOR		0.74		12/22/2013	DUB		USD		38,300		19			t			19
3-Month USD-LIBOR		4.01		05/18/2021	GSC		USD		10,800		1,927			392			1,535
3-Month USD-LIBOR		2.57		08/08/2021	DUB		USD		1,200		64			t			64
3-Month USD-LIBOR		2.35		08/12/2021	DUB		USD		8,800		295			t			295
3-Month USD-LIBOR		2.15		09/08/2021	DUB		USD		2,300		40			t			40
3-Month USD-LIBOR		2.18		10/06/2021	BOA		USD		7,810		(35	)		t			(35	)
3-Month USD-LIBOR		2.03		12/21/2021	DUB		USD		7,100		17			t			17
3-Month USD-LIBOR		2.09		01/03/2022	DUB		USD		400		3			t			3
3-Month USD-LIBOR		2.08		01/03/2022	DUB		USD		400		3			t			3
6-Month EURIBOR		1.24		12/13/2013	CITI		EUR		169,030		(304	)		t			(304	)
										$	2,054		$	392		$	1,662
INTEREST RATE SWAP AGREEMENTS - FIXED RATE RECEIVABLE:
Floating Rate Index	Fixed Rate			Maturity Date	Counterparty	Currency Code		Notional Amount (000’s)		Market Value (000’s)			Premiums (Received) (000’s)			Net Unrealized (Depreciation) (000’s)
3-Month USD-LIBOR		3.27	%	05/16/2021	DUB		USD		3,650	$	(416	)	$	t		$	(416	)
3-Month USD-LIBOR		2.26		12/05/2021	CITI		USD		15,000		(346	)		t			(346	)
3-Month USD-LIBOR		2.18		12/29/2021	DUB		USD		8,200		(134	)		t			(134	)
3-Month USD-LIBOR		3.00		01/03/2022	UBS		USD		10,300		(938	)		(102	)		(836	)
6-Month EURIBOR		2.58		11/11/2041	DUB		EUR		1,450		(2	)		t			(2	)
6-Month EURIBOR		2.68		11/18/2041	DUB		EUR		3,125		(88	)		t			(88	)
										$	(1,924	)	$	(102	)	$	(1,822	)

FUTURES CONTRACTS:

Description	Type	Contracts			Expiration Date	Net Unrealized Appreciation (Depreciation) (000’s)
10-Year U.S. Treasury Note	Short		(260	)	03/21/2012	$	(47	)
2-Year U.S. Treasury Note	Short		(348	)	03/30/2012		11
30-Year U.S. Treasury Bond	Long		247		03/21/2012		584
3-Month EURIBOR	Long		459		03/19/2012		143
3-Month EURIBOR	Long		62		03/17/2014		64
3-Month EURIBOR	Long		62		06/16/2014		70
3-Month EURIBOR	Long		62		09/15/2014		75
3-Month EURIBOR	Long		62		12/15/2014		77
5-Year U.S. Treasury Note	Long		665		03/30/2012		63
90-Day Eurodollar	Long		672		12/15/2014		388
90-Day Eurodollar	Long		672		03/16/2015		472
German Euro BOBL	Short		(4	)	03/08/2012		(11	)
German Euro Bund	Long		154		01/27/2012		(141	)
German Euro Bund	Short		(4	)	03/08/2012		(22	)
German Euro Schatz	Short		(1,317	)	03/08/2012		(488	)
U.K. Long Gilt Bond	Short		(1	)	03/28/2012		(5	)
Ultra Long U.S. Treasury Bond	Short		(188	)	03/21/2012		(451	)
						$	782

FORWARD FOREIGN CURRENCY CONTRACTS:

Currency	Counterparty	Contracts Bought (Sold) (000’s)			Settlement Date	Amount in U.S. Dollars Bought (Sold) (000’s)			Net Unrealized Appreciation (Depreciation) (000’s)
Euro	CITI		730		01/25/2012	$	953		$	(8	)
Euro	RBS		6,000		01/25/2012		8,000			(234	)
Euro	RBS		(12,741	)	01/25/2012		(17,345	)		853
Euro	CITI		(10,547	)	01/25/2012		(14,383	)		731
Euro	CITI		(3,192	)	01/25/2012		(4,389	)		257
Euro	DUB		4,715		01/25/2012		6,350			(247	)
									$	1,352

Collateral (Received) Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of 12/31/2011:

Counterparty	Total Market Value of OTC Derivatives (000’s)			Collateral (Received)/Pledged (000’s)			Net Exposures  (1) (000’s)
BOA	$	(64	)	$	131		$	67
CITI		(2,464	)		2,878			414
CSFB		—			(156	)		(156	)
DUB		(1,098	)		(320	)		(1,418	)
GSC		779			(900	)		(121	)
MSC		72			—			72
RBS		619			—			619
UBS		(3,694	)		7,110			3,416

⁽¹⁾  Net exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default.

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^{^} All or a portion of this security is on loan. The value of all securities on loan is $59,439.

* Floating or variable rate note. Rate is listed as of 12/30/2011.

p Rate shown reflects the yield at 12/30/2011.

¿ Amount rounds to less than 1.

ž The security has a perpetual maturity. The date shown is the next call date.

In default.

Securities fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. These securities aggregated to $8, or less than 0.01% of the portfolio’s net assets.

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands) (continued):

¥ Percentage rounds to less than 0.1%.

Payment in-kind. Securities pay interest or dividends in the form of additional bonds or preferred stock.

‡ Non-income producing security.

§ Illiquid. At 12/31/2011, the fair value of the illiquid investment security aggregated to less than $1, or less than 0.01% of the portfolio’s net assets.

g A portion of these securities in the amount of $3,356 has been segregated as collateral with the broker to cover margin requirements for open futures contracts.

a A portion of these securities in the amount of $6,763 has been segregated as collateral with the broker for open swaps contracts and/or for swaptions.

p Securities with an aggregate market value of $156 and cash in the amount of $1,220 have been pledged by the broker as collateral with the custodian for open swaps contracts and/or for swaptions.

Aggregate cost for federal income tax purposes is $1,916,431. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $41,926 and $41,207, respectively. Net unrealized appreciation for tax purposes is $719.

(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (a) 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 (b) 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 comprising the referenced index.

(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

(3) The maximum potential amount the Fund 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.

(4) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the fund will either (a) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (b) pay 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 comprising the referenced index.

(5) The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period ended. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the references entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

DEFINITIONS (all amounts in thousands):
144A	144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2011, these securities aggregated $227,490, or 14.32%, of the fund’s net assets.
BOA	Bank of America
BP	Basis Point
CITI	Citigroup, Inc.
CSFB	Credit Suisse First Boston
CDX	A series of indices that track North American and emerging market credit derivative indices.
DUB	Deutsche Bank AG
EURIBOR	Euro InterBank Offered Rate
GSC	Goldman Sachs & Co.
IO	Interest Only
LIBOR	London Interbank Offered Rate
MSC	Morgan Stanley
OJSC	Open Joint Stock Company
OTC	Over The Counter
REMIC	Real Estate Mortgage Investment Conduits (consist of a fixed pool of mortgages broken apart and marketed to investors as individual securities)
RBS	Royal Bank of Scotland Group PLC
STRIPS	Separate Trading of Registered Interest and Principal of Securities
TBA	To Be Announced
UBS	UBS Warburg LLC
CURRENCY ABBREVIATIONS:
EUR	Euro
USD	United States Dollar

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Asset-Backed Securities	$	—		$	76,571		$	—	$	76,571
Common Stock		8			—			—		8
Convertible Bonds		—			1,099			—		1,099
Corporate Debt Securities		—			498,128			¿		498,128
Foreign Government Obligations		—			57,380			—		57,380
Mortgage-Backed Securities		—			181,169			—		181,169
Municipal Government Obligations		—			4,096			—		4,096
Preferred Corporate Debt Securities		—			5,396			—		5,396
Preferred Stocks		2,126			—			—		2,126
Purchased Options		251			8			—		259
Purchased Swaptions		—			2,045			—		2,045
Repurchase Agreement		—			116,415			—		116,415
Securities Lending Collateral		60,688			—			—		60,688
U.S. Government Agency Obligations		—			791,301			—		791,301
U.S. Government Obligations		—			120,467			—		120,467
Warrant		2			—			—		2
Total	$	63,075		$	1,854,075		$	¿	$	1,917,150
Securities Sold Short	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
U.S. Government Agency Obligations	$	—		$	(245,867	)	$	—	$	(245,867	)
Other Financial Instruments	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Credit Default Swaptions	$	—		$	(2	)	$	—	$	(2	)
Written Swaptions	$	—		$	(5,705	)	$	—	$	(5,705	)
Total	$	—		$	(5,707	)	$	—	$	5,707
Other Financial Instruments	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Futures Contracts - Appreciation	$	1,947		$	—		$	—	$	1,947
Futures Contracts - Depreciation		(1,165	)		—			—		(1,165	)
Credit Default Swap - Appreciation		—			1,323			—		1,323
Credit Default Swap - Depreciation		—			(600	)		—		(600	)
Forward Contracts - Appreciation		—			1,841			—		1,841
Forward Contracts - Depreciation		—			(489	)		—		(489	)
Interest Rate Swaps - Appreciation		—			2,001			—		2,001
Interest Rate Swaps - Depreciation		—			(2,161	)		—		(2,161	)
Total	$	782		$	1,915		$	—	$	2,697

VALUATION SUMMARY (all amounts in thousands)(continued):

Level 3 Rollforward - Investment Securities

Securities	Beginning Balance at 12/31/2010		Purchases		Sales		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Net Change in Unrealized Appreciation/ (Depreciation) ƒ		Transfers into Level 3		Transfers out of Level 3			Ending Balance at 12/31/2011			Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2011 ƒ
Corporate Debt Securities	$	¿	$	—	$	—	$	—	$	—	$	—	$	—	$	(	¿)	$		¿	$	(2	)
Preferred Corporate Debt Securities		¿		—		—		—		—		—		—		(	¿)		—			—
Total	$	¿	$	—	$	—	$	—	$	—	$	—	$	—	$	(	¿)	$		¿	$	(2	)

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

Other financial instruments are derivative instruments that are valued at unrealized appreciation (depreciation) on the instrument.

ƒ Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at 12/31/2011 may be due to an investment no longer held or categorized as Level 3 at period end.

Transferred out of Level 3 because of availability of observable inputs.

¿ Amount rounds to less than 1.

	Principal (000’s)			Value (000’s)
PREFERRED CORPORATE DEBT SECURITY - 0.0% ¥
Hotels, Restaurants & Leisure - 0.0% ¥
Fontainebleau Resorts
12.50%, 06/30/2012 - 144A  ‡	$	3,827		$	¿
Total Preferred Corporate Debt Security (cost $3,759)
CORPORATE DEBT SECURITIES - 90.7%
Aerospace & Defense - 0.8%
Alliant Techsystems, Inc.
6.88%, 09/15/2020		565			576
TransDigm, Inc.
7.75%, 12/15/2018		4,880			5,246
Air Freight & Logistics - 0.3%
AMGH Merger Sub, Inc.
9.25%, 11/01/2018 - 144A		2,025			2,086
Auto Components - 1.5%
Affinia Group, Inc.
10.75%, 08/15/2016 - 144A		1,062			1,152
Allison Transmission, Inc.
7.13%, 05/15/2019 - 144A		850			833
American Axle & Manufacturing Holdings, Inc.
9.25%, 01/15/2017 - 144A		1,917			2,080
Goodyear Tire & Rubber Co.
10.50%, 05/15/2016		520			573
Meritor, Inc.
8.13%, 09/15/2015		1,075			962
Tomkins LLC / Tomkins, Inc.
9.00%, 10/01/2018		1,630			1,807
Tower Automotive Holdings USA LLC
10.63%, 09/01/2017 - 144A		2,212			2,223
UCI International, Inc.
8.63%, 02/15/2019		905			878
Visteon Corp.
6.75%, 04/15/2019 - 144A		545			544
Automobiles - 1.0%
Chrysler Group LLC			��
8.25%, 06/15/2021 - 144A		2,815			2,562
Ford Motor Co.
7.45%, 07/16/2031		3,995			4,794
Biotechnology - 0.2%
STHI Holding Corp.
8.00%, 03/15/2018 - 144A		1,115			1,146
Capital Markets - 0.5%
E*Trade Financial Corp.
12.50%, 11/30/2017		3,070			3,469
Chemicals - 2.5%
Celanese US Holdings LLC
5.88%, 06/15/2021		765			790
6.63%, 10/15/2018		655			696
CF Industries Holdings, Inc.
6.88%, 05/01/2018		2,180			2,496
7.13%, 05/01/2020		1,625			1,922
Chemtura Corp.
7.88%, 09/01/2018		1,520			1,566
Hexion U.S. Finance Corp.
9.00%, 11/15/2020		775			639
Ineos Group Holdings, Ltd.
8.50%, 02/15/2016 - 144A		1,700			1,352
Kraton Polymers LLC
6.75%, 03/01/2019		550			517
Lyondell Chemical Co.
11.00%, 05/01/2018		819			894

	Principal (000’s)		Value (000’s)
Chemicals (continued)
Lyondellbasell Industries NV
6.00%, 11/15/2021 - 144A	$	835	$	866
Nova Chemicals Corp.
8.38%, 11/01/2016		1,390		1,515
PolyOne Corp.
7.38%, 09/15/2020		440		454
Rain CII Carbon LLC
8.00%, 12/01/2018 - 144A		2,040		2,045
Scotts Miracle-Gro Co.
7.25%, 01/15/2018		460		483
Solutia, Inc.
8.75%, 11/01/2017		1,225		1,338
Vertellus Specialties, Inc.
9.38%, 10/01/2015 - 144A		890		681
Commercial Banks - 1.1%
CIT Group, Inc.
5.25%, 04/01/2014 - 144A		2,080		2,072
7.00%, 05/01/2015 - 05/01/2017		5,885		5,889
Commercial Services & Supplies - 2.7%
ACCO Brands Corp.
10.63%, 03/15/2015		1,490		1,658
Aramark Holdings Corp.
8.63%, 05/01/2016 - 144A		815		839
Casella Waste Systems, Inc.
7.75%, 02/15/2019		810		792
Emergency Medical Services Corp.
8.13%, 06/01/2019		2,910		2,903
Interface, Inc.
7.63%, 12/01/2018		730		772
International Lease Finance Corp.
8.75%, 03/15/2017		2,455		2,529
Jaguar Holding Co II / Jaguar Merger Sub, Inc.
9.50%, 12/01/2019 - 144A		4,070		4,273
Koppers, Inc.
7.88%, 12/01/2019		550		583
RBS Global, Inc.
11.75%, 08/01/2016		870		914
RSC Equipment Rental, Inc./RSC Holdings III LLC
8.25%, 02/01/2021		290		294
Rural/Metro Corp.
10.13%, 07/15/2019 - 144A		925		872
TransUnion LLC
11.38%, 06/15/2018		3,035		3,466
Communications Equipment - 0.3%
Brocade Communications Systems, Inc.
6.63%, 01/15/2018		565		588
6.88%, 01/15/2020		565		601
CommScope, Inc.
8.25%, 01/15/2019 - 144A		1,065		1,065
Computers & Peripherals - 0.4%
Seagate HDD Cayman
7.00%, 11/01/2021 - 144A		2,720		2,788
Construction & Engineering - 0.4%
Huntington Ingalls Industries, Inc.
6.88%, 03/15/2018 - 144A		650		637
7.13%, 03/15/2021 - 144A		2,155		2,112
Construction Materials - 0.3%
Building Materials Corp., of America
6.75%, 05/01/2021 - 144A		2,185		2,294
RathGibson, Inc.
11.25%, 02/15/2014  ‡		2,145		¿

	Principal (000’s)		Value (000’s)
Consumer Finance - 0.9%
Ally Financial, Inc.
6.25%, 12/01/2017	$	3,830	$	3,694
8.00%, 11/01/2031		3,055		2,948
Containers & Packaging - 0.6%
BWAY Holding Co.
10.00%, 06/15/2018		455		485
Sealed Air Corp.
8.38%, 09/15/2021 - 144A		3,360		3,712
Diversified Consumer Services - 3.6%
Education Management LLC
8.75%, 06/01/2014		3,530		3,539
Express LLC
8.75%, 03/01/2018		5,145		5,569
Laureate Education, Inc.
10.00%, 08/15/2015 - 144A		5,805		5,921
11.25%, 08/15/2015 - 144A		8,015		8,216
12.75%, 08/15/2017 - 144A		2,690		2,771
Stewart Enterprises, Inc.
6.50%, 04/15/2019		440		442
Diversified Financial Services - 8.4%
Abengoa Finance SAU
8.88%, 11/01/2017 - 144A		1,255		1,255
Bank of America NA
5.30%, 03/15/2017		1,450		1,308
Buffalo Thunder Development Authority
9.38%, 12/15/2014 - 144A ‡		3,095		990
CCM Merger, Inc.
8.00%, 08/01/2013 - 144A		730		704
Ceva Group PLC
8.38%, 12/01/2017 - 144A		3,450		3,234
11.50%, 04/01/2018 - 144A		1,115		1,006
11.63%, 10/01/2016 - 144A		1,715		1,702
CNH Capital LLC
6.25%, 11/01/2016 - 144A		1,640		1,689
DPL, Inc.
6.50%, 10/15/2016 - 144A		1,620		1,725
7.25%, 10/15/2021 - 144A		3,290		3,553
Ford Motor Credit Co., LLC
5.75%, 02/01/2021		1,945		2,027
5.88%, 08/02/2021		1,585		1,652
8.00%, 12/15/2016		3,595		4,079
8.13%, 01/15/2020		2,175		2,560
12.00%, 05/15/2015		1,150		1,409
General Motors Financial Co., Inc.
6.75%, 06/01/2018 - 144A		1,075		1,097
Ineos Finance PLC
9.00%, 05/15/2015 - 144A		2,000		2,030
International Lease Finance Corp.
5.65%, 06/01/2014		1,775		1,695
5.88%, 05/01/2013		550		542
6.25%, 05/15/2019		1,630		1,506
8.25%, 12/15/2020		2,775		2,803
8.63%, 01/15/2022		3,740		3,783
MCE Finance, Ltd.
10.25%, 05/15/2018		1,725		1,859
Nielsen Finance LLC
11.50%, 05/01/2016		1,138		1,303
11.63%, 02/01/2014		1,189		1,366
Petroplus Finance, Ltd.
7.00%, 05/01/2017 - 144A		1,000		495
9.38%, 09/15/2019 - 144A		1,080		545

	Principal (000’s)		Value (000’s)
Diversified Financial Services (continued)
Pinnacle Foods Finance LLC
9.25%, 04/01/2015	$	745	$	765
Reynolds Group Issuer, Inc.
6.88%, 02/15/2021 - 144A		3,150		3,134
7.13%, 04/15/2019 - 144A		1,885		1,918
8.75%, 10/15/2016 - 144A		1,615		1,700
9.00%, 04/15/2019 - 144A		670		637
9.88%, 08/15/2019 - 144A		1,380		1,339
WMG Acquisition Corp.
9.50%, 06/15/2016 - 144A		490		532
11.50%, 10/01/2018 - 144A		3,050		3,027
Diversified Telecommunication Services - 6.8%
Avaya, Inc.
7.00%, 04/01/2019 - 144A		890		863
9.75%, 11/01/2015		2,685		2,417
10.13%, 11/01/2015		4,687		4,219
CenturyLink, Inc.
6.45%, 06/15/2021		4,320		4,328
EH Holding Corp.
6.50%, 06/15/2019 - 144A		2,725		2,841
GCI, Inc.
6.75%, 06/01/2021		550		536
Intelsat Jackson Holdings SA
9.50%, 06/15/2016		2,631		2,749
11.25%, 06/15/2016		2,580		2,711
Intelsat Luxembourg SA
11.50%, 02/04/2017		2,695		2,601
11.50%, 02/04/2017 - 144A		3,335		3,218
Telesat Canada
11.00%, 11/01/2015		4,500		4,832
12.50%, 11/01/2017		3,065		3,425
UPCB Finance V, Ltd.
7.25%, 11/15/2021 - 144A		4,500		4,556
Virgin Media Finance PLC
8.38%, 10/15/2019		250		274
Wind Acquisition Holdings Finance SA
12.25%, 07/15/2017 - 144A		4,504		3,045
Windstream Corp.
7.50%, 06/01/2022 - 144A		1,495		1,491
7.75%, 10/01/2021		4,675		4,792
8.13%, 09/01/2018		615		659
Electric Utilities - 0.6%
Calpine Construction Finance Co., LP
8.00%, 06/01/2016 - 144A		1,520		1,642
Texas Competitive Electric Holdings Co. LLC
11.50%, 10/01/2020 - 144A		2,900		2,461
Electrical Equipment - 0.1%
Polypore International, Inc.
7.50%, 11/15/2017		555		574
Energy Equipment & Services - 0.8%
Basic Energy Services, Inc.
7.75%, 02/15/2019		545		549
Oil States International, Inc.
6.50%, 06/01/2019		2,685		2,745
Precision Drilling Corp.
6.50%, 12/15/2021 - 144A		1,835		1,872
6.63%, 11/15/2020		835		854
Food & Staples Retailing - 0.1%
Pantry, Inc.
7.75%, 02/15/2014		855		849
Food Products - 1.0%
American Seafoods Group LLC
10.75%, 05/15/2016 - 144A § D		4,515		4,018

	Principal (000’s)		Value (000’s)
Food Products (continued)
ASG Consolidated LLC
15.00%, 05/15/2017 - 144A §	$	1,576	$	1,176
Michael Foods, Inc.
9.75%, 07/15/2018		2,210		2,326
Gas Utilities - 0.2%
AmeriGas Partners, LP
6.25%, 08/20/2019		1,220		1,214
Health Care Equipment & Supplies - 2.4%
Accellent, Inc.
8.38%, 02/01/2017		2,950		2,891
Alere, Inc.
7.88%, 02/01/2016		1,815		1,820
American Renal Holdings Co., Inc.
8.38%, 05/15/2018		435		457
Biomet, Inc.
10.00%, 10/15/2017		200		216
10.38%, 10/15/2017		2,050		2,219
11.63%, 10/15/2017		7,445		8,078
Kinetic Concepts, Inc.
10.50%, 11/01/2018 - 144A		1,645		1,612
Teleflex, Inc.
6.88%, 06/01/2019		435		453
Health Care Providers & Services - 2.0%
GCB U.S. Oncology, Inc. (Escrow Shares) 08/15/2017		1,110		14
HCA Holdings, Inc.
7.75%, 05/15/2021		630		641
HCA, Inc.
6.50%, 02/15/2020		2,380		2,469
7.50%, 02/15/2022		4,085		4,178
9.88%, 02/15/2017		372		406
inVentiv Health, Inc.
10.00%, 08/15/2018 - 144A		765		700
Multiplan, Inc.
9.88%, 09/01/2018 - 144A		2,885		3,000
Res-Care, Inc.
10.75%, 01/15/2019		1,975		2,039
Rotech Healthcare, Inc.
10.50%, 03/15/2018		1,530		1,178
Hotels, Restaurants & Leisure - 6.7%
Caesars Entertainment Operating Co., Inc.
5.38%, 12/15/2013		900		729
5.63%, 06/01/2015		6,260		3,396
10.00%, 12/15/2015 - 12/15/2018		1,910		1,423
11.25%, 06/01/2017		3,240		3,438
12.75%, 04/15/2018		3,545		2,818
Cinemark USA, Inc.
7.38%, 06/15/2021		540		552
Fontainebleau Las Vegas Holdings LLC
10.25%, 06/15/2015 - 144A ‡		5,645		4
Greektown Holdings LLC (Escrow Shares)
10.75%, 12/01/2013 - 144A		1,495		¿
Inn of the Mountain Gods Resort & Casino
1.25%, 11/30/2020 - 144A §		1,302		689
8.75%, 11/30/2020 - 144A §		566		546
Mandalay Resort Group
7.63%, 07/15/2013		690		690
MGM Resorts International
6.75%, 09/01/2012 - 04/01/2013		2,500		2,516
9.00%, 03/15/2020		555		615
10.38%, 05/15/2014		1,175		1,342
11.13%, 11/15/2017		1,215		1,385

	Principal (000’s)		Value (000’s)
Hotels, Restaurants & Leisure (continued)
Mohegan Tribal Gaming Authority
6.88%, 02/15/2015	$	2,340	$	1,041
7.13%, 08/15/2014		2,225		1,051
8.00%, 04/01/2012		2,050		1,374
11.50%, 11/01/2017 - 144A		1,385		1,278
NCL Corp., Ltd.
9.50%, 11/15/2018		660		688
11.75%, 11/15/2016		2,135		2,455
NPC International, Inc. / NPC Operating Co. A, Inc. / NPC Operating Co. B, Inc.
10.50%, 01/15/2020 - 144A		2,725		2,739
Peninsula Gaming LLC
8.38%, 08/15/2015		990		1,049
10.75%, 08/15/2017		2,400		2,514
Royal Caribbean Cruises, Ltd.
6.88%, 12/01/2013		365		385
7.25%, 06/15/2016 - 03/15/2018		970		1,029
Seven Seas Cruises S. DE R.L., LLC
9.13%, 05/15/2019 - 144A		1,820		1,861
Sugarhouse HSP Gaming Prop Mezz, LP
8.63%, 04/15/2016 - 144A		595		610
Tunica-Biloxi Gaming Authority
9.00%, 11/15/2015 - 144A §		2,435		2,344
Vail Resorts, Inc.
6.50%, 05/01/2019		555		566
Waterford Gaming LLC
8.63%, 09/15/2014 - 144A §		2,351		1,355
WMG Acquisition Corp.
9.50%, 06/15/2016		2,865		3,109
Wynn Las Vegas LLC
7.75%, 08/15/2020		3,265		3,625
Household Durables - 0.6%
Libbey Glass, Inc.
10.00%, 02/15/2015		1,566		1,676
Sealy Mattress Co.
10.88%, 04/15/2016 - 144A		2,398		2,619
Household Products - 1.2%
Amscan Holdings, Inc.
8.75%, 05/01/2014		5,060		5,060
Spectrum Brands Holdings, Inc.
9.50%, 06/15/2018 - 144A		870		952
12.00%, 08/28/2019		2,510		2,730
Independent Power Producers & Energy Traders - 2.7%
AES Corp.
7.38%, 07/01/2021 - 144A		1,075		1,158
Calpine Corp.
7.50%, 02/15/2021 - 144A		5,090		5,446
Edison Mission Energy
7.50%, 06/15/2013		2,750		2,668
GenOn Energy, Inc.
7.88%, 06/15/2017		3,235		3,122
9.88%, 10/15/2020		2,920		2,964
NRG Energy, Inc.
7.88%, 05/15/2021 - 144A		1,665		1,623
8.25%, 09/01/2020		2,960		2,975
Industrial Conglomerates - 0.5%
Amsted Industries, Inc.
8.13%, 03/15/2018 - 144A		2,360		2,502
NBTY, Inc.
9.00%, 10/01/2018		1,120		1,232
Insurance - 0.5%
Alliant Holdings I, Inc.
11.00%, 05/01/2015 - 144A		1,325		1,365

	Principal (000’s)		Value (000’s)
Insurance (continued)
Hub International Holdings, Inc.
9.00%, 12/15/2014 - 144A	$	1,340	$	1,343
USI Holdings Corp.
4.33%, 11/15/2014 - 144A *		640		584
Internet & Catalog Retail - 0.2%
Checkout Holding Corp.
Zero Coupon, 11/15/2015 - 144A		2,305		1,222
Internet Software & Services - 0.2%
Equinix, Inc.
7.00%, 07/15/2021		1,100		1,161
IT Services - 1.0%
Fidelity National Information Services, Inc.
7.63%, 07/15/2017 - 144A		1,095		1,180
SunGard Data Systems, Inc.
10.63%, 05/15/2015		5,750		6,124
Life Sciences Tools & Services - 0.4%
Bio-Rad Laboratories, Inc.
8.00%, 09/15/2016		2,125		2,326
Patheon, Inc.
8.63%, 04/15/2017 - 144A		880		700
Machinery - 1.3%
American Railcar Industries, Inc.
7.50%, 03/01/2014		1,000		1,000
Commercial Vehicle Group, Inc.
7.88%, 04/15/2019 - 144A		870		837
Manitowoc Co., Inc.
8.50%, 11/01/2020		970		1,022
9.50%, 02/15/2018		615		655
Meritor, Inc.
10.63%, 03/15/2018		990		931
Navistar International Corp.
8.25%, 11/01/2021		1,980		2,106
Terex Corp.
10.88%, 06/01/2016		2,820		3,116
Marine - 0.2%
CMA CGM SA
8.50%, 04/15/2017 - 144A		2,475		1,095
Media - 5.9%
Adelphia Communications Corp. (Escrow Certificates)
9.25%, 10/01/2049		1,305		4
10.25%, 06/15/2049 - 11/01/2049		1,460		5
AMC Entertainment, Inc.
8.75%, 06/01/2019		535		554
AMC Networks, Inc.
7.75%, 07/15/2021 - 144A		890		968
Bresnan Broadband Holdings LLC
8.00%, 12/15/2018 - 144A		345		359
Cablevision Systems Corp.
7.75%, 04/15/2018		805		853
8.63%, 09/15/2017		1,650		1,827
Catalina Marketing Corp.
10.50%, 10/01/2015 - 144A		2,384		2,378
11.63%, 10/01/2017 - 144A §		2,828		2,771
CCO Holdings LLC / CCO Holdings Capital Corp.
7.00%, 01/15/2019		1,140		1,188
7.25%, 10/30/2017		1,010		1,064
7.38%, 06/01/2020		1,755		1,852
7.88%, 04/30/2018		1,125		1,200
8.13%, 04/30/2020		100		110
Clear Channel Worldwide Holdings, Inc. -Series B
9.25%, 12/15/2017		1,270		1,372

	Principal (000’s)		Value (000’s)
Media (continued)
Crown Media Holdings, Inc.
10.50%, 07/15/2019	$	770	$	810
CSC Holdings LLC
6.75%, 11/15/2021 - 144A		2,210		2,326
Cumulus Media, Inc.
7.75%, 05/01/2019 - 144A		1,090		967
DISH DBS Corp.
6.75%, 06/01/2021		2,630		2,834
LBI Media Holdings, Inc.
11.00%, 10/15/2013		360		320
LBI Media, Inc.
9.25%, 04/15/2019 - 144A		1,490		1,328
MDC Partners, Inc.
11.00%, 11/01/2016		2,240		2,397
MediaCom Broadband LLC
8.50%, 10/15/2015		2,615		2,693
MediaCom LLC
9.13%, 08/15/2019		935		992
NAI Entertainment Holdings LLC
8.25%, 12/15/2017 - 144A		690		730
National CineMedia LLC
7.88%, 07/15/2021		3,010		2,984
Regal Cinemas Corp.
8.63%, 07/15/2019		1,330		1,436
Regal Entertainment Group
9.13%, 08/15/2018		1,340		1,437
Sirius XM Radio, Inc.
8.75%, 04/01/2015 - 144A		1,390		1,522
Sitel LLC
11.50%, 04/01/2018		680		502
XM Satellite Radio, Inc.
13.00%, 08/01/2013 - 144A		2,715		3,081
Metals & Mining - 2.6%
FMG Resources August 2006 Pty, Ltd.
7.00%, 11/01/2015 - 144A		4,955		5,004
8.25%, 11/01/2019 - 144A		4,390		4,467
JMC Steel Group
8.25%, 03/15/2018 - 144A		1,110		1,082
Novelis, Inc.
8.38%, 12/15/2017		1,145		1,217
8.75%, 12/15/2020		2,205		2,365
Quadra FNX Mining, Ltd.
7.75%, 06/15/2019 - 144A		2,985		3,377
SunCoke Energy, Inc.
7.63%, 08/01/2019 - 144A		1,085		1,085
Multiline Retail - 0.1%
Burlington Coat Factory Warehouse Corp.
10.00%, 02/15/2019		795		777
Oil, Gas & Consumable Fuels - 10.9%
Alpha Natural Resources, Inc.
6.00%, 06/01/2019		1,800		1,746
6.25%, 06/01/2021		1,205		1,169
Anadarko Petroleum Corp.
6.38%, 09/15/2017		1,855		2,150
Arch Coal, Inc.
7.00%, 06/15/2019 - 144A		2,160		2,203
7.25%, 10/01/2020		755		772
7.25%, 06/15/2021 - 144A		2,160		2,219
8.75%, 08/01/2016		655		716
Berry Petroleum Co.
10.25%, 06/01/2014		1,695		1,917
Bill Barrett Corp.
7.63%, 10/01/2019		1,405		1,468

	Principal (000’s)		Value (000’s)
Oil, Gas & Consumable Fuels (continued)
Bill Barrett Corp. (continued)
9.88%, 07/15/2016	$	340	$	374
Calfrac Holdings, LP
7.50%, 12/01/2020 - 144A		690		673
Carrizo Oil & Gas, Inc.
8.63%, 10/15/2018		3,220		3,252
Chesapeake Oilfield Operating LLC
6.63%, 11/15/2019 - 144A		875		910
Cloud Peak Energy Resources LLC
8.50%, 12/15/2019		2,735		2,954
Coffeyville Resources LLC
9.00%, 04/01/2015 - 144A		4,082		4,327
Concho Resources, Inc.
6.50%, 01/15/2022		1,070		1,118
7.00%, 01/15/2021		1,325		1,423
Consol Energy, Inc.
8.00%, 04/01/2017		1,335		1,462
8.25%, 04/01/2020		1,120		1,238
Continental Resources, Inc.
7.13%, 04/01/2021		545		591
7.38%, 10/01/2020		230		251
Denbury Resources, Inc.
8.25%, 02/15/2020		1,360		1,520
9.75%, 03/01/2016		3,875		4,272
Frac Tech Services LLC
7.63%, 11/15/2018 - 144A		3,300		3,457
Frontier Oil Corp.
6.88%, 11/15/2018		445		456
GMX Resources, Inc.
11.00%, 12/01/2017 - 144A		675		547
Harvest Operations Corp.
6.88%, 10/01/2017 - 144A		645		668
Hollyfrontier Corp.
9.88%, 06/15/2017		1,510		1,669
Kodiak Oil & Gas Corp.
8.13%, 12/01/2019 - 144A		2,175		2,254
Oasis Petroleum, Inc.
6.50%, 11/01/2021		755		749
OGX Petroleo e Gas Participacoes SA
8.50%, 06/01/2018 - 144A		4,325		4,239
Peabody Energy Corp.
6.00%, 11/15/2018 - 144A		3,815		3,891
6.25%, 11/15/2021 - 144A		3,270		3,384
Petroleum Development Corp.
12.00%, 02/15/2018		1,170		1,269
Quicksilver Resources, Inc.
11.75%, 01/01/2016		3,590		4,075
Range Resources Corp.
6.75%, 08/01/2020		1,320		1,465
Rosetta Resources, Inc.
9.50%, 04/15/2018		825		891
SemGroup, LP (Escrow Shares)
8.75%, 11/15/2049		2,985		¿
SESI LLC
6.38%, 05/01/2019		2,745		2,793
6.88%, 06/01/2014		290		291
Venoco, Inc.
8.88%, 02/15/2019		2,995		2,696
11.50%, 10/01/2017		430		434
W&T Offshore, Inc.
8.50%, 06/15/2019 - 144A		2,165		2,241
WPX Energy, Inc.
5.25%, 01/15/2017 - 144A		1,305		1,312

	Principal (000’s)		Value (000’s)
Oil, Gas & Consumable Fuels (continued)
WPX Energy, Inc. (continued)
6.00%, 01/15/2022 - 144A	$	2,725	$	2,790
Paper & Forest Products - 1.6%
Boise Paper Holdings LLC
8.00%, 04/01/2020		445		471
9.00%, 11/01/2017		1,835		1,973
Domtar Corp.
10.75%, 06/01/2017		1,540		1,940
Longview Fibre Paper & Packaging, Inc.
8.00%, 06/01/2016 - 144A		1,095		1,095
Sappi Papier Holding GmbH
6.63%, 04/15/2021 - 144A		2,995		2,567
Verso Paper Holdings LLC
8.75%, 02/01/2019		1,655		1,010
Verso Paper Holdings LLC -Series B
4.18%, 08/01/2014 *		425		268
11.38%, 08/01/2016		5,165		2,118
Personal Products - 0.3%
Revlon Consumer Products Corp.
9.75%, 11/15/2015		2,150		2,287
Pharmaceuticals - 1.4%
ConvaTec Healthcare E SA
10.50%, 12/15/2018 - 144A		4,905		4,377
Endo Pharmaceuticals Holdings, Inc.
7.00%, 07/15/2019 - 12/15/2020		2,030		2,160
7.25%, 01/15/2022		450		479
Warner Chilcott Co. LLC
7.75%, 09/15/2018		2,988		3,051
Real Estate Management & Development - 2.3%
CBRE Services, Inc.
6.63%, 10/15/2020		2,150		2,204
11.63%, 06/15/2017		4,465		5,146
Toys “R” Us Property Co., I LLC
10.75%, 07/15/2017		8,415		9,204
Road & Rail - 1.5%
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.
9.63%, 03/15/2018		2,480		2,566
9.75%, 03/15/2020		2,165		2,225
Hertz Corp.
7.50%, 10/15/2018		735		768
Kansas City Southern de Mexico SA de CV
6.13%, 06/15/2021		600		617
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.00%, 07/15/2017 - 144A		2,835		3,302
10.25%, 11/15/2019		1,075		1,172
Semiconductors & Semiconductor Equipment - 0.3%
Advanced Micro Devices, Inc.
7.75%, 08/01/2020		1,115		1,145
8.13%, 12/15/2017		840		872
Software - 0.6%
SSI Investments II
11.13%, 06/01/2018		4,165		4,404
Specialty Retail - 3.3%
Academy, Ltd.
9.25%, 08/01/2019 - 144A		2,375		2,345
Ltd. Brands, Inc.
6.63%, 04/01/2021		4,135		4,383
8.50%, 06/15/2019		2,650		3,087
Michaels Stores, Inc.
7.75%, 11/01/2018		495		500
11.38%, 11/01/2016		1,010		1,070

	Principal (000’s)		Value (000’s)
Specialty Retail (continued)
Petco Animal Supplies, Inc.
9.25%, 12/01/2018 - 144A	$	3,325	$	3,566
Sally Holdings LLC / Sally Capital, Inc.
6.88%, 11/15/2019 - 144A		4,790		5,006
Toys “R” Us - Delaware, Inc.
7.38%, 09/01/2016 - 144A		1,440		1,444
Toys “R” Us, Inc.
7.88%, 04/15/2013		2,645		2,688
Textiles, Apparel & Luxury Goods - 0.9%
Oxford Industries, Inc.
11.38%, 07/15/2015		840		920
Perry Ellis International, Inc.
7.88%, 04/01/2019		1,490		1,453
Polymer Group, Inc.
7.75%, 02/01/2019 - 144A		1,265		1,309
PVH Corp.
7.75%, 11/15/2023		2,795		3,144
Trading Companies & Distributors - 0.2%
United Rentals North America, Inc.
10.88%, 06/15/2016		1,570		1,743
Transportation Infrastructure - 0.4%
CHC Helicopter SA
9.25%, 10/15/2020 - 144A		3,365		3,029
Wireless Telecommunication Services - 3.4%
Digicel, Ltd.
8.25%, 09/01/2017 - 144A		2,705		2,719
12.00%, 04/01/2014 - 144A		1,445		1,618
Nextel Communications, Inc. -Series E
6.88%, 10/31/2013		7,080		7,045
NII Capital Corp.
8.88%, 12/15/2019		2,685		2,826
SBA Telecommunications, Inc.
8.00%, 08/15/2016		985		1,061
8.25%, 08/15/2019		660		718
Sprint Nextel Corp.
6.00%, 12/01/2016		1,530		1,270
8.38%, 08/15/2017		1,500		1,344
9.00%, 11/15/2018 - 144A		6,225		6,536
Total Corporate Debt Securities (cost $664,947)				661,089
CONVERTIBLE BOND - 0.0% ¥
Independent Power Producers & Energy Traders - 0.0%¥
Mirant Corp. (Escrow Certificates)
2.50%, 06/15/2021		1,220		¿
Total Convertible Bond (cost $¿)
LOAN ASSIGNMENTS - 5.6%
Automobiles - 0.2%
DaimlerChrysler Group LLC
6.00%, 05/24/2017 *		1,393		1,315
Building Products - 0.4%
Panolam Industries International, Inc., 1st Lien
8.25%, 12/31/2013 *		2,242		2,107
Panolam Industries International, Inc., 2nd Lien
10.00%, 06/30/2014 *		886		811
Diversified Financial Services - 0.5%
CCM Merger, Inc. Tranche B
7.00%, 03/01/2017 *		960		949
Ceva Group PLC Extended Letter of Credit
5.58%, 08/31/2016 *		535		489

	Principal (000’s)		Value (000’s)
Diversified Financial Services (continued)
Ceva Group PLC Extended Tranche B
5.43%, 08/31/2016 *	$	1,493	$	1,370
First Data, Tranche B2
3.04%, 09/24/2014 *		1,314		1,181
Electric Utilities - 0.5%
Texas Competitive Electric Holding Co., LLC Non-Extended
3.78%, 10/10/2014 *		4,791		3,334
Food Products - 0.4%
Del Monte Corp.
4.50%, 03/08/2018 *		2,786		2,640
Hotels, Restaurants & Leisure - 0.9%
Cannery Casino Resorts LLC, 2nd Lien
4.55%, 05/16/2014 *		860		765
Hit Entertainment, Inc., 2nd Lien
5.78%, 02/26/2013 *		4,360		4,292
NPC International, Inc., Tranche B
6.75%, 12/28/2018 *		1,500		1,493
Household Products - 0.4%
Amscan Holdings, Inc., Tranche B
6.75%, 12/04/2017 *		3,259		3,235
Insurance - 0.2%
Asurion Corp., 2nd Lien
9.00%, 05/24/2019 *		1,800		1,773
Multiline Retail - 0.2%
Burlington Coat Factory Warehouse Corp., Tranche B
6.25%, 02/23/2017 *		1,170		1,146
Oil, Gas & Consumable Fuels - 0.9%
Samson Investment Co.
8.00%, 12/21/2012 *		6,600		6,600
Personal Products - 0.5%
Revlon Consumer Products, Tranche B
4.75%, 11/17/2017 *		3,830		3,779
Pharmaceuticals - 0.3%
Aptalis Pharma, Inc., Tranche B
5.50%, 02/10/2017 *		2,376		2,317
Specialty Retail - 0.2%
Academy Sports & Outdoors, Inc.
6.00%, 08/03/2018 *		1,500		1,483
Total Loan Assignments (cost $42,066)				41,079

	Shares		Value (000’s)
CONVERTIBLE PREFERRED STOCKS - 0.3%
Oil, Gas & Consumable Fuels - 0.3%
Chesapeake Energy Corp., 4.50%		18,815		1,743
Chesapeake Energy Corp., 5.00%		2,304		192
Total Convertible Preferred Stocks (cost $2,091)				1,935
PREFERRED STOCK - 0.2%
Diversified Financial Services - 0.2%
GMAC Capital Trust I, 8.13% *		87,120		1,685
Total Preferred Stock (cost $2,200)
COMMON STOCKS - 0.7%
Airlines - 0.0% ¥
Delta Air Lines, Inc. ‡		13,451		109
Building Products - 0.2%
Panolam Holdings Co. ‡ § D		1,803		1,540
Construction Materials - 0.5%
RathGibson, Inc. (Escrow Certificates) ‡ §D		95,700		2,957

	Shares		Value (000’s)
Hotels, Restaurants & Leisure - 0.0%¥
Greektown Superholdings, Inc. ‡		1,131	$	76
Independent Power Producers & Energy Traders - 0.0%¥
Mirant Corp. (Escrow Certificates) ‡		550,000		¿
Oil, Gas & Consumable Fuels - 0.0%¥
SemGroup Corp. - Class A ‡		7,723		201
Total Common Stocks (cost $4,305)				4,883
INVESTMENT COMPANY - 0.0% ¥
Diversified Financial Services - 0.0%¥
Adelphia Recovery Trust		2,697,805		3
Total Investment Company (cost $2,641)
RIGHT - 0.0% ¥
Hotels, Restaurants & Leisure - 0.0% ¥
BLB Contingent Value Rights ‡ § D		2,010		8
Total Right (cost $2,010)
WARRANTS - 0.0% ¥
Food Products - 0.0% ¥
American Seafoods Group LLC ‡
Expiration: 05/15/2018
Exercise Price: $0.01		1,265		63
Media - 0.0% ¥
Reader’s Digest Association, Inc. ‡ §D
Expiration: 02/19/2014
Exercise Price: $47.35		13,112		¿
Oil, Gas & Consumable Fuels - 0.0%¥
SemGroup Corp. ‡
Expiration: 11/30/2014
Exercise Price: $25.00		8,130		45
Total Warrants (cost $¿)				108
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 0.7%
State Street Bank & Trust Co. 0.03% p, dated 12/30/2011, to be repurchased at $5,261 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 04/01/2025, and with a value of $5,366.	$	5,260		5,260
Total Repurchase Agreement (cost $5,260)
Total Investment Securities (cost$729,279)				716,050
Other Assets and Liabilities - Net				13,226
Net Assets			$	729,276

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

	In default.
	Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a fair value of $13,266, or 1.82% of the portfolio’s net assets.
	Payment in-kind. Securities pay interest or dividends in the form of additional bonds or preferred stock.
*	Floating or variable rate note. Rate is listed as of 12/30/2011.
ž	The security has a perpetual maturity. The date shown is the next call date.
¥	Percentage rounds to less than 0.1%.
‡	Non-income producing security.
p	Rate shown reflects the yield at 12/30/2011.
§	Illiquid. These securities had an aggregate fair value of $17,404, or 2.39%, of the portfolio’s net assets.
	Aggregate cost for federal income tax purposes is $729,372. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $30,763 and $44,085, respectively. Net unrealized depreciation for tax purposes is $13,322.
D	Restricted security. At 12/31/2011, the portfolio owned the following securities (representing 1.17% of net assets) which were restricted as to public resale.

Description	Date of Acquisition		Principal		Cost		Value		Price*
American Seafoods Group LLC		05/07/2010	$	4,515	$	4,414	$	4,018	$	89.00
Description	Date of Acquisition		Shares*		Cost		Value		Price*
Panolam Holdings Co.		12/29/2009		1,803	$	3,080	$	1,540	$	854.04
RathGibson, Inc. (Escrow Certificates)		06/14/2010		95,700		508		2,957		30.90
BLB Contingent Value Rights		11/22/2010		2,010		2,010		8		4.00
Reader’s Digest Association, Inc.		05/18/2010		13,112		t		t		¥

* Amount not rounded to thousands.

¥ Price rounds to less than $0.01.

DEFINITION (all amounts in thousands):

144A 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2011, these securities aggregated $259,474, or 35.58%, of the portfolio’s net assets.

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	386	$	—	$	4,497	$	4,883
Convertible Bonds		—		—		t		t
Convertible Preferred Stocks		1,935		—		—		1,935
Corporate Debt Securities		—		659,734		1,355		661,089
Investment Companies		—		3		—		3
Loan Assignments		—		33,668		7,411		41,079
Preferred Corporate Debt Securities		—		—		t		t
Preferred Stocks		1,685		—		—		1,685
Repurchase Agreement		—		5,260		—		5,260
Rights		—		8		—		8
Warrants		108		—		t		108
Total	$	4,114	$	698,673	$	13,263	$	716,050

VALUATION SUMMARY (all amounts in thousands) (continued):

Level 3 Rollforward - Investment Securities

Securities	Beginning Balance at 12/31/2010		Purchases		Sales			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)			Net Change in Unrealized Appreciation /(Depreciation) ƒ			Transfers into Level 3 y		Transfers out of Level 3		Ending Balance at 12/31/2011		Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2011ƒ
Common Stocks	$	3,693	$	—	$	(¿	)	$	—	$	(1	)	$	805		$	—	$	—	$	4,497	$	805
Convertible Bonds		¿		—		—			—		—			—			—		—		¿		—
Corporate Debt Securities		1,866		—		(503	)		—		7			(15	)		¿		—		1,355		(13	)
Loan Assignments		810		6,600		—			32		—			(31	)		—		—		7,411		(31	)
Preferred Corporate Debt Securities		32		—		(193	)		—		(20	)		181			—		—		¿		181
Warrants		¿		—		—			—		—			—			—		—		¿		—
Total	$	6,401	$	6,600	$	(696	)	$	32	$	(14	)	$	940		$	—	$	—	$	13,263	$	942

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

ƒ Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at 12/31/2011 may be due to an investment no longer held or categorized as Level 3 at period end.

y Transferred into Level 3 because of unavailability of observable inputs.

¿ Amount rounds to less than 1.

	Principal (000’s)		Value (000’s)
U.S. GOVERNMENT OBLIGATIONS - 1.4%
U.S. Treasury Bond
4.75%, 02/15/2041	$	165	$	227
U.S. Treasury Inflation Indexed Bond
2.13%, 02/15/2041		227		308
U.S. Treasury Note
0.25%, 12/15/2014		70		70
0.50%, 08/15/2014		95		95
0.63%, 06/30/2012 g		70		70
0.88%, 11/30/2016		255		256
2.00%, 11/15/2021		220		223
3.13%, 11/15/2041		235		246
Total U.S. Government Obligations (cost $1,437)				1,495
U.S. GOVERNMENT AGENCY OBLIGATIONS - 21.9%
Fannie Mae
3.09%, 03/01/2041 *		81		85
3.15%, 03/01/2041 *		80		83
3.32%, 12/01/2040 *		94		98
3.50%, 10/01/2026 - 12/01/2041		2,693		2,777
3.52%, 10/09/2019 p		280		215
4.00%, 09/01/2024 - 12/01/2041		4,311		4,559
4.50%, 01/01/2041 - 06/01/2041		741		792
5.00%, 07/01/2034 - 07/01/2035		675		729
5.50%, 06/01/2033 - 01/01/2039		1,730		1,889
6.50%, 07/01/2037 - 10/01/2039		533		596
Fannie Mae, TBA
3.50%		100		105
4.50%		3,400		3,620
6.00%		1,600		1,758
Farmer Mac Guaranteed Notes Trust 2007-1
5.13%, 04/19/2017 - 144A		350		408
Freddie Mac
3.05%, 02/01/2041 *		87		91
3.97%, 01/25/2021 *		120		132
Freddie Mac, TBA
4.50%		100		106
5.00%		700		752
Ginnie Mae
1.43%, 11/20/2059 *		466		473
Ginnie Mae, TBA
4.00%		400		429
4.50%		800		872
5.00%		800		886
5.50%		400		449
6.00%		300		340
Resolution Funding Corp., Interest STRIPS
1.66%, 07/15/2018 p		250		225
1.82%, 10/15/2018 p		250		223
Tennessee Valley Authority
5.25%, 09/15/2039		60		77
Total U.S. Government Agency Obligations (cost $22,357)				22,769
FOREIGN GOVERNMENT OBLIGATIONS - 2.1%
Hydro Quebec
8.05%, 07/07/2024		240		357
8.40%, 01/15/2022		95		139
9.40%, 02/01/2021		50		76
Italy Buoni Poliennali Del Tesoro
4.75%, 09/15/2016	EUR	340		416

	Principal (000’s)		Value (000’s)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Japan Finance Corp.
2.88%, 02/02/2015 ^	$	250	$	264
Poland Government International Bond
5.13%, 04/21/2021		90		92
Republic of Brazil
7.13%, 01/20/2037		100		138
Republic of South Africa
5.50%, 03/09/2020		300		336
Russian Federation
7.50%, 03/31/2030 Reg S		230		267
United Mexican States
5.13%, 01/15/2020 ^		120		137
Total Foreign Government Obligations (cost $2,183)				2,222
MORTGAGE-BACKED SECURITIES - 5.5%
Adjustable Rate Mortgage Trust
Series 2004-2, Class 7A2
1.13%, 02/25/2035 *		75		65
Banc of America Large Loan, Inc.
Series 2010-UB4, Class A4A
5.01%, 12/20/2041 - 144A *		100		105
Banc of America Merrill Lynch Commercial Mortgage, Inc.
Series 2005-5, Class A4
5.12%, 10/10/2045 *		250		276
Series 2007-3, Class A4
5.62%, 06/10/2049 *		60		64
Bear Stearns Commercial Mortgage Securities
Series 2007-PW17, Class A3
5.74%, 06/11/2050		115		121
Bear Stearns Mortgage Funding Trust
Series 2006-AR5, Class 1A2
0.50%, 12/25/2046 *		1,066		208
Credit Suisse Mortgage Capital Certificates
Series 2006-C3, Class AM
5.81%, 06/15/2038 *		40		40
Series 2010-RR1, Class 2A
5.70%, 09/15/2040 - 144A *		90		101
Series 2010-RR2, Class 2A
5.79%, 09/15/2039 - 144A *		120		134
CW Capital Cobalt, Ltd.
Series 2006-C1, Class A4
5.22%, 08/15/2048		200		213
Extended Stay America Trust
Series 2010-ESHA, Class B
4.22%, 11/05/2027 - 144A		140		141
Series 2010-ESHA, Class C
4.86%, 11/05/2027 - 144A		200		202
GE Capital Commercial Mortgage Corp.
Series 2007-C1, Class AAB
5.48%, 12/10/2049		100		103
GMAC Mortgage Corp., Loan Trust
Series 2005-AR1, Class 3A
3.06%, 03/18/2035 *		415		333
Greenwich Capital Commercial Funding Corp.
Series 2006-GG7, Class AJ
5.88%, 07/10/2038 *		40		28
GS Mortgage Securities Corp. II
Series 2007-GG10, Class A4
5.79%, 08/10/2045 *		95		103

	Principal (000’s)		Value (000’s)
MORTGAGE-BACKED SECURITIES (continued)
Impac CMB Trust
Series 2004-6, Class 1A1
1.09%, 10/25/2034 *	$	170	$	122
IndyMac INDA Mortgage Loan Trust
Series 2007-AR7, Class 1A1
5.73%, 09/25/2037 *		318		228
IndyMac Index Mortgage Loan Trust
Series 2007-AR15, Class 2A1
5.00%, 08/25/2037 *		390		225
JPMorgan Chase Commercial Mortgage Securities Corp.
Series 2004-CB8, Class A1A
4.16%, 01/12/2039 - 144A		196		202
Series 2004-LN2, Class A2
5.12%, 07/15/2041		90		95
Series 2006-CB14, Class AM
5.45%, 12/12/2044 *		50		49
Series 2007-CB18, Class A3
5.45%, 06/12/2047		103		108
JPMorgan Mortgage Trust
Series 2004-A3, Class 1A1
2.54%, 07/25/2034 *		263		254
Merrill Lynch Mortgage Investors, Inc.
Series 2004-A3, Class 4A3
5.01%, 05/25/2034 *		132		130
Series 2005-A5, Class A3
2.61%, 06/25/2035 *		1,300		925
Merrill Lynch Mortgage Trust
Series 2004-KEY2, Class A4
4.86%, 08/12/2039 *		60		64
Merrill Lynch/Countrywide Commercial Mortgage Trust
Series 2007-9, Class A4
5.70%, 09/12/2049		200		213
MLCC Mortgage Investors, Inc.
Series 2003-F, Class A1
0.93%, 10/25/2028 *		137		112
Morgan Stanley Capital I
Series 2005-HQ6, Class A4A
4.99%, 08/13/2042		190		207
Series 2007-HQ12, Class A2FL
0.53%, 04/12/2049 *		27		26
Series 2007-HQ12, Class A2FX
5.60%, 04/12/2049 *		54		56
Morgan Stanley Re-REMIC Trust
Series 2011-IO, Class A
2.50%, 03/23/2051 - 144A		40		40
Structured Asset Mortgage Investments, Inc.
Series 2003-AR4, Class A1
0.63%, 01/19/2034 *		235		175
Wachovia Bank Commercial Mortgage Trust
Series 2007-C33, Class A4
5.90%, 02/15/2051 *		240		260
Total Mortgage-Backed Securities (cost $7,246)				5,728
ASSET-BACKED SECURITIES - 2.0%
AmeriCredit Automobile Receivables Trust
Series 2011-2, Class C
3.19%, 10/12/2016		115		115
Series 2011-5, Class C
3.44%, 10/08/2017		40		40
Avis Budget Rental Car Funding AESOP LLC
Series 2010-3A, Class A
4.64%, 05/20/2016 - 144A		100		106

	Principal (000’s)		Value (000’s)
ASSET-BACKED SECURITIES (continued)
Citibank Omni Master Trust
Series 2009-A17, Class A17
4.90%, 11/15/2018 - 144A	$	250	$	272
Education Funding Capital Trust I
Series 2003-3, Class A7
2.43%, 12/15/2042 *		150		123
Hertz Corp.
Series 2009-2A, Class A2
5.29%, 03/25/2016 - 144A		120		130
Santander Consumer Acquired Receivables Trust
Series 2011-S1A, Class B
1.66%, 08/15/2016 - 144A		224		221
Series 2011-S1A, Class C
2.01%, 08/15/2016 - 144A		239		236
Series 2011-WO, Class C
3.19%, 10/15/2015 - 144A		70		70
Santander Drive Auto Receivables Trust
Series 2010-2, Class B
2.24%, 12/15/2014		110		110
Series 2010-2, Class C
3.89%, 07/17/2017		130		132
Series 2011-S1A, Class B
1.48%, 07/15/2013 - 144A		167		165
Series 2011-S1A, Class D
3.10%, 03/15/2013 - 144A		69		68
Scholar Funding Trust
Series 2011-A, Class A
1.32%, 10/28/2043 - 144A *		142		138
SLM Student Loan Trust
Series 2004-B, Class A2
0.75%, 06/15/2021 *		197		188
Total Asset-Backed Securities (cost $2,120)				2,114
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.1%
New York City Municipal Water Finance Authority
5.38%, 06/15/2043		45		50
5.50%, 06/15/2043		55		62
Total Municipal Government Obligations (cost $99)				112
PREFERRED CORPORATE DEBT SECURITIES - 0.2%
Capital Markets - 0.1%
Credit Suisse
5.86%, 05/15/2017 *ž		90		72
Lehman Brothers Holdings Capital Trust VII
5.86%, 05/31/2012 ž ‡§		200		¿
Lehman Brothers Holdings E-Capital Trust I
3.59%, 08/19/2065 ‡		120		¿
State Street Capital Trust IV
1.55%, 06/15/2037 *		10		7
Commercial Banks - 0.1%
ABN Amro North American Holding Preferred Capital Repackage Trust I
6.52%, 11/08/2012 - 144A *ž		80		55
Diversified Financial Services - 0.0% ¥
JPMorgan Chase Capital XXV - Series Y
6.80%, 10/01/2037		25		25
Total Preferred Corporate Debt Securities (cost $470)				159
CORPORATE DEBT SECURITIES - 12.9%
Auto Components - 0.0% ¥
BorgWarner, Inc.
4.63%, 09/15/2020		30		32

	Principal (000’s)		Value (000’s)
Automobiles - 0.0% ¥
General Motors Corp. (Escrow Shares)
8.25%, 07/15/2023	$	453	$	¿
Capital Markets - 0.6%
BP Capital Markets PLC
3.13%, 10/01/2015 ^		40		42
3.88%, 03/10/2015		100		107
Credit Suisse
5.40%, 01/14/2020 ^		30		28
Goldman Sachs Group, Inc.
5.25%, 07/27/2021		60		59
Lehman Brothers Holdings, Inc.
5.25%, 02/06/2012 ‡		100		26
Lehman Brothers Holdings, Inc. - Series I
6.75%, 12/28/2017 ‡		480		¿
Morgan Stanley
2.95%, 05/14/2013 *		200		191
4.20%, 11/20/2014 ^		140		135
5.50%, 07/28/2021 ^		40		37
Chemicals - 0.2%
Dow Chemical Co.
4.13%, 11/15/2021		40		41
Lyondell Chemical Co.
11.00%, 05/01/2018		50		55
Lyondellbasell Industries NV
6.00%, 11/15/2021 - 144A ^		55		57
Westlake Chemical Corp.
6.63%, 01/15/2016		17		17
Commercial Banks - 1.5%
Capital One Capital VI
8.88%, 05/15/2040		55		57
CIT Group, Inc.
7.00%, 05/01/2017		71		71
DNB Boligkreditt AS
2.10%, 10/14/2015 - 144A		610		604
2.90%, 03/29/2016 - 144A		325		330
Fifth Third Capital Trust IV
6.50%, 04/15/2037 *		65		64
Glitnir Banki HF
6.33%, 07/28/2011 - 144A ‡		160		42
6.69%, 06/15/2016 - 144A ‡		380		¿
HSBC Bank Brasil SA - Banco Multiplo
4.00%, 05/11/2016 - 144A		200		199
HSBC Bank PLC
3.10%, 05/24/2016 - 144A ^		150		150
HSBC Holdings PLC
6.10%, 01/14/2042 ^		35		40
Landsbanki Islands HF
6.10%, 08/25/2011 - 144A ‡		140		5
Construction Materials - 0.0% ¥
Lafarge SA
7.13%, 07/15/2036 ^		20		18
Consumer Finance - 0.5%
Ally Financial, Inc.
1.75%, 10/30/2012		150		152
Capital One Financial Corp.
3.15%, 07/15/2016 ^		230		230
4.75%, 07/15/2021 ^		90		93
SLM Corp.
6.25%, 01/25/2016		78		76
Containers & Packaging - 0.1%
Ball Corp.
6.75%, 09/15/2020		50		54

	Principal (000’s)		Value (000’s)
Diversified Consumer Services - 0.0% ¥
Service Corp., International
7.50%, 04/01/2027 ^	$	35	$	34
Diversified Financial Services - 1.4%
AngloGold Ashanti Holdings PLC
5.38%, 04/15/2020		40		40
Citigroup, Inc.
4.59%, 12/15/2015		345		346
5.00%, 09/15/2014		40		40
General Electric Capital Corp.
5.50%, 01/08/2020 ^		75		83
JPMorgan Chase & Co.
3.15%, 07/05/2016		51		51
4.63%, 05/10/2021 ^		150		155
JPMorgan Chase Bank NA
6.00%, 10/01/2017		250		269
Kaupthing Bank Hf
7.13%, 05/19/2016 - 144A ‡		130		¿
Kaupthing Bank Hf -Series 1
7.63%, 02/28/2015 - 144A ‡		710		176
Reynolds Group Issuer, Inc.
6.88%, 02/15/2021 - 144A^		210		209
Swiss Re Capital I LP
6.85%, 12/31/2049 - 144A *ž		70		59
WEA Finance LLC
4.63%, 05/10/2021 - 144A		35		34
Woodside Finance, Ltd.
4.60%, 05/10/2021 - 144A ^		25		26
Diversified Telecommunication Services - 0.4%
GTE Corp.
6.84%, 04/15/2018		22		26
Intelsat Jackson Holdings SA
7.25%, 04/01/2019 - 144A		44		45
8.50%, 11/01/2019 ^		50		53
Level 3 Financing, Inc.
8.13%, 07/01/2019 - 144A ^		64		63
8.75%, 02/15/2017		11		11
Sprint Capital Corp.
6.88%, 11/15/2028		24		17
8.75%, 03/15/2032		60		49
Verizon Communications, Inc.
3.50%, 11/01/2021 ^		50		52
6.10%, 04/15/2018 ^		63		76
6.40%, 02/15/2038		37		47
8.95%, 03/01/2039		10		16
Electric Utilities - 0.7%
Alabama Power Co.
3.95%, 06/01/2021		55		60
Cleveland Electric Illuminating Co.
5.95%, 12/15/2036 ^		37		39
8.88%, 11/15/2018		7		9
Duke Energy Carolinas LLC
4.25%, 12/15/2041		50		52
Energy Future Intermediate Holding Co., LLC
10.00%, 12/01/2020 ^		336		355
Georgia Power Co.
3.00%, 04/15/2016 ^		100		107
Jersey Central Power & Light Co.
7.35%, 02/01/2019 ^		30		38
Trans-Allegheny Interstate Line Co.
4.00%, 01/15/2015 - 144A ^		30		31
Energy Equipment & Services - 0.3%
Cie Generale de Geophysique-Veritas
7.75%, 05/15/2017 ^		40		41

	Principal (000’s)		Value (000’s)
Energy Equipment & Services (continued)
Complete Production Services, Inc.
8.00%, 12/15/2016	$	105	$	108
El Paso Pipeline Partners Operating Co., LLC
6.50%, 04/01/2020		75		83
Ensco PLC
3.25%, 03/15/2016		20		20
4.70%, 03/15/2021 ^		45		47
Pride International, Inc.
6.88%, 08/15/2020		30		35
Rockies Express Pipeline LLC
3.90%, 04/15/2015 - 144A ^		15		15
Food Products - 0.2%
Kraft Foods, Inc.
5.38%, 02/10/2020		75		86
6.50%, 08/11/2017		35		42
Sara Lee Corp.
4.10%, 09/15/2020 ^		34		34
Health Care Equipment & Supplies - 0.1%
Boston Scientific Corp.
6.25%, 11/15/2015		138		153
Health Care Providers & Services - 0.3%
Fresenius Medical Care U.S. Finance, Inc.
6.88%, 07/15/2017		120		128
HCA, Inc.
6.30%, 10/01/2012		6		6
6.50%, 02/15/2020		50		52
Tenet Healthcare Corp.
6.25%, 11/01/2018 - 144A ^		55		56
10.00%, 05/01/2018 ^		45		51
UnitedHealth Group, Inc.
3.38%, 11/15/2021 ^		15		16
Hotels, Restaurants & Leisure - 0.3%
Boyd Gaming Corp.
6.75%, 04/15/2014		25		24
7.13%, 02/01/2016 ^		80		69
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/2018 ^		50		34
Inn of the Mountain Gods Resort & Casino
1.25%, 11/30/2020 - 144A		20		11
MGM Resorts International
10.38%, 05/15/2014		50		57
11.13%, 11/15/2017 ^		120		137
Mohegan Tribal Gaming Authority
6.13%, 02/15/2013 ^		15		10
Station Casinos, Inc.
6.88%, 03/01/2016 ‡		10		¿
Independent Power Producers & Energy Traders - 0.0% ¥
Constellation Energy Group, Inc.
7.60%, 04/01/2032		25		32
Insurance - 0.8%
American International Group, Inc.
5.45%, 05/18/2017 ^		45		43
8.18%, 05/15/2058 *		15		13
Fairfax Financial Holdings, Ltd.
5.80%, 05/15/2021 - 144A		75		71
Hartford Financial Services Group, Inc.
6.00%, 01/15/2019		40		41
Lincoln National Corp.
7.00%, 06/15/2040		50		57
Manulife Financial Corp.
3.40%, 09/17/2015		110		111

	Principal (000’s)		Value (000’s)
Insurance (continued)
Metropolitan Life Global Funding I
2.50%, 01/11/2013 - 144A	$	200	$	202
5.13%, 06/10/2014 - 144A		100		108
Prudential Financial, Inc.
4.75%, 09/17/2015 ^		140		148
XL Group PLC
6.50%, 12/31/2049 * ž ^		50		39
Life Sciences Tools & Services - 0.0% ¥
Life Technologies Corp.
5.00%, 01/15/2021 ^		11		12
Machinery - 0.0% ¥
Joy Global, Inc.
5.13%, 10/15/2021		25		27
Media - 0.9%
CBS Corp.
4.63%, 05/15/2018 ^		20		21
5.75%, 04/15/2020 ^		30		34
8.88%, 05/15/2019		30		39
Clear Channel Worldwide Holdings, Inc. - Series B
9.25%, 12/15/2017		30		32
Comcast Corp.
5.88%, 02/15/2018		99		115
6.45%, 03/15/2037 ^		50		61
COX Communications, Inc.
8.38%, 03/01/2039 - 144A		95		128
CSC Holdings LLC
8.50%, 04/15/2014		31		34
8.63%, 02/15/2019		5		6
DIRECTV Holdings LLC
3.13%, 02/15/2016		97		98
DISH DBS Corp.
7.00%, 10/01/2013		30		32
NBCUniversal Media LLC
4.38%, 04/01/2021		97		102
News America, Inc.
6.40%, 12/15/2035		5		5
6.65%, 11/15/2037		10		11
Time Warner, Inc.
4.70%, 01/15/2021		30		32
6.10%, 07/15/2040		20		23
Time Warner Cable, Inc.
5.50%, 09/01/2041		60		63
5.88%, 11/15/2040		55		60
Metals & Mining - 0.5%
Barrick Gold Corp.
2.90%, 05/30/2016		262		269
Newcrest Finance Pty, Ltd.
4.45%, 11/15/2021 - 144A		55		54
Novelis, Inc.
8.75%, 12/15/2020		80		86
Steel Dynamics, Inc.
6.75%, 04/01/2015		65		66
Multiline Retail - 0.3%
JC Penney Corp., Inc.
7.40%, 04/01/2037		20		19
Macy’s Retail Holdings, Inc.
5.90%, 12/01/2016 ^		95		106
7.45%, 07/15/2017 ^		75		88
QVC, Inc.
7.50%, 10/01/2019 - 144A		45		48

	Principal (000’s)		Value (000’s)
Multi-Utilities - 0.1%
Dominion Resources, Inc.
1.95%, 08/15/2016 ^	$	70	$	70
Oil, Gas & Consumable Fuels - 2.5%
Anadarko Petroleum Corp.
5.95%, 09/15/2016		163		184
6.38%, 09/15/2017		85		99
Consol Energy, Inc.
8.25%, 04/01/2020 ^		10		11
El Paso Corp.
6.50%, 09/15/2020		45		49
7.80%, 08/01/2031		1		1
Enterprise Products Operating LLC
6.30%, 09/15/2017		150		176
KeySpan Gas East Corp.
5.82%, 04/01/2041 - 144A		50		61
Kinder Morgan Energy Partners, LP
5.95%, 02/15/2018		100		114
6.38%, 03/01/2041 ^		20		23
6.55%, 09/15/2040 ^		15		17
Kinder Morgan Finance Co., ULC
5.70%, 01/05/2016 ^		185		188
Marathon Petroleum Corp.
6.50%, 03/01/2041		132		150
MEG Energy Corp.
6.50%, 03/15/2021 - 144A		110		112
Nexen, Inc.
7.50%, 07/30/2039		135		162
Peabody Energy Corp.
6.25%, 11/15/2021 - 144A		130		135
Pemex Project Funding Master Trust
6.63%, 06/15/2035 ^		147		167
Petrobras International Finance Co.
3.88%, 01/27/2016		160		165
5.75%, 01/20/2020 ^		250		267
6.13%, 10/06/2016 ^		50		55
Plains Exploration & Production Co.
10.00%, 03/01/2016 ^		10		11
Range Resources Corp.
5.75%, 06/01/2021		10		11
7.25%, 05/01/2018		90		96
Rockies Express Pipeline LLC
6.85%, 07/15/2018 - 144A		25		26
SandRidge Energy, Inc.
8.75%, 01/15/2020		60		62
SemGroup, LP (Escrow Shares)
8.75%, 11/15/2049		25
Transocean, Inc.
6.38%, 12/15/2021 ^		25		27
6.50%, 11/15/2020 ^		50		52
Western Gas Partners, LP
5.38%, 06/01/2021		95		101
Williams Partners, LP
4.13%, 11/15/2020 ^		45		46
Paper & Forest Products - 0.1%
International Paper Co.
4.75%, 02/15/2022 ^		50		53
6.00%, 11/15/2041 ^		35		38
Pharmaceuticals - 0.1%
Teva Pharmaceutical Finance Co., BV
3.65%, 11/10/2021 ^		25		25
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/2021 ^		50		51

	Principal (000’s)		Value (000’s)
Real Estate Investment Trusts - 0.2%
ERP Operating, LP
4.63%, 12/15/2021	$	55	$	56
Ventas Realty, LP
4.75%, 06/01/2021		35		34
Vornado Realty, LP
5.00%, 01/15/2022		90		91
Real Estate Management & Development - 0.1%
Realogy Corp.
7.88%, 02/15/2019 - 144A ^		55		48
11.50%, 04/15/2017 ^		120		93
Road & Rail - 0.2%
Burlington Northern Santa Fe LLC
5.75%, 05/01/2040 ^		135		162
Software - 0.1%
First Data Corp.
7.38%, 06/15/2019 - 144A ^		80		75
8.25%, 01/15/2021 - 144A ^		5		4
Oracle Corp.
5.38%, 07/15/2040		35		43
Wireless Telecommunication Services - 0.4%
Crown Castle Towers LLC
6.11%, 01/15/2020 - 144A		200		220
MetroPCS Wireless, Inc.
7.88%, 09/01/2018 ^		4		4
SBA Tower Trust
5.10%, 04/15/2017 - 144A		40		42
Sprint Nextel Corp.
9.00%, 11/15/2018 - 144A ^		100		1 05
Total Corporate Debt Securities (cost $15,039)				13,313

	Shares		Value (000’s)
PREFERRED STOCKS - 0.1%
Diversified Financial Services - 0.1%
Citigroup Capital XIII, 7.88% * ^		1,692		44
U.S. Government Agency Obligation - 0.0% ¥
Fannie Mae, 0.00% *		11,400		16
Freddie Mac, 8.38% *		14,925		20
Total Preferred Stocks (cost $720)				80
COMMON STOCKS - 58.7%
Aerospace & Defense - 1.3%
General Dynamics Corp.		1,839		122
Goodrich Corp.		553		68
Honeywell International, Inc.		6,470		352
Northrop Grumman Corp. ^		1,283		75
United Technologies Corp.		10,092		738
Airlines - 0.1%
Southwest Airlines Co.		11,531		99
Auto Components - 0.3%
Johnson Controls, Inc.		9,825		307
Automobiles - 0.4%
General Motors Co. ‡^		18,153		368
Beverages - 1.6%
Beam, Inc.		736		38
Coca-Cola Co.		12,014		840
Dr. Pepper Snapple Group, Inc. ^		3,847		152
PepsiCo, Inc.		9,178		609

	Shares		Value (000’s)
Biotechnology - 1.1%
Alexion Pharmaceuticals, Inc. ‡		1,292	$	92
Biogen Idec, Inc. ‡		3,961		436
Celgene Corp. ‡^		8,290		561
Vertex Pharmaceuticals, Inc. ‡^		2,111		70
Building Products - 0.1%
Masco Corp.		5,145		54
Capital Markets - 1.1%
BlackRock, Inc. - Class A		938		167
Goldman Sachs Group, Inc.		3,262		295
Invesco, Ltd.		14,097		283
Legg Mason, Inc. ^		626		15
Morgan Stanley		11,950		181
State Street Corp. ^		6,004		242
Chemicals - 1.3%
Air Products & Chemicals, Inc. ^		4,339		370
Dow Chemical Co. ^		2,212		64
E.I. du Pont de Nemours & Co. ^		16,196		741
Georgia Gulf Corp. ‡^		2,050		40
Mosaic Co.		2,585		130
Commercial Banks - 1.2%
SunTrust Banks, Inc.		5,206		92
Wells Fargo & Co.		42,711		1,177
Zions Bancorporation		959		16
Communications Equipment - 1.2%
Cisco Systems, Inc.		37,624		680
Juniper Networks, Inc. ‡		2,777		57
QUALCOMM, Inc.		9,687		530
Computers & Peripherals - 3.1%
Apple, Inc. ‡		6,451		2,612
EMC Corp. ‡^		13,318		286
Hewlett-Packard Co.		6,874		177
NetApp, Inc. ‡		733		27
SanDisk Corp. ‡^		1,255		62
Western Digital Corp. ‡		1,223		38
Construction & Engineering - 0.3%
Fluor Corp.		6,746		339
Consumer Finance - 1.0%
American Express Co. ^		9,715		458
Capital One Financial Corp. ^		12,533		530
Discover Financial Services		2,814		68
Containers & Packaging - 0.2%
Ball Corp.		2,616		93
Crown Holdings, Inc. ‡^		1,781		60
Sealed Air Corp.		5,610		97
Diversified Consumer Services - 0.1%
DeVry, Inc. ^		2,831		109
Diversified Financial Services - 1.4%
Bank of America Corp.		88,219		490
Citigroup, Inc.		21,083		555
CME Group, Inc. - Class A		829		202
IntercontinentalExchange, Inc. ‡^		1,717		207
Diversified Telecommunication Services - 1.6%
AT&T, Inc. ^		20,858		631
Frontier Communications Corp. ^		5,313		27
Verizon Communications, Inc. ^		23,967		962
Electric Utilities - 1.4%
American Electric Power Co., Inc.		8,808		364
Exelon Corp.		3,450		150
Nextera Energy, Inc.		5,801		353
Northeast Utilities ^		6,551		236
NV Energy, Inc.		3,969		65
PPL Corp.		8,194		241
Electrical Equipment - 0.5%
Emerson Electric Co.		11,275		525
Electronic Equipment & Instruments - 0.1%
TE Connectivity, Ltd.		3,925		121
Energy Equipment & Services - 1.5%
Baker Hughes, Inc.		4,836		235

	Shares		Value (000’s)
Energy Equipment & Services (continued)
Halliburton Co.		4,722	$	163
National Oilwell Varco, Inc. ^		5,910		402
Rowan Cos., Inc. ‡^		2,478		75
Schlumberger, Ltd.		8,927		610
Weatherford International, Ltd. ‡		4,204		62
Food & Staples Retailing - 1.3%
CVS Caremark Corp.		10,765		439
Kroger Co.		7,906		191
Sysco Corp. ^		4,873		143
Wal-Mart Stores, Inc. ^		9,274		555
Food Products - 1.3%
General Mills, Inc. ^		4,520		183
Kellogg Co. ^		2,265		115
Kraft Foods, Inc. - Class A		19,467		726
Ralcorp Holdings, Inc. ‡^		2,247		192
Tyson Foods, Inc. - Class A		4,538		94
Gas Utilities - 0.2%
AGL Resources, Inc.		5,293		224
Health Care Equipment & Supplies -0.8%
Becton, Dickinson and Co. ^		2,462		184
Covidien PLC		14,352		646
Health Care Providers & Services - 1.3%
Aetna, Inc. ^		2,673		113
Humana, Inc. ^		3,880		340
McKesson Corp.		4,233		330
UnitedHealth Group, Inc.		10,873		551
Hotels, Restaurants & Leisure - 0.6%
Carnival Corp. ^		2,309		75
Darden Restaurants, Inc. ^		548		25
Marriott International, Inc. - Class A ^		4,223		123
McDonald’s Corp.		2,298		231
Yum! Brands, Inc.		2,420		143
Household Durables - 0.3%
D.R. Horton, Inc. ^		7,843		99
Lennar Corp. - Class A ^		2,972		58
PulteGroup, Inc. ‡^		9,762		62
Ryland Group, Inc. ^		4,385		69
Household Products - 1.6%
Kimberly-Clark Corp. ^		4,111		302
Procter & Gamble Co.		19,951		1,331
Industrial Conglomerates - 1.7%
3M Co.		4,599		376
General Electric Co.		56,533		1,012
Tyco International, Ltd. ^		8,576		401
Insurance - 1.9%
ACE, Ltd.		5,578		391
Allstate Corp.		7,370		202
Axis Capital Holdings, Ltd.		2,822		90
Berkshire Hathaway, Inc. - Class B ‡^		7,587		579
Everest RE Group, Ltd.		2,583		217
MetLife, Inc.		8,750		273
PartnerRe, Ltd.		450		29
Prudential Financial, Inc.		4,951		248
Internet & Catalog Retail - 0.5%
Amazon.com, Inc. ‡		2,781		481
Expedia, Inc. ^		488		14
TripAdvisor, Inc. ‡^		467		12
Internet Software & Services - 1.0%
eBay, Inc. ‡		1,879		57
Google, Inc. - Class A ‡^		1,324		855
Yahoo! Inc. ‡		6,571		106
IT Services - 2.3%
Accenture PLC - Class A		6,438		343
Booz Allen Hamilton Holding Corp. - Class A ‡^		2,382		41
Cognizant Technology Solutions Corp. - Class A‡		3,180		205
Genpact, Ltd. ‡		3,758		56

	Shares		Value (000’s)
IT Services (continued)
International Business Machines Corp.		7,829	$	1,439
Mastercard, Inc. - Class A		836		312
Leisure Equipment & Products - 0.0% ¥
Hasbro, Inc. ^		1,567		50
Life Sciences Tools & Services - 0.1%
Life Technologies Corp. ‡		921		36
PerkinElmer, Inc. ^		2,168		43
Machinery - 0.5%
Cummins, Inc.		333		29
Ingersoll-Rand PLC ^		5,501		168
PACCAR, Inc. ^		9,427		353
Media - 2.0%
CBS Corp. - Class B		20,497		556
Comcast Corp. - Class A ^		25,062		594
DIRECTV - Class A ‡		2,370		101
Time Warner, Inc. ^		22,690		821
Metals & Mining - 0.6%
Alcoa, Inc. ^		17,961		155
Freeport-McMoRan Copper & Gold, Inc.		7,091		261
Newmont Mining Corp. ^		2,628		158
Multiline Retail - 0.8%
Kohl’s Corp.		3,378		167
Macy’s, Inc. ^		6,603		212
Nordstrom, Inc. ^		1,877		93
Target Corp.		6,635		340
Multi-Utilities - 0.9%
CenterPoint Energy, Inc. ^		19,145		384
Dominion Resources, Inc. ^		2,046		109
DTE Energy Co.		2,369		129
Oge Energy Corp. ^		1,089		62
PG&E Corp. ^		6,086		251
Oil, Gas & Consumable Fuels - 5.4%
Anadarko Petroleum Corp. ^		1,384		106
Chesapeake Energy Corp. ^		3,563		79
Chevron Corp. ^		13,657		1,453
ConocoPhillips		8,996		656
Devon Energy Corp.		5,831		362
Exxon Mobil Corp.		21,034		1,782
Hess Corp.		1,561		89
Marathon Oil Corp.		4,895		143
Murphy Oil Corp. ^		919		51
Occidental Petroleum Corp.		6,024		564
SemGroup Corp. - Class A ‡^		64		2
Southwestern Energy Co. ‡		8,779		280
Valero Energy Corp.		2,951		62
Williams Cos., Inc.		3,081		102
Pharmaceuticals - 3.5%
Abbott Laboratories		10,369		583
Allergan, Inc. ^		2,044		179
Johnson & Johnson		5,227		343
Merck & Co., Inc.		32,371		1,220
Mylan, Inc. ‡		11,102		238
Pfizer, Inc.		50,052		1,083
Teva Pharmaceutical Industries, Ltd. ADR		2,171		88
Real Estate Investment Trusts - 1.1%
Alexandria Real Estate Equities, Inc. ^		2,226		154
Colonial Properties Trust		3,067		64
Duke Realty Corp. ^		3,841		46
Equity Lifestyle Properties, Inc. ^		882		59
Highwoods Properties, Inc. ^		1,908		57
Mack-Cali Realty Corp. ^		3,141		84
Mid-America Apartment Communities, Inc. ^		1,070		67
Pebblebrook Hotel Trust ^		1,571		30
Plum Creek Timber Co., Inc. ^		740		27
Post Properties, Inc. ^		1,503		66
Regency Centers Corp.		1,529		58
Senior Housing Properties Trust		5,180		116
Ventas, Inc. ^		4,027		221

	Shares		Value (000’s)
Real Estate Investment Trusts (continued)
Weyerhaeuser Co. ^		2,747	$	51
Road & Rail - 1.8%
CSX Corp.		27,084		570
Norfolk Southern Corp. ^		6,241		455
Union Pacific Corp.		7,730		819
Semiconductors & Semiconductor Equipment - 1.3%
Altera Corp. ^		6,579		245
Broadcom Corp. - Class A ‡		2,614		77
Freescale Semiconductor Holdings I, Ltd. ‡^		2,923		37
Intel Corp. ^		3,601		87
LAM Research Corp. ‡^		6,305		233
LSI Corp. ‡		16,167		96
MagnaChip Semiconductor Corp. ‡		149		1
Marvell Technology Group, Ltd. ‡^		4,365		60
Micron Technology, Inc. ‡^		5,349		34
ON Semiconductor Corp. ‡		8,189		63
Texas Instruments, Inc. ^		3,027		88
Xilinx, Inc. ^		10,207		328
Software - 2.0%
Adobe Systems, Inc. ‡^		5,773		163
Microsoft Corp.		50,100		1,301
Oracle Corp.		23,031		591
Zynga, Inc. - Class A ‡^		3,129		29
Specialty Retail - 1.3%
AutoZone, Inc. ‡		1,117		363
Bed Bath & Beyond, Inc. ‡^		455		26
GameStop Corp. - Class A ‡^		704		17
Home Depot, Inc. ^		5,777		243
Lowe’s Cos., Inc.		13,262		337
Staples, Inc. ^		2,554		35
TJX Cos., Inc. ^		5,838		377
Textiles, Apparel & Luxury Goods - 0.6%
Nike, Inc. - Class B		3,850		371
V.F. Corp.		2,322		295
Tobacco - 0.9%
Altria Group, Inc. ^		12,797		379
Philip Morris International, Inc.		6,709		527
Wireless Telecommunication Services - 0.2%
Crown Castle International Corp. ‡		2,814		126
Sprint Nextel Corp. ‡^		35,779		84
Total Common Stocks (cost $59,552)				61,070
WARRANTS - 0.0% ¥
Automobiles - 0.0% ¥
General Motors Co. ‡
Expiration: 07/10/2019
Exercise Price: $18.33		1,742		14
General Motors Co. ‡^
Expiration: 07/10/2016
Exercise Price: $10.00		1,742		20
Oil, Gas & Consumable Fuels - 0.0% ¥
SemGroup Corp. ‡^
Expiration: 11/30/2014
Exercise Price: $25.00		68		¨
Total Warrants (cost $174)				34
	Notional Amount (000’s)		Value (000’s)
PURCHASED OPTIONS - 0.0% ¥
Call Options - 0.0% ¥
10-Year U.S. Treasury Note Future	$	4		2
Call Strike $132.00
Expires 01/27/2012
Euro	EUR	875	¨
Call Strike $1.45
Expires 02/17/2012

	Notional Amount (000’s)		Value (000’s)
Put Options - 0.0% ¥
10-Year U.S. Treasury Note Future	$	5	$	¿
Put Strike $128.00
Expires 01/27/2012
10-Year U.S. Treasury Note Future		10		¿
Put Strike $127.00
Expires 01/27/2012
Eurodollar Future		28		¿
Put Strike $99.00
Expires 01/13/2012
Eurodollar, Mid-Curve 1-Year Future		63		3
Put Strike $99.00
Expires 03/16/2012
Total Purchased Options (cost $25)				5

	Shares		Value (000’s)
SECURITIES LENDING COLLATERAL - 18.9%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		19,659,132		19,659
Total Securities Lending Collateral (cost $19,659)

	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 3.7%
State Street Bank & Trust Co. 0.03% p , dated 12/30/2011, to be repurchased at $3,895 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 3.00%, due 11/25/2040, and with a total value of $3,979.	$	3,895		3,895
Total Repurchase Agreement (cost $3,895)
Total Investment Securities (cost $134,976)				132,655
Other Assets and Liabilities - Net				(28,544	)
Net Assets			$	104,111

	Shares			Value (000’s)
SECURITIES SOLD SHORT - (6.6%)
COMMON STOCK - (0.0%) ¥
Oil, Gas & Consumable Fuels - (0.0%) ¥
WPX Energy, Inc. ‡		(896	)	$	(16	)
Total Common Stock (cost $(16))

	Principal (000’s)			Value (000’s)
U.S. GOVERNMENT AGENCY OBLIGATIONS - (6.6%)
Fannie Mae, TBA
3.50%	$	(1,900	)		(1,954	)
4.00%		(3,100	)		(3,248	)
5.00%		(100	)		(108	)
5.50%		(1,400	)		(1,522	)
Total U.S. Government Agency Obligations (cost $(6,783))					(6,832	)
Total Securities Sold Short (proceeds $(6,799))					(6,848	)

FUTURES CONTRACTS: €
Description	Type		Contracts			Expiration Date		Net Unrealized Appreciation (Depreciation) (000’s)
10-Year U.S. Treasury Note		Short		(14	)		03/21/2012	$	(6	)
2-Year U.S. Treasury Note		Long		5			03/30/2012		(¿	)
30-Year U.S. Treasury Bond		Long		1			03/21/2012		2
3-Month EURIBOR		Long		13			03/19/2012		4
3-Month EURIBOR		Long		2			03/17/2014		2
3-Month EURIBOR		Long		2			06/16/2014		2
3-Month EURIBOR		Long		2			09/15/2014		2
3-Month EURIBOR		Long		2			12/15/2014		2
5-Year U.S. Treasury Note		Short		(1	)		03/30/2012		(¿	)
90-Day Euro		Long		16			12/15/2014		9
90-Day Euro		Long		16			03/16/2015		12
German Euro Bund		Long		5			01/27/2012		(5	)
S&P 500 E-Mini Index		Long		15			03/16/2012		3
Ultra Long U.S. Treasury Bond		Long		8			03/21/2012		35
								$	62

FORWARD FOREIGN CURRENCY CONTRACTS:

Currency	Counterparty	Contracts Bought (Sold) (000’s)			Settlement Date	Amount in U.S. Dollars Bought (Sold) (000’s)			Net Unrealized Appreciation (Depreciation) (000’s)
Euro	RBS		125		01/25/2012	$	168		$	(7	)
Euro	DUB		(284	)	01/25/2012		(387	)		20
Euro	CITI		150		01/25/2012		200			(6	)
Euro	RBS		(320	)	01/25/2012		(436	)		22
									$	29

Collateral (Received) Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of 12/31/2011:

Counterparty	Total Market Value of OTC Derivatives (000’s)			Collateral (Received)/Pledged (000’s)	Net Exposures  (1) (000’s)
CITI	$	(6	)	$—	$	(6	)
DUB		20		—		20
RBS		15		—		15

⁽¹⁾  Net exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default.

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

g This security, in the amount of $70, has been segregated as collateral with the broker to cover margin requirements for open futures contracts.

€ Cash in the amount of $87 has been segregated as collateral with the broker to cover margin requirements for open futures contracts.

* Floating or variable rate note. Rate is listed as of 12/30/2011.

p Rate shown reflects the yield at 12/30/2011.

^{^}  All or a portion of this security is on loan. The value of all securities on loan is $19,226.

§ Illiquid. At 12/31/2011, the fair value of illiquid investment securities aggregated to less than $1, or less than 0.01%, of the portfolio’s net assets.

ž The security has a perpetual maturity. The date shown is the next call date.

In default.

¥ Percentage rounds to less than 0.1%.

Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. These securities had a fair value of less than $1, or less than 0.01%, of the portfolio’s net assets.

Payment in-kind. Securities pay interest or dividends in the form of additional bonds or preferred stock.

‡ Non-income producing security.

Aggregate cost for federal income tax purposes is $137,473. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $2,259 and $7,077, respectively. Net unrealized depreciation for tax purposes is $4,818.

¿ Amount is less than 1.

DEFINITIONS (all amounts in thousands):

144A 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2011, these securities aggregated $6,345, or 6.09%, of the portfolio’s net assets.

ADR American Depositary Receipt

CITI Citigroup, Inc

DUB Deutsche Bank AG

EURIBOR Euro InterBank Offered Rate

REMIC Real Estate Mortgage Investment Conduits (consist of a fixed pool of mortgages broken apart and marketed to investors as individual securities)

RBS Royal Bank of Scotland Group PLC

STRIPS Separate Trading of Registered Interest and Principal of Securities

TBA To Be Announced

CURRENCY ABBREVIATION:

EUR Euro

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs			Value at 12/31/2011
Asset-Backed Securities	$	—	$	2,114	$	—		$	2,114
Common Stocks		58,850		2,220		—			61,070
Corporate Debt Securities		—		13,313		¨			13,313
Foreign Government Obligations		—		2,222		—			2,222
Mortgage-Backed Securities		—		5,728		—			5,728
Municipal Government Obligations		—		112		—			112
Preferred Corporate Debt Securities		—		159		—			159
Preferred Stocks		80		—		—			80
Purchased Options		5		¨		—			5
Repurchase Agreement		—		3,895		—			3,895
Securities Lending Collateral		19,659		—		—			19,659
U.S. Government Agency Obligations		—		22,769		—			22,769
U.S. Government Obligations		—		1,495		—			1,495
Warrants		34		—		—			34
Total	$	78,628	$	54,027	$		¨	$	132,655

Securities Sold Short	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stock	$	(16	)	$	—		$	—	$	(16	)
U.S. Government Agency Obligations		—			(6,832	)		—		(6,832	)
Total	$	(16	)	$	(6,832	)	$	—	$	(6,848	)

Other Financial Instruments	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Futures Contracts - Appreciation	$	73		$	—		$	—	$	73
Futures Contracts - Depreciation		(11	)		—			—		(11	)
Forward Foreign Currency Contracts - Appreciation		—			42			—		42
Forward Foreign Currency Contracts - Depreciation		—			(13	)		—		(13	)
Total	$	62		$	29		$	—	$	91

Level 3 Rollforward - Investment Securities

Securities

Beginning Balance at 12/31/2010

Purchases

Sales

Accrued Discounts/ (Premiums)

Total Realized Gain/(Loss)

Net Change in Unrealized Appreciation/ (Depreciation)

Transfers into Level 3 y

Transfers out of Level 3

Ending Balance at 12/31/2011

Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2011 ƒ

Corporate Debt Securities

$

¨

$

—

$

(¨)

$

—

$

¨

$

¨

$

¨

$

(¨)

$

¨

$

—

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

Other financial instruments are derivative instruments that are valued at unrealized appreciation (depreciation) on the instrument.

ƒ Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at 12/31/2011 may be due to an investment no longer held or categorized as Level 3 at period end.

y Transferred into Level 3 because of unavailability of observable inputs.

Transferred out of Level 3 because of availability of observable inputs.

¨ Amount rounds to less than 1.

	Shares		Value (000’s)
COMMON STOCKS - 98.6%
Aerospace & Defense - 2.5%
Lockheed Martin Corp. Ù		80,500	$	6,512
Northrop Grumman Corp. Ù		154,200		9,018
Raytheon Co.		138,100		6,681
Airlines - 0.4%
Delta Air Lines, Inc. ‡		407,200		3,294
Auto Components - 1.0%
Goodyear Tire & Rubber Co. ‡		607,600		8,610
Biotechnology - 1.0%
Gilead Sciences, Inc. ‡		204,200		8,358
Capital Markets - 0.5%
Ameriprise Financial, Inc.		83,000		4,120
Chemicals - 1.2%
Agrium, Inc. Ù		49,200		3,302
Eastman Chemical Co.		129,600		5,062
Huntsman Corp.		243,100		2,431
Commercial Banks - 9.4%
Fifth Third Bancorp		773,000		9,833
Huntington Bancshares, Inc.		1,311,200		7,198
KeyCorp		1,056,300		8,123
PNC Financial Services Group, Inc.		235,600		13,587
Regions Financial Corp.		1,288,800		5,542
U.S. Bancorp		404,700		10,947
Wells Fargo & Co.		988,800		27,250
Communications Equipment - 1.5%
Cisco Systems, Inc.		744,400		13,459
Construction & Engineering - 0.8%
KBR, Inc.		255,600		7,124
Consumer Finance - 2.4%
American Express Co.		128,000		6,038
Capital One Financial Corp. Ù		152,000		6,428
Discover Financial Services		357,400		8,577
Diversified Consumer Services - 1.0%
Apollo Group, Inc. - Class A ‡		161,600		8,705
Diversified Financial Services - 5.4%
Bank of America Corp.		596,800		3,318
Citigroup, Inc.		512,700		13,489
JPMorgan Chase & Co.		823,700		27,389
NASDAQ OMX Group ‡		142,000		3,480
Diversified Telecommunication Services - 4.5%
AT&T, Inc.		597,400		18,065
Verizon Communications, Inc.		534,700		21,453
Electric Utilities - 3.9%
Edison International		255,400		10,574
Entergy Corp.		143,000		10,446
Exelon Corp.		198,900		8,626
NV Energy, Inc.		271,000		4,431
Food & Staples Retailing - 3.9%
CVS Caremark Corp.		230,200		9,388
Kroger Co.		369,500		8,949
Safeway, Inc. Ù		396,100		8,334
Walgreen Co.		235,000		7,769
Health Care Providers & Services - 8.3%
Aetna, Inc.		248,900		10,501
AmerisourceBergen Corp. - Class A		203,200		7,557
Cardinal Health, Inc.		220,100		8,938
CIGNA Corp.		113,500		4,767
Health Net, Inc. ‡		246,000		7,483
Humana, Inc.		83,800		7,342
McKesson Corp.		45,800		3,568
UnitedHealth Group, Inc.		223,000		11,302
WellPoint, Inc.		167,500		11,097
Hotels, Restaurants & Leisure - 0.3%
Wyndham Worldwide Corp.		69,700		2,637
Household Durables - 0.4%
Whirlpool Corp. Ù		75,900		3,601
Household Products - 0.6%
Procter & Gamble Co.		84,500		5,637

	Shares		Value (000’s)
Independent Power Producers & Energy Traders - 0.7%
Constellation Energy Group, Inc.		159,100	$	6,311
Industrial Conglomerates - 1.8%
General Electric Co.		869,100		15,566
Insurance - 6.2%
ACE, Ltd.		155,500		10,904
Aflac, Inc.		73,800		3,193
Assurant, Inc.		189,500		7,781
Chubb Corp.		177,400		12,279
Lincoln National Corp.		206,000		4,001
Reinsurance Group of America, Inc. - Class A		62,500		3,266
Torchmark Corp.		105,150		4,562
Travelers Cos., Inc.		144,300		8,538
IT Services - 0.7%
Visa, Inc. - Class A		63,600		6,457
Machinery - 1.1%
Gardner Denver, Inc.		79,900		6,158
Timken Co.		98,900		3,828
Media - 4.9%
CBS Corp. - Class B		376,200		10,210
Comcast Corp. - Class A		355,800		8,436
DIRECTV - Class A ‡		227,200		9,715
Time Warner Cable, Inc.		100,900		6,414
Viacom, Inc. - Class B		176,500		8,015
Metals & Mining - 1.0%
Freeport-McMoRan Copper & Gold, Inc.		234,100		8,613
Multiline Retail - 0.7%
Family Dollar Stores, Inc.		43,100		2,485
Kohl’s Corp.		65,400		3,228
Multi-Utilities - 2.6%
Ameren Corp.		80,400		2,664
Public Service Enterprise Group, Inc.		309,900		10,229
Sempra Energy		175,100		9,631
Oil, Gas & Consumable Fuels - 13.2%
Chevron Corp.		331,700		35,292
ConocoPhillips		286,600		20,885
Exxon Mobil Corp.		213,100		18,062
Hess Corp.		59,300		3,368
Marathon Oil Corp.		131,100		3,837
Marathon Petroleum Corp.		135,000		4,494
Murphy Oil Corp.		196,500		10,953
Tesoro Corp. ‡Ù		397,800		9,293
Valero Energy Corp.		427,300		8,995
Paper & Forest Products - 0.4%
Domtar Corp.		47,400		3,790
Personal Products - 0.4%
Herbalife, Ltd.		75,600		3,906
Pharmaceuticals - 3.9%
Merck & Co., Inc.		266,500		10,047
Pfizer, Inc.		1,098,000		23,761
Road & Rail - 1.2%
Norfolk Southern Corp.		47,900		3,490
Ryder System, Inc.		137,100		7,285
Semiconductors & Semiconductor Equipment - 2.6%
Intel Corp.		928,600		22,519
Software - 3.8%
Activision Blizzard, Inc.		812,400		10,009
Amdocs, Ltd. ‡		118,600		3,384
CA, Inc.		185,100		3,742
Microsoft Corp.		349,000		9,060
Symantec Corp. ‡		459,200		7,186
Specialty Retail - 1.4%
AutoZone, Inc. ‡		10,800		3,510
Bed Bath & Beyond, Inc. ‡		66,100		3,832
Best Buy Co., Inc. Ù		142,200		3,323
Gap, Inc.		82,900		1,538
Textiles, Apparel & Luxury Goods - 0.9%
Coach, Inc.		131,300		8,015

	Shares		Value (000’s)
Tobacco - 2.1%
Lorillard, Inc.		55,800	$	6,361
Philip Morris International, Inc.		157,600		12,369
Total Common Stocks (cost $796,123)				865,130
SECURITIES LENDING COLLATERAL - 3.8%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		33,249,401		33,249
Total Securities Lending Collateral (cost $33,249)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 1.3%
State Street Bank & Trust Co. 0.03% p , dated 12/30/2011, to be repurchased at $11,609 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $11,846.	$	11,609		11,609
Total Repurchase Agreement (cost $11,609)
Total Investment Securities (cost $840,981)
				909,988
Other Assets and Liabilities - Net				(32,222	)
Net Assets			$	877,766

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^Ù All or a portion of this security is on loan. The value of all securities on loan is $32,518.

‡ Non-income producing security.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $845,902. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $102,709 and $38,623, respectively. Net unrealized appreciation for tax purposes is $64,086.

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	850,842	$	14,288	$	—	$	865,130
Repurchase Agreement		—		11,609		—		11,609
Securities Lending Collateral		33,249		—		—		33,249
Total	$	884,091	$	25,897	$	—	$	909,988

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Shares		Value (000’s)
COMMON STOCKS - 97.9%
Aerospace & Defense - 4.0%
General Dynamics Corp.		14,200	$	943
Lockheed Martin Corp. Ù		38,300		3,099
Northrop Grumman Corp. Ù		41,900		2,450
Raytheon Co.		57,900		2,801
Airlines - 0.4%
Delta Air Lines, Inc. ‡		112,900		913
Auto Components - 0.9%
Goodyear Tire & Rubber Co. ‡		152,600		2,162
Beverages - 0.5%
Hansen Natural Corp. ‡		12,700		1,170
Biotechnology - 1.6%
Celgene Corp. ‡		15,400		1,041
Gilead Sciences, Inc. ‡		64,200		2,628
Chemicals - 1.7%
Agrium, Inc. Ù		24,400		1,637
Eastman Chemical Co.		63,200		2,469
Commercial Banks - 5.3%
Fifth Third Bancorp		175,500		2,232
Huntington Bancshares, Inc.		152,800		839
KeyCorp		271,500		2,088
PNC Financial Services Group, Inc.		37,700		2,174
U.S. Bancorp		51,100		1,382
Wells Fargo & Co.		136,900		3,773
Communications Equipment - 1.6%
Cisco Systems, Inc.		208,000		3,761
Computers & Peripherals - 4.1%
Apple, Inc. ‡		24,000		9,720
Construction & Engineering - 0.4%
Fluor Corp.		16,900		849
Consumer Finance - 2.3%
American Express Co.		24,700		1,165
Capital One Financial Corp. Ù		41,000		1,734
Discover Financial Services		101,700		2,441
Diversified Consumer Services - 1.1%
Apollo Group, Inc. - Class A ‡		49,600		2,672
Diversified Financial Services - 2.8%
Citigroup, Inc.		63,000		1,658
JPMorgan Chase & Co.		148,700		4,944
Diversified Telecommunication Services - 2.8%
AT&T, Inc.		57,800		1,748
Verizon Communications, Inc.		120,200		4,822
Electric Utilities - 2.1%
Edison International		59,200		2,451
Entergy Corp.		33,900		2,476
Food & Staples Retailing - 5.5%
CVS Caremark Corp.		64,400		2,626
Kroger Co.		123,700		2,996
Safeway, Inc. Ù		47,300		995
SUPERVALU, Inc. Ù		119,300		969
Walgreen Co.		70,400		2,327
Wal-Mart Stores, Inc.		52,300		3,126
Food Products - 0.9%
Dean Foods Co. ‡		180,800		2,025
Health Care Providers & Services - 8.2%
Aetna, Inc.		68,600		2,894
AmerisourceBergen Corp. - Class A		65,100		2,421
Cardinal Health, Inc.		54,700		2,221
CIGNA Corp.		28,700		1,205
Humana, Inc.		30,500		2,672
McKesson Corp.		24,400		1,901
UnitedHealth Group, Inc.		62,900		3,189
WellPoint, Inc.		40,700		2,696
Hotels, Restaurants & Leisure - 0.8%
Wyndham Worldwide Corp.		51,400		1,944
Household Products - 1.2%
Procter & Gamble Co.		42,400		2,829
Independent Power Producers & Energy Traders - 0.6%
Constellation Energy Group, Inc.		33,600		1,333

	Shares		Value (000’s)
Industrial Conglomerates - 1.6%
General Electric Co.		212,400	$	3,804
Insurance - 2.4%
ACE, Ltd.		37,000		2,594
Aflac, Inc.		22,100		956
Chubb Corp.		30,800		2,132
IT Services - 3.2%
International Business Machines Corp.		25,600		4,708
Mastercard, Inc. - Class A		3,000		1,118
Visa, Inc. - Class A		15,900		1,614
Machinery - 1.4%
Caterpillar, Inc.		12,600		1,142
Cummins, Inc.		13,800		1,214
Parker Hannifin Corp.		11,800		900
Media - 6.2%
CBS Corp. - Class B		95,600		2,595
Comcast Corp. - Class A		61,500		1,458
DIRECTV - Class A ‡		66,400		2,839
Discovery Communications, Inc. - Series A ‡		23,100		946
Time Warner Cable, Inc.		39,100		2,486
Time Warner, Inc.		49,400		1,785
Viacom, Inc. - Class B		52,700		2,393
Metals & Mining - 1.3%
Freeport-McMoRan Copper & Gold, Inc.		83,600		3,076
Multiline Retail - 0.3%
Family Dollar Stores, Inc.		10,500		605
Multi-Utilities - 0.6%
Public Service Enterprise Group, Inc.		40,500		1,337
Oil, Gas & Consumable Fuels - 12.9%
Chevron Corp.		65,500		6,969
ConocoPhillips		64,000		4,664
Exxon Mobil Corp.		122,800		10,410
Hess Corp.		18,800		1,068
Marathon Petroleum Corp.		34,250		1,140
Murphy Oil Corp.		36,400		2,029
Tesoro Corp. ‡		83,100		1,941
Valero Energy Corp.		116,200		2,446
Personal Products - 0.6%
Herbalife, Ltd.		25,300		1,307
Pharmaceuticals - 2.0%
Merck & Co., Inc.		31,300		1,180
Pfizer, Inc.		160,800		3,480
Road & Rail - 1.5%
Norfolk Southern Corp.		12,700		925
Ryder System, Inc.		17,100		909
Union Pacific Corp.		16,900		1,790
Semiconductors & Semiconductor Equipment - 2.3%
Intel Corp.		186,900		4,533
LSI Corp. ‡		149,800		891
Software - 6.2%
Activision Blizzard, Inc.		188,100		2,317
Amdocs, Ltd. ‡		31,600		902
CA, Inc.		103,800		2,098
Microsoft Corp.		249,100		6,467
Symantec Corp. ‡		179,600		2,811
Specialty Retail - 1.9%
AutoZone, Inc. ‡		6,600		2,145
Bed Bath & Beyond, Inc. ‡		28,700		1,664
Best Buy Co., Inc. Ù		33,000		771
Textiles, Apparel & Luxury Goods - 1.5%
Coach, Inc.		42,800		2,613
Nike, Inc. - Class B		9,900		954
Tobacco - 3.0%
Lorillard, Inc.		15,300		1,744
Philip Morris International, Inc.		68,600		5,384
Wireless Telecommunication Services - 0.2%
MetroPCS Communications, Inc. ‡		59,700		518
Total Common Stocks (cost $209,305)				230,383

	Shares		Value (000’s)
SECURITIES LENDING COLLATERAL - 3.3%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		7,698,478	$	7,698
Total Securities Lending Collateral (cost $7,698)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 1.9%
State Street Bank & Trust Co. 0.03% p , dated 12/30/2011, to be repurchased at $4,490 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $4,580.	$	4,490		4,490
Total Repurchase Agreement (cost $4,490)
Total Investment Securities (cost $221,493)				242,571
Other Assets and Liabilities - Net				(7,367	)
Net Assets			$	235,204

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

Ù All or a portion of this security is on loan. The value of all securities on loan is $7,513.

‡ Non-income producing security.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $225,199. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $25,793 and $8,421, respectively. Net unrealized appreciation for tax purposes is $17,372.

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	226,887	$	3,496	$	—	$	230,383
Repurchase Agreement		—		4,490		—		4,490
Securities Lending Collateral		7,698		—		—		7,698
Total	$	234,585	$	7,986	$	—	$	242,571

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Shares		Value (000’s)
COMMON STOCKS - 99.5%
Aerospace & Defense - 3.9%
Boeing Co.		211,867	$	15,539
Honeywell International, Inc.		114,067		6,200
Precision Castparts Corp.		77,729		12,809
United Technologies Corp.		69,839		5,105
Auto Components - 0.5%
BorgWarner, Inc. ‡^		81,360		5,186
Automobiles - 0.8%
Bayerische Motoren Werke AG ADR		142,306		3,163
Harley-Davidson, Inc.		138,035		5,366
Beverages - 0.5%
Coca-Cola Co.		79,006		5,528
Biotechnology - 2.9%
Alexion Pharmaceuticals, Inc. ‡		61,890		4,425
Amgen, Inc.		148,180		9,515
Celgene Corp. ‡		149,385		10,098
Gilead Sciences, Inc. ‡		35,638		1,459
Vertex Pharmaceuticals, Inc. ‡		108,092		3,590
Capital Markets - 0.5%
Goldman Sachs Group, Inc.		51,678		4,673
Chemicals - 1.9%
CF Industries Holdings, Inc.		13,950		2,022
E.I. du Pont de Nemours & Co.		70,953		3,248
Monsanto Co.		162,382		11,379
Sherwin-Williams Co.		33,867		3,023
Communications Equipment - 4.9%
Cisco Systems, Inc.		1,370,595		24,780
Emulex Corp. ‡		301,727		2,070
F5 Networks, Inc. ‡		20,850		2,213
Juniper Networks, Inc. ‡		90,936		1,856
QUALCOMM, Inc.		308,696		16,886
Riverbed Technology, Inc. ‡		102,912		2,418
Computers & Peripherals - 11.3%
Apple, Inc. ‡		153,659		62,231
Dell, Inc. ‡		281,781		4,122
EMC Corp. ‡		1,131,082		24,364
NetApp, Inc. ‡		301,182		10,924
QLogic Corp. ‡		573,555		8,603
SanDisk Corp. ‡		72,510		3,568
Consumer Finance - 1.4%
American Express Co.		302,824		14,284
Diversified Consumer Services - 1.1%
Apollo Group, Inc. - Class A ‡		118,960		6,408
ITT Educational Services, Inc. ‡^		84,876		4,829
Electrical Equipment - 0.1%
Roper Industries, Inc.		15,812		1,374
Energy Equipment & Services - 3.6%
Baker Hughes, Inc.		26,555		1,292
Cameron International Corp. ‡		68,875		3,388
Core Laboratories NV		36,817		4,195
Diamond Offshore Drilling, Inc. ^		102,286		5,652
National Oilwell Varco, Inc.		122,786		8,348
Oceaneering International, Inc.		102,603		4,733
Schlumberger, Ltd.		131,189		8,962
Food & Staples Retailing - 2.1%
Costco Wholesale Corp.		163,191		13,597
Whole Foods Market, Inc.		113,139		7,872
Food Products - 0.6%
Mead Johnson Nutrition Co. - Class A		92,010		6,324
Health Care Equipment & Supplies - 1.1%
Edwards Lifesciences Corp. ‡		21,514		1,521
Hologic, Inc. ‡		225,187		3,943
Intuitive Surgical, Inc. ‡		12,057		5,583
Health Care Providers & Services - 1.9%
AmerisourceBergen Corp. - Class A		72,672		2,703
Cardinal Health, Inc.		70,195		2,851
Express Scripts, Inc. ‡		106,370		4,754
UnitedHealth Group, Inc.		185,855		9,418

	Shares		Value (000’s)
Hotels, Restaurants & Leisure - 3.7%
Chipotle Mexican Grill, Inc. - Class A ‡^		21,145	$	7,142
Dunkin’ Brands Group, Inc. ‡		103,754		2,592
McDonald’s Corp.		93,925		9,423
Starbucks Corp.		390,205		17,953
Industrial Conglomerates - 1.0%
General Electric Co.		372,365		6,669
Tyco International, Ltd.		70,023		3,271
Internet & Catalog Retail - 3.1%
Amazon.com, Inc. ‡		127,261		22,029
priceline.com, Inc. ‡		20,030		9,368
Internet Software & Services - 5.5%
Baidu, Inc. ADR ‡		78,976		9,198
eBay, Inc. ‡		215,458		6,535
Google, Inc. - Class A ‡		40,461		26,133
IAC/InterActiveCorp ^		173,389		7,386
LinkedIn Corp. - Class A ‡^		44,654		2,814
Tencent Holdings, Ltd.		151,389		3,041
Youku, Inc. ADR ‡^		26,715		419
IT Services - 6.1%
Cognizant Technology Solutions Corp. - Class A ‡		91,625		5,892
International Business Machines Corp.		194,494		35,764
Mastercard, Inc. - Class A		40,995		15,284
Visa, Inc. - Class A		50,883		5,166
Life Sciences Tools & Services - 1.9%
Agilent Technologies, Inc. ‡		171,926		6,005
Bruker Corp. ‡		146,949		1,825
Illumina, Inc. ‡^		88,245		2,690
Life Technologies Corp. ‡		49,158		1,913
Waters Corp. ‡		98,428		7,289
Machinery - 2.5%
Caterpillar, Inc.		112,304		10,174
Cummins, Inc.		29,285		2,578
Dover Corp.		49,691		2,885
Joy Global, Inc.		53,560		4,015
Parker Hannifin Corp.		81,993		6,252
Media - 2.2%
DIRECTV - Class A ‡		70,478		3,014
News Corp. - Class A		262,017		4,674
Omnicom Group, Inc.		163,707		7,298
Sirius XM Radio, Inc. ‡^		852,535		1,552
Walt Disney Co.		143,573		5,384
Metals & Mining - 1.5%
Cliffs Natural Resources, Inc.		49,808		3,106
Freeport-McMoRan Copper & Gold, Inc.		107,466		3,953
Rio Tinto PLC ADR		57,076		2,792
Teck Resources, Ltd. - Class B ^		82,031		2,887
Walter Energy, Inc.		35,073		2,124
Oil, Gas & Consumable Fuels - 5.6%
Anadarko Petroleum Corp.		118,350		9,034
Canadian Natural Resources, Ltd. ^		73,286		2,739
Concho Resources, Inc. ‡		56,342		5,282
EOG Resources, Inc.		46,582		4,589
Exxon Mobil Corp.		199,831		16,937
Occidental Petroleum Corp.		140,001		13,118
Valero Energy Corp.		250,598		5,275
Personal Products - 0.8%
Estee Lauder Cos., Inc. - Class A		75,094		8,435
Pharmaceuticals - 4.7%
Abbott Laboratories		91,860		5,165
Allergan, Inc.		105,809		9,284
Bristol-Myers Squibb Co.		181,742		6,405
Johnson & Johnson		90,499		5,935
Novo Nordisk A/S ADR		77,911		8,980
Shire PLC ADR		117,902		12,250
Road & Rail - 0.7%
Union Pacific Corp.		64,164		6,798
Semiconductors & Semiconductor Equipment - 4.0%
Altera Corp.		505,708		18,763

	Shares		Value (000’s)
Semiconductors & Semiconductor Equipment (continued)
Analog Devices, Inc.		136,506	$	4,884
ARM Holdings PLC ADR		99,071		2,741
Avago Technologies, Ltd.		124,477		3,592
Broadcom Corp. - Class A ‡		69,694		2,046
Intersil Corp. - Class A ^		299,262		3,124
Xilinx, Inc.		184,113		5,903
Software - 7.9%
Autodesk, Inc. ‡		99,643		3,022
BMC Software, Inc. ‡		50,945		1,670
Check Point Software Technologies, Ltd. ‡		84,899		4,461
Citrix Systems, Inc. ‡		50,827		3,086
Microsoft Corp.		698,715		18,139
Oracle Corp.		894,611		22,946
Red Hat, Inc. ‡		171,814		7,094
Salesforce.com, Inc. ‡^		90,884		9,221
Symantec Corp. ‡		75,612		1,183
VMware, Inc. - Class A ‡		97,883		8,143
Specialty Retail - 3.2%
Bed Bath & Beyond, Inc. ‡		121,201		7,026
Buckle, Inc. ^		48,641		1,988
Inditex SA		43,833		3,590
Lowe’s Cos., Inc.		166,060		4,215
PetSmart, Inc.		57,464		2,947
Ross Stores, Inc.		105,140		4,997
Tiffany & Co.		58,116		3,851
TJX Cos., Inc.		65,750		4,244
Textiles, Apparel & Luxury Goods - 4.4%
Burberry Group PLC		234,496		4,315
Coach, Inc.		156,117		9,529
Deckers Outdoor Corp. ‡^		25,643		1,938
Lululemon Athletica, Inc. ‡^		119,418		5,572
LVMH Moet Hennessy Louis Vuitton SA		10,172		1,440
Nike, Inc. - Class B		110,906		10,688
Ralph Lauren Corp. - Class A		78,123		10,788

	Shares		Value (000’s)
Tobacco - 0.7%
Philip Morris International, Inc.		97,085	$	7,619
Wireless Telecommunication Services - 0.9%
American Tower Corp. - Class A		159,134		9,550
Total Common Stocks (cost $922,732)				1,011,424
SECURITIES LENDING COLLATERAL - 3.5%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		35,781,619		35,782
Total Securities Lending Collateral (cost $35,782)

	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 0.4%
State Street Bank & Trust Co. 0.03% p, dated 12/30/2011, to be repurchased at $4,105 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 3.00%, due 11/25/2040, and with a total value of $4,194.	$	4,105		4,105
Total Repurchase Agreement (cost $4,105)
Total Investment Securities (cost $962,619)				1,051,311
Other Assets and Liabilities - Net				(35,004	)
Net Assets			$	1,016,307

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $34,987.

‡ Non-income producing security.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $974,028. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $125,962 and $48,679, respectively. Net unrealized appreciation for tax purposes is $77,283.

DEFINITION:

ADR American Depositary Receipt

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	956,634	$	54,790	$	—	$	1,011,424
Repurchase Agreements		—		4,105		—		4,105
Securities Lending Collateral		35,782		—		—		35,782
Total	$	992,416	$	58,895	$	—	$	1,051,311

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Shares		Value (000’s)
COMMON STOCKS - 97.1%
Aerospace & Defense - 0.7%
Alliant Techsystems, Inc.		48,000	$	2,744
L-3 Communications Holdings, Inc.		32,800		2,187
Beverages - 1.3%
Beam, Inc.		105,900		5,425
Brown-Forman Corp. - Class B		22,900		1,844
Dr. Pepper Snapple Group, Inc.		57,600		2,274
Building Products - 0.3%
Fortune Brands Home & Security, Inc. ‡		129,300		2,202
Capital Markets - 3.6%
Ameriprise Financial, Inc.		124,500		6,180
Invesco, Ltd.		188,850		3,794
Northern Trust Corp.		189,400		7,511
State Street Corp.		131,100		5,285
T. Rowe Price Group, Inc.		73,200		4,169
Chemicals - 4.4%
Air Products & Chemicals, Inc.		63,750		5,431
Airgas, Inc.		136,400		10,650
Albemarle Corp.		76,620		3,947
Ashland, Inc.		86,650		4,953
Sherwin-Williams Co.		47,500		4,240
Sigma-Aldrich Corp.		64,100		4,004
Commercial Banks - 4.5%
BancorpSouth, Inc. ^		77,200		851
City National Corp. ^		74,600		3,296
Cullen/Frost Bankers, Inc. ^		60,400		3,196
Fifth Third Bancorp		678,800		8,634
Huntington Bancshares, Inc.		237,400		1,303
M&T Bank Corp. ^		61,700		4,710
SunTrust Banks, Inc.		605,400		10,715
Zions Bancorporation		108,100		1,760
Commercial Services & Supplies - 2.8%
Avery Dennison Corp.		137,560		3,945
Republic Services, Inc. - Class A		621,700		17,128
Communications Equipment - 1.6%
Motorola Solutions, Inc.		264,950		12,265
Computers & Peripherals - 0.7%
NetApp, Inc. ‡		151,100		5,480
Containers & Packaging - 1.8%
Ball Corp.		163,100		5,824
Rock-Tenn Co. - Class A		57,300		3,306
Silgan Holdings, Inc.		103,900		4,015
Distributors - 0.5%
Genuine Parts Co.		63,000		3,856
Diversified Financial Services - 1.0%
NYSE Euronext		296,700		7,744
Diversified Telecommunication Services - 0.4%
CenturyLink, Inc.		75,000		2,790
Electric Utilities - 4.3%
Edison International		154,900		6,413
Northeast Utilities		59,700		2,153
NV Energy, Inc.		237,700		3,886
PPL Corp.		310,000		9,121
Westar Energy, Inc.		180,700		5,201
Wisconsin Energy Corp.		144,800		5,062
Electrical Equipment - 2.4%
AMETEK, Inc.		95,600		4,025
Cooper Industries PLC - Class A		186,850		10,118
Regal Beloit Corp. ^		76,600		3,904
Electronic Equipment & Instruments - 2.4%
Amphenol Corp. - Class A		102,320		4,644
Arrow Electronics, Inc. ‡		105,300		3,939
TE Connectivity, Ltd.		303,800		9,361
Energy Equipment & Services - 0.7%
Cameron International Corp. ‡		108,300		5,327
Food Products - 4.0%
General Mills, Inc.		212,900		8,603
Hershey Co.		44,500		2,749
JM Smucker Co.		126,100		9,857

	Shares		Value (000’s)
Food Products (continued)
Mead Johnson Nutrition Co. - Class A		51,300	$	3,526
Ralcorp Holdings, Inc. ‡		57,000		4,874
Gas Utilities - 1.1%
EQT Corp.		52,720		2,889
Oneok, Inc.		63,900		5,539
Health Care Equipment & Supplies - 3.7%
Becton, Dickinson and Co.		47,500		3,549
Hospira, Inc. ‡^		211,050		6,410
St. Jude Medical, Inc.		287,500		9,861
Stryker Corp.		156,600		7,785
Health Care Providers & Services - 4.1%
AmerisourceBergen Corp. - Class A		126,700		4,712
CIGNA Corp.		287,100		12,058
Coventry Health Care, Inc. ‡		91,900		2,791
HCA Holdings, Inc. ‡		77,200		1,701
Humana, Inc.		49,180		4,309
Lincare Holdings, Inc.		205,850		5,292
Hotels, Restaurants & Leisure - 2.7%
Darden Restaurants, Inc. ^		91,599		4,175
Intercontinental Hotels Group PLC ADR		167,020		3,005
Marriott International, Inc. - Class A		165,166		4,818
Royal Caribbean Cruises, Ltd. ^		51,540		1,277
Starwood Hotels & Resorts Worldwide, Inc. ^		73,200		3,511
Yum! Brands, Inc.		64,400		3,800
Household Durables - 4.2%
Jarden Corp.		71,700		2,142
Mohawk Industries, Inc. ‡		48,300		2,891
Newell Rubbermaid, Inc.		470,800		7,603
Snap-On, Inc.		76,706		3,883
Stanley Black & Decker, Inc.		220,000		14,872
Household Products - 0.5%
Energizer Holdings, Inc. ‡		44,600		3,456
Industrial Conglomerates - 3.2%
Carlisle Cos., Inc.		91,500		4,053
Tyco International, Ltd.		423,100		19,763
Insurance - 8.2%
Arch Capital Group, Ltd. ‡		198,300		7,383
Chubb Corp.		52,200		3,613
Loews Corp.		182,900		6,886
Marsh & McLennan Cos., Inc.		148,600		4,699
Old Republic International Corp. ^		294,900		2,734
OneBeacon Insurance Group, Ltd. - Class A^		131,255		2,020
Principal Financial Group, Inc.		229,000		5,633
Torchmark Corp.		42,700		1,853
Transatlantic Holdings, Inc.		83,400		4,564
Willis Group Holdings PLC		148,900		5,777
WR Berkley Corp.		163,000		5,606
XL Group PLC - Class A		563,600		11,142
Internet & Catalog Retail - 0.9%
Expedia, Inc. ^		56,350		1,635
Liberty Interactive Corp. ‡		229,400		3,720
TripAdvisor, Inc. ‡^		56,350		1,421
IT Services - 1.6%
Fidelity National Information Services, Inc.		120,700		3,209
Western Union Co.		462,800		8,451
Leisure Equipment & Products - 0.3%
Hasbro, Inc.		60,000		1,913
Machinery - 1.4%
Dover Corp.		102,300		5,938
Eaton Corp.		104,400		4,545
Media - 2.4%
AMC Networks, Inc. ‡		27,590		1,037
Cablevision Systems Corp. - Class A		76,060		1,082
CBS Corp. - Class B		287,700		7,809
Clear Channel Outdoor Holdings, Inc. - Class A ‡		117,961		1,480
DISH Network Corp. - Class A		115,500		3,289
Gannett Co., Inc. ^		172,100		2,301

	Shares		Value (000’s)
Media (continued)
Washington Post Co. - Class B		2,400	$	904
Metals & Mining - 0.5%
Allegheny Technologies, Inc.		71,000		3,394
Multiline Retail - 2.1%
Family Dollar Stores, Inc.		53,500		3,085
Kohl’s Corp.		83,460		4,119
Nordstrom, Inc.		172,750		8,587
Multi-Utilities - 4.9%
CenterPoint Energy, Inc.		117,380		2,358
CMS Energy Corp. ^		613,200		13,538
NSTAR		92,200		4,330
Sempra Energy		87,200		4,796
Xcel Energy, Inc.		438,200		12,112
Oil, Gas & Consumable Fuels - 4.3%
CVR Energy, Inc. ‡		55,300		1,036
Devon Energy Corp.		78,800		4,886
El Paso Corp.		335,900		8,924
Energen Corp.		142,721		7,136
Newfield Exploration Co. ‡		63,100		2,381
Teekay Corp. ^		56,490		1,510
Williams Cos., Inc.		190,500		6,290
Real Estate Investment Trusts - 1.2%
HCP, Inc.		74,600		3,091
Regency Centers Corp.		81,500		3,066
Vornado Realty Trust		40,037		3,077
Real Estate Management & Development - 0.9%
Brookfield Office Properties, Inc.		184,500		2,886
CBRE Group, Inc. - Class A ‡		229,700		3,496
Semiconductors & Semiconductor Equipment - 2.3%
Analog Devices, Inc.		111,740		3,998
LSI Corp. ‡		1,284,600		7,644
Maxim Integrated Products, Inc.		202,500		5,273
Software - 3.2%
BMC Software, Inc. ‡		157,330		5,157
Jack Henry & Associates, Inc. ^		138,900		4,668
Parametric Technology Corp. ‡		260,550		4,758
Rovi Corp. ‡		220,800		5,427
Synopsys, Inc. ‡		149,800		4,075

	Shares		Value (000’s)
Specialty Retail - 3.6%
AutoZone, Inc. ‡		12,900	$	4,192
Bed Bath & Beyond, Inc. ‡		62,400		3,617
Gap, Inc.		172,700		3,204
Limited Brands, Inc.		92,700		3,740
PetSmart, Inc.		48,600		2,493
Tiffany & Co.		41,600		2,756
TJX Cos., Inc.		82,700		5,339
Williams-Sonoma, Inc.		35,300		1,359
Textiles, Apparel & Luxury Goods - 0.5%
PVH Corp.		50,500		3,560
Thrifts & Mortgage Finance - 0.6%
Capitol Federal Financial, Inc.		119,800		1,382
People’s United Financial, Inc. ^		259,200		3,331
Water Utilities - 0.9%
American Water Works Co., Inc.		219,100		6,981
Wireless Telecommunication Services - 0.4%
Telephone & Data Systems, Inc.
(Special Shares) - Class L		118,763		2,828
Total Common Stocks (cost $674,374)				727,090
SECURITIES LENDING COLLATERAL - 5.0%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		37,586,548		37,587
Total Securities Lending Collateral (cost $37,587)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 2.2%
State Street Bank & Trust Co. 0.03% p , dated 12/30/2011, to be repurchased at $16,112 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 3.00%, due 11/25/2040, and with a total value of $16,440.	$	16,111		16,111
Total Repurchase Agreement (cost $16,111)
Total Investment Securities (cost $728,072)				780,788
Other Assets and Liabilities - Net				(31,953	)
Net Assets			$	748,835

NOTES TO SCHEDULE OF INVESTMENTS (all amount in thousands):

‡ Non-income producing security.

^ All or a portion of this security is on loan. The value of all securities on loan is $36,716.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $734,729. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $77,695 and $31,636, respectively. Net unrealized appreciation for tax purposes is $46,059.

DEFINITION:

ADR American Depositary Receipt

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	665,137	$	61,953	$	—	$	727,090
Repurchase Agreement		—		16,111		—		16,111
Securities Lending Collateral		37,587		—		—		37,587
Total	$	702,724	$	78,064	$	—	$	780,788

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Shares		Value (000’s)
COMMON STOCKS - 99.8%
Aerospace & Defense - 2.2%
BE Aerospace, Inc. ‡^		118,230	$	4,577
Biotechnology - 2.2%
Alexion Pharmaceuticals, Inc. ‡^		62,760		4,487
Chemicals - 1.0%
Albemarle Corp.		41,480		2,137
Commercial Services & Supplies - 1.1%
Stericycle, Inc. ‡^		28,470		2,218
Computers & Peripherals - 3.8%
SanDisk Corp. ‡^		104,000		5,117
Teradata Corp. ‡		55,940		2,714
Construction & Engineering - 2.5%
Chicago Bridge & Iron Co. NV - Class Y		134,855		5,098
Consumer Finance - 1.1%
Discover Financial Services		92,000		2,208
Diversified Consumer Services - 2.5%
Apollo Group, Inc. - Class A ‡^		96,170		5,181
Electrical Equipment - 2.5%
Roper Industries, Inc. ^		37,220		3,233
Sensata Technologies Holding NV ‡^		70,888		1,863
Energy Equipment & Services - 2.4%
FMC Technologies, Inc. ‡^		42,900		2,241
Patterson-UTI Energy, Inc. ^		140,990		2,817
Food & Staples Retailing - 2.9%
Whole Foods Market, Inc. ^		85,523		5,951
Food Products - 1.6%
Mead Johnson Nutrition Co. - Class A ^		47,930		3,294
Health Care Equipment & Supplies - 3.2%
Cooper Cos., Inc. ^		55,300		3,900
Edwards Lifesciences Corp. ‡^		37,170		2,628
Health Care Providers & Services - 2.6%
Humana, Inc. ^		62,090		5,440
Hotels, Restaurants & Leisure - 4.8%
Arcos Dorados Holdings, Inc. - Class A ^		191,460		3,931
Panera Bread Co. - Class A ‡^		42,225		5,972
Household Durables - 1.7%
Tempur-Pedic International, Inc. ‡^		66,800		3,509
Internet & Catalog Retail - 2.0%
Expedia, Inc. ^		78,000		2,264
TripAdvisor, Inc. ‡^		78,000		1,966
Internet Software & Services - 2.9%
IAC/InterActiveCorp ^		142,244		6,060
IT Services - 5.0%
Alliance Data Systems Corp. ‡^		38,400		3,987
Gartner, Inc. ‡^		123,545		4,296
VeriFone Holdings, Inc. ‡^		57,285		2,035
Leisure Equipment & Products - 2.0%
Polaris Industries, Inc. ^		75,030		4,200
Machinery - 3.0%
Gardner Denver, Inc.		26,900		2,073
Kennametal, Inc. ^		69,665		2,544
Pall Corp.		28,800		1,646
Metals & Mining - 3.2%
Carpenter Technology Corp. ^		71,590		3,685
Eldorado Gold Corp.		208,300		2,856
Oil, Gas & Consumable Fuels - 10.2%
Cabot Oil & Gas Corp. ^		80,880		6,138
Concho Resources, Inc. ‡^		27,670		2,594
Pioneer Natural Resources Co. ^		43,000		3,848
Range Resources Corp. ^		69,300		4,292
SM Energy Co. ^		54,600		3,991
Personal Products - 2.5%
Estee Lauder Cos., Inc. - Class A ^		45,758		5,140
Pharmaceuticals - 4.3%
Perrigo Co. ^		43,035		4,187
Shire PLC ADR ^		45,545		4,732
Road & Rail - 2.4%
Kansas City Southern ‡^		73,605		5,006

	Shares		Value (000's)
Semiconductors & Semiconductor Equipment - 4.5%
ARM Holdings PLC ADR ^		103,400	$	2,861
Cavium, Inc. ‡^		67,855		1,929
FEI Co. ‡^		111,790		4,559
Software - 7.8%
Citrix Systems, Inc. ‡		39,624		2,406
Commvault Systems, Inc. ‡^		26,283		1,123
Electronic Arts, Inc. ‡^		210,310		4,331
Nuance Communications, Inc. ‡^		41,400		1,042
Red Hat, Inc. ‡^		79,430		3,280
Salesforce.com, Inc. ‡^		37,445		3,799
Specialty Retail - 6.3%
Foot Locker, Inc. ^		127,580		3,042
Genesco, Inc. ‡^		72,500		4,475
GNC Holdings, Inc. - Class A ‡^		100,814		2,919
Ulta Salon Cosmetics & Fragrance, Inc. ‡^		40,877		2,654
Textiles, Apparel & Luxury Goods - 4.6%
Deckers Outdoor Corp. ‡^		23,585		1,782
Fossil, Inc. ‡^		40,429		3,208
Under Armour, Inc. - Class A ‡^		61,822		4,439
Wireless Telecommunication Services - 1.0%
SBA Communications Corp. - Class A ‡^		50,300		2,161
Total Common Stocks (cost $190,170)				206,066
SECURITIES LENDING COLLATERAL - 25.7%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		53,128,969		53,129
Total Securities Lending Collateral (cost $53,129)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 0.3%
State Street Bank & Trust Co. 0.03% p , dated 12/30/2011, to be repurchased at $637 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $654.	$	637		637
Total Repurchase Agreement (cost $637)
Total Investment Securities (cost $243,936)				259,832
Other Assets and Liabilities - Net				(53,230	)
Net Assets			$	206,602

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $51,980.

‡ Non-income producing security.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $244,803. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $25,221 and $10,192, respectively. Net unrealized appreciation for tax purposes is $15,029.

DEFINITION:

ADR American Depositary Receipt

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	191,512	$	14,554	$	—	$	206,066
Repurchase Agreements		—		637		—		637
Securities Lending Collateral		53,129		—		—		53,129
Total	$	244,641	$	15,191	$	—	$	259,832

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Shares		Value (000’s)
COMMON STOCKS - 97.4%
Chemicals - 2.3%
Koppers Holdings, Inc. ^		27,800	$	955
Zep, Inc. ^		101,700		1,422
Commercial Banks - 8.3%
First Busey Corp. ^		191,130		956
First Midwest Bancorp, Inc. ^		129,700		1,314
Hancock Holding Co. ^		31,200		997
International Bancshares Corp. ^		99,600		1,827
MB Financial, Inc. ^		57,300		980
Webster Financial Corp. ^		88,100		1,796
Westamerica Bancorporation ^		16,000		702
Commercial Services & Supplies - 5.8%
ACCO Brands Corp. ‡^		146,600		1,415
G&K Services, Inc. - Class A ^		38,900		1,132
Standard Parking Corp. ‡^		48,800		872
United Stationers, Inc. ^		78,700		2,563
Computers & Peripherals - 1.4%
Diebold, Inc. ^		48,300		1,452
Construction & Engineering - 0.3%
Sterling Construction Co., Inc. ‡^		28,500		307
Containers & Packaging - 2.1%
Aptargroup, Inc. ^		30,900		1,612
Greif, Inc. - Class A ^		13,200		601
Diversified Consumer Services - 1.3%
Matthews International Corp. - Class A ^		41,400		1,301
Diversified Financial Services - 1.7%
Ares Capital Corp. ^		117,500		1,815
Electric Utilities - 2.4%
Unisource Energy Corp. ^		36,400		1,344
Westar Energy, Inc. ^		40,800		1,174
Electrical Equipment - 3.5%
Acuity Brands, Inc. ^		17,100		906
Belden, Inc. ^		83,300		2,773
Electronic Equipment & Instruments - 2.2%
Coherent, Inc. ‡^		18,500		967
MTS Systems Corp. ^		32,932		1,342
Energy Equipment & Services - 2.4%
Bristow Group, Inc. ^		25,000		1,185
SEACOR Holdings, Inc. ‡^		14,300		1,272
Food & Staples Retailing - 1.5%
Casey’s General Stores, Inc. ^		31,100		1,602
Gas Utilities - 2.4%
Atmos Energy Corp. ^		33,300		1,110
New Jersey Resources Corp. ^		12,900		635
WGL Holdings, Inc. ^		17,000		752
Health Care Equipment & Supplies - 2.1%
Haemonetics Corp. ‡^		11,300		692
ICU Medical, Inc. ‡^		33,700		1,516
Health Care Providers & Services - 2.9%
Amsurg Corp. - Class A ‡^		68,500		1,784
Corvel Corp. ‡^		23,400		1,210
Hotels, Restaurants & Leisure - 3.0%
CEC Entertainment, Inc. ^		33,700		1,161
Choice Hotels International, Inc. ^		31,300		1,191
Sonic Corp. ‡^		110,900		746
Household Durables - 1.8%
Helen of Troy, Ltd. ‡^		60,435		1,855
Industrial Conglomerates - 3.3%
Carlisle Cos., Inc. ^		78,200		3,464
Insurance - 6.7%
Alleghany Corp. ^		4,446		1,268
Amerisafe, Inc. ‡^		47,600		1,107
Assured Guaranty, Ltd. ^		58,800		773
Delphi Financial Group, Inc. - Class A		23,600		1,045
Platinum Underwriters Holdings, Ltd. ^		38,400		1,310
Primerica, Inc.		64,500		1,499
IT Services - 2.3%
MAXIMUS, Inc. ^		57,000		2,357

	Shares		Value (000’s)
Life Sciences Tools & Services - 3.8%
Charles River Laboratories International, Inc.‡^		71,000	$	1,940
ICON PLC ADR ‡^		120,100		2,055
Machinery - 5.3%
Albany International Corp. - Class A ^		80,900		1,870
ESCO Technologies, Inc. ^		52,200		1,502
Mueller Industries, Inc. ^		56,200		2,160
Marine - 1.9%
Kirby Corp. ‡^		29,600		1,949
Media - 2.1%
Arbitron, Inc. ^		62,900		2,164
Multiline Retail - 1.5%
Fred’s, Inc. - Class A ^		107,700		1,570
Office Electronics - 1.2%
Zebra Technologies Corp. - Class A ‡^		34,300		1,227
Oil, Gas & Consumable Fuels - 1.8%
GeoResources, Inc. ‡^		34,200		1,002
Penn Virginia Corp. ^		66,942		354
Scorpio Tankers, Inc. ‡^		108,900		533
Paper & Forest Products - 1.4%
Deltic Timber Corp. ^		24,700		1,492
Real Estate Investment Trusts - 3.7%
Campus Crest Communities, Inc. ^		91,700		923
DiamondRock Hospitality Co. ^		112,000		1,080
Education Realty Trust, Inc. ^		91,300		934
Mack-Cali Realty Corp. ^		32,800		875
Road & Rail - 2.0%
Genesee & Wyoming, Inc. - Class A ‡^		33,800		2,048
Software - 1.1%
Websense, Inc. ‡^		62,500		1,171
Specialty Retail - 5.4%
Ascena Retail Group, Inc. ‡^		49,400		1,468
Cato Corp. - Class A ^		88,300		2,137
Stage Stores, Inc. ^		142,400		1,978
Textiles, Apparel & Luxury Goods - 1.2%
Skechers U.S.A., Inc. - Class A ‡^		49,500		600
Unifirst Corp. ^		11,400		647
Thrifts & Mortgage Finance - 3.3%
First Niagara Financial Group, Inc.		99,010		854
Flushing Financial Corp. ^		61,800		781
Northwest Bancshares, Inc. ^		145,000		1,804
Trading Companies & Distributors - 2.0%
GATX Corp. ^		46,700		2,039
Total Common Stocks (cost $89,008)				101,216
SECURITIES LENDING COLLATERAL - 25.7%
State Street Navigator Securities Lending
Trust - Prime Portfolio, .28% p		26,705,472		26,705
Total Securities Lending Collateral (cost $26,705)

	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 2.6%
State Street Bank & Trust Co. 0.03% p, dated 12/30/2011, to be repurchased at $2,713 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $2,772.	$	2,713		2,713
Total Repurchase Agreement (cost $2,713)
Total Investment Securities (cost $118,426)				130,634
Other Assets and Liabilities - Net				(26,676	)
Net Assets			$	103,958

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $26,051.

‡ Non-income producing security.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $119,047. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $16,171 and $4,584, respectively. Net unrealized appreciation for tax purposes is $11,587.

DEFINITION:

ADR American Depositary Receipt

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	98,628	$	2,588	$	—	$	101,216
Repurchase Agreements		—		2,713		—		2,713
Securities Lending Collateral		26,705		—		—		26,705
Total	$	125,333	$	5,301	$	—	$	130,634

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

	Shares		Value (000’s)
COMMON STOCKS - 98.2%
Aerospace & Defense - 1.7%
Aerovironment, Inc. ‡^		24,620	$	775
American Science & Engineering, Inc. ^		8,740		595
Ceradyne, Inc. ‡^		75,870		2,031
GenCorp, Inc. ‡^		99,200		528
Triumph Group, Inc. ^		21,245		1,242
Air Freight & Logistics - 0.2%
Hub Group, Inc. - Class A ‡^		19,646		637
Park-Ohio Holdings Corp. ‡^		1,800		32
Airlines - 0.6%
Alaska Air Group, Inc. ‡^		21,900		1,645
US Airways Group, Inc. ‡		28,300		143
Biotechnology - 4.1%
Acorda Therapeutics, Inc. ‡^		80,245		1,913
BioMarin Pharmaceutical, Inc. ‡^		72,190		2,482
Cubist Pharmaceuticals, Inc. ‡^		15,400		610
Genomic Health, Inc. ‡^		83,180		2,112
Maxygen, Inc. ‡^		77,000		434
Onyx Pharmaceuticals, Inc. ‡^		29,820		1,311
Progenics Pharmaceuticals, Inc. ‡^		64,800		553
Repligen Corp. ‡		7,800		27
RTI Biologics, Inc. ‡^		409,688		1,819
United Therapeutics Corp. ‡		13,980		661
Vanda Pharmaceuticals, Inc. ‡^		31,600		150
Capital Markets - 0.6%
American Capital, Ltd. ‡		22,200		149
Arlington Asset Investment Corp. - Class A ^		18,900		403
Financial Engines, Inc. ‡^		24,820		555
Gladstone Investment Corp. ^		45,800		333
HFF, Inc. - Class A ‡		2,700		28
TICC Capital Corp. ^		22,000		190
Chemicals - 1.7%
Balchem Corp. ^		30,088		1,220
Chemtura Corp. ‡		8,100		92
China Green Agriculture, Inc. ‡^		8,300		25
Georgia Gulf Corp. ‡		4,000		78
Koppers Holdings, Inc. ^		24,100		828
LSB Industries, Inc. ‡^		38,413		1,077
OM Group, Inc. ‡^		27,100		607
Zep, Inc. ^		88,100		1,231
Commercial Banks - 6.0%
1st Source Corp. ^		6,600		167
Access National Corp.		4,200		37
Bancfirst Corp. ^		2,800		105
Banco Latinoamericano de Comercio Exterior SA - Class E ^		63,300		1,016
Bancorp, Inc. ‡^		22,400		162
C&F Financial Corp.		1,000		27
Cape Bancorp, Inc. ‡^		2,900		23
Cathay General Bancorp ^		3,800		57
Center Bancorp, Inc.		28,400		277
Central Pacific Financial Corp. ‡^		29,900		386
Century Bancorp, Inc. - Class A ^		1,200		34
Citizens & Northern Corp. ^		21,000		388
Citizens Republic Bancorp, Inc. ‡		29,900		341
Community Bank System, Inc. ^		26,100		726
East-West Bancorp, Inc. ^		5,400		107
Enterprise Bancorp, Inc. ^		2,700		39
Enterprise Financial Services Corp. ^		42,900		635
First Busey Corp. ^		152,172		761
First California Financial Group, Inc. ‡		10,300		34
First Defiance Financial Corp. ^		9,800		143
First Financial Bancorp ^		8,200		136
First Financial Bankshares, Inc. ^		18,300		612
First Financial Corp. ^		3,200		106
First Midwest Bancorp, Inc.		111,000		1,124
Fulton Financial Corp. ^		17,500		172
Great Southern Bancorp, Inc. ^		3,700		87

	Shares		Value (000’s)
Commercial Banks (continued)
Hancock Holding Co. ^		27,700	$	886
International Bancshares Corp. ^		88,300		1,619
Lakeland Bancorp, Inc. ^		8,819		76
Lakeland Financial Corp. ^		31,200		807
MainSource Financial Group, Inc. ^		12,400		109
MB Financial, Inc. ^		51,000		872
National Bankshares, Inc.		1,100		31
National Penn Bancshares, Inc. ^		27,900		235
Northrim BanCorp, Inc. ^		2,100		37
OceanFirst Financial Corp. ^		16,600		217
Old National Bancorp ^		54,100		630
Southside Bancshares, Inc. ^		6,800		147
UMB Financial Corp. ^		29,900		1,114
Virginia Commerce Bancorp, Inc. ‡		5,400		42
Washington Trust Bancorp, Inc. ^		9,000		215
Webster Financial Corp. ^		77,200		1,574
WesBanco, Inc. ^		2,700		53
West Bancorporation, Inc. ^		44,700		428
Westamerica Bancorporation ^		13,300		584
Western Alliance Bancorp ‡		12,500		78
WSFS Financial Corp. ^		3,400		122
Commercial Services & Supplies - 3.1%
ACCO Brands Corp. ‡^		134,700		1,300
Clean Harbors, Inc. ‡^		30,111		1,919
G&K Services, Inc. - Class A ^		34,253		997
Herman Miller, Inc. ^		22,400		413
Rollins, Inc. ^		63,220		1,405
Standard Parking Corp. ‡^		45,088		806
TRC Cos., Inc. ‡^		39,900		240
United Stationers, Inc. ^		65,400		2,129
Communications Equipment - 1.6%
Acme Packet, Inc. ‡^		24,481		757
Aruba Networks, Inc. ‡^		29,554		547
Brocade Communications Systems, Inc. ‡		32,600		169
Comtech Telecommunications Corp. ^		40,000		1,145
Finisar Corp. ‡^		63,291		1,060
Polycom, Inc. ‡		39,313		641
Riverbed Technology, Inc. ‡^		23,975		563
Computers & Peripherals - 1.0%
Diebold, Inc. ^		42,500		1,278
Electronics for Imaging, Inc. ‡		67,800		966
Imation Corp. ‡^		104,000		596
Synaptics, Inc. ‡^		6,975		210
Construction & Engineering - 0.7%
MasTec, Inc. ‡^		83,850		1,457
Primoris Services Corp. ^		16,600		248
Sterling Construction Co., Inc. ‡^		47,200		508
Consumer Finance - 0.8%
Advance America Cash Advance Centers, Inc. ^		30,100		269
Ezcorp, Inc. - Class A ‡^		80,025		2,111
Containers & Packaging - 0.6%
Aptargroup, Inc. ^		25,500		1,330
Greif, Inc. - Class A ^		11,500		524
Distributors - 0.4%
LKQ Corp. ‡		31,270		941
VOXX International Corp. - Class A ‡^		14,600		123
Diversified Consumer Services - 2.6%
American Public Education, Inc. ‡^		31,290		1,355
Bridgepoint Education, Inc. ‡^		22,300		513
Cambium Learning Group, Inc. ‡^		8,300		25
Capella Education Co. ‡		34,869		1,257
Coinstar, Inc. ‡^		42,865		1,957
ITT Educational Services, Inc. ‡^		8,900		506
Matthews International Corp. - Class A ^		36,000		1,131
Steiner Leisure, Ltd. ‡^		19,285		875
Diversified Financial Services - 2.9%
Ares Capital Corp. ^		102,700		1,587
Asta Funding, Inc.		5,100		41

	Shares		Value (000’s)
Diversified Financial Services (continued)
Cash America International, Inc. ^		29,365	$	1,369
Encore Capital Group, Inc. ‡^		60,543		1,287
First Cash Financial Services, Inc. ‡^		60,980		2,139
Gain Capital Holdings, Inc. ^		14,600		98
Gladstone Capital Corp. ^		8,000		61
Marlin Business Services Corp. ^		3,600		46
MCG Capital Corp. ^		37,100		148
Medallion Financial Corp. ^		3,800		43
Portfolio Recovery Associates, Inc. ‡^		24,129		1,629
QC Holdings, Inc.		9,100		37
Diversified Telecommunication Services - 0.3%
IDT Corp. - Class B ^		44,300		416
Neutral Tandem, Inc. ‡^		26,500		283
Surewest Communications		11,300		136
Electric Utilities - 1.7%
Cleco Corp. ^		5,100		194
El Paso Electric Co.		41,500		1,438
NGP Capital Resources Co. ^		7,100		51
Portland General Electric Co. ^		5,400		137
Unisource Energy Corp. ^		60,100		2,218
Westar Energy, Inc. ^		36,300		1,045
Electrical Equipment - 2.1%
Acuity Brands, Inc. ^		14,600		774
Belden, Inc. ^		102,400		3,407
Franklin Electric Co., Inc. ^		7,400		322
Generac Holdings, Inc. ‡^		1,200		34
Woodward, Inc. ^		39,253		1,607
Electronic Equipment & Instruments - 1.4%
Brightpoint, Inc. ‡^		2,900		31
Coherent, Inc. ‡^		16,100		842
Electro Scientific Industries, Inc. ‡^		19,000		275
Insight Enterprises, Inc. ‡^		2,000		31
LoJack Corp. ‡^		45,600		140
MTS Systems Corp. ^		28,500		1,161
Multi-Fineline Electronix, Inc. ‡^		34,077		700
Newport Corp. ‡^		35,400		482
RadiSys Corp. ‡^		19,700		100
Tech Data Corp. ‡^		9,700		479
Energy Equipment & Services - 2.6%
Bristow Group, Inc. ^		20,800		986
Dril-Quip, Inc. ‡^		21,645		1,425
Helix Energy Solutions Group, Inc. ‡^		77,100		1,218
Lufkin Industries, Inc. ^		20,405		1,373
Newpark Resources, Inc. ‡^		172,225		1,636
SEACOR Holdings, Inc. ‡^		12,500		1,112
T.G.C. Industries, Inc. ‡		11,800		84
Food & Staples Retailing - 0.7%
Casey’s General Stores, Inc. ^		27,200		1,401
SUPERVALU, Inc. ^		3,400		28
Susser Holdings Corp. ‡		13,400		303
Winn-Dixie Stores, Inc. ‡^		49,800		467
Food Products - 0.7%
Darling International, Inc. ‡^		38,487		511
Dole Food Co., Inc. ‡^		78,400		678
Lancaster Colony Corp. ^		8,810		611
Omega Protein Corp. ‡		49,900		356
Gas Utilities - 1.4%
Atmos Energy Corp. ^		30,200		1,007
Chesapeake Utilities Corp. ^		10,900		473
Laclede Group, Inc. ^		2,300		93
New Jersey Resources Corp. ^		11,472		564
Southwest Gas Corp. ^		34,500		1,466
WGL Holdings, Inc. ^		15,000		663
Health Care Equipment & Supplies - 3.3%
Dexcom, Inc. ‡^		85,015		791
DynaVox, Inc. - Class A ‡^		12,600		46
Haemonetics Corp. ‡^		9,900		606
ICU Medical, Inc. ‡^		29,700		1,337
Insulet Corp. ‡^		98,948		1,863

	Shares		Value (000’s)
Health Care Equipment & Supplies (continued)
NxStage Medical, Inc. ‡^		116,021	$	2,063
Spectranetics Corp. ��^		174,654		1,261
Thoratec Corp. ‡^		51,935		1,743
Health Care Providers & Services - 2.2%
Amsurg Corp. - Class A ‡^		79,000		2,057
CardioNet, Inc. ‡^		61,200		145
Corvel Corp. ‡^		22,600		1,169
HMS Holdings Corp. ‡^		66,350		2,122
PDI, Inc. ‡		16,800		108
Select Medical Holdings Corp. ‡^		39,600		336
WellCare Health Plans, Inc. ‡		11,300		593
Hotels, Restaurants & Leisure - 3.3%
Ameristar Casinos, Inc. ^		26,100		451
Biglari Holdings, Inc. ‡^		840		309
BJ’s Restaurants, Inc. ‡^		25,305		1,147
Boyd Gaming Corp. ‡^		33,900		253
Brinker International, Inc. ^		18,700		500
Buffalo Wild Wings, Inc. ‡^		18,125		1,224
CEC Entertainment, Inc.		30,100		1,037
Choice Hotels International, Inc. ^		28,200		1,073
Penn National Gaming, Inc. ‡		10,600		404
Pinnacle Entertainment, Inc. ‡^		14,800		150
Red Lion Hotels Corp. ‡^		4,300		30
Red Robin Gourmet Burgers, Inc. ‡^		14,300		396
Sonic Corp. ‡^		109,200		735
Texas Roadhouse, Inc. - Class A ^		88,120		1,313
Town Sports International Holdings, Inc. ‡^		58,100		427
Wendy’s Co. ^		83,000		445
Household Durables - 1.3%
Blyth, Inc. ^		9,200		523
Helen of Troy, Ltd. ‡		53,600		1,646
Tupperware Brands Corp.		29,885		1,672
Independent Power Producers &Energy Traders - 0.0%¥
Genie Energy, Ltd. ^		6,100		48
Industrial Conglomerates - 1.3%
Carlisle Cos., Inc. ^		67,900		3,008
Raven Industries, Inc. ^		15,775		976
Insurance - 4.7%
Alleghany Corp. ^		3,925		1,120
American Equity Investment Life Holding Co. ^		91,200		948
Amerisafe, Inc. ‡^		43,800		1,018
Amtrust Financial Services, Inc. ^		50,400		1,197
Assured Guaranty, Ltd. ^		50,800		668
Crawford & Co. - Class B ^		58,300		359
Delphi Financial Group, Inc. - Class A		63,828		2,828
First American Financial Corp. ^		45,000		570
Maiden Holdings, Ltd. ^		121,500		1,064
Meadowbrook Insurance Group, Inc. ^		12,000		128
National Financial Partners Corp. ‡^		78,700		1,064
Platinum Underwriters Holdings, Ltd. ^		33,500		1,143
Primerica, Inc.		55,100		1,281
RLI Corp. ^		2,100		153
Internet Software & Services - 1.9%
comScore, Inc. ‡^		64,672		1,371
Constant Contact, Inc. ‡^		34,652		804
IAC/InterActiveCorp ^		16,700		711
Infospace, Inc. ‡^		64,600		710
j2 Global, Inc. ^		41,045		1,155
VistaPrint NV ‡^		30,316		928
IT Services - 2.5%
Agilysys, Inc. ‡		51,400		409
CACI International, Inc. - Class A ‡^		20,800		1,163
Global Cash Access Holdings, Inc. ‡^		24,900		111
MAXIMUS, Inc. ^		85,858		3,550
VeriFone Holdings, Inc. ‡^		33,343		1,184
Virtusa Corp. ‡^		69,043		1,000

	Shares		Value (000’s)
Leisure Equipment & Products - 0.1%
Brunswick Corp. ^		10,700	$	193
Multimedia Games Holding Co., Inc. ‡^		17,500		139
Life Sciences Tools & Services - 1.4%
Charles River Laboratories International, Inc. ‡		63,400		1,733
Fluidigm Corp. ‡		48,534		639
ICON PLC ADR ^ ‡		105,900		1,811
Machinery - 4.2%
Albany International Corp. - Class A ^		78,200		1,808
Altra Holdings, Inc. ‡^		6,400		121
Clarcor, Inc. ^		31,660		1,583
ESCO Technologies, Inc. ^		78,318		2,253
Hurco Cos., Inc. ‡^		16,500		347
Kadant, Inc. ‡		21,000		475
LB Foster Co. - Class A ^		9,600		272
Middleby Corp. ‡^		5,545		521
Mueller Industries, Inc. ^		54,500		2,094
Toro Co. ^		21,430		1,300
Wabtec Corp.		20,820		1,456
Marine - 0.6%
Kirby Corp. ‡^		25,900		1,705
Media - 0.8%
Arbitron, Inc. ^		54,900		1,888
Ascent Capital Group, Inc. ‡^		4,000		203
Global Sources, Ltd. ‡^		32,300		157
Nexstar Broadcasting Group, Inc. - Class A ‡		5,200		41
Saga Communications, Inc. - Class A ‡^		800		30
Sinclair Broadcast Group, Inc. - Class A		5,000		57
Metals & Mining - 0.5%
Coeur D’alene Mines Corp. ‡^		32,000		772
Hecla Mining Co. ^		65,460		342
RTI International Metals, Inc. ‡^		17,000		395
Multiline Retail - 1.3%
Big Lots, Inc. ‡		36,115		1,364
Dillard’s, Inc. - Class A ^		11,200		503
Fred’s, Inc. - Class A ^		93,700		1,366
PriceSmart, Inc. ^		9,325		649
Saks, Inc. ‡^		3,300		32
Multi-Utilities - 0.0% ¥
PNM Resources, Inc. ^		4,900		89
Office Electronics - 0.4%
Zebra Technologies Corp. - Class A ‡		29,600		1,059
Oil, Gas & Consumable Fuels - 3.4%
Adams Resources & Energy, Inc. ^		1,100		32
Alon USA Energy, Inc. ^		2,400		21
CVR Energy, Inc. ‡		36,500		684
Delek US Holdings, Inc. ^		67,600		771
GeoResources, Inc. ‡^		29,500		865
Gulfport Energy Corp. ‡^		46,355		1,365
Oasis Petroleum, Inc. ‡^		48,295		1,405
Penn Virginia Corp. ^		59,600		315
PetroQuest Energy, Inc. ‡^		177,685		1,173
Scorpio Tankers, Inc. ‡^		94,100		460
Vaalco Energy, Inc. ‡^		45,300		274
W&T Offshore, Inc. ^		51,600		1,094
Western Refining, Inc. ‡^		16,600		221
World Fuel Services Corp. ^		34,642		1,454
Paper & Forest Products - 1.1%
Buckeye Technologies, Inc.		17,000		568
Deltic Timber Corp. ^		22,000		1,328
Domtar Corp.		11,500		920
P.H. Glatfelter Co. ^		26,600		376
Personal Products - 0.0% ¥
Nature’s Sunshine Products, Inc. ‡		6,500		101
Pharmaceuticals - 2.1%
Auxilium Pharmaceuticals, Inc. ‡^		87,050		1,735
Cumberland Pharmaceuticals, Inc. ‡^		39,800		214
Impax Laboratories, Inc. ‡^		65,770		1,327

	Shares		Value (000’s)
Pharmaceuticals (continued)
Medicines Co. ‡		26,500	$	494
Medicis Pharmaceutical Corp. - Class A ^		11,300		376
Questcor Pharmaceuticals, Inc. ‡		1,300		54
Salix Pharmaceuticals, Ltd. ‡^		39,130		1,872
ViroPharma, Inc. ‡^		6,500		178
Professional Services - 0.3%
Barrett Business Services, Inc. ^		25,200		503
CRA International, Inc. ‡^		18,400		365
Real Estate Investment Trusts - 5.3%
Alexander’s, Inc. ^		2,060		762
Campus Crest Communities, Inc. ^		79,600		801
CBL & Associates Properties, Inc. ^		13,900		218
Colonial Properties Trust		72,300		1,509
CreXus Investment Corp.		42,800		444
CubeSmart		125,700		1,337
DiamondRock Hospitality Co. ^		98,752		952
Education Realty Trust, Inc. ^		79,600		814
Extra Space Storage, Inc. ^		61,500		1,491
First Industrial Realty Trust, Inc. ‡^		114,900		1,175
Kite Realty Group Trust ^		57,000		257
Mack-Cali Realty Corp. ^		28,500		761
Mission West Properties, Inc. ^		56,700		511
Monmouth Real Estate Investment Corp. - Class A ^		9,400		86
Post Properties, Inc.		35,500		1,553
Retail Opportunity Investments Corp. ^		58,900		697
Sovran Self Storage, Inc.		5,700		243
Strategic Hotels & Resorts, Inc. ‡^		108,100		580
Sun Communities, Inc. ^		25,700		939
Winthrop Realty Trust ^		40,000		407
Road & Rail - 1.7%
Amerco, Inc. ^		4,300		380
Arkansas Best Corp. ^		54,500		1,050
Con-way, Inc. ^		2,000		58
Genesee & Wyoming, Inc. - Class A ‡^		30,700		1,861
Landstar System, Inc.		26,615		1,275
Old Dominion Freight Line, Inc. ‡		5,600		227
RailAmerica, Inc. ‡^		7,200		107
Semiconductors & Semiconductor Equipment - 2.0%
Cavium, Inc. ‡^		34,356		977
DSP Group, Inc. ‡		6,700		35
FEI Co. ‡^		700		29
FormFactor, Inc. ‡^		81,100		410
Mellanox Technologies, Ltd. ‡^		35,927		1,168
Microsemi Corp. ‡^		67,905		1,137
Photronics, Inc. ‡^		42,600		259
RF Micro Devices, Inc. ‡^		155,235		838
Skyworks Solutions, Inc. ‡^		44,842		727
Tessera Technologies, Inc. ‡		28,400		476
Software - 3.4%
Ariba, Inc. ‡^		28,688		806
Aspen Technology, Inc. ‡^		72,860		1,264
Blackbaud, Inc.		12,685		351
Cadence Design Systems, Inc. ‡^		167,471		1,742
Fair Isaac Corp. ^		30,000		1,075
Micros Systems, Inc. ‡		25,825		1,203
Parametric Technology Corp. ‡		67,183		1,227
Pervasive Software, Inc. ‡^		4,500		26
Taleo Corp. - Class A ‡		34,766		1,345
Websense, Inc. ‡^		56,800		1,064
Specialty Retail - 5.2%
Ann, Inc. ‡^		3,700		92
Ascena Retail Group, Inc. ‡^		42,600		1,266
Bebe Stores, Inc. ^		28,100		234
Body Central Corp. ‡^		78,620		1,963
Build-A-Bear Workshop, Inc. ‡		8,200		69
Cato Corp. - Class A ^		135,749		3,286
Chico’s FAS, Inc. ^		82,146		915
Conn’s, Inc. ‡		79,700		885

	Shares		Value (000’s)
Specialty Retail (continued)
DSW, Inc. - Class A ^		24,955	$	1,103
Finish Line, Inc. - Class A ^		1,400		27
Hot Topic, Inc. ^		115,800		765
Pier 1 Imports, Inc. ‡ ^		26,200		365
RadioShack Corp. ^		7,400		72
Rex American Resources Corp. ‡ ^		24,600		544
Select Comfort Corp. ‡ ^		4,700		102
Stage Stores, Inc. ^		125,400		1,742
Tractor Supply Co.		12,329		865
Wet Seal, Inc. - Class A ‡ ^		73,400		239
Williams-Sonoma, Inc. ^		1,800		69
Zumiez, Inc. ‡ ^		16,300		452
Textiles, Apparel & Luxury Goods - 1.6%
Deckers Outdoor Corp. ‡ ^		13,387		1,012
Movado Group, Inc. ^		47,500		863
Oxford Industries, Inc. ^		1,200		54
Skechers U.S.A., Inc. - Class A ‡ ^		44,000		533
True Religion Apparel, Inc. ‡ ^		6,100		211
Unifirst Corp. ^		9,500		539
Vera Bradley, Inc. ‡ ^		45,167		1,457
Thrifts & Mortgage Finance - 1.3%
Dime Community Bancshares, Inc. ^		19,200		242
First Financial Northwest, Inc. ‡ ^		6,300		37
First Niagara Financial Group, Inc.		86,639		748
Flushing Financial Corp. ^		52,800		667
Northwest Bancshares, Inc. ^		125,400		1,559
Parkvale Financial Corp.		1,100		27
Provident Financial Services, Inc. ^		16,300		218
Rockville Financial, Inc. ^		13,200		137
Trustco Bank Corp. ^		19,700		111
Tobacco - 0.1%
Vector Group, Ltd. ^		16,500		293
Trading Companies & Distributors - 1.3%
Applied Industrial Technologies, Inc. ^		56,060		1,971
GATX Corp. ^		41,400		1,808
Water Utilities - 0.0% ¥
Consolidated Water Co., Ltd. ^		6,700		57
Wireless Telecommunication Services - 0.2%
NTELOS Holdings Corp. ^		19,919		406
Telephone & Data Systems, Inc. ^		3,100		80
Total Common Stocks (cost $253,737)				290,933

	Shares		Value (000’s)
INVESTMENT COMPANY - 0.2%
Diversified Financial Services - 0.2%
KKR Financial Holdings LLC		57,700	$	504
Total Investment Company (cost $178)
	Principal (000’s)		Value (000’s)
SHORT-TERM U.S. GOVERNMENT OBLIGATION - 0.1%
U.S. Treasury Bill 0.02%, 03/15/2012 p g	$	420		420
Total Short-Term U.S. Government Obligation (cost $420)
	Shares		Value (000’s)
SECURITIES LENDING COLLATERAL - 25.7%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		75,960,906		75,961
Total Securities Lending Collateral (cost $75,961)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 1.4%
State Street Bank & Trust Co. 0.03% p, dated 12/30/2011, to be repurchased at $4,216 on 01/03/2012. Collateralized by U.S. Government Agency Obligations, 3.00%, due 11/25/2040, and with a total value of $4,308.	$	4,216	$	4,216
Total Repurchase Agreement (cost $4,216)
Total Investment Securities (cost $334,512)				372,034
Other Assets and Liabilities - Net				(75,974	)
Net Assets			$	296,060

FUTURES CONTRACTS:

Description	Type		Contracts		Expiration Date	Net Unrealized Appreciation (000’s)
Russell 2000 Mini Index		Long		10	03/16/2012	$	22

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $74,054.

‡ Non-income producing security.

¥ Percentage rounds to less than 0.1%.

g All or a portion of this security in the amount of $420 has been segregated as collateral with the broker to cover margin requirements for open futures contracts.

p Rate shown reflects the yield at 12/30/2011.

Aggregate cost for federal income tax purposes is $338,712. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $48,322 and $15,000, respectively. Net unrealized appreciation for tax purposes is $33,322.

DEFINITION:

ADR American Depositary Receipt

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	286,566	$	4,367	$	—	$	290,933
Investment Companies		504		—		—		504
Repurchase Agreements		—		4,216		—		4,216
Securities Lending Collateral		75,961		—		—		75,961
Short-Term U.S. Government Obligations		—		420		—		420
Total	$	363,031	$	9,003	$	—	$	372,034
Other Financial Instruments	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Futures Contracts - Appreciation	$	22	$	—	$	—	$	22

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

Other financial instruments are derivative instruments that are valued at unrealized appreciation (depreciation) on the instrument.

	Shares		Value (000’s)
COMMON STOCKS - 100.1%
Aerospace & Defense - 2.0%
DigitalGlobe, Inc. ‡ ^		30,800	$	527
Hexcel Corp. ‡ ^		32,792		794
Triumph Group, Inc. ^		14,100		824
Air Freight & Logistics - 1.0%
Atlas Air Worldwide Holdings, Inc. ‡ ^		16,850		648
Hub Group, Inc. - Class A ‡ ^		11,966		388
Biotechnology - 3.1%
Astex Pharmaceuticals ‡ ^		244,618		462
Myriad Genetics, Inc. ‡		40,500		848
Onyx Pharmaceuticals, Inc. ‡ ^		21,900		963
Seattle Genetics, Inc. ‡ ^		42,700		714
United Therapeutics Corp. ‡		7,300		345
Building Products - 0.8%
AO Smith Corp. ^		22,174		890
Capital Markets - 1.1%
Walter Investment Management Corp.		39,407		808
WisdomTree Investments, Inc. ‡ ^		57,800		350
Chemicals - 2.7%
Balchem Corp. ^		13,197		535
Kraton Performance Polymers, Inc. ‡ ^		36,048		732
Kronos Worldwide, Inc. ^		43,900		792
Newmarket Corp. ^		4,500		891
Commercial Banks - 2.3%
Boston Private Financial Holdings, Inc. ^		74,612		592
First Citizens BancShares, Inc. - Class A		1,930		338
SVB Financial Group ‡ ^		17,021		812
Texas Capital Bancshares, Inc. ‡		9,300		285
Umpqua Holdings Corp. ^		41,015		508
Commercial Services & Supplies - 0.8%
Consolidated Graphics, Inc. ‡ ^		5,931		286
Progressive Waste Solutions, Ltd.		31,092		609
Communications Equipment - 1.7%
Aruba Networks, Inc. ‡ ^		17,600		326
InterDigital, Inc. ^		16,000		698
Procera Networks, Inc. ‡		18,700		291
Sonus Networks, Inc. ‡		228,423		548
Construction & Engineering - 1.4%
MasTec, Inc. ‡ ^		51,600		896
MYR Group, Inc. ‡ ^		33,132		634
Consumer Finance - 1.7%
DFC Global Corp. ‡ ^		26,118		472
Ezcorp, Inc. - Class A ‡ ^		24,664		650
World Acceptance Corp. ‡ ^		9,600		706
Containers & Packaging - 0.5%
Silgan Holdings, Inc.		14,700		568
Diversified Consumer Services - 0.3%
Sotheby’s ^		10,060		287
Diversified Financial Services - 0.8%
Euronet Worldwide, Inc. ‡		7,362		136
First Cash Financial Services, Inc. ‡ ^		19,858		697
Diversified Telecommunication Services - 2.0%
AboveNet, Inc. ‡ ^		12,500		812
Allot Communications, Ltd. ‡ ^		29,300		445
Cbeyond, Inc. ‡ ^		67,500		541
inContact, Inc. ‡		76,000		337
Electrical Equipment - 1.5%
EnerSys ‡ ^		27,764		721
General Cable Corp. ‡ ^		12,632		316
II-VI, Inc. ‡ ^		30,345		557
Electronic Equipment & Instruments - 1.5%
Maxwell Technologies, Inc. ‡ ^		25,824		419
Newport Corp. ‡ ^		27,463		374
OSI Systems, Inc. ‡ ^		15,933		777
Energy Equipment & Services - 3.4%
Dawson Geophysical Co. ‡ ^		16,879		667
Helix Energy Solutions Group, Inc. ‡ ^		38,399		607
Key Energy Services, Inc. ‡ ^		38,866		601
Newpark Resources, Inc. ‡ ^		75,555		718

	Shares		Value (000’s)
Energy Equipment & Services (continued)
OYO Geospace Corp. ‡ ^		9,774	$	756
Pioneer Drilling Co. ‡ ^		35,446		343
Food & Staples Retailing - 0.6%
Ruddick Corp. ^		14,100		601
Food Products - 2.0%
Hain Celestial Group, Inc. ‡ ^		16,551		607
Sanderson Farms, Inc. ^		15,300		767
Sensient Technologies Corp. ^		19,774		749
Health Care Equipment & Supplies - 4.0%
Arthrocare Corp. ‡ ^		23,088		732
Atrion Corp. ^		1,412		339
Haemonetics Corp. ‡ ^		10,870		665
ICU Medical, Inc. ‡ ^		15,018		676
Integra LifeSciences Holdings Corp. ‡ ^		16,543		510
Masimo Corp. ‡ ^		14,900		278
Merit Medical Systems, Inc. ‡ ^		51,700		692
Thoratec Corp. ‡ ^		14,100		473
Health Care Providers & Services - 3.1%
Centene Corp. ‡		17,200		681
Ensign Group, Inc. ^		22,095		541
IPC The Hospitalist Co., Inc. ‡ ^		15,900		727
Kindred Healthcare, Inc. ‡ ^		59,300		698
Metropolitan Health Networks, Inc. ‡ ^		41,100		307
Transcend Services, Inc. ‡ ^		16,100		382
Health Care Technology - 1.5%
Computer Programs & Systems, Inc. ^		10,300		526
HealthStream, Inc. ‡ ^		22,195		409
Omnicell, Inc. ‡		38,600		639
Hotels, Restaurants & Leisure - 1.8%
Buffalo Wild Wings, Inc. ‡ ^		6,304		426
Caribou Coffee Co., Inc. ‡ ^		26,895		375
Domino’s Pizza, Inc. ‡		12,000		407
WMS Industries, Inc. ‡ ^		37,600		772
Household Durables - 0.5%
Ethan Allen Interiors, Inc. ^		15,500		367
La-Z-Boy, Inc. ‡		14,526		173
Household Products - 0.7%
Spectrum Brands Holdings, Inc. ‡ ^		26,071		714
Insurance - 1.5%
Maiden Holdings, Ltd. ^		60,200		527
Platinum Underwriters Holdings, Ltd. ^		20,400		696
Proassurance Corp. ^		5,600		447
Internet & Catalog Retail - 0.9%
Shutterfly, Inc. ‡ ^		32,970		750
U.S. Auto Parts Network, Inc. ‡ ^		52,300		229
Internet Software & Services - 5.7%
Dealertrack Holdings, Inc. ‡ ^		24,500		668
j2 Global, Inc. ^		25,300		712
Liveperson, Inc. ‡ ^		71,069		892
NIC, Inc. ^		29,649		395
Open Text Corp. ‡		9,487		485
Radware, Ltd. ‡ ^		19,740		577
Valueclick, Inc. ‡ ^		58,153		947
VistaPrint NV ‡ ^		31,000		949
Zix Corp. ‡ ^		216,750		611
IT Services - 1.0%
NeuStar, Inc. - Class A ‡		8,662		296
Teletech Holdings, Inc. ‡ ^		14,419		234
Wright Express Corp. ‡ ^		9,893		537
Life Sciences Tools & Services - 1.8%
Bruker Corp. ‡		51,613		641
ICON PLC ADR ‡ ^		47,406		811
Parexel International Corp. ‡ ^		22,643		470
Machinery - 3.5%
Actuant Corp. - Class A ^		6,093		138
Chart Industries, Inc. ‡ ^		14,519		785
EnPro Industries, Inc. ‡ ^		22,813		752
Robbins & Myers, Inc.		16,490		802
Trimas Corp. ‡ ^		35,667		640

	Shares		Value (000’s)
Machinery (continued)
Wabash National Corp. ‡ ^		80,637	$	632
Media - 0.3%
Dolan Co. ‡ ^		41,230		351
Multiline Retail - 0.6%
PriceSmart, Inc. ^		8,835		615
Oil, Gas & Consumable Fuels - 5.0%
Comstock Resources, Inc. ‡ ^		27,266		417
Energy XXI Bermuda, Ltd. ‡ ^		17,800		567
GeoResources, Inc. ‡		28,263		828
Kodiak Oil & Gas Corp. ‡ ^		73,000		694
North American Energy Partners, Inc. ‡		58,053		374
Patriot Coal Corp. ‡ ^		40,900		346
Rex Energy Corp. ‡ ^		58,201		859
Rosetta Resources, Inc. ‡		16,525		719
Swift Energy Co. ‡ ^		18,700		556
Paper & Forest Products - 1.1%
Buckeye Technologies, Inc. ^		21,044		704
KapStone Paper and Packaging Corp. ‡ ^		30,800		485
Personal Products - 0.5%
Inter Parfums, Inc. ^		35,038		545
Pharmaceuticals - 4.1%
Akorn, Inc. ‡ ^		50,891		566
Cardiome Pharma Corp. ‡ ^		74,951		197
Depomed, Inc. ‡ ^		72,764		377
Hi-Tech Pharmacal Co., Inc. ‡ ^		6,400		249
Impax Laboratories, Inc. ‡ ^		43,921		886
Jazz Pharmaceuticals, Inc. ‡ ^		19,600		757
Nektar Therapeutics ‡ ^		78,244		438
Salix Pharmaceuticals, Ltd. ‡ ^		19,700		942
Professional Services - 2.2%
FTI Consulting, Inc. ‡ ^		20,000		848
Huron Consulting Group, Inc. ‡ ^		20,985		813
Mistras Group, Inc. ‡ ^		26,600		678
Real Estate Management & Development - 0.3%
Altisource Portfolio Solutions SA ‡ ^		6,300		316
Road & Rail - 2.0%
Genesee & Wyoming, Inc. -Class A ‡ ^		9,100		551
Landstar System, Inc. ^		10,900		522
Marten Transport, Ltd. ^		20,523		369
Old Dominion Freight Line, Inc. ‡ ^		17,987		730
Semiconductors & Semiconductor Equipment - 6.0%
Cavium, Inc. ‡ ^		18,700		532
Diodes, Inc. ‡ ^		35,743		760
Ezchip Semiconductor, Ltd. ‡ ^		22,800		646
Kulicke & Soffa Industries, Inc. ‡ ^		49,600		459
Lattice Semiconductor Corp. ‡ ^		91,251		542
Mellanox Technologies, Ltd. ‡ ^		21,624		703
Mips Technologies, Inc. - Class A ‡ ^		88,700		396
Nova Measuring Instruments, Ltd. ‡ ^		57,000		420
NVE Corp. ‡ ^		9,483		527
Silicon Image, Inc. ‡ ^		115,800		544
TriQuint Semiconductor, Inc. ‡ ^		144,700		705
Volterra Semiconductor Corp. ‡ ^		13,600		348
Software - 7.8%
ACI Worldwide, Inc. ‡		28,367		812
BroadSoft, Inc. ‡ ^		18,507		559
Clicksoftware Technologies, Ltd.		69,242		664
Commvault Systems, Inc. ‡ ^		17,791		760
Interactive Intelligence Group, Inc. ‡ ^		36,986		848
JDA Software Group, Inc. ‡		15,212		493
Mentor Graphics Corp. ‡ ^		49,000		664
Monotype Imaging Holdings, Inc. ‡ ^		26,500		413
Netscout Systems, Inc. ‡ ^		36,300		639
NICE Systems, Ltd. ADR ‡		20,463		705
OPNET Technologies, Inc. ^		25,448		933
Parametric Technology Corp. ‡		37,400		683
Ultimate Software Group, Inc. ‡ ^		6,173		402
Specialty Retail - 8.9%
Ascena Retail Group, Inc. ‡ ^		9,800		291

	Shares		Value (000’s)
Specialty Retail (continued)
Body Central Corp. ‡ ^		18,200	$	454
Buckle, Inc. ^		16,600		678
Casual Male Retail Group, Inc. ‡ ^		141,198		483
Chico’s FAS, Inc. ^		51,600		575
Express, Inc. ‡		38,126		760
Finish Line, Inc. - Class A ^		30,900		596
Genesco, Inc. ‡ ^		11,044		682
Hibbett Sports, Inc. ‡ ^		12,248		553
JOS A. Bank Clothiers, Inc. ‡ ^		2,171		106
Lithia Motors, Inc. - Class A ^		29,913		654
Pier 1 Imports, Inc. ‡ ^		61,500		858
Rent-A-Center, Inc. ^		21,200		784
Rush Enterprises, Inc. -Class A ‡ ^		25,683		537
Select Comfort Corp. ‡ ^		40,900		888
Vitamin Shoppe, Inc. ‡ ^		20,682		825
Textiles, Apparel & Luxury Goods - 3.1%
CROCS, Inc. ‡ ^		29,300		433
Iconix Brand Group, Inc. ‡		44,400		723
Maidenform Brands, Inc. ‡ ^		14,900		273
Perry Ellis International, Inc. ‡ ^		28,806		410
Steven Madden, Ltd. ‡ ^		22,699		783
Wolverine World Wide, Inc. ^		21,000		748
Trading Companies & Distributors - 1.0%
Beacon Roofing Supply, Inc. ‡ ^		33,630		680
DXP Enterprises, Inc. ‡ ^		12,920		416
Total Common Stocks (cost $104,057)				108,343
WARRANTS - 0.0% ¥
Hotels, Restaurants & Leisure - 0.0% ¥
Krispy Kreme Doughnuts, Inc. ‡
Expiration: 03/02/2012
Exercise Price: $12.21		141		¿
Magnum Hunter Resources ‡ ^
Expiration: 10/14/2013
Exercise Price: $10.50		10,092		¿
Total Warrants (cost $¿)				¿
SECURITIES LENDING COLLATERAL - 25.7%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		27,748,519		27,749
Total Securities Lending Collateral (cost $27,749)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 0.3%
State Street Bank & Trust Co. 0.03% p, dated 12/30/2011, to be repurchased at $277 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $286.	$	277		277
Total Repurchase Agreement (cost $277)
Total Investment Securities (cost $132,083) P				136,369
Other Assets and Liabilities - Net				(28,245	)
Net Assets			$	108,124

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

^ All or a portion of this security is on loan. The value of all securities on loan is $27,054.

‡ Non-income producing security.

¥ Percentage rounds to less than 0.1%.

¿ Amount is less than 1.

p Rate shown reflects the yield at 12/30/2011.

P Aggregate cost for federal income tax purposes is $133,239. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $11,154 and $8,024, respectively. Net unrealized appreciation for tax purposes is $3,130.

DEFINITION:

ADR American Depositary Receipt

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	102,107	$	6,236	$	—	$	108,343
Repurchase Agreements		—		277		—		277
Securities Lending Collateral		27,749		—		—		27,749
Warrants		¿		¿		—		¿
Total	$	129,856	$	6,513	$	—	$	136,369

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

¿ Amount is less than 1.

	Shares		Value (000’s)
PREFERRED STOCK - 1.8%
Germany - 1.8%
Volkswagen AG , 1.95% p		80,877	$	12,116
Total Preferred Stock (cost $7,303)
COMMON STOCKS - 94.1%
Australia - 1.5%
BHP Billiton, Ltd.		281,401		9,907
Brazil - 2.5%
BM&FBOVESPA SA		950,300		4,993
Embraer SA ADR ‡ ^		225,400		5,685
Natura Cosmeticos SA		362,400		7,045
Canada - 6.1%
Canadian National Railway Co.		165,950		13,056
Canadian Natural Resources, Ltd. ^		267,700		10,025
Cenovus Energy, Inc.		220,688		7,328
Potash Corp., of Saskatchewan, Inc.		257,100		10,613
Cayman Islands - 1.0%
Tencent Holdings, Ltd.		322,118		6,470
China - 4.3%
China Life Insurance Co., Ltd. - Class H		2,293,157		5,675
China Merchants Bank Co., Ltd. - Class H		4,696,845		9,495
Industrial & Commercial Bank of China - Class H		13,207,300		7,856
Sinopharm Group Co., Ltd. - Class H		2,458,090		5,899
Denmark - 2.4%
Novo Nordisk A/S - Class B		146,364		16,819
France - 6.6%
Air Liquide SA		112,149		13,875
LVMH Moet Hennessy Louis Vuitton SA		118,733		16,812
Publicis Groupe SA ^		218,554		10,054
Vallourec SA		65,300		4,239
Germany - 10.3%
Adidas AG		233,677		15,200
Allianz SE		103,200		9,872
Fresenius Medical Care AG & Co., KGaA		209,289		14,221
SAP AG		328,960		17,392
Siemens AG		140,600		13,455
Hong Kong - 3.7%
CNOOC, Ltd.		7,502,847		13,157
Hong Kong Exchanges & Clearing, Ltd.		749,000		12,026
Ireland - 1.4%
Covidien PLC		210,600		9,479
Israel - 3.2%
Check Point Software Technologies, Ltd. ‡^		154,256		8,105
Teva Pharmaceutical Industries, Ltd. ADR		330,494		13,339
Japan - 11.1%
Canon, Inc. ^		250,424		11,095
Dai-ichi Life Insurance Co., Ltd. ^		4,777		4,698
Fanuc Corp.		52,796		8,080
KDDI Corp.		1,643		10,566
Komatsu, Ltd.		599,004		14,001
Mitsubishi UFJ Financial Group, Inc. ^		3,050,100		12,958
Toyota Motor Corp.		422,391		14,076
Korea, Republic of - 2.0%
Hyundai Motor Co. ‡		74,030		13,712
Mexico - 1.5%
Wal-Mart de Mexico SAB de CV- Series V ^		3,824,400		10,496
Netherlands - 0.5%
Yandex NV - Class A ‡ ^		184,000		3,625
Netherland Antilles - 2.2%
Schlumberger, Ltd.		219,800		15,015
Sweden - 2.3%
Hennes & Mauritz AB - Class B		381,671		12,273
Svenska Handelsbanken AB - Class A		133,100		3,501
Switzerland - 8.3%
Credit Suisse Group AG ‡		450,800		10,592
Julius Baer Group, Ltd. ‡		173,596		6,790

	Shares		Value (000’s)
Switzerland (continued)
Nestle SA		312,854	$	17,986
Novartis AG		291,371		16,657
Swatch Group AG		12,040		4,506
Taiwan - 0.6%
High Tech Computer Corp.		247,960		4,070
Turkey - 0.9%
Turkiye Garanti Bankasi AS		1,913,300		5,961
United Kingdom - 21.7%
ARM Holdings PLC		796,819		7,326
BG Group PLC		737,186		15,760
British American Tobacco PLC		387,073		18,367
Carnival PLC		364,198		12,025
Kingfisher PLC		2,745,210		10,688
Pearson PLC		426,637		8,017
Reckitt Benckiser Group PLC		292,934		14,467
Rolls-Royce Holdings PLC ‡		463,240		5,370
SABMiller PLC		251,757		8,862
Standard Chartered PLC		735,968		16,103
Tesco PLC		2,632,557		16,495
Vodafone Group PLC		5,013,060		13,928
Total Common Stocks (cost $562,602)				640,158
SECURITIES LENDING COLLATERAL - 4.8%
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.28% p		32,734,310		32,734
Total Securities Lending Collateral (cost $32,734)
	Principal (000’s)		Value (000’s)
REPURCHASE AGREEMENT - 3.2%
State Street Bank & Trust Co.
0.03% p, dated 12/30/2011, to be repurchased at $21,450 on 01/03/2012. Collateralized by a U.S. Government Agency Obligation, 3.00%, due 11/25/2040, and with a value of $21,884.	$	21,450		21,450
Total Repurchase Agreement (cost $21,450)
Total Investment Securities (cost $624,089) P				706,458
Other Assets and Liabilities - Net				(26,288	)
Net Assets			$	680,170

INVESTMENTS BY INDUSTRY (unaudited):	Percentage of Total Investments			Value (000’s)
Commercial Banks		7.9	%	$	55,875
Pharmaceuticals		6.6			46,816
Oil, Gas & Consumable Fuels		6.5			46,270
Automobiles		5.6			39,905
Textiles, Apparel & Luxury Goods		5.2			36,517
Food & Staples Retailing		3.8			26,991
Machinery		3.7			26,320
Software		3.6			25,497
Wireless Telecommunication Services		3.5			24,494
Chemicals		3.5			24,488
Specialty Retail		3.3			22,961
Insurance		2.9			20,245
Health Care Providers & Services		2.8			20,120
Tobacco		2.6			18,367
Media		2.6			18,071
Food Products		2.5			17,986
Capital Markets		2.5			17,382
Diversified Financial Services		2.4			17,019
Energy Equipment & Services		2.1			15,015
Household Products		2.0			14,467
Industrial Conglomerates		1.9			13,455
Road & Rail		1.8			13,056
Hotels, Restaurants & Leisure		1.7			12,025
Office Electronics		1.6			11,094
Aerospace & Defense		1.6			11,055
Internet Software & Services		1.4			10,095
Metals & Mining		1.4			9,907
Health Care Equipment & Supplies		1.3			9,479
Beverages		1.3			8,861
Semiconductors & Semiconductor Equipment		1.0			7,326
Personal Products		1.0			7,045
Communications Equipment		0.6			4,070
Investment Securities, at Value		92.2			652,274
Short-Term Investments		7.8			54,184
Total Investments		100.0	%	$	706,458

FORWARD FOREIGN CURRENCY CONTRACTS:
Currency	Counterparty	Contracts Bought/ (Sold) (000’s)			Settlement Date	Amount in U.S. Dollars Bought/ (Sold) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Euro	SSB		(20,023	)	01/23/2012	$	(26,163	)	$	245
Euro	SSB		(28,539	)	05/09/2012		(39,183	)		2,196
									$	2,441

Collateral (Received) Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of 12/31/2011:

Counterparty	Total Market Value of OTC Derivatives (000’s)		Collateral (Received)/Pledged (000’s)		Net Exposures  (1) (000’s)
SSB	$	2,441	$	—	$	2,441

⁽¹⁾ Net exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default.

NOTES TO SCHEDULE OF INVESTMENTS (all amounts in thousands):

p Rate shown reflects the yield at 12/30/2011.

^ All or a portion of this security is on loan. The value of all securities on loan is $31,228.

‡ Non-income producing security.

Aggregate cost for federal income tax purposes is $626,298. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $127,303 and $47,143, respectively. Net unrealized appreciation for tax purposes is $80,160.

DEFINITION:

ADR American Depositary Receipt

OTC Over The Counter

SSB State Street Bank & Trust Co.

VALUATION SUMMARY (all amounts in thousands):

Investment Securities	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Common Stocks	$	90,726	$	549,432	$	—	$	640,158
Preferred Stocks		—		12,116		—		12,116
Repurchase Agreements		—		21,450		—		21,450
Securities Lending Collateral		32,734		—		—		32,734
Total	$	123,460	$	582,998	$	—	$	706,458

Other Financial Instruments	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs		Value at 12/31/2011
Forward Foreign Currency Contracts - Appreciation	$	—	$	2,441	$	—	$	2,441

See the notes to the financial statements for more information regarding pricing inputs and valuation techniques.

Other financial instruments are derivative instruments that are valued at unrealized appreciation / (depreciation) on the instrument.

	Money Market		High Quality Bond			Inflation- Protected Securities			Core Bond		High Yield Bond			Balanced
Assets:
Investment securities, at value	$	807,865	$	475,982		$	345,642		$	1,800,735	$	710,790		$	128,760
Repurchase agreements, at value		172,832		15,687			15,358			116,415		5,260			3,895
Cash on deposit with broker		—		—			—			—		—			87
Cash		—		42			—			—		230			—
Foreign currency, at value		—		—			326			2,046		—			35
Unrealized appreciation on forward foreign currency contracts		—		—			119			1,841		—			42
Unrealized appreciation on swap agreements		—		—			789			3,324		—			—
Premium paid on swap agreements		—		—			—	(A)		2,128		—			—
Receivables:
Due from advisor		—		—		��	1			—		—			6
Investment securities sold		14,700		—			2,254			607,275		145			19,332
Interest		532		2,587			2,029			11,760		13,279			299
Dividends		—		—			—			—		—			103
Securities lending income (net)		—		8			1			16		—			4
Variation margin		—		—			1			11		—			—
Other		—		—			21			3		—			—
Prepaid expenses		1		—	(A)		—	(A)		2		1			—	(A)
		995,930		494,306			366,541			2,545,556		729,705			152,563
Liabilities:
Cash on deposit with broker		—		—			—			1,220		—			—
Accounts payable and accrued liabilities:
Collateral for securities on loan		—		35,892			2,716			60,688		—			19,659
Due to advisor		—		—			—			—		—	(A)		—
Investment securities purchased		—		—			1,148			635,066		—			21,821
Variation margin		—		—			—			—		—			2
Advisory fees		209		136			107			471		341			40
Trustee fees		4		2			2			7		3			—	(A)
Custody fees		38		18			25			124		46			37
Interest and Dividends from securities sold short		—		—			—			316		—			9
Audit and tax fees		18		18			20			22		20			20
Legal fees		23		11			12			41		17			2
Other		9		1			1			—		2			1
Unrealized depreciation on swap agreements		—		—			592			2,761		—			—
Premium received on swap agreements		—		—			148			4,186		—			—
Securities sold short, at value		—		—			—			245,867		—			6,848
Written options and swaptions, at value		—		—			3,170			5,707		—			—
Unrealized depreciation on forward foreign currency contracts		—		—			56			489		—			13
		301		36,078			7,997			956,965		429			48,452
Net Assets	$	995,629	$	458,228		$	358,544		$	1,588,591	$	729,276		$	104,111
Investment securities, at cost	$	807,865	$	472,738		$	325,339		$	1,799,909	$	724,019		$	131,081
Repurchase agreements, at cost	$	172,832	$	15,687		$	15,358		$	116,415	$	5,260		$	3,895
Foreign currency, at cost	$	—	$	—		$	324		$	1,907	$	—		$	35
Securities loaned, at value	$	—	$	35,154		$	2,662		$	59,439	$	—		$	19,226
Proceeds from securities sold short	$	—	$	—		$	—		$	244,044	$	—		$	6,799
Premium on written options and swaptions	$	—	$	—		$	1,840		$	3,930	$	—		$	—

	Large Value			Large Core			Large Growth			Mid Value			Mid Growth			Small Value
Assets:
Investment securities, at value	$	898,379		$	238,081		$	1,047,206		$	764,677		$	259,195		$	127,921
Repurchase agreements, at value		11,609			4,490			4,105			16,111			637			2,713
Cash		—			—			—			65			—			—
Foreign currency, at value		—			—			2			—			—			—
Receivables:
Due from advisor		—			—			—			1			3			—	(A)
Investment securities sold		110			151			4,697			6,816			—			112
Interest		—	(A)		—	(A)		—	(A)		—	(A)		—	(A)		—	(A)
Dividends		1,299			333			697			1,259			48			144
Dividend reclaims		—			—			80			19			—			—
Securities lending income (net)		11			3			35			12			13			7
Other		4			—			5			—			—			—
Prepaid expenses		1			—	(A)		1			1			—	(A)		—	(A)
		911,413			243,058			1,056,828			788,961			259,896			130,897
Liabilities:
Accounts payable and accrued liabilities:
Collateral for securities on loan		33,249			7,698			35,782			37,587			53,129			26,705
Due to advisor		—			—			11			—			—			—
Investment securities purchased		—			—			4,095			2,038			—			134
Advisory fees		332			119			541			432			130			73
Trustee fees		4			1			5			3			1			—	(A)
Custody fees		23			8			43			27			10			6
Audit and tax fees		19			20			20			18			18			18
Legal fees		20			5			24			18			5			2
Other		—			3			—	(A)		3			1			1
		33,647			7,854			40,521			40,126			53,294			26,939
Net Assets	$	877,766		$	235,204		$	1,016,307		$	748,835		$	206,602		$	103,958
Investment securities, at cost	$	829,372		$	217,003		$	958,514		$	711,961		$	243,299		$	115,713
Repurchase agreements, at cost	$	11,609		$	4,490		$	4,105		$	16,111		$	637		$	2,713
Foreign currency, at cost	$	—		$	—		$	2		$	—		$	—		$	—
Securities loaned, at value	$	32,518		$	7,513		$	34,987		$	36,716		$	51,980		$	26,051

	Small Core			Small Growth			International Equity
Assets:
Investment securities, at value	$	367,818		$	136,092		$	685,008
Repurchase agreements, at value		4,216			277			21,450
Cash		—			—			9
Foreign currency, at value		—			—			37
Unrealized appreciation on forward foreign currency contracts		—			—			2,441
Receivables:
Due from advisor		—			7			—
Investment securities sold		94			290			77
Interest		—	(A)		—	(A)		—	(A)
Dividends		317			40			877
Dividend reclaims		—			—			3,567
Securities lending income (net)		32			8			28
Prepaid expenses		—	(A)		—	(A)		1
		372,477			136,714			713,495
Liabilities:
Accounts payable and accrued liabilities:
Collateral for securities on loan		75,961			27,749			32,734
Investment securities purchased		206			726			—	(A)
Variation margin		3			—			—
Advisory fees		201			81			439
Trustee fees		1			—	(A)		3
Custody fees		18			13			102
Audit and tax fees		18			18			23
Legal fees		7			2			20
Other		2			1			4
		76,417			28,590			33,325
Net Assets	$	296,060		$	108,124		$	680,170
Investment securities, at cost	$	330,296		$	131,806		$	602,639
Repurchase agreements, at cost	$	4,216		$	277		$	21,450
Foreign currency, at cost	$	—		$	—		$	37
Securities loaned, at value	$	74,054		$	27,054		$	31,228

^(A)  Rounds to less than $1.

	Money Market			High  Quality Bond			Inflation- Protected Securities			Core Bond			High Yield Bond			Balanced
Investment income:
Interest income	$	2,365		$	13,222		$	12,809		$	61,478		$	62,425		$	1,707
Securities lending income (net)		—			49			37			188			—			36
Dividend income		—			—			—			48			342			1,345
Withholding taxes on foreign income		—			—			—			—			(18	)		—	(A)
		2,365			13,271			12,846			61,714			62,749			3,088
Expenses:
Advisory		2,516			1,656			1,215			5,492			4,003			504
Custody		151			70			95			509			169			157
Audit and tax		16			16			18			20			18			18
Legal		63			31			31			106			46			7
Printing and shareholder reports		4			1			1			3			2			—	(A)
Trustee and CCO		21			10			7			33			15			2
Other		30			8			6			27			12			2
Total expenses		2,801			1,792			1,373			6,190			4,265			690
Expenses reimbursed/waived		—			—			—			—			—			(130	)
Net expenses		2,801			1,792			1,373			6,190			4,265			560
Net investment income (loss)		(436	)		11,479			11,473			55,524			58,484			2,528
Net realized gain (loss) on transactions from:
Investment securities		8			483			23,949			50,263			9,982			6,223
Swap agreements		—			—			(229	)		1,689			—			—
Futures contracts		—			—			(6,532	)		1,471			—			89
Written option and swaption contracts		—			—			906			(11,446	)		—			58
Foreign currency transactions		—			—			(241	)		(522	)		—			(3	)
Securities sold short		—			—			—			(249	)		—			(2	)
		8			483			17,853			41,206			9,982			6,365
Net increase (decrease) in unrealized appreciation (depreciation) on:
Investment securities		—			(1,728	)		12,704			(313	)		(34,284	)		(5,173	)
Swap agreements		—			—			186			(1,656	)		—			—
Futures contracts		—			—			(326	)		2,390			—			131
Written option and swaption contracts		—			—			(1,401	)		(2,268	)		—			3
Securities sold short		—			—			—			(2,243	)		—			(67	)
Translation of assets and liabilities denominated in foreign currencies		—			—			42			1,384			—			28
		—			(1,728	)		11,205			(2,706	)		(34,284	)		(5,078	)
Net realized and unrealized gain (loss)		8			(1,245	)		29,058			38,500			(24,302	)		1,287
Net increase (decrease) in net assets resulting from operations	$	(428	)	$	10,234		$	40,531		$	94,024		$	34,182		$	3,815

	Large Value			Large Core			Large Growth			Mid Value			Mid Growth			Small Value
Investment income:
Interest income	$	3		$	1		$	3		$	3		$	—	(A)	$	—	(A)
Securities lending income (net)		179			56			306			144			108			53
Dividend income		20,153			4,888			10,756			14,938			892			1,643
Withholding taxes on foreign income		(5	)		(2	)		(68	)		(15	)		(2	)		—
		20,330			4,943			10,997			15,070			998			1,696
Expenses:
Advisory		4,216			1,485			6,861			5,671			1,721			938
Custody		98			34			202			115			42			27
Audit and tax		17			18			20			16			16			16
Legal		57			15			67			56			14			7
Printing and shareholder reports		1			1			—	(A)		2			1			—	(A)
Trustee and CCO		20			5			24			18			5			2
Other		16			4			23			14			4			2
Total expenses		4,425			1,562			7,197			5,892			1,803			992
Expenses reimbursed/waived		—			—			—			—			(10	)		(20	)
Net expenses		4,425			1,562			7,197			5,892			1,793			972
Net investment income (loss)		15,905			3,381			3,800			9,178			(795	)		724
Net realized gain (loss) on transactions from:
Investment securities		68,630			19,124			102,849			76,188			30,656			10,311
Foreign currency transactions		—	(A)		1			(32	)		1			—			—
		68,630			19,125			102,817			76,189			30,656			10,311
Net increase (decrease) in unrealized appreciation (depreciation) on:
Investment securities		(57,168	)		(13,573	)		(120,670	)		(100,232	)		(44,996	)		(8,991	)
Translation of assets and liabilities denominated in foreign currencies		—	(A)		1			—	(A)		—	(A)		—			—
		(57,168	)		(13,572	)		(120,670	)		(100,232	)		(44,996	)		(8,991	)
Net realized and unrealized gain (loss)		11,462			5,553			(17,853	)		(24,043	)		(14,340	)		1,320
Net increase (decrease) in net assets resulting from operations	$	27,367		$	8,934		$	(14,053	)	$	(14,865	)	$	(15,135	)	$	2,044

	Small Core			Small Growth			International Equity
Investment income:
Interest income	$	2		$	—	(A)	$	2
Securities lending income (net)		237			165			632
Dividend income		3,500			497			21,513
Withholding taxes on foreign income		—	(A)		(6	)		(1,857	)
		3,739			656			20,290
Expenses:
Advisory		2,585			1,084			6,043
Custody		76			60			433
Audit and tax		16			16			21
Legal		20			7			56
Printing and shareholder reports		1			—	(A)		1
Trustee and CCO		7			3			17
Other		5			2			14
Total expenses		2,710			1,172			6,585
Expenses reimbursed/waived		—			(51	)		—
Net expenses		2,710			1,121			6,585
Net investment income (loss)		1,029			(465	)		13,705
Net realized gain (loss) on transactions from:
Investment securities		44,374			17,926			40,245
Futures contracts		248			—			—
Foreign currency transactions		—			—	(A)		(2,490	)
		44,622			17,926			37,755
Net increase (decrease) in unrealized appreciation (depreciation) on:
Investment securities		(51,720	)		(24,244	)		(160,515	)
Futures contracts		(5	)		—			—
Translation of assets and liabilities denominated in foreign currencies		—			—	(A)		4,811
		(51,725	)		(24,244	)		(155,704	)
Net realized and unrealized (loss)		(7,103	)		(6,318	)		(117,949	)
Net (decrease) in net assets resulting from operations	$	(6,074	)	$	(6,783	)	$	(104,244	)

^(A) Rounds to less than $1.

	Money Market						High Quality Bond						Inflation-Protected Securities
	December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010
From operations:
Net investment income (loss)	$	(436	)	$	251		$	11,479		$	14,025		$	11,473		$	7,069
Net realized gain		8			7			483			3,943			17,853			14,798
Change in net unrealized appreciation (depreciation)		—			—			(1,728	)		1,444			11,205			(795	)
Net increase (decrease) in net assets resulting from operations		(428	)		258			10,234			19,412			40,531			21,072
From transactions in investors’ beneficial interests:
Contributions		494,457			662,569			242,064			195,218			76,278			57,416
Withdrawals		(563,796	)		(730,338	)		(257,771	)		(228,017	)		(86,275	)		(120,488	)
Net decrease in net assets resulting from transactions in investors’ beneficial interests		(69,339	)		(67,769	)		(15,707	)		(32,799	)		(9,997	)		(63,072	)
Net increase (decrease) in net assets		(69,767	)		(67,511	)		(5,473	)		(13,387	)		30,534			(42,000	)
Net Assets:
Beginning of year		1,065,396			1,132,907			463,701			477,088			328,010			370,010
End of year	$	995,629		$	1,065,396		$	458,228		$	463,701		$	358,544		$	328,010
	Core Bond						High Yield Bond						Balanced
	December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010
From operations:
Net investment income	$	55,524		$	62,549		$	58,484		$	58,452		$	2,528		$	2,981
Net realized gain		41,206			43,546			9,982			22,236			6,365			2,358
Change in net unrealized appreciation (depreciation)		(2,706	)		32,634			(34,284	)		16,058			(5,078	)		10,743
Net increase in net assets resulting from operations		94,024			138,729			34,182			96,746			3,815			16,082
From transactions in investors’ beneficial interests:
Contributions		274,865			314,602			120,713			189,188			7,124			7,343
Withdrawals		(402,304	)		(580,856	)		(134,702	)		(218,768	)		(23,165	)		(44,822	)
Net decrease in net assets resulting from transactions in investors’ beneficial interests		(127,439	)		(266,254	)		(13,989	)		(29,580	)		(16,041	)		(37,479	)
Net increase (decrease) in net assets		(33,415	)		(127,525	)		20,193			67,166			(12,226	)		(21,397	)
Net Assets:
Beginning of year		1,622,006			1,749,531			709,083			641,917			116,337			137,734
End of year	$	1,588,591		$	1,622,006		$	729,276		$	709,083		$	104,111		$	116,337
	Large Value						Large Core						Large Growth
	December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010
From operations:
Net investment income	$	15,905		$	17,446		$	3,381		$	3,762		$	3,800		$	6,494
Net realized gain		68,630			109,679			19,125			8,624			102,817			130,845
Change in net unrealized appreciation (depreciation)		(57,168	)		10,261			(13,572	)		15,463			(120,670	)		37,120
Net increase (decrease) in net assets resulting from operations		27,367			137,386			8,934			27,849			(14,053	)		174,459
From transactions in investors’ beneficial interests:
Contributions		67,603			97,725			16,232			25,843			66,114			77,698
Withdrawals		(231,319	)		(484,459	)		(45,957	)		(78,593	)		(212,337	)		(417,094	)
Net decrease in net assets resulting from transactions in investors’ beneficial interests		(163,716	)		(386,734	)		(29,725	)		(52,750	)		(146,223	)		(339,396	)
													��
Net decrease in net assets		(136,349	)		(249,348	)		(20,791	)		(24,901	)		(160,276	)		(164,937	)
Net Assets:
Beginning of year		1,014,115			1,263,463			255,995			280,896			1,176,583			1,341,520
End of year	$	877,766		$	1,014,115		$	235,204		$	255,995		$	1,016,307		$	1,176,583

	Mid Value						Mid Growth						Small Value
	December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010
From operations:
Net investment income (loss)	$	9,178		$	9,412		$	(795	)	$	(874	)	$	724		$	1,114
Net realized gain		76,189			64,305			30,656			41,475			10,311			15,484
Change in net unrealized appreciation (depreciation)		(100,232	)		87,619			(44,996	)		22,589			(8,991	)		11,023
Net increase (decrease) in net assets resulting from operations		(14,865	)		161,336			(15,135	)		63,190			2,044			27,621
From transactions in investors’ beneficial interests:
Contributions		58,995			269,938			25,002			39,943			8,136			12,187
Withdrawals		(204,429	)		(330,801	)		(72,998	)		(85,149	)		(40,649	)		(51,108	)
Net decrease in net assets resulting from transactions in investors’ beneficial interests		(145,434	)		(60,863	)		(47,996	)		(45,206	)		(32,513	)		(38,921	)
Net increase (decrease) in net assets		(160,299	)		100,473			(63,131	)		17,984			(30,469	)		(11,300	)
Net Assets:
Beginning of year		909,134			808,661			269,733			251,749			134,427			145,727
End of year	$	748,835		$	909,134		$	206,602		$	269,733		$	103,958		$	134,427
	Small Core						Small Growth						International Equity
	December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010			December 31, 2011			December 31, 2010
From operations:
Net investment income (loss)	$	1,029		$	1,356		$	(465	)	$	(564	)	$	13,705		$	12,864
Net realized gain		44,622			47,999			17,926			21,668			37,755			66,537
Change in net unrealized appreciation (depreciation)		(51,725	)		34,164			(24,244	)		10,962			(155,704	)		32,655
Net increase (decrease) in net assets resulting from operations		(6,074	)		83,519			(6,783	)		32,066			(104,244	)		112,056
From transactions in investors’ beneficial interests:
Contributions		20,061			24,934			11,856			15,020			70,059			84,159
Withdrawals		(59,525	)		(106,899	)		(39,680	)		(57,079	)		(178,905	)		(347,004	)
Net decrease in net assets resulting from transactions in investors’ beneficial interests		(39,464	)		(81,965	)		(27,824	)		(42,059	)		(108,846	)		(262,845	)
Net increase (decrease) in net assets		(45,538	)		1,554			(34,607	)		(9,993	)		(213,090	)		(150,789	)
Net Assets:
Beginning of year		341,598			340,044			142,731			152,724			893,260			1,044,049
End of year	$	296,060		$	341,598		$	108,124		$	142,731		$	680,170		$	893,260

	December 31, 2011			December 31, 2010			Money Market December  31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	995,629		$	1,065,396		$	1,132,907		$	1,325,802		$	1,050,796
Total return		(0.04	%)		0.02	%		0.36	%		2.44	%		5.17	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.28	%		0.28	%		0.27	%		0.27	%		0.28	%
Before reimbursement		0.28	%		0.28	%		0.27	%		0.27	%		0.28	%
Net investment income (loss), to average net assets		(0.04	%)		0.02	%		0.37	%		2.43	%		5.01	%
	December 31, 2011			December 31, 2010			High Quality Bond December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	458,228		$	463,701		$	477,088		$	421,232		$	833,291
Total return		2.16	%		4.20	%		9.83	%		0.55	%		5.34	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.38	%		0.38	%		0.38	%		0.38	%		0.38	%
Before reimbursement		0.38	%		0.38	%		0.38	%		0.38	%		0.38	%
Net investment income, to average net assets		2.43	%		2.99	%		3.75	%		4.24	%		4.38	%
Portfolio turnover rate		84	%		87	%		104	%		64	%		56	%
				Inflation-Protected Securities
	December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	358,544		$	328,010		$	370,010		$	389,198		$	149,013
Total return		12.33	%		6.23	%		10.22	%		(2.14	%)		10.16	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.40	%		0.38	%		0.40	%		0.39	%		0.40	%
Before reimbursement		0.40	%		0.38	%		0.40	%		0.39	%		0.42	%
Net investment income, to average net assets		3.30	%		2.04	%		1.02	%		4.99	%		5.26	%
Portfolio turnover rate		134	%		117	%		118	%		154	%		340	%
							Core Bond
	December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	1,588,591		$	1,622,006		$	1,749,531		$	1,667,313		$	2,248,880
Total return		6.20	%		8.26	%		12.89	%		(1.83	%)		6.67	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.39	%		0.39	%		0.38	%		0.38	%		0.38	%
Before reimbursement		0.39	%		0.39	%		0.38	%		0.38	%		0.38	%
Net investment income, to average net assets		3.54	%		3.65	%		4.45	%		5.12	%		4.81	%
Portfolio turnover rate		406	%		633	%		1,014	% (A)		530	%		503	%
							High Yield Bond
	December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	729,276		$	709,083		$	641,917		$	439,863		$	538,727
Total return		4.93	%		15.81	%		57.21	%		(28.90	%)		2.02	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.59	%		0.59	%		0.59	%		0.58	%		0.58	%
Before reimbursement		0.59	%		0.59	%		0.59	%		0.58	%		0.58	%
Net investment income, to average net assets		8.04	%		8.84	%		10.10	%		9.57	%		7.97	%
Portfolio turnover rate		81	%		98	%		98	%		54	%		96	%

	December 31, 2011			December 31, 2010			Balanced December  31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	104,111		$	116,337		$	137,734		$	168,930		$	318,635
Total return		3.60	%		13.91	%		23.45	%		(26.71	%)		1.79	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%
Before reimbursement		0.62	%		0.59	%		0.55	%		0.53	%		0.52	%
Net investment income, to average net assets		2.26	%		2.42	%		3.01	%		3.45	%		2.87	%
Portfolio turnover rate		245	%		211	%		167	%		154	%		226	%
	December 31, 2011			December 31, 2010			Large Value December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	877,766		$	1,014,115		$	1,263,463		$	1,450,970		$	3,165,025
Total return		2.32	%		14.66	%		16.71	%		(42.94	%)		(1.75	%)
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.47	%		0.47	%		0.48	%		0.48	%		0.48	%
Before reimbursement		0.47	%		0.47	%		0.48	%		0.48	%		0.48	%
Net investment income, to average net assets		1.70	%		1.65	%		2.22	%		2.53	%		1.68	%
Portfolio turnover rate		55	%		62	%		124	% (A)		26	%		30	%
	December 31, 2011			December 31, 2010			Large Core December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	235,204		$	255,995		$	280,896		$	281,774		$	903,262
Total return		3.51	%		11.79	%		23.36	%		(36.65	%)		2.11	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.63	%		0.63	%		0.62	%		0.65	%		0.64	%
Before reimbursement		0.63	%		0.63	%		0.62	%		0.65	%		0.64	%
Net investment income, to average net assets		1.37	%		1.47	%		1.57	%		1.31	%		1.08	%
Portfolio turnover rate		63	%		55	%		168	%		99	%		101	%
	December 31, 2011			December 31, 2010			Large Growth December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	1,016,307		$	1,176,583		$	1,341,520		$	1,130,783		$	2,444,761
Total return		(1.78	%)		16.62	%		35.56	%		(39.87	%)		12.25	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Before reimbursement		0.65	%		0.66	%		0.65	%		0.65	%		0.65	%
Net investment income, to average net assets		0.34	%		0.56	%		0.97	%		0.92	%		0.61	%
Portfolio turnover rate		53	%		119	%		102	% (A)		102	%		129	%

	December 31, 2011			December 31, 2010			Mid Value December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	748,835		$	909,134		$	808,661		$	630,249		$	998,177
Total return		(2.19	%)		21.29	%		32.53	%		(37.73	%)		2.62	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.70	%		0.69	%		0.70	%		0.70	%		0.70	%
Before reimbursement		0.70	%		0.69	%		0.70	%		0.70	%		0.70	%
Net investment income, to average net assets		1.08	%		1.14	%		1.44	%		1.69	%		1.37	%
Portfolio turnover rate		69	%		76	%		122	%		68	%		69	%
	December 31, 2011			December 31, 2010			Mid Growth December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	206,602		$	269,733		$	251,749		$	228,966		$	337,189
Total return		(6.90	%)		29.27	%		25.24	%		(41.55	%)		30.42	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%
Before reimbursement		0.75	%		0.75	%		0.76	%		0.75	%		0.75	%
Net investment loss, to average net assets		(0.33	%)		(0.36	%)		(0.23	%)		(0.02	%)		(0.23	%)
Portfolio turnover rate		135	%		199	%		214	%		158	%		152	%
	December 31, 2011			December 31, 2010			Small Value December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	103,958		$	134,427		$	145,727		$	156,628		$	185,137
Total return		1.35	%		23.12	%		19.64	%		(26.63	%)		(7.74	%)
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%
Before reimbursement		0.87	%		0.87	%		0.88	%		0.87	%		0.87	%
Net investment income, to average net assets		0.63	%		0.84	%		1.24	%		1.94	%		1.36	%
Portfolio turnover rate		16	%		121	%		103	%		117	%		94	%
	December 31, 2011			December 31, 2010			Small Core December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	296,060		$	341,598		$	340,044		$	389,662		$	950,197
Total return		(2.19	%)		29.89	%		27.64	%		(36.06	%)		(4.49	%)
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.84	%		0.85	%		0.85	%		0.85	%		0.84	%
Before reimbursement		0.84	%		0.85	%		0.85	%		0.85	%		0.84	%
Net investment income, to average net assets		0.32	%		0.43	%		0.67	%		0.94	%		0.58	%
Portfolio turnover rate		59	%		55	%		88	%		106	%		97	%
	December 31, 2011			December 31, 2010			Small Growth December 31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	108,124		$	142,731		$	152,724		$	152,513		$	166,817
Total return		(6.45	%)		25.65	%		32.99	%		(37.87	%)		8.64	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Before reimbursement		0.94	%		0.93	%		0.93	%		0.93	%		0.92	%
Net investment loss, to average net assets		(0.37	%)		(0.41	%)		(0.38	%)		(0.18	%)		(0.42	%)
Portfolio turnover rate		120	%		99	%		104	%		146	%		144	%

	December 31, 2011			December 31, 2010			International Equity December  31, 2009			December 31, 2008			December 31, 2007
Net assets end of year (000’s)	$	680,170		$	893,260		$	1,044,049		$	1,100,060		$	2,264,062
Total return		(13.51	%)		14.94	%		26.10	%		(49.94	%)		11.69	%
Ratios and supplemental data
Expenses to average net assets
After reimbursement		0.82	%		0.81	%		0.82	%		0.84	%		0.87	%
Before reimbursement		0.82	%		0.81	%		0.82	%		0.84	%		0.87	%
Net investment income, to average net assets		1.70	%		1.45	%		1.39	%		2.78	%		2.25	%
Portfolio turnover rate		24	%		29	%		138	%		174	%		110	%

^(A) Excludes investment securities received in kind.

Note: Prior to Janurary 1, 2010, all of the Financial Highlights were audited by another independent registered public accounting firm.

NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Transamerica Partners Portfolios (the “Series Portfolio”) is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and was organized as a series trust under the laws of the State of New York. The Series Portfolio is composed of fifteen different series that are, in effect, separate investment funds: Transamerica Partners Money Market Portfolio (“Money Market”), Transamerica Partners High Quality Bond Portfolio (“High Quality Bond”), Transamerica Partners Inflation-Protected Securities Portfolio (“Inflation-Protected Securities”), Transamerica Partners Core Bond Portfolio (“Core Bond”), Transamerica Partners High Yield Bond Portfolio (“High Yield Bond”), Transamerica Partners Balanced Portfolio (“Balanced”), Transamerica Partners Large Value Portfolio (“Large Value”), Transamerica Partners Large Core Portfolio (“Large Core”), Transamerica Partners Large Growth Portfolio (“Large Growth”), Transamerica Partners Mid Value Portfolio (“Mid Value”), Transamerica Partners Mid Growth Portfolio (“Mid Growth”), Transamerica Partners Small Value Portfolio (“Small Value”), Transamerica Partners Small Core Portfolio (“Small Core”), Transamerica Partners Small Growth Portfolio (“Small Growth”), and Transamerica Partners International Equity Portfolio (“International Equity”) (each a “Portfolio” and collectively, the “Portfolios”). Each Portfolio issues shares of beneficial interest only in private placement transactions that do not involve a public offering within the meaning of Section 4(2) of the Securities Act of 1933, as amended (“Securities Act”). Only “accredited investors”, as defined in Regulation D under the Securities Act, may invest in the Portfolios. Accredited investors include investment companies, insurance company separate accounts, common or commingled trust funds, or other similar organizations or entities.

This report should be read in conjunction with the Portfolios’ current prospectus, which contains more complete information about the Portfolios, including investment objectives and strategies.

In the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios and/or their affiliates that have not yet occurred. However, based on experience, the Portfolios expect the risk of loss to be remote.

In preparing the Portfolios’ financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Portfolios.

Repurchase agreements: Securities purchased subject to repurchase agreements are held at the Portfolios’ custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Portfolios will bear the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.

Foreign currency denominated investments: The accounting records of the Portfolios are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rates in effect when the investment was acquired. Each Portfolio combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.

Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.

Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values, and possible adverse political, social, and economic developments, including those particular to a specific industry, country, or region.

Forward foreign currency contracts: The Portfolios are subject to foreign currency exchange rate risk exposure in the normal course of pursuing their investment objectives. The Portfolios, with the exception of Money Market, enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Forward foreign currency contracts are marked to market daily, with the change in value recorded as an unrealized gain or loss. When the contracts are settled, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying currencies and from the possible inability of counterparties to meet the terms of their contracts.

Open forward foreign currency contracts at December 31, 2011 are listed in the Schedules of Investments.

NOTE 1. (continued)

Option and swaption contracts: The Portfolios are subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Portfolios, with the exception of Money Market, enter into option contracts to manage exposure to various market fluctuations. Options are valued at the average of the bid and ask (“Mean Quote”) established each day at the close of the board of trade or exchange on which they are traded. The primary risks associated with options are: an imperfect correlation between the change in value of the securities held and the prices of the option contracts, the possibility of an illiquid market, and an inability of the counterparty to meet the contract terms.

The Portfolios write call and put options/swaptions on futures, swaps, securities, or currencies they own or in which they may invest. When a Portfolio writes a covered call or a put option/swaption, an amount equal to the premium received by a Portfolio is included in the Portfolio’s Statement of Assets and Liabilities as an asset and as an equivalent liability. Premiums received from writing options/swaptions which expire are treated as realized gains. Premiums received from writing options/swaptions which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security, or currency transaction to determine the realized gain or loss. Options are marked-to-market daily to reflect the current value of the option/swaption written.

The Portfolios purchase put and call options/swaptions on foreign or U.S. securities, indices, futures, swaps, and commodities. Purchasing call options tends to increase exposure to the underlying instrument. Purchasing put options tends to decrease exposure to the underlying instrument. The Portfolios pay premiums, which are included in the Statements of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options/swaptions which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying futures, swaps, security, commodity, or currency transaction to determine the realized gain or loss. Realized gains or losses are reflected in the realized gains or losses of investment securities on the Statements of Operations.

The underlying face amounts of open option and swaption contracts at December 31, 2011, are listed in the Schedules of Investments.

Transactions in written options were as follows:

Inflation-Protected Securities	Premium			Notional Amount
Balance at December 31, 2010	$	—		$	—
Sales		586			1,724
Closing Buys		(202	)		(587	)
Expirations		(357	)		(1,090	)
Exercised		—			—
Balance at December 31, 2011	$	27		$	47
Inflation-Protected Securities	Premium			Notional Amount
Balance at December 31, 2010	$	—		EUR	—
Sales		411			23,060
Closing Buys		(118	)		(9,920	)
Expirations		—			—
Exercised		—			—
Balance at December 31, 2011	$	293		EUR	13,140

Core Bond	Premium			Notional Amount
Balance at December 31, 2010	$	851		$	516
Sales		5,501			16,608
Closing Buys		(3,771	)		(8,562	)
Expirations		(2,581	)		(8,562	)
Exercised		—			—
Balance at December 31, 2011	$	—		$	—
Balanced	Premium			Notional Amount
Balance at December 31, 2010	$	20		$	12
Sales		131			306
Closing Buys		(93	)		(188	)
Expirations		(58	)		(130	)
Exercised		—			—
Balance at December 31, 2011	$	—		$	—

NOTE 1. (continued)

Transactions in written swaptions were as follows:

Inflation-Protected Securities	Premium			Notional Amount
Balance at December 31, 2010	$	1,971		$	42,800
Sales		1,983			181,000
Closing Buys		(1,614	)		(119,300	)
Expirations		(820	)		(59,200	)
Exercised		—			—
Balance at December 31, 2011	$	1,520		$	45,300

Core Bond	Premium			Notional Amount
Balance at December 31, 2010	$	37,686		$	784,700
Sales		34,627			1,268,805
Closing Buys		(65,926	)		(1,619,676	)
Expirations		(2,457	)		(275,100	)
Exercised		—			—
Balance at December 31, 2011	$	3,930		$	158,729

Futures contracts: The Portfolios are subject to equity price risk, interest rate risk, and foreign currency exchange rate risk, and commodity risk in the normal course of pursuing their investment objectives. The Portfolios, with the exception of Money Market, use futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates, or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Portfolios are required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the contract amount.

Subsequent payments (variation margin) are paid or received by the Portfolios each day, depending on the daily fluctuations in the value of the contracts, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolios. Upon entering into such contracts, the Portfolios bear the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Portfolios may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

The open futures contracts at December 31, 2011 are listed in the Schedules of Investments. The variation margin receivable or payable, as applicable, is included in the Statements of Assets and Liabilities.

Swap agreements: Swap agreements are privately negotiated agreements between the Portfolios and a counterparty to exchange or swap investments, cash flows, assets, foreign currencies, or market-linked returns at specified, future intervals. Certain Portfolios, with the exception of Money Market, enter into credit default, cross-currency, interest rate, total return, variance, and other forms of swap agreements to manage exposure to credit, currency, and interest rate risk. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Portfolio are included as part of realized gains or losses on the Statements of Operations. Specific risks and accounting related to each type of swap agreement are identified and described in the following paragraphs:

Credit default swap agreements: The Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. The Portfolios enter into credit default swaps to manage their exposure to the market or to certain sectors of the market, to reduce their risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which they are not otherwise exposed. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy (buy protection).

NOTE 1. (continued)

Under a credit default swap, one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs (sell protection). The Portfolios’ maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the notional amount of the contract. This risk is mitigated by having a master netting arrangement between the Portfolios and the counterparty, and by the posting of collateral by the counterparty to the Portfolios to cover the Portfolios’ exposure to the counterparty.

Certain Portfolios sell credit default swaps which expose them to risk of loss from credit risk related events specified in the contracts. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. The aggregate fair value of the credit default swaps are disclosed in the Schedules of Investments. The aggregate fair value of assets posted as collateral, net of assets received as collateral, for these swaps is included in the footnotes to the Schedules of Investments. If a defined credit event had occurred during the period, the swaps’ credit-risk-related contingent features would have been triggered, and the Portfolios would have been required to pay the notional amounts for the credit default swaps with a sell protection less the value of the contracts’ related reference obligations.

Interest rate swap agreements: The Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. To help hedge against this risk, the Portfolios enter into interest rate swap contracts. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional principal amount. The Portfolios with interest rate swap agreements can elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate, on a notional principal amount. The risks of interest rate swaps include changes in market conditions which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the agreement. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparties over the contracts’ remaining lives, to the extent that that amount is positive. This risk is mitigated by having a master netting arrangement between the Portfolios and the counterparty, and by the posting of collateral by the counterparty to the Portfolios to cover the Portfolios’ exposure to the counterparty.

The open swap agreements at December 31, 2011 are disclosed in the Schedules of Investments.

Short sales: A short sale is a transaction in which a Portfolio, with the exception of Money Market, sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Portfolios are obligated to replace the borrowed securities at the market price at the time of replacement. The Portfolios’ obligation to replace the securities borrowed in connection with a short sale is fully secured by collateral deposited with the custodian. In addition, the Portfolios consider the short sale to be a borrowing by the Portfolios that is subject to the asset coverage requirements of the 1940 Act. The Portfolios incur a profit or a loss, depending upon whether the market price of the securities decrease or increase between the date of the short sale and the date on which the Portfolios must replace the borrowed securities. Short sales represent an aggressive trading practice with a high risk/return potential, and short sales involve special considerations. Risks of short sales include that possible losses from short sales may be unlimited (e.g., if the price of stocks sold short rises), whereas losses from direct purchases of securities are limited to the total amount invested, and the Portfolios may be unable to replace borrowed securities sold short.

The Portfolios investing in short sales are liable for any interest or dividends payable on securities while those securities are in a short position and also bear other costs, such as charges for the prime brokerage accounts, in connection with its short positions. These costs, if any, are reported in the Statements of Operations.

Loan participations/assignments: Participations/assignments in commercial loans may be secured or unsecured. These investments may include standby financing commitments, including revolving credit facilities that obligate the Portfolios 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 Portfolios 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 Portfolios, with the exception of Money Market, 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 Portfolios that participate in such syndications, or can buy a portion of the loans, become 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, the Portfolios have direct recourse against the corporate borrowers, the Portfolios may have to rely on the agent banks or other financial intermediaries to apply appropriate credit remedies against corporate borrowers.

The Portfolios held no unsecured loan participations at December 31, 2011.

NOTE 1. (continued)

To be announced purchase commitments (“TBA”): TBA purchase commitments are entered into to purchase securities for a fixed price at a future date, typically not to exceed 45 days. They are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, in addition to the risk of decline in the value of the Portfolios’ other assets. Unsettled TBA purchase commitments are valued at the current value of the underlying securities, according to the procedures described under Security Valuations.

Treasury inflation-protected securities (“TIPS”): Certain Portfolios invest in TIPS, specially structured bonds in which the principal amount is adjusted daily to keep pace with inflation as measured by the U.S. Consumer Price Index. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

Restricted and illiquid securities: Restricted and illiquid securities 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.

The restricted and illiquid securities at December 31, 2011 are listed in the Schedules of Investments.

Payment in-kind securities (“PIKs”): PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a “dirty price”) and require a pro-rata adjustment from interest receivable to the unrealized appreciation or depreciation on investments on the Statements of Assets and Liabilities.

The PIKs at December 31, 2011 are listed in the Schedules of Investments.

Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of the Portfolios’ securities exposes the Portfolios to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Portfolios may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Portfolios may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Portfolios seek to increase their net investment income through the receipt of interest (after rebates and fees).

Such income is reflected separately on the Statements of Operations. The value of loaned securities and related collateral outstanding at December 31, 2011 are shown in the Schedules of Investments and Statements of Assets and Liabilities.

Income from loaned securities on the Statements of Operations is net of fees earned by the lending agent for its services.

Commission recapture: The sub-advisers of certain Portfolios, to the extent consistent with the best execution and usual commission rate policies and practices, have elected to place security transactions of the Portfolios with broker/dealers with which other funds or portfolios advised by Transamerica Asset Management, Inc. (“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 on the security transactions to the Portfolios. In no event will commissions paid by the Portfolios be used to pay expenses that would otherwise be borne by any other funds or portfolios advised by TAM or by any other party.

Commissions recaptured for the year ended December 31, 2011, are included in net realized gains/(losses) on the Statements of Operations and are summarized as follows:

Portfolio	Commissions
Large Growth	$	65
Mid Value		237
Mid Growth		52
Small Core		52
Small Growth		104
Small Value		1

Portfolios not listed in the above table did not have any commissions recaptured during the year ended December 31, 2011.

Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the specific identification basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Portfolios are informed of the ex-dividend dates net of foreign taxes. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.

NOTE 1. (continued)

TBAs, 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.

Core Bond and Balanced had TBAs outstanding as of December 31, 2011, which are included in Investment securities sold and Investment securities purchased on the Statements of Assets and Liabilities.

Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of cost of investments or realized gain/loss. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year-end and may differ from the estimated amounts.

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 Portfolio at the time of such determination.

Foreign taxes: The Portfolios may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Portfolios will accrue such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Portfolios invest.

NOTE 2. SECURITY VALUATIONS

All investments in securities are recorded at their estimated fair value. The Portfolios value their investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Portfolios utilize various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:

Level 1—Unadjusted quoted prices in active markets for identical securities.

Level 2—Inputs, other than quoted prices included in Level 1, that are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

Level 3—Unobservable inputs, which may include Transamerica Asset Management Inc’s (“TAM”) Valuation Committee’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the sub-adviser, issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, TAM’s Valuation Committee’s determination of values may differ significantly from values that would have been realized had a ready market for investments existed and the differences could be material.

The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.

Fair value measurements: Descriptions of the valuation techniques applied to the Portfolios’ major categories of assets and liabilities measured at fair value on a recurring basis are as follows:

Equity securities (common and preferred stock): Securities are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.

Foreign securities, in which their primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and are categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange Traded Funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship, such valuations are generally categorized in Level 2.

NOTE 2. (continued)

Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.

Corporate bonds: The fair value of corporate bonds is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3.

Asset backed securities: The fair value of asset backed securities is estimated based on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized as Level 3.

Short term notes: Short-term notes are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely, the values would be generally categorized in Level 2 of the fair value hierarchy.

Government securities: Government securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. Government securities generally are categorized in Level 2 of the fair value hierarchy.

U.S. government agency securities: U.S. government agency securities are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Generally, agency issued debt securities are valued in a manner similar to U.S. government securities. Mortgage pass-throughs include TBA securities and mortgage pass-through certificates. Generally, TBA securities and mortgage pass-throughs are valued using dealer quotations. Depending on market activity levels and whether quotations or other observable data are used, these securities are typically categorized in Level 2 of the fair value hierarchy.

Restricted securities (equity and debt): Restricted securities for which quotations are not readily available are valued at fair value as determined in good faith by TAM’s Valuation Committee under the supervision of the Portfolios’ Board of Trustees. Restricted securities issued by publicly traded companies are generally valued at a discount to similar publicly traded securities. Restricted securities issued by nonpublic entities may be valued by reference to comparable public entities and/or fundamental data relating to the issuer. Depending on the relative significance of valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.

Investment company securities: Securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.

Securities lending collateral: Securities lending collateral is invested in a money market fund which is valued at the net asset value of the underlying portfolios and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy

Derivative instruments: Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Over the counter (“OTC”) derivative contracts include forward, swap, option, and swaption contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products can be modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. A substantial majority of OTC derivative products valued by the Portfolios using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy.

Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by TAM’s Valuation Committee under the supervision of the Portfolios’ Board of Trustees. For instances which daily market quotes are not readily available, securities may be valued, pursuant to procedures adopted by the Board of Trustees, with reference to other instruments or indices. Depending on the relative significance of valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy. When a Portfolio uses fair valuation methods that rely on significant unobservable inputs to determine a security’s value, the Valuation Committee will choose the method that is believed to accurately reflect fair market value. These securities categorized as Level 3 of the fair value hierarchy.

The hierarchy classification of inputs used to value the Portfolios’ investments at December 31, 2011 are disclosed in the Valuation Summary of each Portfolio’s Schedule of Investments. Transfers between Levels are considered to have occurred at the end of the reporting period.

There were no significant transfers into or out of any Level described above during the year ended December 31, 2011.

NOTE 2. (continued)

For assets and liabilities for which significant unobservable inputs (Level 3) were used, there is a reconciliation of the beginning to the ending balances for reported market values that presents 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. The Level 3 reconciliation, if any, is disclosed in the Valuation Summary of each respective Portfolio’s Schedule of Investments.

NOTE 3. RELATED PARTY TRANSACTIONS

TAM, the Portfolios’ investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly-owned subsidiaries of AEGON NV. AUSA is wholly-owned by AEGON USA, LLC (“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.

Transamerica Financial Life Insurance Company (“TFLIC”) is a wholly-owned subsidiary of AEGON USA. The percentage of each Portfolio that is owned by TFLIC sub-accounts is as follows:

TFLIC Sub-accounts	Investments in Portfolio
Money Market		3.95	%
High Quality Bond		14.03
Inflation-Protected Securities		14.94
Core Bond		9.70
High Yield Bond		5.77
Balanced		52.23
Large Value		32.58
Large Core		50.62
Large Growth		29.38
Mid Value		5.15
Mid Growth		1.85
Small Value		3.41
Small Core		46.07
Small Growth		3.21
International Equity		19.39

Diversified Investment Advisors Collective Investment Trust (“CIT”) is managed by Massachusetts Fidelity Trust Company, which is a wholly-owned subsidiary of AEGON USA. The percentage of each Portfolio that is owned by CIT sub-accounts is as follows:

CIT Sub-accounts	Investments in Portfolio
Money Market		16.72	%
High Quality Bond		40.00
Inflation-Protected Securities		16.60
Core Bond		29.45
High Yield Bond		26.08
Balanced		6.02
Large Value		23.44
Large Core		13.37
Large Growth		21.75
Mid Value		11.44
Mid Growth		33.80
Small Value		45.34
Small Core		12.01
Small Growth		41.18
International Equity		30.07

NOTE 3. (continued)

Transamerica Asset Management, Inc. Collective Trust Funds (“CTF”) is managed by Massachusetts Fidelity Trust Company, which is a wholly-owned subsidiary of AEGON USA. The percentage of each Portfolio that is owned by CTF sub-accounts is as follows:

CTF Sub-accounts	Investments in Portfolio
Money Market		0.03	%
High Quality Bond		9.02
Inflation-Protected Securities		4.41
Core Bond		5.42
High Yield Bond		17.49
Balanced		—
Large Value		4.66
Large Core		2.90
Large Growth		2.36
Mid Value		23.38
Mid Growth		9.94
Small Value		5.69
Small Core		1.39
Small Growth		5.14
International Equity		4.70

Transamerica Fund Services, Inc. (“TFS”) is the Portfolios’ administrator. TAM and TFS are affiliates of AEGON NV.

Certain officers and trustees of the Series Portfolio and of the entities that invest in the Series Portfolio are also officers of TAM or its affiliates. None of the non-independent trustees receive compensation for services as trustees of the Series Portfolio or the entities that invest in the Series Portfolio.

Investment advisory fees: TAM manages the assets of each Portfolio of the Series Portfolio pursuant to the Investment Advisory Agreement with the Series Portfolio. For its services, TAM receives fees from each Portfolio, accrued daily and payable monthly, at an annual rate equal to the percentages specified in the table below of the corresponding Portfolios’ average daily net assets (“ANA”).

For each Portfolio, TAM has entered into Investment Sub-Advisory Agreements with the Portfolios’ sub-advisers. It is the responsibility of each sub-adviser to make the day-to-day investment decisions of the Portfolios and to place the purchase and sales orders for securities transactions of the Portfolios, subject in all cases to the general supervision of TAM.

Payment of fees to the sub-advisers is the responsibility of TAM, and is not an additional expense of a Portfolio.

Portfolio	Advisory Fee
Money Market		0.25	%
High Quality Bond		0.35
Inflation-Protected Securities		0.35
Core Bond		0.35
High Yield Bond		0.55
Balanced		0.45
Large Value		0.45
Large Core		0.60
Large Growth		0.62
Mid Value		0.67
Mid Growth		0.72
Small Value		0.82
Small Core		0.80
Small Growth		0.87
International Equity		0.75

TAM has voluntarily elected to waive fees to the extent the total operating expenses of a Portfolio exceed the following expense caps (as a proportion of ANA):

Portfolio	Expense Cap
Money Market		0.30	%
High Quality Bond		0.40
Inflation-Protected Securities		0.40
Core Bond		0.40
High Yield Bond		0.60
Balanced		0.50
Large Value		0.50
Large Core		0.65
Large Growth		0.65
Mid Value		0.70
Mid Growth		0.75
Small Value		0.85
Small Core		0.85
Small Growth		0.90
International Equity		0.90

NOTE 3. (continued)

Such fee waivers are not subject to recoupment by TAM in future years.

TAM also may waive additional fees from time to time to help them maintain competitive expense ratios. These arrangements are voluntary and may be terminated at any time.

Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.

Brokerage commissions: There were no brokerage commissions incurred on security transactions placed with affiliates of TAM or sub-advisers for the year ended December 31, 2011.

NOTE 4. INVESTMENT TRANSACTIONS

The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2011 were as follows:

	Purchases of securities:				Proceeds from maturities and sales of securities:
Fund	Long-term		U.S. Government		Long-term		U.S. Government
Money Market	$	—	$	—	$	—	$	—
High Quality Bond		193,417		202,013		159,259		250,388
Inflation-Protected Securities		83,781		359,284		128,609		350,454
Core Bond		3,371,753		4,279,529		3,529,361		4,311,445
High Yield Bond		623,870		—		560,328		—
Balanced		221,305		68,801		270,422		69,997
Large Value		513,629		—		656,625		—
Large Core		154,424		—		181,299		—
Large Growth		582,901		—		727,270		—
Mid Value		572,709		—		697,886		—
Mid Growth		320,283		—		358,516		—
Small Value		17,836		—		45,810		—
Small Core		189,233		—		225,548		—
Small Growth		149,422		—		173,879		—
International Equity		195,297		—		306,255		—

NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS

Inflation-Protected Securities:

The Portfolio is subject to various risks in the normal course of pursuing its investment objectives. The volume of purchased option and swaption contracts increased during the year from four contracts at the beginning of the year to seven contracts at year end. The volume of swap contracts increased to 11 contracts during the third quarter of the year, and then subsequently decreased to eight contracts held at year end. The volume of futures contracts increased during the year from four contracts at the beginning of the year to eight contracts at year end. The volume of written option and swaption contracts increased during the year from eight contracts at the beginning of the year to 14 contracts at year end. The volume of forward contracts increased to 10 contracts during the first quarter of the year, and then subsequently decreased to five contracts held at year end. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Interest rate contracts			Foreign exchange contracts			Total
Asset derivatives
Purchased options and swaptions, at value	$	1,084		$	43		$	1,127	**
Unrealized appreciation on swap agreements		789			—			789
Unrealized appreciation on futures contracts		398			—			398	*
Unrealized appreciation on forward foreign currency transactions		—			119			119
Liability derivatives
Written options and swaptions, at value		(3,049	)		(121	)		(3,170	)
Unrealized depreciation on swap agreements		(592	)		—			(592	)
Premium received on swap agreements		(148	)		—			(148	)
Unrealized depreciation on futures contracts		(755	)		—			(755	)*
Unrealized depreciation on forward currency contracts		—			(56	)		(56	)
Total	$	(2,273	)	$	(15	)	$	(2,288	)

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

** Included within Investment securities at value.

NOTE 5. (continued)

Effect of Derivative Instruments on the Statement of Operations for the period ended December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Interest rate contracts			Foreign exchange contracts			Total
Realized Gain/(Loss) on derivatives recognized in income
Net realized gain on purchased option and swaption contracts	$	426		$	(141	)	$	285	^
Net realized (loss) on swap agreements		(229	)		—			(229	)
Net realized (loss) on futures contracts		(6,532	)		—			(6,532	)
Net realized gain on written option and swaption contracts		726			180			906
Net realized (loss) on forward foreign currency transactions		—			(304	)		(304	) ~
Net Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income
Net change in unrealized appreciation (depreciation) on purchased option and swaption contracts		531			(73	)		458	Y
Net change in unrealized appreciation (depreciation) on swap agreements		186			—			186
Net change in unrealized appreciation (depreciation) on futures contracts		(326	)		—			(326	)
Net change in unrealized appreciation (depreciation) on written option and swaption contracts		(1,573	)		172			(1,401	)
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies		—			48			48
Total	$	(6,791	)	$	(118	)	$	(6,909	)

^ Included within net realized gain (loss) on transactions from Investment securities.

~ Included within net realized gain (loss) on transactions from foreign currency transactions.

Y Included within net increase (decrease) in unrealized appreciation (depreciation) on transactions from Investment securities.

For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Portfolio may be required to post collateral on derivatives if the Portfolio is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Portfolio fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.

Core Bond:

The Portfolio is subject to various risks in the normal course of pursuing its investment objectives. The volume of purchased option and swaption contracts, and written swaption and option contracts held throughout the year decreased, starting at 28 and 46 contracts, respectively, and ending at 15 and 11 contracts, respectively. The volume of swap contracts, futures contracts, and forward foreign currency contracts increased during the year from 24, seven, and two contracts, respectively, at the beginning go of the year, to 42, 17, and six contracts at year end. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Interest rate contracts			Foreign exchange contracts			Credit contracts			Total
Asset derivatives
Purchased options and swaptions, at value	$	2,296		$	8		$	—		$	2,304	**
Unrealized appreciation on forward foreign currency contracts		—			1,841			—			1,841
Premium paid on swap agreements		392			—			1,736			2,128
Unrealized appreciation on swap agreements		2,001			—			1,323			3,324
Unrealized appreciation on futures contracts		1,947			—			—			1,947	*
Liability derivatives
Unrealized depreciation on swap agreements		(2,161	)		—			(600	)		(2,761	)
Unrealized depreciation on forward foreign currency contracts		—			(489	)		—			(489	)
Premium received on swap agreements		(102	)		—			(4,084	)		(4,186	)
Written options and swaptions, at value		(5,705	)		—			(2	)		(5,707	)
Unrealized depreciation on futures contracts		(1,165	)		—			—			(1,165	)*
Total	$	(2,497	)	$	1,360		$	(1,627	)	$	(2,764	)

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

** Included within Investment securities at value.

NOTE 5. (continued)

Effect of Derivative Instruments on the Statement of Operations for the period ended December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Interest rate contracts			Foreign exchange contracts			Credit contracts			Total
Realized Gain/(Loss) on derivatives recognized in income
Net realized (loss) on purchased option and swaption contracts	$	(1,115	)	$	—		$	—		$	(1,115	)^
Net realized gain/(loss) on swap agreements		3,899			—			(2,210	)		1,689
Net realized gain on futures contracts		1,476			(5	)		—			1,471
Net realized (loss) on written option and swaption contracts		(11,624	)		—			—			(11,624	)
Net realized (loss) on forward foreign currency transactions		—			(305	)		—			(305	)~
Net Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income
Net change in unrealized appreciation (depreciation) on purchased option and swaption contracts		(200	)		(273	)		—			(473	)Y
Net change in unrealized appreciation (depreciation) on swap agreements		(2,641	)		—			985			(1,656	)
Net change in unrealized appreciation (depreciation) on futures contracts		2,390			—			—			2,390
Net change in unrealized appreciation (depreciation) on written option and swaption contracts		(2,268	)		—			—			(2,268	)
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies		—			1,276			—			1,276
Total	$	(10,083	)	$	693		$	(1,225	)	$	(10,615	)

^ Included within net realized gain (loss) on transactions from Investment securities.

~ Included within net realized gain (loss) on transactions from foreign currency transactions.

Y Included within net increase (decrease) in unrealized appreciation (depreciation) on transactions from Investment securities.

For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Portfolio may be required to post collateral on derivatives if the Portfolio is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Portfolio fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.

Balanced:

The Portfolio is subject to various risks in the normal course of pursuing its investment objectives. The volume of forward foreign currency contracts and purchased option and swaption contracts increased from zero contracts at the beginning to the year to four and six contracts, respectively, at year end. The volume of written option and swaption contracts held throughout the year decreased from four contracts at the beginning of the year to zero contracts at year end. The volume of futures contracts held at the beginning of the year increased from six contracts to 14 contracts at year end. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Interest rate contracts			Equity contracts		Foreign Exchange Contracts			Total
Asset derivatives
Purchased options and swaptions, at value	$	2		$	—	$	3		$	5
Unrealized appreciation on futures contracts		70			3		—			73	*
Unrealized appreciation on forward foreign currency contracts		—			—		42			42
Liability derivatives
Unrealized depreciation on futures contracts		(11	)		—		—			(11	)*
Unrealized depreciation on forward foreign currency contracts		—			—		(13	)		(13	)
Total	$	61		$	3	$	32		$	96

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

Effect of Derivative Instruments on the Statement of Operations for the period ended December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Interest rate contracts			Equity contracts			Foreign Exchange Contracts			Total
Realized Gain/(Loss) on derivatives recognized in income
Net realized (loss) on purchased option and swaption contracts	$	(77	)	$	—		$	1		$	(76	)^
Net realized (loss) on futures contracts		102			(13	)		—			89
Net realized gain on written option and swaption contracts		52			—			6			58
Net Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income
Net change in unrealized appreciation (depreciation) on purchased option and swaption contracts		(4	)		—			(15	)		(19	)Y
Net change in unrealized appreciation (depreciation) on futures contracts		131			—			—			131
Net change in unrealized appreciation (depreciation) on written option and swaption contracts		3			—			—			3
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies		—			—			28			28
Total	$	207		$	(13	)	$	20		$	214

^ Included within net realized gain (loss) on transactions from Investment securities.

Y Included within net increase (decrease) in unrealized appreciation (depreciation) on transactions from Investment securities.

NOTE 5. (continued)

Small Core:

The Portfolio is subject to various risks in the normal course of pursuing its investment objectives. The volume of futures contracts held at year end is indicative of the volume held throughout the year. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Equity contracts
Asset derivatives
Unrealized appreciation on futures contracts	$	22	*

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

Effect of Derivative Instruments on the Statement of Operations for the period ended December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Equity contracts
Realized Gain/(Loss) on derivatives recognized in income
Net realized gain on futures contracts	$	248
Net Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income
Net change in unrealized appreciation (depreciation) on futures contracts		(5	)
Total	$	243

International Equity:

The Portfolio is subject to various risks in the normal course of pursuing its investment objectives. The volume of forward foreign currency contracts held at year end is indicative of the volume held throughout the year. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Foreign exchange contracts
Asset derivatives
Unrealized appreciation on forward foreign currency contracts	$	2,441

Effect of Derivative Instruments on the Statement of Operations for the period ended December 31, 2011

Derivatives not accounted for as hedging instruments

Location	Foreign exchange contracts
Realized Gain/(Loss) on derivatives recognized in income
Net realized (loss) on forward foreign currency transactions	$	(1,866	)
Net Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies		4,907
Total	$	3,041

For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Portfolio may be required to post collateral on derivatives if the Portfolio is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Portfolio fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.

NOTE 6. FEDERAL INCOME TAX MATTERS

The Series Portfolio has received rulings from the Internal Revenue Service that each Portfolio will be treated as a separate partnership for federal income tax purposes. Income taxes are not provided for by the Portfolios because taxable income/(loss) of each Portfolio is included in the income tax returns of the investors. It is intended that the Portfolios’ assets will be managed so an investor in the Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code. The Portfolios recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Portfolios’ tax provisions taken for all open tax years (2008 - 2010), or expected to be taken in the Portfolios’ 2011 tax returns, and has concluded that no provision for income tax is required in the Portfolios’ financial statements. For tax purposes, each component of the Portfolios’ net assets are reported at the investor level; therefore, the Statements of Assets and Liabilities do not present the components of net assets.

NOTE 6. (continued)

Each investor in the Portfolio will be subject to taxation on its share of the Portfolio’s ordinary income and capital gains; which may differ from GAAP. These differences are primarily due to different treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.

NOTE 7. ACCOUNTING PRONOUNCEMENTS

In May 2011, the Financial Accounting Standards Board (“FASB”) issued the authoritative guidance “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS” which seeks to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. The adoption of this disclosure requirement is effective for financial statements interim and annual periods beginning after December 15, 2011. Management is currently evaluating the application of the adoption of the additional disclosure requirements and its impact on the Portfolios’ financial statements.

In April 2011, FASB issued an amendment to authoritative guidance “Reconsideration of Effective Control for Repurchase Agreements” which amends specifically the criteria required to determine whether a repurchase agreement and similar agreements should be accounted for as sales of financial assets or secured borrowings with commitments. The adoption of this guidance is effective for the first interim or annual period beginning on or after December 15, 2011 prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Management is currently evaluating the application of the adoption of the additional disclosure requirements and its impact on the Portfolios’ financial statements.

NOTE 8. SUBSEQUENT EVENT

Management has evaluated subsequent events through the date of issuance of the financial statements, and determined that no other material events or transactions would require recognition or disclosure in the Portfolios’ financial statements.

To the Board of Trustees and Owners of Beneficial Interests of the Transamerica Partners Portfolios:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Transamerica Partners Portfolios (comprising, respectively, the Money Market Portfolio, High Quality Bond Portfolio, Inflation-Protected Securities Portfolio, Core Bond Portfolio, High Yield Bond Portfolio, Balanced Portfolio, Large Value Portfolio, Large Core Portfolio, Large Growth Portfolio, Mid Value Portfolio, Mid Growth Portfolio, Small Value Portfolio, Small Core Portfolio, Small Growth Portfolio and International Equity Portfolio) (collectively, the “Portfolios”) as of December 31, 2011, and the related statements of operations for the year then ended and the statements of changes in net assets and the financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated March 1, 2010, expressed an unqualified opinion on those financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting Transamerica Partners Portfolios at December 31, 2011, and the results of their operations for the year then ended and the changes in their net assets and the financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 27, 2012

TRANSAMERICA PARTNERS SMALL GROWTH PORTFOLIO

APPROVAL OF NEW SUB-ADVISORY AGREEMENT

(unaudited)

At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board,” or the “Board Members”) held on October 13, 2011, the Board reviewed and considered the approval of a new investment sub-advisory agreement (the “New Sub-Advisory Agreement”) between Transamerica Asset Management, Inc. (“TAM,” or “Management”) and Perimeter Capital Management (“Perimeter,” or the “Sub-Adviser”) with regard to Transamerica Partners Small Growth Portfolio (the “Portfolio”). The Board Members reviewed information relating to a change in equity ownership of Perimeter that occurred on September 30, 2011, and which might have been deemed to be a “change of control” of Perimeter resulting in the termination of the existing sub-advisory agreement between Perimeter and TAM, the Portfolio’s investment adviser.

The Board Members also received and considered information provided to them regarding a memorandum received from counsel to Perimeter, advising Perimeter that because neither Perimeter nor any person controlling Perimeter would, directly or indirectly, receive any money or benefit in connection with the change in control, Perimeter could rely on an exemptive rule, which permitted a replacement sub-advisory agreement to be approved by the Board under certain conditions. The Board Members also considered information received from Perimeter that confirmed that Perimeter’s staff, including portfolio management and all operational staff would continue in their current roles after the assignment as well as assurances from Perimeter that there would be no diminution in the services to be provided by Perimeter.

To assist the Board in its consideration of the new sub-advisory agreement with Perimeter (“New Sub-Advisory Agreement”), the Board received in advance of the Meeting certain materials and information. In addition, the Board Members who are not interested persons of the Funds, consulted with their independent legal counsel, discussing, among other things, the legal standards and certain other considerations relevant to the Board’s deliberations. Following the presentation by TAM and a discussion amongst the Board Members and Management, the Board Members approved the New Sub-Advisory Agreement for an initial two-year period on behalf of the Portfolio.

Among other things, the Board considered:

(a) that the Board had previously performed a full annual review of the sub-advisory agreement with Perimeter and had determined that Perimeter had the capabilities, resources and personnel necessary to provide the sub-advisory services to the Portfolio;

(b) assurances received from Perimeter that the change of control is not expected to result in any diminution in the nature, quality and extent of services provided to the Portfolio and its shareholders, including compliance services;

(c) assurances received from Perimeter as to the consistency of the portfolio management team that would be primarily responsible for the day-to-day management of the Portfolio; and

(d) that the sub-advisory fee schedule under the New Sub-Advisory Agreement would not differ from the schedule under the prior sub-advisory agreement.

Based upon its review and the representations made to it and after consideration of the above factors, and such other factors and information as it deemed relevant, the Board approved the New Sub-Advisory Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the New Sub-Advisory Agreement and each Board Member may have attributed different weights to the various factors considered.

BOARD MEMBERS AND OFFICERS

(unaudited)

The Board Members and executive officers of the Trust are listed below. The Board governs each fund and is responsible for protecting the interests of the shareholders. The Board Members are experienced executives who meet periodically throughout the year to oversee the business affairs of each fund and the operation of the Trust by its officers. The Board also reviews the management of each fund’s assets by the investment adviser and its respective sub-adviser. The funds are among the funds advised and sponsored by TAM (collectively, “Transamerica Asset Management Group”). Transamerica Asset Management Group (“TAMG”) consists of Transamerica Funds, Transamerica Series Trust (“TST”), Transamerica Income Shares, Inc. (“TIS”), Transamerica Partners Funds Group (“TPFG”), Transamerica Partners Funds Group II (“TPFG II”), Transamerica Partners Portfolios (“TPP”), and Transamerica Asset Allocation Variable Funds (“TAAVF”) and consists of 159 funds as of the date of this report.

The mailing address of each Board Member is c/o Secretary, 570 Carillon Parkway, St. Petersburg, Florida 33716. The Board Members, their year of birth, their positions with the Trust, and their principal occupations for the past five years (their titles may have varied during that period), the number of funds in TAMG the Board oversees, and other board memberships they hold are set forth in the table below.

Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
INTERESTED BOARD MEMBER**
John K. Carter (1961)	Chairman, Board Member, President, and Chief Executive Officer	Since 2007	Chairman, Board Member, President and Chief Executive Officer, TPP, TPFG, TPFG II and TAAVF (2007 – present); Chairman (2007 – present), Board Member (2006 – present), President and Chief Executive Officer (2006 – present), Senior Vice President (1999 – 2006), Chief Compliance Officer, General Counsel and Secretary (1999 – 2006), Transamerica Funds and TST; Chairman (2007 – present), Board Member (2006 – present), President and Chief Executive Officer (2006 – present), Senior Vice President (2002 – 2006), General Counsel, Secretary and Chief Compliance Officer (2002 – 2006), TIS; Chairman, President and Chief Executive Officer (2006 – present), Director (2002 – present), Senior Vice President (1999 – 2006), General Counsel and Secretary (2000 – 2006), Chief Compliance Officer (2004 – 2006), TAM; Chairman, President and Chief Executive Officer (2006 – present), Senior Vice President (1999 – 2006), Director (2002 – present), General Counsel and Secretary (2001 – 2006), Transamerica Fund Services, Inc. (“TFS”); Vice President, AFSG Securities Corporation (2001 – 2010); Chairman and Board Member (2008 – 2010), President (2007 – 2010), Chief Executive Officer (2006 – 2010), Vice President, Secretary and Chief Compliance Officer (2003 – 2006), Transamerica Investors, Inc. (“TII”); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (“TIF”)–2004);(2002and	159	N/A

Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Director, (2008 – present), Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 – 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 – 2005).
Alan F. Warrick (1948)	Interested Board Member	Since 2012	Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (January 2012 – present); Consultant, AEGON USA (2010 – present); Senior Advisor, Lovell Minnick Equity Partners (2010 – present); Retired (2010 – present); and Managing Director for Strategic Business Development, AEGON USA (1994 - 2010).	159	N/A
INDEPENDENT BOARD MEMBERS***
Sandra N. Bane (1952)	Board Member	Since 2008	Retired (1999 – present); Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2008 – present); Board Member, TII (2003 – 2010); and Partner, KPMG (1975 – 1999).	159	Big 5 Sporting Goods (2002 – present); AGL Resources, Inc. (energy services holding company) (2008 – present)
Leo J. Hill (1956)	Lead Independent Board Member	Since 2007	Principal, Advisor Network Solutions, LLC (business consulting) (2006 – present); Board Member, TST (2001 – present); Board Member, Transamerica Funds and TIS (2002 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); Board Member, TII (2008 – 2010); President, L. J. Hill & Company (a holding company for privately-held assets) (1999 – present); Market President, Nations Bank of Sun Coast Florida (1998 – 1999); Chairman, President and Chief Executive Officer, Barnett Banks of Treasure Coast Florida (1994 – 1998);	159	N/A

Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member		Other Directorships
			Executive Vice President and Senior Credit Officer, Barnett Banks of Jacksonville, Florida (1991 – 1994); and Senior Vice President and Senior Loan Administration Officer, Wachovia Bank of Georgia (1976 – 1991).
David W. Jennings (1946)	Board Member	Since 2009	Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 – present); Board Member, TII (2009 – 2010); Managing Director, Hilton Capital (2010-Present); Principal, Maxam Capital Management, LLC (2006 – 2008); and Principal, Cobble Creek Management LP (2004 – 2006).		159		N/A
Russell A. Kimball, Jr. (1944)	Board Member	Since 2007	General Manager, Sheraton Sand Key Resort (1975 – present); Board Member, TST (1986 – present); Board Member, Transamerica Funds, (1986 – 1990), (2002 – present); Board Member, TIS (2002 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); and Board Member, TII (2008 – 2010).		159		N/A
Eugene M. Mannella (1954)	Board Member	Since 1993	Chief Executive Officer, HedgeServ Corporation (hedge fund administration) (2008 – present); Self-employed consultant (2006 – present); Managing Member and Chief Compliance Officer, HedgeServ Investment Services, LLC (limited purpose broker-dealer) (April 2011 – present); President, ARAPAHO Partners LLC (limited purpose broker-dealer) (1998 – 2008); Board Member, TPP, TPFG, TPFG II and TAAVF (1993 – present); Board Member, Transamerica Funds, TST and TIS (2007 – present);		159		N/A

Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Board Member, TII (2008 – 2010); and President, International Fund Services (alternative asset administration) (1993 – 2005).
Norman R. Nielsen, Ph.D. (1939)	Board Member	Since 2007	Retired (2005 – present); Board Member, Transamerica Funds, TST and TIS (2006 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); Board Member, TII (2008 – 2010); Director, Aspire Resources, Inc. (formerly, Iowa Student Loan Service Corporation) (2006 – present); Director, League for Innovation in the Community Colleges (1985 – 2005); Director, Iowa Health Systems (1994 – 2003); Director, U.S. Bank (1985 – 2006); and President, Kirkwood Community College (1985 – 2005).	159	Buena Vista University Board of Trustees (2004 - present)
Joyce G. Norden (1939)	Board Member	Since 2002	Retired (2004 – present); Board Member, TPFG, TPFG II and TAAVF (1993 – present); Board Member, TPP (2002 – present); Board Member, Transamerica Funds, TST and TIS (2007 – present); Board Member, TII (2008 – 2010); and Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 – 2004).	159	Board of Governors, Reconstruction-ist Rabbinical College (2007 - present)
Patricia L. Sawyer (1950)	Board Member	Since 1993	Retired (2007 – present); President/Founder, Smith & Sawyer LLC (management consulting) (1989 – 2007); Board Member, Transamerica Funds, TST and TIS (2007 – present); Board Member, TII (2008 – 2010); Board Member, TPP, TPFG, TPFG II and TAAVF (1993 – present);	159	Honorary Trustee, Bryant University (1996 – present)

Name and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Funds in Complex Overseen by Board Member	Other Directorships
			Trustee, Chair of Finance Committee and Chair of Nominating Committee (1987 – 1996), Bryant University; Vice President, American Express (1987 – 1989); Vice President, The Equitable (1986 – 1987); and Strategy Consultant, Booz, Allen & Hamilton (1982 – 1986).
John W. Waechter (1952)	Board Member	Since 2007	Attorney, Englander and Fischer, LLP (2008 – present); Retired (2004 – 2008); Board Member, TST and TIS (2004 – present); Board Member, Transamerica Funds (2005 – present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 – present); Board Member, TII (2008 – 2010); Employee, RBC Dain Rauscher (securities dealer) (2004); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 – 2004); and Treasurer, The Hough Group of Funds (1993 – 2004).	159	Operation PAR, Inc. (2008 – present); West Central Florida Council – Boy Scouts of America (2008 – present)

* Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the Trust’s Declaration of Trust.

** May be deemed an “interested person” (as that term is defined in the 1940 Act) of the Trust because of his current or former service with TAM or an affiliate of TAM.

*** Independent Board Member means a Board Member who is not an “interested person” (as defined under the 1940 Act) of the Trust.

OFFICERS

The mailing address of each officer is c/o Secretary, 570 Carillon Parkway, St. Petersburg, Florida 33716. The following table shows information about the officers, including their year of birth, their positions held with the Trust and their principal occupations during the past five years (their titles may have varied during that period). Each officer will hold office until his or her successor has been duly elected or appointed or until his or her earlier death, resignation or removal.

Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
John K. Carter (1961)	Chairman, Board Member, President, and Chief Executive Officer	Since 2007	See the table above.

Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
Dennis P. Gallagher (1970)	Vice President, General Counsel and Secretary	Since 2007	Vice President, General Counsel and Secretary, Transamerica Funds, TST and TIS (2006 – present); Vice President, General Counsel and Secretary, TPP, TPFG, TPFG II and TAAVF (2007 – present); Vice President, General Counsel and Secretary, TII, (2006 – 2010); Director, Senior Vice President, General Counsel, Operations and Secretary, TAM (2006 – present); Director, Senior Vice President, General Counsel, Chief Administrative Officer and Secretary, TFS (2006 – present); Assistant Vice President, TCI (2007 – present); Director, Deutsche Asset Management (1998 – 2006); and Corporate Associate, Ropes & Gray LLP (1995 – 1998).
Christopher A. Staples (1970)	Vice President and Chief Investment Officer	Since 2007	Vice President and Chief Investment Officer (2007 – present), Senior Vice President - Investment Management (2006 – 2007), Vice President - Investment Management (2005 – 2006), Transamerica Funds, TST and TIS; Vice President and Chief Investment Officer, TPP, TPFG, TPFG II and TAAVF (2007 – present); Vice President and Chief Investment Officer (2007 – 2010); Vice President - Investment Administration (2005 – 2007), TII; Director (2005 – present), Senior Vice President – Investment Management (2006 – present) and Chief Investment Officer (2007 – present), TAM; Director, TFS (2005 – present); and Assistant Vice President, Raymond James & Associates (1999 – 2004).
Elizabeth Strouse (1974)	Vice President, Treasurer and Principal Financial Officer	Since 2010	Vice President, Treasurer and Principal Financial Officer (December 2011 – present), Assistant Treasurer (2010 – December 2011), Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF; Director, Fund Financial Services (2009 - 2011), TFS; Director, Fund Administration, TIAA-CREF (2007 – 2009); and Manager (2006 – 2007) and Senior (2003 – 2006) Accounting and Assurance, PricewaterhouseCoopers, LLC.

Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
Robert S. Lamont, Jr. (1973)	Vice President, Chief Compliance Officer and Conflicts of Interest Officer	Since 2010	Vice President, Chief Compliance Officer and Conflicts of Interest Officer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 – present); Vice President and Senior Counsel, TAM and TFS (2007 – present); Senior Counsel, United States Securities and Exchange Commission (2004 – 2007); and Associate, Dechert, LLP (1999 – 2004).
Bradley O. Ackerman (1966)	Deputy Chief Compliance Officer and Anti-Money Laundering Officer	Since 2009	Deputy Chief Compliance Officer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (January 2012 – present); Anti-Money Laundering Officer, TPP, TPFG, TPFG II and TAAVF (2009 – present); Anti-Money Laundering Officer, Transamerica Funds, TST and TIS (2007 – present); Senior Compliance Officer, TAM (2007 – present); and Director, Institutional Services, Rydex Investments (2002 – 2007).
Sarah L. Bertrand (1967)	Assistant Secretary	Since 2009	Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 – present); Assistant Secretary, TII (2009 – 2010); Assistant Vice President and Director, Legal Administration, TAM and TFS (2007 – present); Assistant Secretary and Chief Compliance Officer, 40|86 Series Trust and 40|86 Strategic Income Fund (2000 - 2007); and Second Vice President and Assistant Secretary, Legal and Compliance, 40|86 Capital Management, Inc. (1994 – 2007).
Timothy J. Bresnahan (1968)	Assistant Secretary	Since 2009	Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 – present); Assistant Secretary, TII (2009 – 2010); Counsel, TAM (2008 – present); Counsel (contract), Massachusetts Financial Services, Inc. (2007); Assistant Counsel, BISYS Fund Services Ohio, Inc. (2005 – 2007); and Associate, Greenberg Traurig, P.A. (2004 – 2005).

Name and Year of Birth	Position	Term of Office and Length of Time Served*	Principal Occupation(s) or Employment During Past 5 Years
Margaret A. Cullem-Fiore (1957)	Assistant Secretary	Since 2010	Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 – present); Assistant Vice President, TCI (2009 – present); Vice President and Senior Counsel, TAM and TFS (2006 – present); Vice President and Senior Counsel, Transamerica Financial Advisors, Inc. (2004 – 2007); and Vice President and Senior Counsel, Western Reserve Life Assurance Co. of Ohio (2006).

* Elected and serves at the pleasure of the Board of the Trust.

If an officer has held offices for different funds for different periods of time, the earliest applicable date is shown. No officer of the Trust, except for the Chief Compliance Officer, receives any compensation from the Trust.

Additional information about the Funds’ Board Members can be found in the Statement of Additional Information, available, without charge, upon request, by calling toll free 1-888-233-4339 or on the Trust’s website at www.transamericainvestments.com

TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY

440 Mamaroneck Avenue

Harrison, NY 10528

2873 (2/12)

Item 2: Code of Ethics.

(a) Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function.

(b) Registrant’s code of ethics is reasonably designed as described in this Form N-CSR.

(c) During the period covered by the report, the code of ethics was revised to reflect the appointment of a new Principal Financial Officer.

(d) During the period covered by the report, Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics.

(e) Not Applicable

(f) Registrant has filed this code of ethics as an exhibit pursuant to Item 12(a)(1) of Form N-CSR.

Item 3: Audit Committee Financial Experts.

Registrant’s Board of Trustees has determined that Sandra N. Bane, John W. Waechter and Eugene M. Mannella are “audit committee financial experts,” as such term is defined in Item 3 of Form N-CSR. Ms. Bane, Mr. Waechter and Mr. Mannella are “independent” under the standards set forth in Item 3 of Form N-CSR. The designation of Ms. Bane, Mr. Waechter and Mr. Mannella as “audit committee financial experts” pursuant to Item 3 of Form N-CSR does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon them as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board of Trustees.

Item 4: Principal Accountant Fees and Services.

	(in thousands)	Fiscal Year Ended 12/31
		2011			2010*
(a)	Audit Fees	$	13		$	13
(b)	Audit-related Fees (1)		—		$	1
(c)	Tax Fees (2)		—		$	0
(d)	All Other Fees		—		$	0
(e) (1)	Pre-approval policy (3)
(e) (2)	% of above that were pre-approved		0	%		0	%
(f)	If greater than 50%, disclose hours		N/A			N/A
(g)	Non-audit fees rendered to Adviser (or affiliate that provided services to Registrant)		N/A			N/A
(h)	Disclose whether the Audit Committee has considered whether the provisions of non-audit services rendered to the Adviser that were NOT pre-approved is compatible with maintaining the auditor’s independence.		Yes			Yes

⁽¹⁾  Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Registrant, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements.

⁽²⁾  Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the preparation and review of the Registrant’s tax returns.

⁽³⁾  The Audit Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to one or more members or a subcommittee. Any decision of the subcommittee to grant pre-approvals shall be presented to the full Audit Committee at its next regularly scheduled meeting.

* PricewaterhouseCoopers LLP (“PwC”) served as independent registered certified public accounting firm through April 7, 2010. On April 8, 2010, Ernst & Young LLP (“E&Y”) replaced PwC as the independent public accountant. Audit fees, audit-related fees, tax fees and all other fees include $13, $1, $0 and $0, respectively, billed to Transamerica Asset Allocation Variable Funds by E&Y for the fiscal year end December 31, 2010.

Item 5: Audit Committee of Listed Registrants.

The following individuals comprise the standing Audit Committee: Sandra N. Bane, Leo J. Hill, David W. Jennings, Russell A. Kimball, Jr., Eugene M. Mannella, Norman R. Nielsen, Joyce G.Norden, Patricia L. Sawyer and John W. Waechter.

Item 6: Schedule of Investments.

The schedules of investments are included in the 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 Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

(b) The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12: Exhibits.

(a) (1)     Registrant’s code of ethics (that is the subject of the disclosure required by Item 2(a)) is attached.

(2) Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached.

(3) Not applicable.

(b) A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates it by reference.

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: February 29, 2012

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: February 29, 2012
By:	/s/ Elizabeth Strouse
	Elizabeth Strouse Principal Financial Officer Date: February 29, 2012

EXHIBIT INDEX

Exhibit No.	Description of Exhibit
12(a)(1)	Code of Ethics for Principal Executive and Senior Financial Officers
12(a)(2)(i)	Section 302 N-CSR Certification of Principal Executive Officer
12(a)(2)(ii)	Section 302 N-CSR Certification of Principal Financial Officer
12(b)	Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer