SECURITIES AND EXCHANGE COMMISSION
MANAGEMENT INVESTMENT COMPANIES
One Financial Way, Cincinnati, Ohio | 45242 | |
(Address of principal executive offices) | (Zip code) |
Item 1. | Reports To Stockholders. |
WEALTHBUILDINGOPPORTUNIT Y Ohio National Fund, Inc. Annual Report DECEMBER 31, 2009 Ohio National Fund, Inc. Ohio National Financial Services ,, Ohio National Fund, Inc. Post Office Box 371 Cincinnati, Ohio 45201 Form 1320 Rev. 2-10 |
President’s Message | 1 | |
Directors and Officers of Ohio National Fund, Inc. | 2 | |
The following pages contain Management’s Discussion of Fund Performance, Portfolio Composition, and Financial Statements for each of the Fund’s Portfolios: | ||
Equity Portfolio | 3 | |
Money Market Portfolio | 10 | |
Bond Portfolio | 15 | |
Omni Portfolio | 23 | |
International Portfolio | 32 | |
Capital Appreciation Portfolio | 41 | |
Millennium Portfolio | 48 | |
International Small-Mid Company Portfolio | 54 | |
Aggressive Growth Portfolio | 61 | |
Small Cap Growth Portfolio | 67 | |
Mid Cap Opportunity Portfolio | 74 | |
S&P 500® Index Portfolio | 80 | |
Strategic Value Portfolio | 91 | |
High Income Bond Portfolio | 98 | |
Capital Growth Portfolio | 111 | |
Nasdaq-100® Index Portfolio | 118 | |
Bristol Portfolio | 124 | |
Bryton Growth Portfolio | 130 | |
U.S. Equity Portfolio | 136 | |
Balanced Portfolio | 142 | |
Income Opportunity Portfolio | 150 | |
Target VIP Portfolio | 158 | |
Target Equity/Income Portfolio | 165 | |
Bristol Growth Portfolio | 171 | |
Notes to Financial Statements | 177 | |
Report of Independent Registered Public Accounting Firm | 200 | |
Additional Information (Unaudited) | 201 | |
Information About Directors and Officers (Unaudited) | 211 |
President’s Message |
1
2
Equity Portfolio
Average Annual Total Returns: | ||||
One year | 39.11% | |||
Five years | -7.71% | |||
Ten years | -2.77% |
3
Equity Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
4
Equity Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 96.8 | ||
Preferred Stocks (3) | 0.2 | ||
Repurchase Agreements and Other Net Assets | 3.0 | ||
100.0 | |||
% of Net Assets | |||||||
1. | AES Corp. / The | 8.2 | |||||
2. | Aflac, Inc. | 3.7 | |||||
3. | Sears Holdings Corp. | 3.5 | |||||
4. | Aetna, Inc. | 3.4 | |||||
5. | eBay, Inc. | 3.3 | |||||
6. | International Business Machines Corp. | 3.2 | |||||
7. | Hewlett-Packard Co. | 3.1 | |||||
8. | CA, Inc. | 3.0 | |||||
9. | Cisco Systems, Inc. | 3.0 | |||||
10. | Capital One Financial Corp. | 2.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Information Technology | 27.9 | ||
Financials | 25.8 | ||
Consumer Discretionary | 16.0 | ||
Health Care | 10.5 | ||
Utilities | 8.2 | ||
Industrials | 3.5 | ||
Consumer Staples | 1.6 | ||
Energy | 1.6 | ||
Materials | 1.1 | ||
Telecommunication Services | 0.8 | ||
97.0 | |||
5
Equity Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.8% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 16.0% | ||||||||
Diversified Consumer Services – 0.8% | ||||||||
Apollo Group, Inc. Class A (a) | 28,800 | $ | 1,744,704 | |||||
Hotels, Restaurants & Leisure – 0.9% | ||||||||
Yum! Brands, Inc. | 61,300 | 2,143,661 | ||||||
Internet & Catalog Retail – 2.8% | ||||||||
Amazon.com, Inc. (a) | 47,750 | 6,423,330 | ||||||
Leisure Equipment & Products – 1.7% | ||||||||
Eastman Kodak Co. (a) | 886,090 | 3,739,300 | ||||||
Media – 4.6% | ||||||||
DIRECTV (a) | 62,300 | 2,077,705 | ||||||
Time Warner Cable, Inc. | 56,210 | 2,326,532 | ||||||
Time Warner, Inc. | 209,500 | 6,104,830 | ||||||
10,509,067 | ||||||||
Multiline Retail – 5.2% | ||||||||
J.C. Penney Co., Inc. | 142,900 | 3,802,569 | ||||||
Sears Holdings Corp. (a) | 95,700 | 7,986,165 | ||||||
11,788,734 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 36,348,796 | |||||||
CONSUMER STAPLES – 1.6% | ||||||||
Beverages – 0.5% | ||||||||
PepsiCo, Inc. | 19,400 | 1,179,520 | ||||||
Food & Staples Retailing – 0.1% | ||||||||
Safeway, Inc. | 12,100 | 257,609 | ||||||
Personal Products – 1.0% | ||||||||
Avon Products, Inc. | 70,400 | 2,217,600 | ||||||
TOTAL CONSUMER STAPLES | 3,654,729 | |||||||
ENERGY – 1.6% | ||||||||
Oil, Gas & Consumable Fuels – 1.6% | ||||||||
Chesapeake Energy Corp. | 52,300 | 1,353,524 | ||||||
ConocoPhillips | 43,000 | 2,196,010 | ||||||
TOTAL ENERGY | 3,549,534 | |||||||
FINANCIALS – 25.6% | ||||||||
Capital Markets – 5.4% | ||||||||
Goldman Sachs Group, Inc. / The | 34,700 | 5,858,748 | ||||||
State Street Corp. | 145,900 | 6,352,486 | ||||||
12,211,234 | ||||||||
Commercial Banks – 2.2% | ||||||||
Wells Fargo & Co. | 182,000 | 4,912,180 | ||||||
Consumer Finance – 4.3% | ||||||||
American Express Co. | 79,100 | 3,205,132 | ||||||
Capital One Financial Corp. | 173,300 | 6,644,322 | ||||||
9,849,454 | ||||||||
Diversified Financial Services – 7.3% | ||||||||
Bank of America Corp. | 307,100 | 4,624,926 | ||||||
CME Group, Inc. | 7,200 | 2,418,840 | ||||||
JPMorgan Chase & Co. | 124,900 | 5,204,583 | ||||||
NYSE Euronext | 171,100 | 4,328,830 | ||||||
16,577,179 | ||||||||
Insurance – 6.4% | ||||||||
Aflac, Inc. | 178,900 | 8,274,125 | ||||||
Allstate Corp. / The | 95,300 | 2,862,812 | ||||||
Prudential Financial, Inc. | 67,000 | 3,333,920 | ||||||
14,470,857 | ||||||||
TOTAL FINANCIALS | 58,020,904 | |||||||
HEALTH CARE – 10.5% | ||||||||
Biotechnology – 2.9% | ||||||||
Amgen, Inc. (a) | 96,100 | 5,436,377 | ||||||
Genzyme Corp. (a) | 24,000 | 1,176,240 | ||||||
6,612,617 | ||||||||
Health Care Equipment & Supplies – 0.9% | ||||||||
Medtronic, Inc. | 47,400 | 2,084,652 | ||||||
Health Care Providers & Services – 5.7% | ||||||||
Aetna, Inc. | 241,000 | 7,639,700 | ||||||
UnitedHealth Group, Inc. | 170,200 | 5,187,696 | ||||||
12,827,396 | ||||||||
Pharmaceuticals – 1.0% | ||||||||
Merck & Co., Inc. | 60,100 | 2,196,054 | ||||||
TOTAL HEALTH CARE | 23,720,719 | |||||||
INDUSTRIALS – 3.5% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
Boeing Co. / The | 26,100 | 1,412,793 | ||||||
Industrial Conglomerates – 2.2% | ||||||||
3M Co. | 23,000 | 1,901,410 | ||||||
General Electric Co. | 196,800 | 2,977,584 | ||||||
4,878,994 | ||||||||
Machinery – 0.7% | ||||||||
Deere & Co. | 28,600 | 1,546,974 | ||||||
TOTAL INDUSTRIALS | 7,838,761 | |||||||
INFORMATION TECHNOLOGY – 27.9% | ||||||||
Communications Equipment – 3.3% | ||||||||
Cisco Systems, Inc. (a) | 279,500 | 6,691,230 | ||||||
QUALCOMM, Inc. | 15,600 | 721,656 | ||||||
7,412,886 | ||||||||
Computers & Peripherals – 7.4% | ||||||||
EMC Corp. (a) | 146,900 | 2,566,343 | ||||||
Hewlett-Packard Co. | 135,800 | 6,995,058 | ||||||
International Business Machines Corp. | 54,900 | 7,186,410 | ||||||
16,747,811 | ||||||||
Internet Software & Services – 8.4% | ||||||||
AOL Inc. (a) | 19,045 | 443,367 | ||||||
eBay, Inc. (a) | 320,500 | 7,544,570 | ||||||
Google, Inc. Class A (a) | 8,950 | 5,548,821 | ||||||
Yahoo, Inc. (a) | 326,900 | 5,485,382 | ||||||
19,022,140 | ||||||||
6
Equity Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.8% | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – 2.9% | ||||||||
Texas Instruments, Inc. | 254,800 | $ | 6,640,088 | |||||
Software – 5.9% | ||||||||
CA, Inc. | 303,400 | 6,814,364 | ||||||
Electronic Arts, Inc. (a) | 163,300 | 2,898,575 | ||||||
Microsoft Corp. | 123,500 | 3,765,515 | ||||||
13,478,454 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 63,301,379 | |||||||
MATERIALS – 1.1% | ||||||||
Metals & Mining – 1.1% | ||||||||
Nucor Corp. | 52,600 | 2,453,790 | ||||||
TOTAL MATERIALS | 2,453,790 | |||||||
TELECOMMUNICATION SERVICES – 0.8% | ||||||||
Diversified Telecommunication Services – 0.8% | ||||||||
AT&T, Inc. | 63,000 | 1,765,890 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 1,765,890 | |||||||
UTILITIES – 8.2% | ||||||||
Independent Power Producers & Energy Traders – 8.2% | ||||||||
AES Corp. / The (a) | 1,397,100 | 18,595,401 | ||||||
TOTAL UTILITIES | 18,595,401 | |||||||
Total Common Stocks (Cost $214,792,269) | $ | 219,249,903 | ||||||
Preferred Stocks – 0.2% | Shares | Value | ||||||
FINANCIALS – 0.2% | ||||||||
Diversified Financial Services – 0.2% | ||||||||
Bank of America Corp. 10.000%, convertible until 12/31/2049 | 31,200 | $ | 465,504 | |||||
Total Preferred Stocks (Cost $468,000) | $ | 465,504 | ||||||
Face | Amortized | |||||||
Repurchase Agreements – 2.1% | Amount | Cost | ||||||
U.S. Bank 0.010% 01/04/2010 | $ | 4,868,220 | $ | 4,868,220 | ||||
Agreement date: 12/31/2009 | ||||||||
Repurchase price $4,868,225 | ||||||||
Collateralized by: | ||||||||
Various Agency Mortgage-Backed Securities 3.218% to 5.000%, Due 07/01/2018 through 10/01/2034 Fair Value: $4,965,474 | ||||||||
Total Repurchase Agreements (Cost $4,868,220) | $ | 4,868,220 | ||||||
Total Investments – 99.1% (Cost $220,128,489) (b) | $ | 224,583,627 | ||||||
Other Assets in Excess of Liabilities – 0.9% | 1,927,063 | |||||||
Net Assets – 100.0% | $ | 226,510,690 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
7
Equity Portfolio
Assets: | ||||
Investments in securities, at value (Cost $215,260,269) | $ | 219,715,407 | ||
Repurchase agreements | 4,868,220 | |||
Cash | 1 | |||
Receivable for securities sold | 1,528,084 | |||
Receivable for fund shares sold | 599,315 | |||
Dividends and accrued interest receivable | 114,479 | |||
Prepaid expenses and other assets | 3,724 | |||
Total assets | 226,829,230 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 125,430 | |||
Payable for investment management services | 150,358 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 1,307 | |||
Accrued professional fees | 11,390 | |||
Accrued accounting fees | 13,271 | |||
Accrued printing and filing fees | 15,107 | |||
Total liabilities | 318,540 | |||
Net assets | $ | 226,510,690 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 12,372,169 | ||
Paid-in capital in excess of par value | 331,985,603 | |||
Accumulated net realized loss on investments | (122,354,230 | ) | ||
Net unrealized appreciation on investments | 4,455,138 | |||
Undistributed net investment income | 52,010 | |||
Net assets | $ | 226,510,690 | ||
Shares outstanding | 12,372,169 | |||
Authorized Fund shares allocated to Portfolio | 25,000,000 | |||
Net asset value per share | $ | 18.31 | ||
Investment income: | ||||
Interest | $ | 5,914 | ||
Dividends | 2,262,510 | |||
Total investment income | 2,268,424 | |||
Expenses: | ||||
Management fees | 1,561,918 | |||
Custodian fees | 15,896 | |||
Directors’ fees | 21,024 | |||
Professional fees | 23,364 | |||
Accounting fees | 75,622 | |||
Printing and filing fees | 30,835 | |||
Compliance expense | 6,376 | |||
Other | 6,413 | |||
Total expenses | 1,741,448 | |||
Net investment income | 526,976 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (37,830,132 | ) | ||
Change in unrealized appreciation/depreciation on investments | 103,793,956 | |||
Net realized/unrealized gain (loss) on investments | 65,963,824 | |||
Change in net assets from operations | $ | 66,490,800 | ||
8
Equity Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 526,976 | $ | 2,971,115 | ||||
Net realized gain (loss) on investments | (37,830,132 | ) | (77,156,737 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 103,793,956 | (176,365,358 | ) | |||||
Change in net assets from operations | 66,490,800 | (250,550,980 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (474,966 | ) | (2,642,397 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 24,521,613 | 87,902,505 | ||||||
Received from dividends reinvested | 474,966 | 2,642,397 | ||||||
Paid for shares redeemed | (52,012,006 | ) | (154,908,853 | ) | ||||
Change in net assets from capital transactions | (27,015,427 | ) | (64,363,951 | ) | ||||
Change in net assets | 39,000,407 | (317,557,328 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 187,510,283 | 505,067,611 | ||||||
End of year | $ | 226,510,690 | $ | 187,510,283 | ||||
Undistributed net investment income | $ | 52,010 | $ | 328,718 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.19 | $ | 29.65 | $ | 31.52 | $ | 29.55 | $ | 27.85 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.05 | 0.22 | 0.02 | (0.01 | ) | (0.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currency related transactions | 5.11 | (16.48 | ) | (1.88 | ) | 1.98 | 1.71 | |||||||||||||
Total from operations | 5.16 | (16.26 | ) | (1.86 | ) | 1.97 | 1.70 | |||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.04 | ) | (0.20 | ) | (0.01 | ) | — | — | ||||||||||||
Net asset value, end of year | $ | 18.31 | $ | 13.19 | $ | 29.65 | $ | 31.52 | $ | 29.55 | ||||||||||
Total return | 39.11 | % | –54.81 | % | –5.89 | % | 6.67 | % | 6.10 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 226.5 | $ | 187.5 | $ | 505.1 | $ | 550.1 | $ | 540.7 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.88 | % | 0.84 | % | 0.84 | % | 0.86 | % | 0.88 | % | ||||||||||
Net investment income (loss) | 0.27 | % | 0.89 | % | 0.05 | % | –0.04 | % | –0.03 | % | ||||||||||
Portfolio turnover rate | 24 | % | 39 | % | 23 | % | 13 | % | 20 | % |
9
Money Market Portfolio
% of Net Assets | |||
Commercial Paper (2) | 60.1 | ||
Money Market Funds | 13.2 | ||
U.S. Treasury Obligations | 4.4 | ||
U.S. Government Agency Issues | 4.4 | ||
Repurchase Agreements and Other Net Assets | 17.9 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Federated Prime Cash Obligations Fund – Institutional Class | 4.4 | |||||
2. | Fidelity Institutional Money Market Funds – Money Market Portfolio – Class I | 4.4 | |||||
3. | Fidelity Institutional Money Market Funds – Prime Money Market Portfolio – Class I | 4.4 | |||||
4. | Prudential Funding LLC 0.070%, 01/04/2010 | 4.4 | |||||
5. | Nestle Capital Corp. 0.080%, 01/04/2010 | 4.4 | |||||
6. | Chevron Funding Corp. 0.070%, 01/07/2010 | 4.4 | |||||
7. | Federal Home Loan Bank 0.030%, 01/15/2010 | 4.4 | |||||
8. | American Express Credit Corp. 0.170%, 01/04/2010 | 4.4 | |||||
9. | General Electric Capital Corp. 0.050%, 01/13/2010 | 4.4 | |||||
10. | HSBC Finance Corp. 0.070%, 01/12/2010 | 4.4 |
(1) | Composition of Portfolio subject to change. | |
(2) | Sectors: |
% of Net Assets | |||
Financials | 32.2 | ||
Consumer Staples | 12.9 | ||
Health Care | 5.9 | ||
Energy | 4.4 | ||
Information Technology | 3.8 | ||
Consumer Discretionary | 0.9 | ||
60.1 | |||
10
Money Market Portfolio
Schedule of Investments | December 31, 2009 |
Face | Amortized | |||||||
Commercial Paper – 60.1% | Amount | Cost | ||||||
CONSUMER DISCRETIONARY – 0.9% | ||||||||
Media – 0.9% | ||||||||
Walt Disney Co. / The 0.110%, 01/21/2010 (a) | $ | 3,000,000 | $ | 2,999,817 | ||||
TOTAL CONSUMER DISCRETIONARY | 2,999,817 | |||||||
CONSUMER STAPLES – 12.9% | ||||||||
Beverages – 4.4% | ||||||||
Coca-Cola Co. / The 0.100%, 01/07/2010 (a) | 3,000,000 | 2,999,950 | ||||||
0.100%, 01/20/2010 (a) | 2,000,000 | 1,999,894 | ||||||
0.150%, 02/03/2010 (a) | 10,000,000 | 9,998,625 | ||||||
14,998,469 | ||||||||
Food Products – 4.4% | ||||||||
Nestle Capital Corp. 0.080%, 01/04/2010 (a) | 15,000,000 | 14,999,900 | ||||||
14,999,900 | ||||||||
Household Products – 4.1% | ||||||||
Procter & Gamble International Funding SCA 0.110%, 01/22/2010 (a) | 10,000,000 | 9,999,358 | ||||||
0.100%, 02/02/2010 (a) | 4,000,000 | 3,999,644 | ||||||
13,999,002 | ||||||||
TOTAL CONSUMER STAPLES | 43,997,371 | |||||||
ENERGY – 4.4% | ||||||||
Oil, Gas & Consumable Fuels – 4.4% | ||||||||
Chevron Funding Corp. 0.070%, 01/07/2010 | 15,000,000 | 14,999,825 | ||||||
TOTAL ENERGY | 14,999,825 | |||||||
FINANCIALS – 32.2% | ||||||||
Consumer Finance – 13.2% | ||||||||
American Express Credit Corp. 0.170%, 01/04/2010 | 15,000,000 | 14,999,787 | ||||||
American Honda Finance Corp. 0.200%, 01/05/2010 | 4,000,000 | 3,999,911 | ||||||
0.160%, 01/06/2010 (a) | 6,000,000 | 5,999,867 | ||||||
0.150%, 01/06/2010 (a) | 5,000,000 | 4,999,896 | ||||||
Toyota Motor Credit Corp. 0.130%, 01/08/2010 | 15,000,000 | 14,999,621 | ||||||
44,999,082 | ||||||||
Diversified Financial Services – 11.7% | ||||||||
Citigroup Funding Inc. 0.300%, 01/05/2010 | 10,000,000 | 9,999,667 | ||||||
General Electric Capital Corp. 0.050%, 01/13/2010 | 15,000,000 | 14,999,750 | ||||||
HSBC Finance Corp. 0.070%, 01/12/2010 | 15,000,000 | 14,999,679 | ||||||
39,999,096 | ||||||||
Insurance – 7.3% | ||||||||
MetLife Funding 0.120%, 01/19/2010 | 10,000,000 | 9,999,400 | ||||||
Prudential Funding LLC 0.070%, 01/04/2010 | $ | 15,000,000 | 14,999,913 | |||||
24,999,313 | ||||||||
TOTAL FINANCIALS | 109,997,491 | |||||||
HEALTH CARE – 5.9% | ||||||||
Pharmaceuticals – 5.9% | ||||||||
Abbott Laboratories 0.090%, 01/06/2010 (a) | 5,000,000 | 4,999,937 | ||||||
Johnson & Johnson 0.080%, 01/04/2010 (a) | 5,000,000 | 4,999,967 | ||||||
0.100%, 01/11/2010 (a) | 10,000,000 | 9,999,722 | ||||||
TOTAL HEALTH CARE | 19,999,626 | |||||||
INFORMATION TECHNOLOGY – 3.8% | ||||||||
Software – 3.8% | ||||||||
Microsoft Corp. 0.080%, 01/12/2010 (a) | 3,000,000 | 2,999,927 | ||||||
0.060%, 01/19/2010 (a) | 10,000,000 | 9,999,700 | ||||||
TOTAL INFORMATION TECHNOLOGY | 12,999,627 | |||||||
Total Commercial Paper (Cost $204,993,757) | $ | 204,993,757 | ||||||
Money Market Funds – 13.2% | Shares | Value | ||||||
Federated Prime Cash Obligations Fund Institutional Class | 15,000,000 | $ | 15,000,000 | |||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 15,000,000 | 15,000,000 | ||||||
Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 15,000,000 | 15,000,000 | ||||||
Total Money Market Funds (Cost $45,000,000) | $ | 45,000,000 | ||||||
Face | Amortized | |||||||
U.S. Treasury Obligations – 4.4% | Amount | Cost | ||||||
U.S. Treasury Bill 0.035%, 03/18/2010 | $ | 15,000,000 | $ | 14,998,892 | ||||
Total U.S. Treasury Obligations (Cost $14,998,892) | $ | 14,998,892 | ||||||
Face | Amortized | |||||||
U.S. Government Agency Issues – 4.4% | Amount | Cost | ||||||
Federal Home Loan Bank 0.030%, 01/15/2010 | $ | 15,000,000 | $ | 14,999,825 | ||||
Total U.S. Government Agency Issues (Cost $14,999,825) | $ | 14,999,825 | ||||||
11
Money Market Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | Amortized | |||||||
Repurchase Agreements – 4.9% | Amount | Cost | ||||||
U.S. Bank 0.010% 01/04/2010 | $ | 16,750,000 | $ | 16,750,000 | ||||
Agreement date: 12/31/2009 | ||||||||
Repurchase price $16,750,019 | ||||||||
Collateralized by: | ||||||||
Various Agency Mortgage-Backed Securities 3.218% to 5.000%, Due 07/01/2018 through 10/01/2034 Fair Value: $17,084,620 | ||||||||
Total Repurchase Agreements (Cost $16,750,000) | $ | 16,750,000 | ||||||
Total Investments – 87.0% (Cost $296,742,474) (b) | $ | 296,742,474 | ||||||
Other Assets in Excess of Liabilities – 13.0% | 44,500,726 | |||||||
Net Assets – 100.0% | $ | 341,243,200 | ||||||
(a) | Security exempt from registration under Section 4 (2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2009, the value of these securities totaled $90,996,204 or 26.7% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(b) | Represents cost for Federal income tax and financial reporting purposes. See also Note 2 regarding the use of amortized cost for valuation of instruments in this Portfolio. |
12
Money Market Portfolio
Assets: | ||||
Investments in securities, at amortized cost | $ | 279,992,474 | ||
Repurchase agreements | 16,750,000 | |||
Cash | 43,795,709 | |||
Due from adviser | 53,050 | |||
Receivable for fund shares sold | 2,809,875 | |||
Accrued interest receivable | 7,620 | |||
Prepaid expenses and other assets | 674 | |||
Total assets | 343,409,402 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 2,032,859 | |||
Payable for investment management services | 71,835 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 2,012 | |||
Accrued professional fees | 11,557 | |||
Accrued accounting fees | 22,790 | |||
Accrued printing and filing fees | 23,472 | |||
Total liabilities | 2,166,202 | |||
Net assets | $ | 341,243,200 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 34,124,333 | ||
Paid-in capital in excess of par value | 307,118,867 | |||
Net assets | $ | 341,243,200 | ||
Shares outstanding | 34,124,333 | |||
Authorized Fund shares allocated to Portfolio | 55,000,000 | |||
Net asset value per share | $ | 10.00 | ||
Investment income: | ||||
Interest | $ | 680,814 | ||
Other income | 17,034 | |||
Total investment income | 697,848 | |||
Expenses: | ||||
Management fees | 951,105 | |||
Custodian fees | 31,677 | |||
Directors’ fees | 41,193 | |||
Professional fees | 33,136 | |||
Accounting fees | 143,825 | |||
Printing and filing fees | 61,496 | |||
Compliance expense | 6,376 | |||
Temporary guarantee program expense | 52,099 | |||
Other | 1,378 | |||
Total expenses | 1,322,285 | |||
Less expenses reduced or reimbursed by adviser | (624,437 | ) | ||
Net expenses | 697,848 | |||
Net investment income | — | |||
Change in net assets from operations | $ | — | ||
13
Money Market Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | — | $ | 6,638,684 | ||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (6,638,684 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 417,820,442 | 877,274,014 | ||||||
Received from dividends reinvested | — | 6,638,684 | ||||||
Paid for shares redeemed | (479,126,912 | ) | (817,575,412 | ) | ||||
Change in net assets from capital transactions | (61,306,470 | ) | 66,337,286 | |||||
Change in net assets | (61,306,470 | ) | 66,337,286 | |||||
Net Assets: | ||||||||
Beginning of year | 402,549,670 | 336,212,384 | ||||||
End of year | $ | 341,243,200 | $ | 402,549,670 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | — | 0.17 | 0.48 | 0.47 | 0.27 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.17 | ) | (0.48 | ) | (0.47 | ) | (0.27 | ) | |||||||||||
Net asset value, end of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
Total return | 0.00 | % | 1.77 | % | 4.92 | % | 4.79 | % | 2.92 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 341.2 | $ | 402.5 | $ | 336.2 | $ | 254.4 | $ | 169.6 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.19 | % | 0.32 | % | 0.31 | % | 0.32 | % | 0.33 | % | ||||||||||
Net investment income | 0.00 | % | 1.72 | % | 4.79 | % | 4.72 | % | 2.92 | % | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.36 | % | 0.35 | % | 0.32 | % | 0.35 | % | 0.37 | % | ||||||||||
Net investment income | –0.17 | % | 1.68 | % | 4.77 | % | 4.70 | % | 2.89 | % |
14
Bond Portfolio
Average Annual Total Returns: | ||||
One year | 20.93% | |||
Five years | 3.10% | |||
Ten years | 5.44% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
15
Bond Portfolio (Continued)
% of Net Assets | |||||||
1. | U.S. Treasury Note 2.375%, 09/30/2014 | 1.4 | |||||
2. | Morgan Stanley 4.750%, 04/01/2014 | 1.3 | |||||
3. | Safeway, Inc. 6.350%, 08/15/2017 | 1.2 | |||||
4. | Kroger Co. / The 6.400%, 08/15/2017 | 1.2 | |||||
5. | Computer Sciences Corp. 6.500%, 03/15/2018 | 1.2 | |||||
6. | Anadarko Petroleum Corp. 5.950%, 09/15/2016 | 1.2 | |||||
7. | Union Electric Co. 6.400%, 06/15/2017 | 1.2 | |||||
8. | Commonwealth Edison Co. 5.950%, 08/15/2016 | 1.2 | |||||
9. | Waste Management, Inc. 6.100%, 03/15/2018 | 1.2 | |||||
10. | Virginia Electric & Power Co. 5.400%, 01/15/2016 | 1.1 |
% of Net Assets | |||
Corporate Bonds (3) (4) | 87.1 | ||
U.S. Treasury Obligations (4) | 1.4 | ||
Commercial Paper | 2.9 | ||
Money Market Funds | 2.3 | ||
Repurchase Agreements and | |||
Other Net Assets | 6.3 | ||
100.0 | |||
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Financials | 27.7 | ||
Utilities | 16.1 | ||
Consumer Staples | 8.7 | ||
Industrials | 8.2 | ||
Energy | 7.9 | ||
Consumer Discretionary | 7.2 | ||
Telecommunication Services | 4.6 | ||
Health Care | 2.8 | ||
Information Technology | 2.3 | ||
Materials | 1.6 | ||
87.1 | |||
(4) | Bond credit quality (Standard & Poor’s Ratings) (combined): |
% of Total Bonds | |||
Government (U.S. Treasury and Agency bonds) | 1.4 | ||
AA | 12.7 | ||
A | 27.0 | ||
BBB | 53.7 | ||
BB | 4.9 | ||
CCC | 0.3 | ||
100.0 | |||
16
Bond Portfolio
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 87.1% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 7.2% | ||||||||
Auto Components – 1.0% | ||||||||
Johnson Controls, Inc. 5.250%, 01/15/2011 | $ | 1,250,000 | $ | 1,312,087 | ||||
Household Durables – 1.1% | ||||||||
Mohawk Industries, Inc. (b) 6.500%, 01/15/2011 | 1,000,000 | 1,030,000 | ||||||
Newell Rubbermaid, Inc. 6.250%, 04/15/2018 | 500,000 | 494,839 | ||||||
1,524,839 | ||||||||
Media – 3.7% | ||||||||
Comcast Corp. 5.875%, 02/15/2018 | 750,000 | 797,475 | ||||||
Cox Communications, Inc. 6.750%, 03/15/2011 | 1,000,000 | 1,051,747 | ||||||
Time Warner Cable, Inc. 5.850%, 05/01/2017 | 1,000,000 | 1,052,237 | ||||||
Time Warner, Inc. 6.875%, 05/01/2012 | 1,000,000 | 1,095,336 | ||||||
Viacom, Inc. 4.375%, 09/15/2014 | 1,000,000 | 1,032,351 | ||||||
5,029,146 | ||||||||
Multiline Retail – 0.7% | ||||||||
Macy’s Retail Holdings, Inc. 5.900%, 12/01/2016 | 1,000,000 | 980,000 | ||||||
Specialty Retail – 0.8% | ||||||||
Home Depot, Inc. / The 5.250%, 12/16/2013 | 1,000,000 | 1,071,513 | ||||||
TOTAL CONSUMER DISCRETIONARY | 9,917,585 | |||||||
CONSUMER STAPLES – 8.7% | ||||||||
Beverages – 0.7% | ||||||||
Anheuser-Busch Cos., Inc. 5.500%, 01/15/2018 | 750,000 | 761,403 | ||||||
Coca Cola Co. / The 4.875%, 03/15/2019 | 250,000 | 260,901 | ||||||
1,022,304 | ||||||||
Food & Staples Retailing – 3.1% | ||||||||
CVS Caremark Corp. 5.750%, 06/01/2017 | 1,000,000 | 1,057,006 | ||||||
Kroger Co. / The 6.400%, 08/15/2017 | 1,500,000 | 1,641,123 | ||||||
Safeway, Inc. 6.350%, 08/15/2017 | 1,500,000 | 1,644,189 | ||||||
4,342,318 | ||||||||
Food Products – 3.0% | ||||||||
Bunge N.A. Finance LP 5.900%, 04/01/2017 | 1,500,000 | 1,487,029 | ||||||
Kraft Foods, Inc. 6.125%, 02/01/2018 | 1,500,000 | 1,579,826 | ||||||
Tyson Foods, Inc. 7.850%, 04/01/2016 (b) | 1,000,000 | 1,030,000 | ||||||
4,096,855 | ||||||||
Household Products – 1.2% | ||||||||
Clorox Co. / The 3.550%, 11/01/2015 | 300,000 | 296,978 | ||||||
Kimberly-Clark Corp. 6.125%, 08/01/2017 | 1,000,000 | 1,110,266 | ||||||
Procter & Gamble Co. / The 4.700%, 02/15/2019 | 250,000 | 256,394 | ||||||
1,663,638 | ||||||||
Personal Products – 0.6% | ||||||||
Mead Johnson Nutrition Co. 3.500%, 11/01/2014 (a) | 800,000 | 791,752 | ||||||
TOTAL CONSUMER STAPLES | 11,916,867 | |||||||
ENERGY – 7.9% | ||||||||
Energy Equipment & Services – 1.1% | ||||||||
Weatherford International Ltd. 6.000%, 03/15/2018 | 1,500,000 | 1,512,870 | ||||||
Oil, Gas & Consumable Fuels – 6.8% | ||||||||
Anadarko Petroleum Corp. 5.950%, 09/15/2016 | 1,500,000 | 1,624,795 | ||||||
Atlantic Richfield Co. 8.550%, 03/01/2012 | 200,000 | 227,237 | ||||||
Cenovus Energy, Inc. 5.700%, 10/15/2019 (a) | 1,000,000 | 1,045,022 | ||||||
Devon OEI Operating, Inc. 7.250%, 10/01/2011 | 1,000,000 | 1,091,446 | ||||||
Energy Transfer Partners LP 5.650%, 08/01/2012 | 1,000,000 | 1,063,488 | ||||||
Magellan Midstream Partners LP 6.550%, 07/15/2019 | 500,000 | 543,728 | ||||||
Marathon Oil Corp. 6.125%, 03/15/2012 | 750,000 | 806,593 | ||||||
Questar Market Resources, Inc. 6.800%, 03/01/2020 | 1,000,000 | 1,044,217 | ||||||
Valero Energy Corp. 6.875%, 04/15/2012 | 750,000 | 819,346 | ||||||
XTO Energy, Inc. 4.900%, 02/01/2014 | 1,000,000 | 1,075,632 | ||||||
9,341,504 | ||||||||
TOTAL ENERGY | 10,854,374 | |||||||
FINANCIALS – 27.7% | ||||||||
Capital Markets – 5.1% | ||||||||
BlackRock, Inc. 2.250%, 12/10/2012 | 500,000 | 498,162 | ||||||
Goldman Sachs Group, Inc. / The 6.150%, 04/01/2018 | 1,250,000 | 1,340,296 | ||||||
Janus Capital Group, Inc. (b) 6.950%, 06/15/2017 | 1,500,000 | 1,415,832 | ||||||
Jefferies Group, Inc. 5.875%, 06/08/2014 | 1,500,000 | 1,541,892 | ||||||
Morgan Stanley 4.750%, 04/01/2014 | 1,750,000 | 1,761,732 |
17
Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 87.1% | Amount | Value | ||||||
Capital Markets (continued) | ||||||||
TD Ameritrade Holding Corp. 4.150%, 12/01/2014 | $ | 500,000 | $ | 493,505 | ||||
7,051,419 | ||||||||
Commercial Banks – 6.4% | ||||||||
BB&T Corp. 5.200%, 12/23/2015 | 1,000,000 | 1,039,946 | ||||||
Comerica Bank 5.750%, 11/21/2016 | 1,500,000 | 1,453,657 | ||||||
Deutsche Bank Capital Funding Trust VII 5.628%, Perpetual (a) (c) | 1,500,000 | 1,102,500 | ||||||
Fifth Third Bancorp 4.500%, 06/01/2018 | 1,750,000 | 1,429,995 | ||||||
PNC Funding Corp. 5.250%, 11/15/2015 | 1,500,000 | 1,544,482 | ||||||
SunTrust Bank 5.000%, 09/01/2015 | 1,500,000 | 1,455,521 | ||||||
Wells Fargo & Co. 5.625%, 12/11/2017 | 750,000 | 781,363 | ||||||
8,807,464 | ||||||||
Consumer Finance – 2.1% | ||||||||
American Express Co. 7.000%, 03/19/2018 | 1,250,000 | 1,378,764 | ||||||
Capital One Bank USA NA 5.125%, 02/15/2014 | 750,000 | 780,953 | ||||||
Discover Financial Services 6.450%, 06/12/2017 | 750,000 | 702,962 | ||||||
2,862,679 | ||||||||
Diversified Financial Services – 3.5% | ||||||||
Bank of America Corp. 5.650%, 05/01/2018 | 1,000,000 | 1,017,287 | ||||||
Citigroup, Inc. 6.125%, 05/15/2018 | 1,250,000 | 1,258,796 | ||||||
General Electric Capital Corp. 5.625%, 05/01/2018 | 1,000,000 | 1,026,436 | ||||||
JPMorgan Chase & Co. 5.150%, 10/01/2015 | 1,500,000 | 1,555,239 | ||||||
4,857,758 | ||||||||
Insurance – 7.0% | ||||||||
Assurant, Inc. 5.625%, 02/15/2014 | 1,500,000 | 1,539,378 | ||||||
Axis Capital Holdings Ltd. 5.750%, 12/01/2014 | 1,000,000 | 1,007,654 | ||||||
Hartford Financial Services Group, Inc. / The 5.375%, 03/15/2017 | 1,500,000 | 1,431,990 | ||||||
Liberty Mutual Group, Inc. 5.750%, 03/15/2014 (a) | 1,000,000 | 986,579 | ||||||
Lincoln National Corp. 8.750%, 07/01/2019 | 750,000 | 858,372 | ||||||
Loews Corp. 5.250%, 03/15/2016 | 750,000 | 762,671 | ||||||
Metropolitan Life Global Funding I 2.875%, 09/17/2012 (a) | 1,000,000 | 1,008,498 | ||||||
Prudential Financial, Inc. 6.100%, 06/15/2017 | 1,500,000 | 1,554,983 | ||||||
StanCorp Financial Group, Inc. 6.875%, 10/01/2012 | 500,000 | 534,322 | ||||||
9,684,447 | ||||||||
Real Estate Investment Trusts – 3.6% | ||||||||
Equity One, Inc. 6.250%, 01/15/2017 | 1,250,000 | 1,143,597 | ||||||
HCP, Inc. 4.875%, 09/15/2010 | 1,500,000 | 1,530,825 | ||||||
Mack-Cali Realty LP 4.600%, 06/15/2013 | 1,000,000 | 970,526 | ||||||
Simon Property Group LP 4.875%, 08/15/2010 | 1,250,000 | 1,275,463 | ||||||
4,920,411 | ||||||||
TOTAL FINANCIALS | 38,184,178 | |||||||
HEALTH CARE – 2.8% | ||||||||
Health Care Equipment & Supplies – 0.4% | ||||||||
Becton Dickinson & Co. 5.000%, 05/15/2019 | 500,000 | 514,467 | ||||||
Health Care Providers & Services – 1.5% | ||||||||
AmerisourceBergen Corp. 4.875%, 11/15/2019 | 500,000 | 494,581 | ||||||
UnitedHealth Group, Inc. 6.000%, 02/15/2018 | 1,500,000 | 1,551,900 | ||||||
2,046,481 | ||||||||
Life Sciences Tools & Services – 0.2% | ||||||||
Thermo Fisher Scientific Inc. 3.250%, 11/18/2014 (a) | 300,000 | 294,449 | ||||||
Pharmaceuticals – 0.7% | ||||||||
Merck & Co. Inc. 5.000%, 06/30/2019 | 1,000,000 | 1,041,400 | ||||||
TOTAL HEALTH CARE | 3,896,797 | |||||||
INDUSTRIALS – 8.2% | ||||||||
Aerospace & Defense – 1.5% | ||||||||
Raytheon Co. 4.400%, 02/15/2020 | 1,250,000 | 1,233,674 | ||||||
BAE Systems Holdings, Inc. 6.375%, 06/01/2019 (a) | 750,000 | 808,188 | ||||||
2,041,862 | ||||||||
Building Products – 0.7% | ||||||||
Owens Corning, Inc. 6.500%, 12/01/2016 | 1,000,000 | 1,025,488 | ||||||
Commercial Services & Supplies – 1.2% | ||||||||
Waste Management, Inc. 6.100%, 03/15/2018 | 1,500,000 | 1,597,736 | ||||||
18
Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 87.1% | Amount | Value | ||||||
Electrical Equipment – 0.9% | ||||||||
Emerson Electric Co. 4.250%, 11/15/2020 | $ | 1,250,000 | $ | 1,216,524 | ||||
Machinery – 1.7% | ||||||||
Caterpillar, Inc. 5.700%, 08/15/2016 | 1,000,000 | 1,083,307 | ||||||
Deere & Co. 4.375%, 10/16/2019 | 1,250,000 | 1,250,914 | ||||||
2,334,221 | ||||||||
Road & Rail – 2.2% | ||||||||
CSX Corp. 5.600%, 05/01/2017 | 1,500,000 | 1,558,419 | ||||||
Ryder System, Inc. 4.625%, 04/01/2010 | 506,000 | 508,381 | ||||||
Union Pacific Corp. 3.625%, 06/01/2010 | 1,000,000 | 1,012,250 | ||||||
3,079,050 | ||||||||
TOTAL INDUSTRIALS | 11,294,881 | |||||||
INFORMATION TECHNOLOGY – 2.3% | ||||||||
Communications Equipment – 0.2% | ||||||||
Cisco Systems, Inc. 2.900%, 11/17/2014 | 300,000 | 299,791 | ||||||
Computers & Peripherals – 0.9% | ||||||||
International Business Machines Corp. 2.100%, 05/06/2013 | 1,250,000 | 1,248,500 | ||||||
IT Services – 1.2% | ||||||||
Computer Sciences Corp. 6.500%, 03/15/2018 | 1,500,000 | 1,639,569 | ||||||
TOTAL INFORMATION TECHNOLOGY | 3,187,860 | |||||||
MATERIALS – 1.6% | ||||||||
Chemicals – 0.8% | ||||||||
Monsanto Co. 7.375%, 08/15/2012 | 1,000,000 | 1,134,166 | ||||||
Metals & Mining – 0.8% | ||||||||
Teck Resources Ltd. 7.000%, 09/15/2012 | 1,000,000 | 1,061,250 | ||||||
TOTAL MATERIALS | 2,195,416 | |||||||
TELECOMMUNICATION SERVICES – 4.6% | ||||||||
Diversified Telecommunication Services – 2.5% | ||||||||
AT&T Corp. 7.300%, 11/15/2011 | 500,000 | 550,778 | ||||||
Embarq Corp. 6.738%, 06/01/2013 | 1,000,000 | 1,087,312 | ||||||
Telecom Italia Capital SA 5.250%, 10/01/2015 | 750,000 | 785,130 | ||||||
Verizon Communications, Inc. 5.350%, 02/15/2011 | 1,000,000 | 1,043,026 | ||||||
3,466,246 | ||||||||
Wireless Telecommunication Services – 2.1% | ||||||||
America Movil S.A.B. de C.V. 5.750%, 01/15/2015 | 1,000,000 | 1,057,548 | ||||||
New Cingular Wireless Services, Inc. 7.875%, 03/01/2011 | 750,000 | 806,022 | ||||||
Rogers Communications, Inc. 5.500%, 03/15/2014 | 1,000,000 | 1,072,532 | ||||||
2,936,102 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 6,402,348 | |||||||
UTILITIES – 16.1% | ||||||||
Electric Utilities – 10.3% | ||||||||
Appalachian Power Co. 5.550%, 04/01/2011 | 1,000,000 | 1,040,319 | ||||||
Commonwealth Edison Co. 5.950%, 08/15/2016 | 1,500,000 | 1,608,184 | ||||||
Entergy Mississippi, Inc. 5.920%, 02/01/2016 | 1,000,000 | 1,025,784 | ||||||
IPALCO Enterprises, Inc. 8.625%, 11/14/2011 | 1,000,000 | 1,050,000 | ||||||
Kansas City Power & Light Co. 5.850%, 06/15/2017 | 1,500,000 | 1,548,459 | ||||||
Metropolitan Edison Co. 4.875%, 04/01/2014 | 750,000 | 779,206 | ||||||
Pepco Holdings, Inc. 4.000%, 05/15/2010 | 750,000 | 757,103 | ||||||
Potomac Power Co. 6.500%, 11/15/2037 | 750,000 | 825,809 | ||||||
PSEG Power LLC 5.000%, 04/01/2014 | 750,000 | 775,427 | ||||||
Scottish Power Ltd. 4.910%, 03/15/2010 | 1,000,000 | 1,008,338 | ||||||
Tenaska Georgia Partners LP 9.500%, 02/01/2030 | 491,244 | 550,216 | ||||||
Union Electric Co. 6.400%, 06/15/2017 | 1,500,000 | 1,617,711 | ||||||
Virginia Electric & Power Co. 5.400%, 01/15/2016 | 1,500,000 | 1,585,277 | ||||||
14,171,833 | ||||||||
Gas Utilities – 2.4% | ||||||||
AGL Capital Corp. 5.250%, 08/15/2019 | 1,000,000 | 1,008,887 | ||||||
CenterPoint Energy Resources Corp. 5.950%, 01/15/2014 | 500,000 | 527,015 | ||||||
Southwest Gas Corp. 7.625%, 05/15/2012 | 1,000,000 | 1,089,003 | ||||||
Spectra Energy Capital LLC 5.500%, 03/01/2014 | 750,000 | 789,247 | ||||||
3,414,152 | ||||||||
Independent Power Producers & Energy Traders – 1.1% | ||||||||
Energy Future Competitive Holdings Co. 7.480%, 01/01/2017 | 642,667 | 408,841 | ||||||
TransAlta Corp. 6.750%, 07/15/2012 | 1,000,000 | 1,082,662 | ||||||
1,491,503 | ||||||||
19
Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 87.1% | Amount | Value | ||||||
Multi-Utilities – 2.3% | ||||||||
Alliant Energy Corp. 4.000%, 10/15/2014 | $ | 1,000,000 | $ | 1,001,331 | ||||
Avista Corp. 5.950%, 06/01/2018 | 1,000,000 | 1,049,226 | ||||||
Consumers Energy Co. 6.000%, 02/15/2014 | 1,000,000 | 1,100,157 | ||||||
3,150,714 | ||||||||
TOTAL UTILITIES | 22,228,202 | |||||||
Total Corporate Bonds (Cost $116,236,238) | $ | 120,078,508 | ||||||
Face | ||||||||
U.S. Treasury Obligations – 1.4% | Amount | Value | ||||||
U.S. Treasury Note 2.375%, 09/30/2014 | $ | 1,900,000 | $ | 1,884,559 | ||||
Total U.S. Treasury Obligations (Cost $1,901,978) | $ | 1,884,559 | ||||||
Face | Amortized | |||||||
Commercial Paper – 2.9% | Amount | Cost | ||||||
Prudential Funding LLC 0.020%, 01/04/2010 | $ | 4,000,000 | $ | 3,999,993 | ||||
Total Commercial Paper (Cost $3,999,993) | $ | 3,999,993 | ||||||
Money Market Funds – 2.3% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 3,160,000 | $ | 3,160,000 | |||||
Total Money Market Funds (Cost $3,160,000) | $ | 3,160,000 | ||||||
Face | Amortized | |||||||
Repurchase Agreements – 4.2% | Amount | Cost | ||||||
U.S. Bank 0.010% 01/04/2010 | $ | 5,829,000 | $ | 5,829,000 | ||||
Agreement date: 12/31/2009 | ||||||||
Repurchase price $5,829,006 | ||||||||
Collateralized by: | ||||||||
Various Agency Mortgage-Backed Securities 3.22% to 5.00%, Due 07/01/2018 through 10/01/2034 Fair Value: $5,945,448 | ||||||||
Total Repurchase Agreements (Cost $5,829,000) | $ | 5,829,000 | ||||||
Total Investments – 97.9% (Cost $131,127,209) (d) | $ | 134,952,060 | ||||||
Other Assets in Excess of Liabilities – 2.1% | 2,960,249 | |||||||
Net Assets – 100.0% | $ | 137,912,309 | ||||||
(a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2009, the value of these securities totaled $6,036,988 or 4.4% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(b) | This security is a credit sensitive bond. The coupon rate is a variable rate subject to adjustment based on changes in either Moody’s or S&P ratings. | |
(c) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at December 31, 2009. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
20
Bond Portfolio
Assets: | ||||
Investments in securities, at value (Cost $125,298,209) | $ | 129,123,060 | ||
Repurchase agreements | 5,829,000 | |||
Cash | 236 | |||
Receivable for fund shares sold | 1,392,954 | |||
Accrued interest receivable | 1,707,689 | |||
Prepaid expenses and other assets | 240 | |||
Total assets | 138,053,179 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 39,171 | |||
Payable for investment management services | 66,852 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 841 | |||
Accrued professional fees | 11,272 | |||
Accrued accounting fees | 11,703 | |||
Accrued printing and filing fees | 9,354 | |||
Total liabilities | 140,870 | |||
Net assets | $ | 137,912,309 | ||
Net assets consist of: | ||||
Par value, $1 per share | 11,258,369 | |||
Paid-in capital in excess of par value | 134,097,025 | |||
Accumulated net realized loss on investments | (17,312,362 | ) | ||
Net unrealized appreciation on investments | 3,824,851 | |||
Undistributed net investment income | 6,044,426 | |||
Net assets | $ | 137,912,309 | ||
Shares outstanding | 11,258,369 | |||
Authorized Fund shares allocated to Portfolio | 20,000,000 | |||
Net asset value per share | $ | 12.25 | ||
Investment income: | ||||
Interest | $ | 6,868,550 | ||
Expenses: | ||||
Management fees | 696,693 | |||
Custodian fees | 9,298 | |||
Directors’ fees | 13,030 | |||
Professional fees | 18,524 | |||
Accounting fees | 63,948 | |||
Printing and filing fees | 18,509 | |||
Compliance expense | 6,376 | |||
Other | 410 | |||
Total expenses | 826,788 | |||
Net investment income | 6,041,762 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (7,436,754 | ) | ||
Change in unrealized appreciation/depreciation on investments | 23,501,373 | |||
Net realized/unrealized gain (loss) on investments | 16,064,619 | |||
Change in net assets from operations | $ | 22,106,381 | ||
21
Bond Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 6,041,762 | $ | 8,183,385 | ||||
Net realized gain (loss) on investments | (7,436,754 | ) | (7,121,821 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 23,501,373 | (18,186,256 | ) | |||||
Change in net assets from operations | 22,106,381 | (17,124,692 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 46,255,877 | 34,675,995 | ||||||
Paid for shares redeemed | (38,208,419 | ) | (87,447,734 | ) | ||||
Change in net assets from capital transactions | 8,047,458 | (52,771,739 | ) | |||||
Change in net assets | 30,153,839 | (69,896,431 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 107,758,470 | 177,654,901 | ||||||
End of year | $ | 137,912,309 | $ | 107,758,470 | ||||
Undistributed net investment income | $ | 6,044,426 | $ | 8,186,049 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.13 | $ | 11.44 | $ | 11.03 | $ | 10.96 | $ | 11.33 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.49 | 1.04 | 0.58 | 0.55 | (a) | 0.56 | (a) | |||||||||||||
Net realized and unrealized gain (loss) on investments | 1.63 | (2.35 | ) | (0.17 | ) | (0.06 | ) | (0.51 | ) | |||||||||||
Total from operations | 2.12 | (1.31 | ) | 0.41 | 0.49 | 0.05 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (0.42 | ) | (0.42 | ) | |||||||||||||
Net asset value, end of year | $ | 12.25 | $ | 10.13 | $ | 11.44 | $ | 11.03 | $ | 10.96 | ||||||||||
Total return | 20.93 | % | –11.45 | % | 3.72 | % | 4.44 | % | 0.42 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 137.9 | $ | 107.8 | $ | 177.7 | $ | 171.1 | $ | 139.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.69 | % | 0.66 | % | 0.63 | % | 0.65 | % | 0.68 | % | ||||||||||
Net investment income | 5.06 | % | 5.35 | % | 4.99 | % | 4.99 | % | 4.97 | % | ||||||||||
Portfolio turnover rate | 27 | % | 15 | % | 13 | % | 25 | % | 13 | % |
(a) | Calculated using the average daily shares method. |
22
Omni Portfolio
Average Annual Total Returns: | ||||
One year | 33.15% | |||
Five years | 3.91% | |||
Ten years | -0.66% |
23
Omni Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
24
Omni Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 67.3 | ||
Corporate Bonds (3) | 26.9 | ||
Money Market Funds and Other Net Assets | 5.8 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Pfizer, Inc. | 1.7 | |||||
2. | Chevron Corp. | 1.7 | |||||
3. | General Electric Co. | 1.6 | |||||
4. | Dow Chemical Co. / The | 1.5 | |||||
5. | Bank of America Corp. | 1.5 | |||||
6. | Cisco Systems, Inc. | 1.4 | |||||
7. | United Technologies Corp. | 1.4 | |||||
8. | International Business Machines Corp. | 1.4 | |||||
9. | Google, Inc. Class A | 1.4 | |||||
10. | Texas Instruments Inc. | 1.4 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Financials | 17.0 | ||
Information Technology | 15.2 | ||
Industrials | 12.0 | ||
Energy | 11.0 | ||
Consumer Discretionary | 8.1 | ||
Consumer Staples | 8.1 | ||
Health Care | 7.7 | ||
Materials | 5.9 | ||
Utilities | 5.5 | ||
Telecommunication Services | 3.7 | ||
94.2 | |||
25
Omni Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 67.3% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 6.7% | ||||||||
Hotels, Restaurants & Leisure – 1.4% | ||||||||
Darden Restaurants, Inc. | 5,000 | $ | 175,350 | |||||
Royal Caribbean Cruises Ltd. (a) | 16,100 | 407,008 | ||||||
582,358 | ||||||||
Internet & Catalog Retail – 0.6% | ||||||||
Amazon.com, Inc. (a) | 1,800 | 242,136 | ||||||
Multiline Retail – 1.3% | ||||||||
Target Corp. | 10,900 | 527,233 | ||||||
Specialty Retail – 2.1% | ||||||||
Bed Bath & Beyond Inc. (a) | 8,800 | 339,944 | ||||||
Lowe’s Companies, Inc. | 23,300 | 544,987 | ||||||
884,931 | ||||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||
V.F. Corp. | 7,400 | 541,976 | ||||||
TOTAL CONSUMER DISCRETIONARY | 2,778,634 | |||||||
CONSUMER STAPLES – 4.9% | ||||||||
Food & Staples Retailing – 1.3% | ||||||||
Wal – Mart Stores, Inc. | 10,100 | 539,845 | ||||||
Food Products – 2.3% | ||||||||
ConAgra Foods, Inc. | 11,500 | 265,075 | ||||||
General Mills, Inc. | 6,100 | 431,941 | ||||||
Ralcorp Holdings, Inc. (a) | 4,300 | 256,753 | ||||||
953,769 | ||||||||
Household Products – 1.3% | ||||||||
Procter & Gamble Co. / The | 8,900 | 539,607 | ||||||
TOTAL CONSUMER STAPLES | 2,033,221 | |||||||
ENERGY – 8.0% | ||||||||
Energy Equipment & Services – 0.9% | ||||||||
Transocean Ltd. (a) | 4,600 | 380,880 | ||||||
Oil, Gas & Consumable Fuels – 7.1% | ||||||||
Anadarko Petroleum Corp. | 6,600 | 411,972 | ||||||
Apache Corp. | 1,800 | 185,706 | ||||||
Chevron Corp. | 8,900 | 685,211 | ||||||
Exxon Mobil Corp. | 8,200 | 559,158 | ||||||
Hess Corp. | 9,300 | 562,650 | ||||||
Occidental Petroleum Corp. | 6,700 | 545,045 | ||||||
2,949,742 | ||||||||
TOTAL ENERGY | 3,330,622 | |||||||
FINANCIALS – 9.2% | ||||||||
Capital Markets – 3.9% | ||||||||
Goldman Sachs Group, Inc. / The | 3,400 | 574,056 | ||||||
Morgan Stanley | 18,800 | 556,480 | ||||||
State Street Corp. | 10,800 | 470,232 | ||||||
1,600,768 | ||||||||
Commercial Banks – 1.1% | ||||||||
Wells Fargo & Co. | 17,700 | 477,723 | ||||||
Diversified Financial Services – 2.9% | ||||||||
Bank of America Corp. | 40,900 | 615,954 | ||||||
JPMorgan Chase & Co. | 13,700 | 570,879 | ||||||
1,186,833 | ||||||||
Insurance – 1.3% | ||||||||
Prudential Financial, Inc. | 10,900 | 542,384 | ||||||
TOTAL FINANCIALS | 3,807,708 | |||||||
HEALTH CARE – 6.0% | ||||||||
Health Care Equipment & Supplies – 1.5% | ||||||||
Hospira, Inc. (a) | 11,300 | 576,300 | ||||||
Medtronic, Inc. | 1,200 | 52,776 | ||||||
629,076 | ||||||||
Health Care Providers & Services – 1.9% | ||||||||
Laboratory Corp. of America Holdings (a) | 3,300 | 246,972 | ||||||
McKesson Corp. | 8,700 | 543,750 | ||||||
790,722 | ||||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Thermo Fisher Scientific, Inc. (a) | 3,200 | 152,608 | ||||||
Pharmaceuticals – 2.2% | ||||||||
Merck & Co. Inc. | 5,700 | 208,278 | ||||||
Pfizer, Inc. | 39,100 | 711,229 | ||||||
919,507 | ||||||||
TOTAL HEALTH CARE | 2,491,913 | |||||||
INDUSTRIALS – 10.5% | ||||||||
Aerospace & Defense – 4.1% | ||||||||
Goodrich Corp. | 8,800 | 565,400 | ||||||
Honeywell International Inc. | 14,100 | 552,720 | ||||||
United Technologies Corp. | 8,600 | 596,926 | ||||||
1,715,046 | ||||||||
Construction & Engineering – 0.7% | ||||||||
Quanta Services, Inc. (a) | 13,000 | 270,920 | ||||||
Electrical Equipment – 0.1% | ||||||||
SunPower Corp. (a) | 1,700 | 35,615 | ||||||
Industrial Conglomerates – 3.5% | ||||||||
3M Co. | 3,500 | 289,345 | ||||||
General Electric Co. | 44,200 | 668,746 | ||||||
Tyco International Ltd. | 13,500 | 481,680 | ||||||
1,439,771 | ||||||||
Machinery – 2.1% | ||||||||
Caterpillar, Inc. | 9,500 | 541,405 | ||||||
Illinois Tool Works Inc. | 7,100 | 340,729 | ||||||
882,134 | ||||||||
TOTAL INDUSTRIALS | 4,343,486 | |||||||
INFORMATION TECHNOLOGY – 14.8% | ||||||||
Communications Equipment – 2.8% | ||||||||
Cisco Systems, Inc. (a) | 25,000 | 598,500 | ||||||
QUALCOMM, Inc. | 12,200 | 564,372 | ||||||
1,162,872 | ||||||||
26
Omni Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 67.3% | Shares | Value | ||||||
Computers & Peripherals – 5.1% | ||||||||
Apple, Inc. (a) | 2,300 | $ | 484,978 | |||||
Dell, Inc. (a) | 35,000 | 502,600 | ||||||
Hewlett-Packard Co. | 10,800 | 556,308 | ||||||
International Business Machines Corp. | 4,500 | 589,050 | ||||||
2,132,936 | ||||||||
Internet Software & Services – 1.4% | ||||||||
Google, Inc. Class A (a) | 950 | 588,981 | ||||||
Semiconductors & Semiconductor Equipment – 5.5% | ||||||||
Applied Materials, Inc. | 40,200 | 560,388 | ||||||
Intel Corp. | 26,600 | 542,640 | ||||||
Maxim Integrated Products, Inc. | 29,000 | 588,700 | ||||||
Texas Instruments Inc. | 22,600 | 588,956 | ||||||
2,280,684 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 6,165,473 | |||||||
MATERIALS – 5.9% | ||||||||
Chemicals – 2.2% | ||||||||
Air Products and Chemicals, Inc. | 3,300 | 267,498 | ||||||
Dow Chemical Co. / The | 22,900 | 632,727 | ||||||
900,225 | ||||||||
Containers & Packaging – 1.1% | ||||||||
Ball Corp. | 9,000 | 465,300 | ||||||
Metals & Mining – 2.6% | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 6,900 | 554,001 | ||||||
Teck Resources Ltd. (a) | 14,800 | 517,556 | ||||||
1,071,557 | ||||||||
TOTAL MATERIALS | 2,437,082 | |||||||
TELECOMMUNICATION SERVICES – 1.3% | ||||||||
Diversified Telecommunication Services – 1.3% | ||||||||
Verizon Communications, Inc. | 16,500 | 546,645 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 546,645 | |||||||
Total Common Stocks (Cost $25,612,054) | $ | 27,934,784 | ||||||
Face | ||||||||
Corporate Bonds – 26.9% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 1.4% | ||||||||
Automobiles – 0.3% | ||||||||
Daimler Finance North America LLC 6.500%, 11/15/2013 | $ | 100,000 | $ | 109,717 | ||||
Media – 0.9% | ||||||||
Comcast Corp. 5.875%, 02/15/2018 | 150,000 | 159,495 | ||||||
Cox Communications, Inc. 6.750%, 03/15/2011 | 100,000 | 105,175 | ||||||
Walt Disney Co. / The 6.200%, 06/20/2014 | 100,000 | 112,077 | ||||||
376,747 | ||||||||
Multiline Retail – 0.2% | ||||||||
Macy’s Retail Holdings, Inc. 5.900%, 12/01/2016 | 100,000 | 98,000 | ||||||
TOTAL CONSUMER DISCRETIONARY | 584,464 | |||||||
CONSUMER STAPLES – 3.2% | ||||||||
Beverages – 0.6% | ||||||||
Anheuser-Busch Cos., Inc. 5.500%, 01/15/2018 | 150,000 | 152,281 | ||||||
Coca Cola Co. / The 4.875%, 03/15/2019 | 100,000 | 104,360 | ||||||
256,641 | ||||||||
Food & Staples Retailing – 1.2% | ||||||||
CVS Caremark Corp. 5.750%, 06/01/2017 | 150,000 | 158,551 | ||||||
Kroger Co. / The 6.400%, 08/15/2017 | 150,000 | 164,112 | ||||||
Safeway, Inc. 6.350%, 08/15/2017 | 150,000 | 164,419 | ||||||
487,082 | ||||||||
Food Products – 0.8% | ||||||||
Bunge N.A. Finance LP 5.900%, 04/01/2017 | 150,000 | 148,703 | ||||||
Kraft Foods, Inc. 6.500%, 08/11/2017 | 150,000 | 163,004 | ||||||
311,707 | ||||||||
Household Products – 0.6% | ||||||||
Kimberly-Clark Corp. 6.125%, 08/01/2017 | 150,000 | 166,540 | ||||||
Procter & Gamble Co. / The 4.700%, 02/15/2019 | 100,000 | 102,558 | ||||||
269,098 | ||||||||
TOTAL CONSUMER STAPLES | 1,324,528 | |||||||
ENERGY – 3.0% | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Weatherford International Ltd. 6.000%, 03/15/2018 | 150,000 | 151,287 | ||||||
Oil, Gas & Consumable Fuels – 2.6% | ||||||||
Anadarko Petroleum Corp. 5.950%, 09/15/2016 | 150,000 | 162,480 | ||||||
Boardwalk Pipelines LP 5.500%, 02/01/2017 | 250,000 | 248,791 | ||||||
Enterprise Products Operating LLC 5.000%, 03/01/2015 | 150,000 | 154,339 | ||||||
Magellan Midstream Partners LP 6.400%, 07/15/2018 | 150,000 | 159,664 | ||||||
Valero Energy Corp. 4.750%, 06/15/2013 | 250,000 | 256,070 | ||||||
XTO Energy, Inc. 4.900%, 02/01/2014 | 100,000 | 107,563 | ||||||
1,088,907 | ||||||||
TOTAL ENERGY | 1,240,194 | |||||||
27
Omni Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 26.9% | Amount | Value | ||||||
FINANCIALS – 7.8% | ||||||||
Capital Markets – 1.8% | ||||||||
Goldman Sachs Group, Inc. / The 5.150%, 01/15/2014 | $ | 100,000 | $ | 105,882 | ||||
Jefferies Group, Inc. 5.875%, 06/08/2014 | 150,000 | 154,189 | ||||||
Mellon Funding Corp. 5.500%, 11/15/2018 | 250,000 | 257,041 | ||||||
Morgan Stanley 4.750%, 04/01/2014 | 250,000 | 251,676 | ||||||
768,788 | ||||||||
Commercial Banks – 1.4% | ||||||||
BB&T Corp. 5.200%, 12/23/2015 | 100,000 | 103,995 | ||||||
Deutsche Bank Capital Funding Trust VII 5.628%, Perpetual (b) (c) | 250,000 | 183,750 | ||||||
KeyBank NA 5.700%, 11/01/2017 | 150,000 | 125,150 | ||||||
PNC Funding Corp. 5.250%, 11/15/2015 | 150,000 | 154,448 | ||||||
567,343 | ||||||||
Consumer Finance – 0.6% | ||||||||
Capital One Bank USA NA 5.125%, 02/15/2014 | 100,000 | 104,127 | ||||||
Discover Financial Services 6.450%, 06/12/2017 | 150,000 | 140,592 | ||||||
244,719 | ||||||||
Diversified Financial Services – 2.0% | ||||||||
Bank of America Corp. 5.750%, 08/15/2016 | 150,000 | 151,184 | ||||||
Citigroup, Inc. 5.850%, 08/02/2016 | 150,000 | 147,059 | ||||||
General Electric Capital Corp. 5.000%, 01/08/2016 | 250,000 | 253,179 | ||||||
JPMorgan Chase & Co. 5.150%, 10/01/2015 | 250,000 | 259,207 | ||||||
810,629 | ||||||||
Insurance – 1.1% | ||||||||
Assurant, Inc. 5.625%, 02/15/2014 | 100,000 | 102,625 | ||||||
Liberty Mutual Group, Inc. 5.750%, 03/15/2014 (b) | 250,000 | 246,645 | ||||||
MetLife, Inc. 5.375%, 12/15/2012 | 100,000 | 106,351 | ||||||
455,621 | ||||||||
Real Estate Investment Trusts – 0.9% | ||||||||
Duke Realty LP 4.625%, 05/15/2013 | 250,000 | 241,276 | ||||||
HCP, Inc. 6.000%, 01/30/2017 | 150,000 | 141,364 | ||||||
382,640 | ||||||||
TOTAL FINANCIALS | 3,229,740 | |||||||
HEALTH CARE – 1.7% | ||||||||
Health Care Equipment & Supplies – 0.4% | ||||||||
Hospira, Inc. 6.050%, 03/30/2017 | 150,000 | 157,222 | ||||||
Health Care Providers & Services – 0.7% | ||||||||
UnitedHealth Group, Inc. 6.000%, 02/15/2018 | 150,000 | 155,190 | ||||||
WellPoint, Inc. 5.875%, 06/15/2017 | 150,000 | 154,770 | ||||||
309,960 | ||||||||
Pharmaceuticals – 0.6% | ||||||||
Abbott Laboratories 5.600%, 11/30/2017 | 150,000 | 163,162 | ||||||
Wyeth 6.950%, 03/15/2011 | 100,000 | 106,857 | ||||||
270,019 | ||||||||
TOTAL HEALTH CARE | 737,201 | |||||||
INDUSTRIALS – 1.5% | ||||||||
Building Products – 0.4% | ||||||||
Owens Corning, Inc. 6.500%, 12/01/2016 | 150,000 | 153,823 | ||||||
Commercial Services & Supplies – 0.4% | ||||||||
Waste Management, Inc. 6.100%, 03/15/2018 | 150,000 | 159,774 | ||||||
Road & Rail – 0.7% | ||||||||
CSX Corp. 5.600%, 05/01/2017 | 150,000 | 155,842 | ||||||
ERAC USA Finance Co. 6.375%, 10/15/2017 (b) | 150,000 | 151,740 | ||||||
307,582 | ||||||||
TOTAL INDUSTRIALS | 621,179 | |||||||
INFORMATION TECHNOLOGY – 0.4% | ||||||||
IT Services – 0.4% | ||||||||
Computer Sciences Corp. 6.500%, 03/15/2018 | 150,000 | 163,957 | ||||||
TOTAL INFORMATION TECHNOLOGY | 163,957 | |||||||
TELECOMMUNICATION SERVICES – 2.4% | ||||||||
Diversified Telecommunication Services – 1.8% | ||||||||
AT&T Corp. 7.300%, 11/15/2011 | 100,000 | 110,155 | ||||||
Embarq Corp. 6.738%, 06/01/2013 | 150,000 | 163,097 | ||||||
Telecom Italia Capital SA 5.250%, 10/01/2015 | 100,000 | 104,684 | ||||||
Telefonos de Mexico S.A.B. de C.V. 5.500%, 01/27/2015 | 100,000 | 103,594 | ||||||
Verizon Florida LLC 6.125%, 01/15/2013 | 250,000 | 267,064 | ||||||
748,594 | ||||||||
28
Omni Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 26.9% | Amount | Value | ||||||
Wireless Telecommunication Services – 0.6% | ||||||||
America Movil S.A.B. de C.V. 5.750%, 01/15/2015 | $ | 100,000 | $ | 105,755 | ||||
Rogers Communications, Inc. 5.500%, 03/15/2014 | 150,000 | 160,880 | ||||||
266,635 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 1,015,229 | |||||||
UTILITIES – 5.5% | ||||||||
Electric Utilities – 4.2% | ||||||||
Commonwealth Edison Co. 5.950%, 08/15/2016 | 150,000 | 160,818 | ||||||
Duke Energy Carolinas LLC 6.050%, 04/15/2038 | 150,000 | 160,266 | ||||||
Kansas City Power & Light Co. 5.850%, 06/15/2017 | 150,000 | 154,846 | ||||||
Nevada Power Co. 5.950%, 03/15/2016 | 150,000 | 159,150 | ||||||
Pennsylvania Electric Co. 6.050%, 09/01/2017 | 150,000 | 156,339 | ||||||
Potomac Electric Power Co. 6.500%, 11/15/2037 | 150,000 | 165,162 | ||||||
PSEG Power LLC 5.000%, 04/01/2014 | 250,000 | 258,476 | ||||||
Southern Power Co. 4.875%, 07/15/2015 | 250,000 | 260,518 | ||||||
Union Electric Co. 6.400%, 06/15/2017 | 150,000 | 161,771 | ||||||
Virginia Electric & Power Co. 4.750%, 03/01/2013 | 100,000 | 104,707 | ||||||
1,742,053 | ||||||||
Gas Utilities – 0.6% | ||||||||
Spectra Energy Capital LLC 5.500%, 03/01/2014 | 250,000 | 263,082 | ||||||
Multi-Utilities – 0.3% | ||||||||
Consumers Energy Co. 6.000%, 02/15/2014 | 100,000 | 110,016 | ||||||
Water Utilities – 0.4% | ||||||||
American Water Capital Corp. 6.085%, 10/15/2017 | 150,000 | 156,978 | ||||||
TOTAL UTILITIES | 2,272,129 | |||||||
Total Corporate Bonds (Cost $10,826,106) | $ | 11,188,621 | ||||||
Money Market Funds – 5.3% | Shares | Value | ||||||
Federated Prime Cash Obligations Fund | ||||||||
Institutional Class | 113,000 | $ | 113,000 | |||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 2,084,000 | 2,084,000 | ||||||
Total Money Market Funds (Cost $2,197,000) | $ | 2,197,000 | ||||||
Total Investments – 99.5% (Cost $38,635,160) (d) | $ | 41,320,405 | ||||||
Other Assets in Excess of Liabilities – 0.5% | 196,970 | |||||||
Net Assets – 100.0% | $ | 41,517,375 | ||||||
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Section 4 (2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2009 the value of these securities totaled $582,135 or 1.4% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at December 31, 2009. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
29
Omni Portfolio
Assets: | ||||
Investments in securities, at value (Cost $38,635,160) | $ | 41,320,405 | ||
Cash | 161 | |||
Receivable for securities sold | 1,065,772 | |||
Receivable for fund shares sold | 33,198 | |||
Dividends and accrued interest receivable | 191,333 | |||
Prepaid expenses and other assets | 665 | |||
Total assets | 42,611,534 | |||
Liabilities: | ||||
Payable for securities purchased | 1,020,039 | |||
Payable for fund shares redeemed | 31,284 | |||
Payable for investment management services | 21,195 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 530 | |||
Accrued professional fees | 11,140 | |||
Accrued accounting fees | 5,492 | |||
Accrued printing and filing fees | 2,802 | |||
Total liabilities | 1,094,159 | |||
Net assets | $ | 41,517,375 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,879,683 | ||
Paid-in capital in excess of par value | 46,694,782 | |||
Accumulated net realized loss on investments | (10,838,642 | ) | ||
Net unrealized appreciation on investments | 2,685,245 | |||
Undistributed net investment income | 96,307 | |||
Net assets | $ | 41,517,375 | ||
Shares outstanding | 2,879,683 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 14.42 | ||
Investment income: | ||||
Interest | $ | 707,226 | ||
Dividends (net of withholding tax of $56) | 408,542 | |||
Total investment income | 1,115,768 | |||
Expenses: | ||||
Management fees | 225,810 | |||
Custodian fees | 8,545 | |||
Directors’ fees | 4,074 | |||
Professional fees | 13,870 | |||
Accounting fees | 30,864 | |||
Printing and filing fees | 6,089 | |||
Compliance expense | 6,376 | |||
Other | 1,008 | |||
Total expenses | 296,636 | |||
Net investment income | 819,132 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (2,391,949 | ) | ||
Foreign currency related transactions | 12 | |||
Change in unrealized appreciation/depreciation on investments | 12,249,119 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 9,857,182 | |||
Change in net assets from operations | $ | 10,676,314 | ||
30
Omni Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 819,132 | $ | 1,212,367 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (2,391,937 | ) | (8,024,274 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 12,249,119 | (10,555,311 | ) | |||||
Change in net assets from operations | 10,676,314 | (17,367,218 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (722,837 | ) | (1,075,689 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 3,952,680 | 6,110,882 | ||||||
Received from dividends reinvested | 722,837 | 1,075,689 | ||||||
Paid for shares redeemed | (8,026,435 | ) | (15,662,751 | ) | ||||
Change in net assets from capital transactions | (3,350,918 | ) | (8,476,180 | ) | ||||
Change in net assets | 6,602,559 | (26,919,087 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 34,914,816 | 61,833,903 | ||||||
End of year | $ | 41,517,375 | $ | 34,914,816 | ||||
Undistributed net investment income | $ | 96,307 | $ | 136,684 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.02 | $ | 16.60 | $ | 15.79 | $ | 14.11 | $ | 13.05 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.29 | 0.40 | 0.34 | 0.27 | 0.25 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currency related transactions | 3.36 | (5.63 | ) | 0.76 | 1.61 | 0.99 | ||||||||||||||
Total from operations | 3.65 | (5.23 | ) | 1.10 | 1.88 | 1.24 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.25 | ) | (0.35 | ) | (0.29 | ) | (0.20 | ) | (0.18 | ) | ||||||||||
Net asset value, end of year | $ | 14.42 | $ | 11.02 | $ | 16.60 | $ | 15.79 | $ | 14.11 | ||||||||||
Total return | 33.15 | % | –31.46 | % | 6.99 | % | 13.32 | % | 9.49 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 41.5 | $ | 34.9 | $ | 61.8 | $ | 67.1 | $ | 66.2 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.79 | % | 0.74 | % | 0.71 | % | 0.71 | % | 0.71 | % | ||||||||||
Net investment income | 2.18 | % | 2.43 | % | 1.85 | % | 1.69 | % | 1.66 | % | ||||||||||
Portfolio turnover rate | 157 | % | 128 | % | 143 | % | 178 | % | 180 | % |
31
International Portfolio
Average Annual Total Returns: | ||||
One year | 38.23% | |||
Five years | 1.25% | |||
Ten years | -3.60% |
32
International Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
33
International Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 94.4 | ||
Preference Shares (Brazil) (3) | 0.5 | ||
Exchange Traded Funds (3) | 4.0 | ||
Money Market Funds and Other Net Assets | 1.1 | ||
100.0 | |||
% of Net Assets | |||||||
1. | iShares Asia Trust – iShares FTSE/Xinhua A50 China Tracker | 2.4 | |||||
2. | Samsung Electronics Co. Ltd. | 2.4 | |||||
3. | Statoil ASA | 2.3 | |||||
4. | Nestle SA | 1.9 | |||||
5. | Petroleo Brasileiro SA – ADR Class A | 1.8 | |||||
6. | Novo Nordisk A/S | 1.8 | |||||
7. | UniCredit SpA | 1.7 | |||||
8. | HSBC Holdings PLC | 1.7 | |||||
9. | America Movil SAB de CV – ADR | 1.6 | |||||
10. | Yara International ASA | 1.4 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Top 10 country weightings (combined): |
% of Net Assets | |||
South Korea | 10.7 | ||
Denmark | 10.2 | ||
Italy | 9.9 | ||
Norway | 9.1 | ||
Switzerland | 9.0 | ||
Brazil | 8.7 | ||
China | 8.1 | ||
Mexico | 6.3 | ||
Japan | 5.8 | ||
Chile | 5.3 |
34
International Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 94.4% | Shares | Value | ||||||
South Korea – 10.7% | ||||||||
Busan Bank (a) (b) | 17,800 | $ | 212,380 | |||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd. (b) | 14,500 | 217,356 | ||||||
GS Engineering & Construction Corp. (b) | 2,600 | 241,069 | ||||||
Hana Financial Group, Inc. (b) | 6,700 | �� | 189,371 | |||||
Hanjin Shipping Co. Ltd. (a) (c) | 11,318 | 201,190 | ||||||
Hanjin Shipping Holdings Co. Ltd. (b) | 2,182 | 25,541 | ||||||
Hanwha Chemical Corp. (b) | 29,000 | 334,845 | ||||||
Hanwha Corp. (b) | 8,800 | 360,384 | ||||||
Hyundai Heavy Industries Co. Ltd. (b) | 2,500 | 371,211 | ||||||
Hyundai Motor Co. (a) (b) | 11,400 | 1,180,033 | ||||||
Hyundai Steel Co. (b) | 5,800 | 430,720 | ||||||
Industrial Bank of Korea (a) (b) | 16,000 | 191,698 | ||||||
KB Financial Group, Inc. (a) (b) | 21,500 | 1,094,785 | ||||||
Korea Electric Power Corp. (a) (b) | 11,600 | 338,597 | ||||||
KT Corp. – ADR | 56,800 | 955,376 | ||||||
LG Chem Ltd. (b) | 1,500 | 293,996 | ||||||
LG Corp. (b) | 5,500 | 343,544 | ||||||
LG Display Co. Ltd. (b) | 15,600 | 527,442 | ||||||
LG Electronics, Inc. (b) | 15,600 | 1,626,272 | ||||||
LS Corp. (b) | 2,600 | 258,627 | ||||||
POSCO – ADR | 17,500 | 2,294,250 | ||||||
Samsung Electro-Mechanics Co. Ltd. (b) | 16,100 | 1,480,662 | ||||||
Samsung Electronics Co. Ltd. (b) | 7,400 | 5,074,402 | ||||||
Samsung Heavy Industries Co. Ltd. (b) | 14,700 | 304,780 | ||||||
Samsung SDI Co. Ltd. (b) | 12,000 | 1,528,007 | ||||||
Shinhan Financial Group Co. Ltd. (a) (b) | 16,800 | 621,669 | ||||||
SK Energy Co. Ltd. (b) | 5,700 | 572,673 | ||||||
SK Holdings Co. Ltd. (b) | 4,200 | 320,500 | ||||||
Woongjin Coway Co. Ltd. (b) | 19,800 | 654,795 | ||||||
Woori Finance Holdings Co. Ltd. (a) (b) | 17,900 | 211,858 | ||||||
22,458,033 | ||||||||
Denmark – 10.2% | ||||||||
A P Moller – Maersk A/S (b) | 262 | 1,840,784 | ||||||
Bang & Olufsen A/S (a) (b) | 40,300 | 583,519 | ||||||
Carlsberg A/S (b) | 21,950 | 1,615,842 | ||||||
Coloplast A/S (b) | 6,700 | 605,897 | ||||||
D/S Norden (b) | 12,200 | 491,120 | ||||||
Danisco A/S (b) | 31,000 | 2,068,301 | ||||||
Danske Bank A/S (a) (b) | 75,200 | 1,688,195 | ||||||
DSV A/S (a) (b) | 78,525 | 1,423,097 | ||||||
East Asiatic Co. Ltd A/S (b) | 9,100 | 317,494 | ||||||
FLSmidth & Co. A/S (b) | 4,000 | 280,223 | ||||||
H Lundbeck A/S (b) | 46,700 | 843,737 | ||||||
NKT Holding A/S (a) (b) | 15,800 | 879,688 | ||||||
Novo Nordisk A/S (b) | 58,825 | 3,755,489 | ||||||
Novozymes A/S (b) | 5,700 | 593,015 | ||||||
Sydbank A/S (a) (b) | 36,500 | 929,527 | ||||||
Topdanmark A/S (a) (b) | 2,800 | 377,086 | ||||||
Torm A/S (b) | 62,800 | 612,027 | ||||||
TrygVesta AS (b) | 5,700 | 374,687 | ||||||
Vestas Wind Systems A/S (a) (b) | 27,600 | 1,680,365 | ||||||
William Demant Holding (a) (b) | 4,900 | 368,291 | ||||||
21,328,384 | ||||||||
Italy – 9.9% | ||||||||
A2A SpA (b) | 525,000 | 1,101,454 | ||||||
Ansaldo STS SpA (b) | 20,700 | 394,505 | ||||||
Assicurazioni Generali SpA (b) | 13,200 | 355,612 | ||||||
Benetton Group SpA (b) | 33,100 | 295,755 | ||||||
Credito Emiliano SpA (a) (b) | 88,800 | 683,905 | ||||||
Davide Campari – Milano SpA (b) | 69,500 | 726,063 | ||||||
DiaSorin SpA (b) | 14,800 | 525,985 | ||||||
Enel SpA (b) | 57,400 | 332,311 | ||||||
ENI SpA (b) | 69,600 | 1,772,420 | ||||||
Fiat SpA (a) (b) | 60,800 | 889,745 | ||||||
Finmeccanica SpA (b) | 20,000 | 320,218 | ||||||
Intesa Sanpaolo SpA (a) (b) | 459,000 | 2,065,511 | ||||||
Italcementi SpA (b) | 14,800 | 202,444 | ||||||
Maire Tecnimont SpA (b) | 131,300 | 464,643 | ||||||
Mediaset SpA (b) | 292,400 | 2,404,097 | ||||||
Mediobanca SpA (b) | 69,170 | 821,717 | ||||||
Mediolanum SpA (b) | 35,200 | 219,884 | ||||||
Parmalat SpA (b) | 132,400 | 370,153 | ||||||
Piaggio & C SpA (b) | 451,500 | 1,293,351 | ||||||
Prysmian SpA (b) | 40,100 | 699,955 | ||||||
Saras SpA (b) | 145,000 | 455,293 | ||||||
Sorin SpA (a) (b) | 105,000 | 200,020 | ||||||
Telecom Italia SpA (b) | 318,500 | 496,843 | ||||||
UniCredit SpA (a) (b) | 1,098,200 | 3,672,119 | ||||||
20,764,003 | ||||||||
Norway – 9.1% | ||||||||
Aker Solutions ASA (b) | 32,000 | 415,849 | ||||||
DnB NOR ASA (a) (b) | 191,644 | 2,068,936 | ||||||
Fred Olsen Energy ASA (b) | 43,900 | 1,681,258 | ||||||
Norsk Hydro ASA (a) (b) | 206,600 | 1,735,527 | ||||||
Orkla ASA (b) | 65,600 | 643,590 | ||||||
Statoil ASA (b) | 192,900 | 4,810,853 | ||||||
Tandberg ASA (b) | 18,000 | 511,928 | ||||||
Telenor ASA (a) (b) | 201,700 | 2,817,688 | ||||||
TGS Nopec Geophysical Co. ASA (a) (b) | 77,600 | 1,401,609 | ||||||
Yara International ASA (b) | 67,000 | 3,034,776 | ||||||
19,122,014 | ||||||||
Switzerland – 9.0% | ||||||||
ABB Ltd. (a) (b) | 58,600 | 1,129,183 | ||||||
Actelion Ltd. (a) (b) | 7,300 | 389,896 | ||||||
Baloise-Holding AG (b) | 3,700 | 307,201 | ||||||
Credit Suisse Group AG (b) | 33,400 | 1,654,682 | ||||||
Julius Baer Group Ltd. (c) | 16,900 | 594,347 | ||||||
Kuehne + Nagel International AG (b) | 8,400 | 816,725 | ||||||
Nestle SA (b) | 83,000 | 4,028,291 | ||||||
Nobel Biocare Holding AG (b) | 16,400 | 549,648 | ||||||
Novartis AG (b) | 52,500 | 2,866,985 | ||||||
Roche Holding AG – Genusscheine (b) | 16,300 | 2,787,510 | ||||||
Sonova Holding AG (b) | 2,300 | 278,645 | ||||||
Swatch Group AG / The (b) | 1,600 | 404,993 | ||||||
Syngenta AG (b) | 3,500 | 988,428 | ||||||
UBS AG (a) | 86,400 | 1,340,064 | ||||||
Zurich Financial Services AG (b) | 3,500 | 765,183 | ||||||
18,901,781 | ||||||||
35
International Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 94.4% | Shares | Value | ||||||
Brazil – 8.2% | ||||||||
Banco Bradesco SA – ADR | 48,800 | $ | 1,067,256 | |||||
Banco do Brasil SA | 46,600 | 792,280 | ||||||
Banco Santander Brasil SA – ADR | 24,000 | 334,560 | ||||||
Cia de Bebidas das Americas – ADR | 12,500 | 1,263,625 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo – ADR | 19,400 | 758,928 | ||||||
Cia Energetica de Minas Gerais – ADR | 59,500 | 1,074,570 | ||||||
Cia Siderurgica Nacional SA – ADR | 38,700 | 1,235,691 | ||||||
Fibria Celulose SA – ADR | 26,535 | 606,059 | ||||||
Itau Unibanco Banco Holding SA – ADR | 39,708 | 906,931 | ||||||
Petroleo Brasileiro SA – ADR | 8,200 | 390,976 | ||||||
Petroleo Brasileiro SA – ADR Class A | 90,100 | 3,819,339 | ||||||
Souza Cruz SA | 10,400 | 347,304 | ||||||
Tele Norte Leste Participacoes SA – ADR | 19,800 | 424,116 | ||||||
Vale SA – ADR | 40,000 | 1,161,200 | ||||||
Vale SA – ADR Class P | 119,900 | 2,975,918 | ||||||
17,158,753 | ||||||||
Mexico – 6.3% | ||||||||
Alfa SAB de CV | 45,000 | 282,961 | ||||||
America Movil SAB de CV – ADR | 70,300 | 3,302,694 | ||||||
Cemex SAB de CV – ADR | 94,200 | 1,113,444 | ||||||
Fomento Economico Mexicano SAB de CV – ADR | 9,600 | 459,648 | ||||||
Grupo Aeroportuario del Sureste SAB de CV – ADR | 9,400 | 487,014 | ||||||
Grupo Bimbo SAB de CV | 87,300 | 568,564 | ||||||
Grupo Carso SAB de CV | 126,000 | 385,359 | ||||||
Grupo Elektra SA de CV | 7,700 | 371,404 | ||||||
Grupo Financiero Banorte SAB de CV | 259,000 | 934,079 | ||||||
Grupo Mexico SAB de CV | 440,000 | 1,004,311 | ||||||
Grupo Modelo SAB de CV (a) | 86,883 | 482,167 | ||||||
Grupo Televisa SA – ADR | 54,000 | 1,121,040 | ||||||
Industrias Penoles SAB de CV | 21,900 | 470,410 | ||||||
Telefonos de Mexico SAB de CV – ADR | 34,200 | 567,036 | ||||||
Wal-Mart de Mexico SAB de CV | 390,200 | 1,738,928 | ||||||
13,289,059 | ||||||||
Japan – 5.8% | ||||||||
Ajinomoto Co., Inc. (b) | 73,000 | 687,073 | ||||||
Asahi Glass Co. Ltd. (b) | 44,000 | 418,531 | ||||||
Canon, Inc. (b) | 19,100 | 812,485 | ||||||
Elpida Memory, Inc. (a) (b) | 34,000 | 554,131 | ||||||
FUJIFILM Holdings Corp. (b) | 23,400 | 706,696 | ||||||
Hokuhoku Financial Group, Inc. (b) | 168,000 | 343,497 | ||||||
Honda Motor Co. Ltd. (b) | 20,000 | 678,574 | ||||||
HOYA Corp. (b) | 25,600 | 683,073 | ||||||
ITOCHU Corp. (b) | 59,000 | 435,820 | ||||||
KDDI Corp. (b) | 105 | 556,155 | ||||||
Komatsu Ltd. (b) | 30,900 | 646,866 | ||||||
Kubota Corp. (b) | 61,000 | 559,726 | ||||||
Marubeni Corp. (b) | 78,000 | 430,870 | ||||||
Mitsubishi UFJ Financial Group, Inc. (b) | 73,000 | 359,582 | ||||||
Nippon Telegraph & Telephone Corp. (b) | 20,000 | 790,061 | ||||||
Nishi-Nippon City Bank Ltd. / The (b) | 154,000 | 377,095 | ||||||
NTT DoCoMo, Inc. (b) | 287 | 400,505 | ||||||
Sharp Corp. (b) | 74,000 | 934,494 | ||||||
Shionogi & Co. Ltd. (b) | 28,000 | 607,078 | ||||||
Sumitomo Corp. (b) | 40,000 | 407,310 | ||||||
Toyota Motor Corp. (b) | 17,400 | 733,601 | ||||||
12,123,223 | ||||||||
China – 5.7% | ||||||||
Bank of China Ltd. (b) | 1,922,400 | 1,033,081 | ||||||
China Citic Bank Corp. Ltd. (b) | 977,900 | 827,758 | ||||||
China Construction Bank Corp. (b) | 1,070,000 | 913,936 | ||||||
China Life Insurance Co. Ltd. (b) | 302,000 | 1,477,769 | ||||||
China Oilfield Services Ltd. (b) | 288,000 | 341,588 | ||||||
China Shenhua Energy Co. Ltd. (b) | 75,000 | 364,073 | ||||||
Dongfeng Motor Group Co. Ltd. (b) | 374,000 | 534,059 | ||||||
Industrial & Commercial Bank of China (b) | 860,000 | 708,265 | ||||||
Jiangsu Expressway Co. Ltd. (b) | 396,000 | 352,035 | ||||||
Jiangxi Copper Co. Ltd. (b) | 385,000 | 900,383 | ||||||
PetroChina Co. Ltd. (b) | 911,300 | 1,083,399 | ||||||
Ping An Insurance Group Co. of China Ltd. (b) | 69,000 | 599,966 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd. (b) | 56,000 | 186,632 | ||||||
Tsingtao Brewery Co. Ltd. (b) | 153,200 | 847,420 | ||||||
Weiqiao Textile Co. (b) | 285,000 | 193,769 | ||||||
Yanzhou Coal Mining Co. Ltd. (b) | 260,000 | 568,652 | ||||||
Zhejiang Expressway Co. Ltd. (b) | 494,000 | 455,179 | ||||||
Zijin Mining Group Co. Ltd. (b) | 636,000 | 602,851 | ||||||
11,990,815 | ||||||||
Chile – 4.1% | ||||||||
Banco Santander Chile – ADR | 32,800 | 2,124,784 | ||||||
CAP SA | 15,200 | 447,808 | ||||||
Centros Comerciales Sudamericanos SA | 215,000 | 727,471 | ||||||
Colbun SA | 600,000 | 153,119 | ||||||
Empresa Nacional de Electricidad SA – ADR | 16,150 | 811,860 | ||||||
Empresas CMPC SA | 14,000 | 557,296 | ||||||
Empresas COPEC SA | 60,232 | 900,898 | ||||||
Enersis SA – ADR | 53,900 | 1,232,154 | ||||||
Lan Airlines SA | 25,000 | 426,643 | ||||||
SACI Falabella | 35,000 | 206,572 | ||||||
Sociedad Quimica y Minera de Chile SA – ADR Series B | 24,000 | 901,680 | ||||||
Vina Concha y Toro SA | 75,000 | 166,273 | ||||||
8,656,558 | ||||||||
Hong Kong – 3.2% | ||||||||
Beijing Enterprises Holdings Ltd. (b) | 95,000 | 688,062 | ||||||
China Mobile Ltd. (b) | 88,000 | 818,797 | ||||||
China Resources Enterprise Ltd. (b) | 118,000 | 428,680 | ||||||
CNOOC Ltd. (b) | 846,800 | 1,319,265 | ||||||
Hang Lung Properties Ltd. (b) | 91,000 | 356,752 | ||||||
Henderson Land Development Co. Ltd. (b) | 37,000 | 276,491 | ||||||
Hong Kong & China Gas Co. Ltd. (b) | 86,000 | 215,701 | ||||||
Hong Kong Exchanges & Clearing Ltd. (b) | 48,500 | 862,931 | ||||||
Sinotruk Hong Kong Ltd. (b) | 85,000 | 98,830 |
36
International Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 94.4% | Shares | Value | ||||||
Hong Kong (continued) | ||||||||
Sun Hung Kai Properties Ltd. (b) | 67,000 | $ | 996,231 | |||||
Swire Pacific Ltd. (b) | 56,000 | 677,229 | ||||||
6,738,969 | ||||||||
Austria – 2.8% | ||||||||
Erste Group Bank AG (b) | 41,643 | 1,547,410 | ||||||
Mayr Melnhof Karton AG (b) | 2,700 | 277,668 | ||||||
OMV AG (b) | 28,700 | 1,259,247 | ||||||
Raiffeisen International Bank Holding AG (b) | 12,200 | 681,567 | ||||||
Telekom Austria AG (b) | 34,100 | 486,768 | ||||||
Verbund – Oesterreichische Elektrizitaetswirtschafts AG (b) | 10,500 | 445,223 | ||||||
Vienna Insurance Group (b) | 25,200 | 1,293,493 | ||||||
5,991,376 | ||||||||
Cayman Islands – 2.5% | ||||||||
Agile Property Holdings Ltd. (b) | 340,000 | 493,546 | ||||||
Alibaba.com Ltd. (b) | 230,500 | 531,397 | ||||||
Belle International Holdings Ltd. (b) | 475,000 | 550,274 | ||||||
Hengan International Group Co. Ltd. (b) | 117,000 | 866,297 | ||||||
Kingboard Chemical Holdings Ltd. (b) | 50,000 | 196,995 | ||||||
Li Ning Co. Ltd. (b) | 178,000 | 674,943 | ||||||
Subsea 7, Inc. (a) (b) | 26,000 | 430,518 | ||||||
Tencent Holdings Ltd. (b) | 55,000 | 1,189,524 | ||||||
Tingyi Cayman Islands Holding Corp. (b) | 120,000 | 296,940 | ||||||
5,230,434 | ||||||||
Czech Republic – 2.3% | ||||||||
CEZ AS (b) | 33,500 | 1,572,936 | ||||||
Komercni Banka AS (b) | 9,600 | 2,057,069 | ||||||
Telefonica O2 Czech Republic AS (b) | 53,600 | 1,222,942 | ||||||
4,852,947 | ||||||||
United Kingdom – 1.8% | ||||||||
HSBC Holdings PLC (b) | 304,700 | 3,465,944 | ||||||
Standard Chartered PLC (b) | 12,000 | 297,863 | ||||||
3,763,807 | ||||||||
Bermuda – 1.7% | ||||||||
Central European Media Enterprises Ltd. (a) (b) | 40,000 | 971,970 | ||||||
Esprit Holdings Ltd. (b) | 42,627 | 282,816 | ||||||
Frontline Ltd. (b) | 36,900 | 1,044,000 | ||||||
Golden Ocean Group Ltd. (a) (b) | 585,600 | 1,061,288 | ||||||
Yue Yuen Industrial Holdings Ltd. (b) | 102,000 | 295,315 | ||||||
3,655,389 | ||||||||
Luxembourg – 0.9% | ||||||||
Acergy SA (b) | 114,900 | 1,809,970 | ||||||
United States – 0.2% | ||||||||
Synthes, Inc. (b) | 3,300 | 432,593 | ||||||
Taiwan – 0.0% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (b) | 1 | 2 | ||||||
Total Common Stocks (Cost $153,665,525) | $ | 198,268,110 | ||||||
Preference Shares (Brazil) – 0.5% | Shares | Value | ||||||
Brazil – 0.5% | ||||||||
Fertilizantes Fosfatados SA (a) | 26,400 | $ | 249,064 | |||||
Itau Unibanco Banco Holding SA | 36,620 | 813,485 | ||||||
Total Preference Shares (Brazil) (Cost $755,276) | $ | 1,062,549 | ||||||
Exchange Traded Funds – 4.0% | Shares | Value | ||||||
China – 2.4% | ||||||||
iShares Asia Trust – iShares FTSE/Xinhua A50 China Tracker (c) | 2,639,600 | $ | 5,079,427 | |||||
Chile – 1.2% | ||||||||
iShares MSCI Chile Investable Market Index Fund | 45,600 | 2,498,424 | ||||||
United States – 0.4% | ||||||||
iShares MSCI EAFE Index Fund | 11,174 | 617,699 | ||||||
iShares MSCI Emerging Markets Index Fund | 5,081 | 210,862 | ||||||
828,561 | ||||||||
Total Exchange Traded Funds (Cost $6,495,249) | $ | 8,406,412 | ||||||
Rights – 0.0% | Quantity | Value | ||||||
Australia – 0.0% | ||||||||
Woodside Petroleum Ltd. (c) | 533 | $ | 2,322 | |||||
Total Rights (Cost $1,693) | $ | 2,322 | ||||||
Warrants – 0.0% | Quantity | Value | ||||||
Italy – 0.0% | ||||||||
Mediobanca SpA | ||||||||
Expiration: March 2011, Exercise Price: $13.17 (a) (c) | 35,400 | $ | 5,496 | |||||
Total Warrants (Cost $0) | $ | 5,496 | ||||||
37
International Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Money Market Funds – 0.8% | Shares | Value | ||||||
State Street Institutional Liquid Reserves Fund Institutional Class 2 | 1,675,416 | $ | 1,675,416 | |||||
Total Money Market Funds (Cost $1,675,416) | $ | 1,675,416 | ||||||
Total Investments – 99.7% (Cost $162,593,159) (d) | $ | 209,420,305 | ||||||
Other Assets in Excess of Liabilities – 0.3% | 626,025 | |||||||
Net Assets – 100.0% | $ | 210,046,330 | ||||||
(a) | Non-Income producing security. | |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $153,778,513 or 73.2% of the Portfolio’s net assets. | |
(c) | As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses the local close price because the confidence interval associated with an investment is below the 75% threshold. These securities represent $5,882,782 or 2.8% of the Portfolio’s net assets. |
Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. Exchange traded funds and rights are also not evaluated by the fair valuation service. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. | |
Sector Classifications (combined): |
Financials | 22.4% | ||
Energy | 11.5% | ||
Materials | 10.8% | ||
Industrials | 10.2% | ||
Consumer Staples | 8.4% | ||
Consumer Discretionary | 8.2% | ||
Health Care | 6.9% | ||
Information Technology | 6.6% | ||
Telecommunication Services | 6.1% | ||
Utilities | 3.8% | ||
94.9% | |||
38
International Portfolio
Assets: | ||||
Investments in securities, at value (Cost $162,593,159) | $ | 209,420,305 | ||
Foreign currency (Cost $262) | 265 | |||
Receivable for fund shares sold | 198,239 | |||
Dividends and accrued interest receivable | 147,096 | |||
Foreign tax reclaim receivable | 80,499 | |||
Prepaid expenses and other assets | 3,501 | |||
Net unrealized appreciation on foreign currency contracts | 1,125,251 | |||
Total assets | 210,975,156 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 723,992 | |||
Payable for investment management services | 146,525 | |||
Payable for compliance services | 1,674 | |||
Accrued custody expenses | 29,828 | |||
Accrued professional fees | 11,372 | |||
Accrued accounting fees | 1,412 | |||
Accrued printing and filing fees | 14,023 | |||
Total liabilities | 928,826 | |||
Net assets | $ | 210,046,330 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 20,109,468 | ||
Paid-in capital in excess of par value | 268,945,362 | |||
Accumulated net realized loss on investments | (128,303,123 | ) | ||
Net unrealized appreciation/depreciation on: | ||||
Investments | 46,827,146 | |||
Foreign currency contracts | 1,125,251 | |||
Foreign currency related transactions | 2,598 | |||
Undistributed net investment income | 1,339,628 | |||
Net assets | $ | 210,046,330 | ||
Shares outstanding | 20,109,468 | |||
Authorized Fund shares allocated to Portfolio | 34,000,000 | |||
Net asset value per share | $ | 10.45 | ||
Investment income: | ||||
Interest | $ | 977 | ||
Dividends (net of $650,035 foreign taxes withheld) | 4,601,724 | |||
Other income | 112,962 | |||
Total investment income | 4,715,663 | |||
Expenses: | ||||
Management fees | 1,534,586 | |||
Custodian fees | 279,152 | |||
Directors’ fees | 19,819 | |||
Professional fees | 22,699 | |||
Accounting fees | 85,861 | |||
Printing and filing fees | 30,336 | |||
Compliance expense | 6,376 | |||
Other | 5,222 | |||
Total expenses | 1,984,051 | |||
Net investment income | 2,731,612 | |||
Realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (39,102,585 | ) | ||
Foreign currency contracts | (77,667 | ) | ||
Foreign currency related transactions | (1,042,180 | ) | ||
Change in unrealized appreciation/depreciation on: | ||||
Investments | 99,098,350 | |||
Foreign currency contracts | 1,125,251 | |||
Foreign currency related transactions | 12,581 | |||
Net realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | 60,013,750 | |||
Change in net assets from operations | $ | 62,745,362 | ||
39
International Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 2,731,612 | $ | 2,971,488 | ||||
Net realized gain (loss) on investments, foreign currency contracts, futures contracts, and other foreign currency related transactions | (40,222,432 | ) | (87,679,937 | ) | ||||
Change in unrealized appreciation/depreciation on investments, foreign currency contracts, and other foreign currency related transactions | 100,236,182 | (74,919,033 | ) | |||||
Change in net assets from operations | 62,745,362 | (159,627,482 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 20,610,913 | 86,201,321 | ||||||
Paid for shares redeemed | (53,057,563 | ) | (135,986,904 | ) | ||||
Change in net assets from capital transactions | (32,446,650 | ) | (49,785,583 | ) | ||||
Change in net assets | 30,298,712 | (209,413,065 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 179,747,618 | 389,160,683 | ||||||
End of year | $ | 210,046,330 | $ | 179,747,618 | ||||
Undistributed net investment income | $ | 1,339,628 | $ | 1,021,830 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.56 | $ | 14.02 | $ | 12.81 | $ | 10.76 | $ | 9.84 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.14 | 0.13 | 0.09 | 0.05 | 0.05 | |||||||||||||||
Net realized and unrealized gain (loss) on investments, foreign currency contracts, futures contracts, and other foreign currency related transactions | 2.75 | (6.59 | ) | 1.12 | 2.02 | 0.87 | ||||||||||||||
Total from operations | 2.89 | (6.46 | ) | 1.21 | 2.07 | 0.92 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (0.02 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 10.45 | $ | 7.56 | $ | 14.02 | $ | 12.81 | $ | 10.76 | ||||||||||
Total return | 38.23 | % | –46.08 | % | 9.45 | % | 19.23 | % | 9.40 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 210.0 | $ | 179.7 | $ | 389.2 | $ | 333.0 | $ | 212.2 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.07 | % | 0.91 | % | 0.99 | % | 1.03 | % | 1.11 | % | ||||||||||
Net investment income | 1.47 | % | 1.03 | % | 0.66 | % | 0.58 | % | 0.61 | % | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.07 | % | 0.91 | % | 0.99 | % | 1.03 | % | 1.12 | % | ||||||||||
Net investment income | 1.47 | % | 1.03 | % | 0.66 | % | 0.58 | % | 0.60 | % | ||||||||||
Portfolio turnover rate | 168 | % | 214 | % | 123 | % | 72 | % | 117 | % |
40
Capital Appreciation Portfolio
Average Annual Total Returns: | ||||
One year | 42.84% | |||
Five years | 2.07% | |||
Ten years | 6.56% |
41
Capital Appreciation Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
42
Capital Appreciation Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 97.2 | ||
Preferred Stocks (3) | 0.2 | ||
Money Market Funds Less Net Liabilities | 2.6 | ||
100.0 | |||
% of Net Assets | |||||||
1. | ConAgra Foods, Inc. | 2.3 | |||||
2. | Pfizer, Inc. | 2.2 | |||||
3. | Cisco Systems, Inc. | 2.2 | |||||
4. | Dover Corp. | 2.1 | |||||
5. | Newfield Exploration Co. | 2.1 | |||||
6. | Travelers Companies, Inc. / The | 2.0 | |||||
7. | Watson Pharmaceuticals, Inc. | 2.0 | |||||
8. | Shire PLC – ADR | 1.8 | |||||
9. | Republic Services, Inc. | 1.8 | |||||
10. | Akamai Technologies, Inc. | 1.8 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Consumer Discretionary | 17.7 | ||
Information Technology | 16.2 | ||
Health Care | 14.7 | ||
Financials | 12.7 | ||
Energy | 11.8 | ||
Industrials | 9.1 | ||
Consumer Staples | 8.3 | ||
Materials | 5.4 | ||
Utilities | 1.5 | ||
97.4 | |||
43
Capital Appreciation Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.2% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 17.7% | ||||||||
Auto Components – 2.1% | ||||||||
Gentex Corp. | 73,600 | $ | 1,313,760 | |||||
Lear Corp. (a) | 18,700 | 1,264,868 | ||||||
2,578,628 | ||||||||
Diversified Consumer Services – 3.4% | ||||||||
Career Education Corp. (a) | 61,000 | 1,421,910 | ||||||
H&R Block, Inc. | 77,800 | 1,759,836 | ||||||
Weight Watchers International, Inc. | 38,700 | 1,128,492 | ||||||
4,310,238 | ||||||||
Hotels, Restaurants & Leisure – 1.6% | ||||||||
Pinnacle Entertainment, Inc. (a) | 225,400 | 2,024,092 | ||||||
Household Durables – 1.3% | ||||||||
Ryland Group, Inc. | 81,400 | 1,603,580 | ||||||
Internet & Catalog Retail – 1.0% | ||||||||
Ticketmaster Entertainment, Inc. (a) | 102,380 | 1,251,083 | ||||||
Media – 6.7% | ||||||||
Liberty Global, Inc. Series C (a) | 86,496 | 1,889,938 | ||||||
Time Warner Cable, Inc. | 49,000 | 2,028,110 | ||||||
Viacom, Inc. Class B (a) | 70,744 | 2,103,219 | ||||||
Vivendi SA (b) | 42,900 | 1,273,259 | ||||||
Warner Music Group Corp. (a) | 212,500 | 1,202,750 | ||||||
8,497,276 | ||||||||
Specialty Retail – 1.6% | ||||||||
GameStop Corp. Class A (a) | 94,200 | 2,066,748 | ||||||
TOTAL CONSUMER DISCRETIONARY | 22,331,645 | |||||||
CONSUMER STAPLES – 8.3% | ||||||||
Food & Staples Retailing – 2.4% | ||||||||
Kroger Co. / The | 41,000 | 841,730 | ||||||
Wal-Mart Stores, Inc. | 41,300 | 2,207,485 | ||||||
3,049,215 | ||||||||
Food Products – 5.9% | ||||||||
Bunge Ltd. | 22,100 | 1,410,643 | ||||||
Cadbury PLC (b) | 157,035 | 2,019,090 | ||||||
ConAgra Foods, Inc. | 123,900 | 2,855,895 | ||||||
Tyson Foods, Inc. Class A | 90,100 | 1,105,527 | ||||||
7,391,155 | ||||||||
TOTAL CONSUMER STAPLES | 10,440,370 | |||||||
ENERGY – 11.8% | ||||||||
Energy Equipment & Services – 1.6% | ||||||||
Schlumberger Ltd. | 31,900 | 2,076,371 | ||||||
Oil, Gas & Consumable Fuels – 10.2% | ||||||||
Apache Corp. | 20,100 | 2,073,717 | ||||||
Cabot Oil & Gas Corp. | 33,600 | 1,464,624 | ||||||
Exxon Mobil Corp. | 26,000 | 1,772,940 | ||||||
Newfield Exploration Co. (a) | 55,300 | 2,667,119 | ||||||
Occidental Petroleum Corp. | 21,600 | 1,757,160 | ||||||
Suncor Energy, Inc. | 42,900 | 1,514,799 | ||||||
Sunoco, Inc. | 59,900 | 1,563,390 | ||||||
12,813,749 | ||||||||
TOTAL ENERGY | 14,890,120 | |||||||
FINANCIALS – 12.5% | ||||||||
Capital Markets – 4.0% | ||||||||
Charles Schwab Corp. / The | 107,378 | 2,020,854 | ||||||
Goldman Sachs Group, Inc. / The | 9,300 | 1,570,212 | ||||||
Lazard Ltd. Class A | 39,700 | 1,507,409 | ||||||
5,098,475 | ||||||||
Diversified Financial Services – 2.6% | ||||||||
Bank of America Corp. | 107,462 | 1,618,378 | ||||||
JPMorgan Chase & Co. | 40,100 | 1,670,967 | ||||||
3,289,345 | ||||||||
Insurance – 5.9% | ||||||||
Axis Capital Holdings Ltd. | 76,300 | 2,167,683 | ||||||
Marsh & McLennan Companies, Inc. | 61,700 | 1,362,336 | ||||||
Travelers Companies, Inc. / The | 51,700 | 2,577,762 | ||||||
Validus Holdings, Ltd. | 48,800 | 1,314,672 | ||||||
7,422,453 | ||||||||
TOTAL FINANCIALS | 15,810,273 | |||||||
HEALTH CARE – 14.7% | ||||||||
Biotechnology – 1.8% | ||||||||
Amgen, Inc. (a) | 39,100 | 2,211,887 | ||||||
Health Care Equipment & Supplies – 1.3% | ||||||||
Alcon, Inc. | 10,100 | 1,659,935 | ||||||
Health Care Providers & Services – 1.4% | ||||||||
Medco Health Solutions, Inc. (a) | 28,200 | 1,802,262 | ||||||
Life Sciences Tools & Services – 1.4% | ||||||||
Thermo Fisher Scientific, Inc. (a) | 37,300 | 1,778,837 | ||||||
Pharmaceuticals – 8.8% | ||||||||
Abbott Laboratories | 40,600 | 2,191,994 | ||||||
Novartis AG – ADR | 24,200 | 1,317,206 | ||||||
Pfizer, Inc. | 152,212 | 2,768,736 | ||||||
Shire PLC – ADR | 39,600 | 2,324,520 | ||||||
Watson Pharmaceuticals, Inc. (a) | 62,400 | 2,471,664 | ||||||
11,074,120 | ||||||||
TOTAL HEALTH CARE | 18,527,041 | |||||||
INDUSTRIALS – 9.1% | ||||||||
Air Freight & Logistics – 1.3% | ||||||||
Hub Group, Inc. Class A (a) | 60,400 | 1,620,532 | ||||||
Airlines – 2.8% | ||||||||
Delta Air Lines, Inc. (a) | 161,300 | 1,835,594 | ||||||
JetBlue Airways Corp. (a) | 311,300 | 1,696,585 | ||||||
3,532,179 | ||||||||
Commercial Services & Supplies – 1.8% | ||||||||
Republic Services, Inc. | 79,215 | 2,242,577 | ||||||
Machinery – 2.1% | ||||||||
Dover Corp. | 64,400 | 2,679,684 | ||||||
Trading Companies & Distributors – 1.1% | ||||||||
RSC Holdings, Inc. (a) | 203,300 | 1,431,232 | ||||||
TOTAL INDUSTRIALS | 11,506,204 | |||||||
44
Capital Appreciation Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.2% | Shares | Value | ||||||
INFORMATION TECHNOLOGY – 16.2% | ||||||||
Communications Equipment – 2.2% | ||||||||
Cisco Systems, Inc. (a) | 114,900 | $ | 2,750,706 | |||||
Computers & Peripherals – 1.6% | ||||||||
Dell, Inc. (a) | 139,400 | 2,001,784 | ||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||
Flextronics International Ltd. (a) | 177,100 | 1,294,601 | ||||||
Internet Software & Services – 4.6% | ||||||||
Akamai Technologies, Inc. (a) | 88,000 | 2,229,040 | ||||||
IAC/InterActiveCorp (a) | 78,450 | 1,606,656 | ||||||
VeriSign, Inc. (a) | 80,800 | 1,958,592 | ||||||
5,794,288 | ||||||||
IT Services – 1.2% | ||||||||
SAIC, Inc. (a) | 80,900 | 1,532,246 | ||||||
Semiconductors & Semiconductor Equipment – 2.7% | ||||||||
Advanced Micro Devices, Inc. (a) | 143,400 | 1,388,112 | ||||||
Intel Corp. | 97,800 | 1,995,120 | ||||||
3,383,232 | ||||||||
Software – 2.9% | ||||||||
Adobe Systems, Inc. (a) | 48,900 | 1,798,542 | ||||||
Symantec Corp. (a) | 104,200 | 1,864,138 | ||||||
3,662,680 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 20,419,537 | |||||||
MATERIALS – 5.4% | ||||||||
Chemicals – 3.7% | ||||||||
Celanese Corp. Class A | 42,600 | 1,367,460 | ||||||
Ferro Corp. | 145,300 | 1,197,272 | ||||||
Monsanto Co. | 10,300 | 842,025 | ||||||
Nalco Holding Co. | 51,200 | 1,306,112 | ||||||
4,712,869 | ||||||||
Metals & Mining – 1.7% | ||||||||
Goldcorp, Inc. | 55,000 | 2,163,700 | ||||||
TOTAL MATERIALS | 6,876,569 | |||||||
UTILITIES – 1.5% | ||||||||
Independent Power Producers & Energy Traders – 1.5% | ||||||||
NRG Energy, Inc. (a) | 79,800 | 1,884,078 | ||||||
TOTAL UTILITIES | 1,884,078 | |||||||
Total Common Stocks (Cost $113,084,599) | $ | 122,685,837 | ||||||
Preferred Stocks – 0.2% | Shares | Value | ||||||
FINANCIALS – 0.2% | ||||||||
Diversified Financial Services – 0.2% | ||||||||
Bank of America Corp. 10.000%, convertible until 12/31/2049 | 15,300 | $ | 228,276 | |||||
Total Preferred Stocks (Cost $229,500) | $ | 228,276 | ||||||
Money Market Funds – 3.6% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 4,587,000 | $ | 4,587,000 | |||||
Total Money Market Funds (Cost $4,587,000) | $ | 4,587,000 | ||||||
Total Investments – 101.0% (Cost $117,901,099) (c) | $ | 127,501,113 | ||||||
Liabilities in Excess of Other Assets – (1.0)% | (1,246,914 | ) | ||||||
Net Assets – 100.0% | $ | 126,254,199 | ||||||
(a) | Non-income producing security. | |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $3,292,349 or 2.6% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
45
Capital Appreciation Portfolio
Assets: | ||||
Investments in securities, at value (Cost $117,901,099) | $ | 127,501,113 | ||
Cash | 506 | |||
Receivable for securities sold | 364,716 | |||
Receivable for fund shares sold | 109,171 | |||
Dividends and accrued interest receivable | 99,113 | |||
Prepaid expenses and other assets | 2,001 | |||
Total assets | 128,076,620 | |||
Liabilities: | ||||
Payable for securities purchased | 1,436,202 | |||
Payable for fund shares redeemed | 271,494 | |||
Payable for investment management services | 84,382 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 897 | |||
Accrued professional fees | 11,254 | |||
Accrued accounting fees | 8,083 | |||
Accrued printing and filing fees | 8,432 | |||
Total liabilities | 1,822,421 | |||
Net assets | $ | 126,254,199 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 7,233,900 | ||
Paid-in capital in excess of par value | 151,342,244 | |||
Accumulated net realized loss on investments | (42,078,559 | ) | ||
Net unrealized appreciation on investments | 9,600,014 | |||
Undistributed net investment income | 156,600 | |||
Net assets | $ | 126,254,199 | ||
Shares outstanding | 7,233,900 | |||
Authorized Fund shares allocated to Portfolio | 15,000,000 | |||
Net asset value per share | $ | 17.45 | ||
Investment income: | ||||
Interest | $ | 32,941 | ||
Dividends (net of withholding tax of $31,042) | 2,493,944 | |||
Total investment income | 2,526,885 | |||
Expenses: | ||||
Management fees | 880,542 | |||
Custodian fees | 9,439 | |||
Directors’ fees | 11,842 | |||
Professional fees | 18,148 | |||
Accounting fees | 46,872 | |||
Printing and filing fees | 18,304 | |||
Compliance expense | 6,376 | |||
Other | 3,058 | |||
Total expenses | 994,581 | |||
Net investment income | 1,532,304 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: Investments | (21,852,381 | ) | ||
Foreign currency related transactions | (4,027 | ) | ||
Change in unrealized appreciation/depreciation on investments | 59,400,776 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 37,544,368 | |||
Change in net assets from operations | $ | 39,076,672 | ||
46
Capital Appreciation Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,532,304 | $ | 1,083,715 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (21,856,408 | ) | (17,986,650 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 59,400,776 | (52,485,931 | ) | |||||
Change in net assets from operations | 39,076,672 | (69,388,866 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (1,371,677 | ) | (936,890 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 13,406,834 | 20,186,486 | ||||||
Received from dividends reinvested | 1,371,677 | 936,890 | ||||||
Paid for shares redeemed | (29,864,051 | ) | (44,797,966 | ) | ||||
Change in net assets from capital transactions | (15,085,540 | ) | (23,674,590 | ) | ||||
Change in net assets | 22,619,455 | (94,000,346 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 103,634,744 | 197,635,090 | ||||||
End of year | $ | 126,254,199 | $ | 103,634,744 | ||||
Undistributed net investment income | $ | 156,600 | $ | 133,059 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.35 | $ | 20.45 | $ | 19.79 | $ | 17.08 | $ | 16.31 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.22 | 0.14 | 0.11 | 0.12 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currency related transactions | 5.07 | (8.12 | ) | 0.65 | 2.68 | 0.78 | ||||||||||||||
Total from operations | 5.29 | (7.98 | ) | 0.76 | 2.80 | 0.86 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.19 | ) | (0.12 | ) | (0.10 | ) | (0.09 | ) | (0.09 | ) | ||||||||||
Net asset value, end of year | $ | 17.45 | $ | 12.35 | $ | 20.45 | $ | 19.79 | $ | 17.08 | ||||||||||
Total return | 42.84 | % | –39.01 | % | 3.82 | % | 16.37 | % | 5.27 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 126.3 | $ | 103.6 | $ | 197.6 | $ | 222.5 | $ | 169.6 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.90 | % | 0.87 | % | 0.84 | % | 0.85 | % | 0.88 | % | ||||||||||
Net investment income | 1.38 | % | 0.71 | % | 0.46 | % | 0.64 | % | 0.60 | % | ||||||||||
Portfolio turnover rate | 84 | % | 79 | % | 69 | % | 80 | % | 86 | % |
47
Millennium Portfolio
Average Annual Total Returns: | ||||
One year | 20.84% | |||
Five years | -1.24% | |||
Ten years | -3.51% |
48
Millennium Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 96.3 | ||
Money Market Funds and Other Net Assets | 3.7 | ||
100.0 | |||
% of Net Assets | |||||||
1. | HEICO Corp. | 2.5 | |||||
2. | Capella Education Co. | 2.5 | |||||
3. | Concho Resources, Inc. | 2.3 | |||||
4. | hhgregg, Inc. | 2.3 | |||||
5. | Solera Holdings, Inc. | 2.3 | |||||
6. | HMS Holdings Corp. | 2.2 | |||||
7. | Royal Caribbean Cruises Ltd. | 2.1 | |||||
8. | SXC Health Solutions Corp. | 2.1 | |||||
9. | Jarden Corp. | 2.0 | |||||
10. | LivePerson, Inc. | 1.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 29.6 | ||
Health Care | 20.8 | ||
Consumer Discretionary | 17.9 | ||
Industrials | 14.5 | ||
Energy | 4.1 | ||
Consumer Staples | 3.6 | ||
Financials | 3.3 | ||
Materials | 2.5 | ||
96.3 | |||
49
Millennium Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.3% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 17.9% | ||||||||
Diversified Consumer Services – 2.4% | ||||||||
Capella Education Co. (a) | 35,900 | $ | 2,703,270 | |||||
Hotels, Restaurants & Leisure – 4.6% | ||||||||
Orient-Express Hotels Ltd. Class A (a) | 176,400 | 1,788,696 | ||||||
Royal Caribbean Cruises Ltd. (a) | 92,900 | 2,348,512 | ||||||
WMS Industries, Inc. (a) | 23,500 | 940,000 | ||||||
5,077,208 | ||||||||
Household Durables – 2.0% | ||||||||
Jarden Corp. | 71,700 | 2,216,247 | ||||||
Media – 1.4% | ||||||||
Focus Media Holding Ltd. – ADR (a) | 94,600 | 1,499,410 | ||||||
Specialty Retail – 4.8% | ||||||||
hhgregg, Inc. (a) | 115,200 | 2,537,856 | ||||||
Tractor Supply Co. (a) | 27,900 | 1,477,584 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 67,600 | 1,227,616 | ||||||
5,243,056 | ||||||||
Textiles, Apparel & Luxury Goods – 2.7% | ||||||||
Lululemon Athletica, Inc. (a) | 65,400 | 1,968,540 | ||||||
Warnaco Group, Inc. / The (a) | 23,500 | 991,465 | ||||||
2,960,005 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 19,699,196 | |||||||
CONSUMER STAPLES – 3.6% | ||||||||
Beverages – 1.0% | ||||||||
Central European Distribution Corp. (a) | 39,800 | 1,130,718 | ||||||
Food Products – 1.6% | ||||||||
Diamond Foods, Inc. | 47,900 | 1,702,366 | ||||||
Personal Products – 1.0% | ||||||||
Elizabeth Arden, Inc. (a) | 79,200 | 1,143,648 | ||||||
TOTAL CONSUMER STAPLES | 3,976,732 | |||||||
ENERGY – 4.1% | ||||||||
Oil, Gas & Consumable Fuels – 4.1% | ||||||||
Arena Resources, Inc. (a) | 44,900 | 1,936,088 | ||||||
Concho Resources, Inc. (a) | 57,100 | 2,563,790 | ||||||
TOTAL ENERGY | 4,499,878 | |||||||
FINANCIALS – 3.3% | ||||||||
Capital Markets – 1.6% | ||||||||
Waddell & Reed Financial, Inc. Class A | 56,600 | 1,728,564 | ||||||
Real Estate Management & Development – 1.7% | ||||||||
Jones Lang LaSalle, Inc. | 32,100 | 1,938,840 | ||||||
TOTAL FINANCIALS | 3,667,404 | |||||||
HEALTH CARE – 20.8% | ||||||||
Biotechnology – 3.0% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 31,200 | 1,523,184 | ||||||
Human Genome Sciences, Inc. (a) | 57,300 | 1,753,380 | ||||||
3,276,564 | ||||||||
Health Care Equipment & Supplies – 5.3% | ||||||||
Align Technology, Inc. (a) | 66,400 | 1,183,248 | ||||||
Inverness Medical Innovations, Inc. (a) | 38,400 | 1,593,984 | ||||||
Sirona Dental Systems, Inc. (a) | 63,300 | 2,009,142 | ||||||
Zoll Medical Corp. (a) | 40,200 | 1,074,144 | ||||||
5,860,518 | ||||||||
Health Care Providers & Services – 10.4% | ||||||||
Air Methods Corp. (a) | 41,600 | 1,398,592 | ||||||
Emergency Medical Services Corp. (a) | 29,900 | 1,619,085 | ||||||
HMS Holdings Corp. (a) | 50,200 | 2,444,238 | ||||||
IPC The Hospitalist Co, Inc. (a) | 41,100 | 1,366,575 | ||||||
Magellan Health Services, Inc. (a) | 29,400 | 1,197,462 | ||||||
Mednax, Inc. (a) | 31,400 | 1,887,454 | ||||||
PSS World Medical, Inc. (a) | 70,500 | 1,591,185 | ||||||
11,504,591 | ||||||||
Health Care Technology – 2.1% | ||||||||
SXC Health Solutions Corp. (a) | 42,800 | 2,309,060 | ||||||
TOTAL HEALTH CARE | 22,950,733 | |||||||
INDUSTRIALS – 14.5% | ||||||||
Aerospace & Defense – 4.9% | ||||||||
AAR Corp. (a) | 54,100 | 1,243,218 | ||||||
Global Defense Technology & Systems, Inc. (a) | 86,700 | 1,427,082 | ||||||
HEICO Corp. | 61,900 | 2,744,027 | ||||||
5,414,327 | ||||||||
Commercial Services & Supplies – 2.9% | ||||||||
Cornell Companies, Inc. (a) | 68,400 | 1,552,680 | ||||||
Healthcare Services Group, Inc. | 77,800 | 1,669,588 | ||||||
3,222,268 | ||||||||
Electrical Equipment – 1.4% | ||||||||
Harbin Electric, Inc. (a) | 76,400 | 1,569,256 | ||||||
Machinery – 4.0% | ||||||||
Manitowoc Co., Inc. / The | 124,500 | 1,241,265 | ||||||
Nordson Corp. | 19,500 | 1,193,010 | ||||||
SmartHeat, Inc. (a) | 130,900 | 1,900,668 | ||||||
4,334,943 | ||||||||
Professional Services – 1.3% | ||||||||
ICF International, Inc. (a) | 52,900 | 1,417,720 | ||||||
TOTAL INDUSTRIALS | 15,958,514 | |||||||
INFORMATION TECHNOLOGY – 29.6% | ||||||||
Computers & Peripherals – 1.8% | ||||||||
Compellent Technologies, Inc. (a) | 89,900 | 2,038,932 | ||||||
Internet Software & Services – 6.3% | ||||||||
LivePerson, Inc. (a) | 306,700 | 2,137,699 | ||||||
NIC, Inc. | 142,600 | 1,303,364 | ||||||
Rackspace Hosting, Inc. (a) | 100,900 | 2,103,765 | ||||||
VistaPrint Ltd. (a) | 25,600 | 1,450,496 | ||||||
6,995,324 | ||||||||
IT Services – 1.6% | ||||||||
RightNow Technologies, Inc. (a) | 100,000 | 1,737,000 | ||||||
Semiconductor & Semiconductor Equipment – 6.3% | ||||||||
Hittite Microwave Corp. (a) | 27,300 | 1,112,475 | ||||||
Netlogic Microsystems, Inc. (a) | 32,500 | 1,503,450 |
50
Millennium Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.3% | Shares | Value | ||||||
Semiconductor & Semiconductor Equipment (continued) | ||||||||
Silicon Laboratories, Inc. (a) | 25,300 | $ | 1,223,002 | |||||
Varian Semiconductor Equipment Associates, Inc. (a) | 34,900 | 1,252,212 | ||||||
Veeco Instruments, Inc. (a) | 55,900 | 1,846,936 | ||||||
6,938,075 | ||||||||
Software – 13.6% | ||||||||
ArcSight, Inc. (a) | 52,500 | 1,342,950 | ||||||
AsiaInfo Holdings, Inc. (a) | 42,500 | 1,294,975 | ||||||
Informatica Corp. (a) | 67,500 | 1,745,550 | ||||||
Manhattan Associates, Inc. (a) | 48,800 | 1,172,664 | ||||||
Nuance Communications, Inc. (a) | 73,100 | 1,135,974 | ||||||
Solera Holdings, Inc. | 69,800 | 2,513,498 | ||||||
Sourcefire, Inc. (a) | 64,300 | 1,720,025 | ||||||
SuccessFactors, Inc. (a) | 76,600 | 1,270,028 | ||||||
Taleo Corp. (a) | 55,900 | 1,314,768 | ||||||
Ultimate Software Group, Inc. (a) | 50,700 | 1,489,059 | ||||||
14,999,491 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 32,708,822 | |||||||
MATERIALS – 2.5% | ||||||||
Chemicals – 2.5% | ||||||||
Nalco Holding Co. | 62,200 | 1,586,722 | ||||||
NewMarket Corp. | 10,500 | 1,205,085 | ||||||
TOTAL MATERIALS | 2,791,807 | |||||||
Total Common Stocks (Cost $88,695,013) | $ | 106,253,086 | ||||||
Money Market Funds – 2.9% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 3,176,000 | $ | 3,176,000 | |||||
Total Money Market Funds (Cost $3,176,000) | $ | 3,176,000 | ||||||
Total Investments – 99.2% (Cost $91,871,013) (b) | $ | 109,429,086 | ||||||
Other Assets in Excess of Liabilities – 0.8% | 880,875 | |||||||
Net Assets – 100.0% | $ | 110,309,961 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
51
Millennium Portfolio
Assets: | ||||
Investments in securities, at value (Cost $91,871,013) | $ | 109,429,086 | ||
Cash | 41 | |||
Receivable for securities sold | 1,482,942 | |||
Receivable for fund shares sold | 132,390 | |||
Dividends and accrued interest receivable | 23,260 | |||
Prepaid expenses and other assets | 1,584 | |||
Total assets | 111,069,303 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 658,698 | |||
Payable for investment management services | 73,029 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 915 | |||
Accrued professional fees | 11,226 | |||
Accrued accounting fees | 6,572 | |||
Accrued printing and filing fees | 7,225 | |||
Total liabilities | 759,342 | |||
Net assets | $ | 110,309,961 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 6,322,672 | ||
Paid-in capital in excess of par value | 121,457,588 | |||
Accumulated net realized loss on investments | (35,028,372 | ) | ||
Net unrealized appreciation on investments | 17,558,073 | |||
Net assets | $ | 110,309,961 | ||
Shares outstanding | 6,322,672 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 17.45 | ||
Investment income: | ||||
Interest | $ | 13,137 | ||
Dividends | 152,461 | |||
Total investment income | 165,598 | |||
Expenses: | ||||
Management fees | 506,793 | |||
Custodian fees | 11,888 | |||
Directors’ fees | 6,553 | |||
Professional fees | 15,438 | |||
Accounting fees | 28,615 | |||
Printing and filing fees | 11,703 | |||
Compliance expense | 6,376 | |||
Other | 1,409 | |||
Total expenses | 588,775 | |||
Net investment loss | �� | (423,177 | ) | |
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (3,066,143 | ) | ||
Change in unrealized appreciation/depreciation on investments | 19,615,280 | |||
Net realized/unrealized gain (loss) on investments | 16,549,137 | |||
Change in net assets from operations | $ | 16,125,960 | ||
52
Millennium Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (423,177 | ) | $ | (367,189 | ) | ||
Net realized gain (loss) on investments and foreign currency related transactions | (3,066,143 | ) | (13,216,336 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 19,615,280 | (14,574,651 | ) | |||||
Change in net assets from operations | 16,125,960 | (28,158,176 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 74,284,850 | 12,734,336 | ||||||
Paid for shares redeemed | (14,306,497 | ) | (21,422,842 | ) | ||||
Change in net assets from capital transactions | 59,978,353 | (8,688,506 | ) | |||||
Change in net assets | 76,104,313 | (36,846,682 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 34,205,648 | 71,052,330 | ||||||
End of year | $ | 110,309,961 | $ | 34,205,648 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.44 | $ | 25.13 | $ | 19.94 | $ | 18.57 | $ | 18.57 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.07 | ) | (0.16 | ) | (0.16 | ) | (0.13 | ) | (0.10 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 3.08 | (10.53 | ) | 5.35 | 1.50 | 0.10 | ||||||||||||||
Total from operations | 3.01 | (10.69 | ) | 5.19 | 1.37 | — | ||||||||||||||
Net asset value, end of year | $ | 17.45 | $ | 14.44 | $ | 25.13 | $ | 19.94 | $ | 18.57 | ||||||||||
Total return | 20.84 | % | –42.54 | % | 26.03 | % | 7.38 | % | 0.00 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 110.3 | $ | 34.2 | $ | 71.1 | $ | 62.6 | $ | 71.4 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.93 | % | 0.92 | % | 0.89 | % | 0.89 | % | 0.90 | % | ||||||||||
Net investment loss | –0.67 | % | –0.70 | % | –0.70 | % | –0.59 | % | –0.53 | % | ||||||||||
Portfolio turnover rate | 248 | % | 224 | % | 156 | % | 219 | % | 179 | % |
53
International Small-Mid Company Portfolio
Average Annual Total Returns: | ||||
One year | 46.05% | |||
Five years | 6.37% | |||
Ten years | 0.60% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
54
International Small-Mid Company Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 96.1 | ||
Exchange Traded Funds | 0.9 | ||
Money Market Funds Less Net Liabilities | 3.0 | ||
100.0 | |||
% of Net Assets | |||||||
1. | SNC-Lavalin Group, Inc. | 1.9 | |||||
2. | Hochtief AG | 1.8 | |||||
3. | Kazakhmys PLC | 1.7 | |||||
4. | Aixtron AG | 1.7 | |||||
5. | Adecco SA | 1.6 | |||||
6. | Autonomy Corp. PLC | 1.6 | |||||
7. | AMEC PLC | 1.6 | |||||
8. | ASML Holding NV | 1.6 | |||||
9. | Teck Resources Ltd. | 1.6 | |||||
10. | Fibria Celulose SA – ADR | 1.6 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Top 10 country weightings: |
% of Net Assets | |||
United Kingdom | 14.8 | ||
Germany | 10.0 | ||
Brazil | 8.6 | ||
Canada | 7.0 | ||
Cayman Islands | 6.9 | ||
South Korea | 5.9 | ||
Hong Kong | 4.6 | ||
Netherlands | 4.1 | ||
France | 3.5 | ||
Singapore | 3.5 |
55
International Small-Mid Company Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.1% | Shares | Value | ||||||
United Kingdom – 14.8% | ||||||||
Aggreko PLC (b) | 52,459 | $ | 783,142 | |||||
AMEC PLC (b) | 90,433 | 1,152,162 | ||||||
Antofagasta PLC (b) | 24,068 | 382,864 | ||||||
ASOS PLC (a) (b) | 91,707 | 720,465 | ||||||
Autonomy Corp. PLC (a) (b) | 47,467 | 1,152,710 | ||||||
Capita Group PLC / The (b) | 52,972 | 640,512 | ||||||
Cobham PLC (b) | 91,291 | 368,752 | ||||||
Cookson Group PLC (a) (b) | 79,475 | 537,674 | ||||||
ICAP PLC (b) | 102,724 | 708,493 | ||||||
John Wood Group PLC (b) | 94,039 | 467,224 | ||||||
Kazakhmys PLC (a) (b) | 57,716 | 1,222,053 | ||||||
Logica PLC (b) | 136,314 | 249,401 | ||||||
Rightmove PLC (b) | 77,227 | 627,128 | ||||||
Rolls-Royce Group PLC (a) (b) | 61,367 | 477,892 | ||||||
Smith & Nephew PLC (b) | 63,481 | 652,991 | ||||||
Wellstream Holdings PLC (b) | 41,565 | 353,666 | ||||||
10,497,129 | ||||||||
Germany – 10.0% | ||||||||
Adidas AG (b) | 13,334 | 725,493 | ||||||
Aixtron AG (b) | 36,600 | 1,219,557 | ||||||
Deutsche Postbank AG (a) (b) | 18,314 | 597,766 | ||||||
GEA Group AG (b) | 43,892 | 976,483 | ||||||
Gildemeister AG (b) | 28,627 | 456,009 | ||||||
Hochtief AG (b) | 16,745 | 1,267,550 | ||||||
Leoni AG (b) | 32,430 | 752,767 | ||||||
Stada Arzneimittel AG (b) | 15,422 | 535,827 | ||||||
Wirecard AG (b) | 42,903 | 591,995 | ||||||
7,123,447 | ||||||||
Brazil – 8.6% | ||||||||
CETIP SA – Balcao Organizado de Ativos e Derivativos | 42,500 | 347,860 | ||||||
Cyrela Brazil Realty SA | 48,700 | 685,324 | ||||||
Diagnosticos da America SA | 18,400 | 602,307 | ||||||
Fibria Celulose SA – ADR | 48,338 | 1,104,040 | ||||||
Fleury SA (a) | 51,200 | 540,820 | ||||||
Gafisa SA – ADR | 22,900 | 741,044 | ||||||
Hypermarcas SA (a) | 27,300 | 627,226 | ||||||
Lojas Renner SA | 31,800 | 717,829 | ||||||
MRV Engenharia e Participacoes SA | 88,500 | 716,743 | ||||||
6,083,193 | ||||||||
Canada – 7.0% | ||||||||
Agrium, Inc. | 13,200 | 825,686 | ||||||
HudBay Minerals, Inc. (a) | 65,600 | 851,166 | ||||||
SNC-Lavalin Group, Inc. | 25,818 | 1,332,805 | ||||||
Teck Resources Ltd. (a) | 32,000 | 1,126,586 | ||||||
Thompson Creek Metals Co., Inc. (a) | 72,400 | 848,528 | ||||||
4,984,771 | ||||||||
Cayman Islands – 6.9% | ||||||||
361 Degrees International Ltd. (b) | 486,400 | 284,283 | ||||||
Anta Sports Products Ltd. (b) | 554,119 | 817,160 | ||||||
Comba Telecom Systems Holdings Ltd. (b) | 647,570 | 752,127 | ||||||
Giant Interactive Group, Inc. – ADR | 80,100 | 562,302 | ||||||
Hengan International Group Co. Ltd. (b) | 92,000 | 681,190 | ||||||
Inspur International Ltd. (b) | 2,919,400 | 415,031 | ||||||
Lee & Man Paper Manufacturing Ltd. (a) (c) | 854,400 | 589,553 | ||||||
Parkson Retail Group Ltd. (b) | 286,000 | 503,278 | ||||||
PCD Stores Ltd. (a) (c) | 844,000 | 327,655 | ||||||
4,932,579 | ||||||||
South Korea – 5.9% | ||||||||
Cheil Worldwide, Inc. (b) | 1,980 | 536,218 | ||||||
Hynix Semiconductor, Inc. (a) (b) | 28,410 | 564,968 | ||||||
Hyundai Engineering & Construction Co. Ltd. (b) | 9,405 | 570,492 | ||||||
LG Corp. (b) | 12,400 | 774,537 | ||||||
LG Display Co. Ltd. (b) | 25,690 | 868,589 | ||||||
Samsung Electro-Mechanics Co. Ltd. (b) | 5,566 | 511,886 | ||||||
Samsung Techwin Co. Ltd. (b) | 4,570 | 356,350 | ||||||
4,183,040 | ||||||||
Hong Kong – 4.6% | ||||||||
China Everbright International Ltd. (b) | 1,527,000 | 781,325 | ||||||
China Merchants Holdings International Co. Ltd. (b) | 208,000 | 670,995 | ||||||
Dah Sing Financial Holdings Ltd. (a) (b) | 84,000 | 462,865 | ||||||
Techtronic Industries Co. (b) | 694,000 | 575,304 | ||||||
Wing Hang Bank Ltd. (b) | 81,000 | 753,820 | ||||||
3,244,309 | ||||||||
Netherlands – 4.1% | ||||||||
ASML Holding NV (b) | 33,358 | 1,138,903 | ||||||
Fugro NV (b) | 9,699 | 557,104 | ||||||
Imtech NV (b) | 26,753 | 720,911 | ||||||
QIAGEN NV (a) (b) | 21,126 | 475,464 | ||||||
2,892,382 | ||||||||
France – 3.5% | ||||||||
BioMerieux (b) | 1,963 | 229,353 | ||||||
Cap Gemini SA (b) | 8,860 | 404,195 | ||||||
Faiveley SA (b) | 5,346 | 425,517 | ||||||
Faurecia (a) (b) | 24,955 | 545,748 | ||||||
Saft Groupe SA (b) | 17,795 | 857,174 | ||||||
2,461,987 | ||||||||
Singapore – 3.5% | ||||||||
Ezra Holdings Ltd. (a) (b) | 468,000 | 749,081 | ||||||
Ho Bee Investment Ltd. (b) | 477,000 | 581,735 | ||||||
Keppel Land Ltd. (b) | 201,700 | 498,425 | ||||||
SembCorp Marine Ltd. (b) | 242,000 | 631,417 | ||||||
2,460,658 | ||||||||
Bermuda – 3.3% | ||||||||
Aquarius Platinum Ltd. (a) (b) | 100,970 | 658,072 | ||||||
Invesco Ltd. | 25,648 | 602,472 | ||||||
Nine Dragons Paper Holdings Ltd. (b) | 324,622 | 517,794 | ||||||
Ports Design Ltd. (b) | 192,000 | 591,980 | ||||||
2,370,318 | ||||||||
Spain – 3.2% | ||||||||
Indra Sistemas SA (b) | 28,007 | 662,926 | ||||||
Obrascon Huarte Lain SA (b) | 30,330 | 816,080 | ||||||
Tecnicas Reunidas SA (b) | 13,566 | 780,181 | ||||||
2,259,187 | ||||||||
56
International Small-Mid Company Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.1% | Shares | Value | ||||||
China – 2.8% | ||||||||
China South Locomotive and Rolling Stock Corp. (b) | 1,264,600 | $ | 923,497 | |||||
Shandong Weigao Group Medical Polymer Co. Ltd. (b) | 133,901 | 446,255 | ||||||
Zhuzhou CSR Times Electric Co. Ltd. (b) | 286,800 | 585,247 | ||||||
1,954,999 | ||||||||
Switzerland – 2.5% | ||||||||
Actelion Ltd. (a) (b) | 11,264 | 601,615 | ||||||
Adecco SA (b) | 20,949 | 1,155,651 | ||||||
1,757,266 | ||||||||
Italy – 2.2% | ||||||||
DiaSorin SpA (b) | 5,793 | 205,880 | ||||||
Sorin SpA (a) (b) | 130,535 | 248,663 | ||||||
Trevi Finanziaria SpA (b) | 35,832 | 567,162 | ||||||
Yoox SpA (a) (c) | 69,300 | 518,581 | ||||||
1,540,286 | ||||||||
Sweden – 1.6% | ||||||||
Assa Abloy AB (b) | 37,000 | 712,805 | ||||||
Getinge AB (b) | 20,613 | 393,956 | ||||||
1,106,761 | ||||||||
Russia – 1.3% | ||||||||
Wimm-Bill-Dann Foods OJSC – ADR (a) | 39,200 | 934,136 | ||||||
Turkey – 1.2% | ||||||||
Turkiye Halk Bankasi AS (b) | 110,500 | 884,493 | ||||||
Norway – 1.2% | ||||||||
Fred Olsen Energy ASA (b) | 11,000 | 421,272 | ||||||
Yara International ASA (b) | 9,550 | 432,569 | ||||||
853,841 | ||||||||
Israel – 1.2% | ||||||||
NICE Systems Ltd. – ADR (a) | 27,500 | 853,600 | ||||||
Austria – 1.0% | ||||||||
Andritz AG (b) | 12,738 | 734,361 | ||||||
Ireland – 1.0% | ||||||||
Ingersoll-Rand PLC | 20,300 | 725,522 | ||||||
Thailand – 0.9% | ||||||||
Banpu PCL (b) | 38,200 | 661,704 | ||||||
Gibraltar – 0.9% | ||||||||
PartyGaming PLC (a) (b) | 150,939 | 630,739 | ||||||
Chile – 0.8% | ||||||||
Sociedad Quimica y Minera de Chile SA – ADR Series B | 16,200 | 608,634 | ||||||
Luxembourg – 0.8% | ||||||||
Millicom International Cellular SA (a) | 8,100 | 597,537 | ||||||
Japan – 0.5% | ||||||||
JGC Corp. (b) | 21,000 | 386,981 | ||||||
Denmark – 0.4% | ||||||||
H Lundbeck A/S (b) | 16,500 | 298,108 | ||||||
Mexico – 0.4% | ||||||||
Genomma Lab Internacional SA de CV (a) | 133,100 | 292,918 | ||||||
Total Common Stocks (Cost $50,557,350) | $ | 68,314,886 | ||||||
Exchange Traded Funds – 0.9% | Shares | Value | ||||||
iShares MSCI Emerging Markets Index Fund | 15,720 | $ | 652,380 | |||||
Total Exchange Traded Funds (Cost $382,427) | $ | 652,380 | ||||||
Money Market Funds – 3.0% | Shares | Value | ||||||
State Street Institutional Liquid Reserves Fund Institutional Class 2 | 2,115,321 | $ | 2,115,321 | |||||
Total Money Market Funds (Cost $2,115,321) | $ | 2,115,321 | ||||||
Total Investments – 100.0% (Cost $53,055,098) (d) | $ | 71,082,587 | ||||||
Liabilities in Excess of Other Assets – (0.0%) | (18,317 | ) | ||||||
Net Assets – 100.0% | $ | 71,064,270 | ||||||
(a) | Non-Income producing security. | |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $50,634,012 or 71.3% of the Portfolio’s net assets. | |
(c) | As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances the independent fair valuation service uses the local close price because the confidence interval associated with an investment is below the 75% threshold. These securities represent $1,435,789 or 2.0% of the Portfolio’s net assets. |
Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges whose local close times are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
57
International Small-Mid Company Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Sector Classifications: |
Industrials | 27.1% | ||
Consumer Discretionary | 15.5% | ||
Information Technology | 14.0% | ||
Materials | 12.9% | ||
Health Care | 7.8% | ||
Financials | 7.6% | ||
Energy | 7.2% | ||
Consumer Staples | 3.2% | ||
Telecommunication Services | 0.8% | ||
96.1% | |||
58
International Small-Mid Company Portfolio
Assets: | ||||
Investments in securities, at value (Cost $53,055,098) | $ | 71,082,587 | ||
Foreign currency (Cost $2) | 2 | |||
Receivable for securities sold | 5,947 | |||
Receivable for fund shares sold | 124,492 | |||
Dividends and accrued interest receivable | 33,147 | |||
Foreign tax reclaim receivable | 42,482 | |||
Prepaid expenses and other assets | 1,100 | |||
Total assets | 71,289,757 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 92,595 | |||
Payable for investment management services | 59,430 | |||
Accrued for compliance services | 1,674 | |||
Accrued custody expense | 9,848 | |||
Accrued professional fees | 11,179 | |||
Accrued accounting fees | 2,085 | |||
Accrued printing and filing fees | 4,637 | |||
Foreign taxes payable | 44,039 | |||
Total liabilities | 225,487 | |||
Net assets | $ | 71,064,270 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 3,661,246 | ||
Paid-in capital in excess of par value | 76,503,745 | |||
Accumulated net realized loss on investments | (27,205,986 | ) | ||
Net unrealized appreciation/depreciation on: | ||||
Investments | 18,027,489 | |||
Foreign currency related transactions | (1,480 | ) | ||
Undistributed net investment income | 79,256 | |||
Net assets | $ | 71,064,270 | ||
Shares outstanding | 3,661,246 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 19.41 | ||
Investment income: | ||||
Interest | $ | 1,409 | ||
Dividends (net of $123,194 foreign taxes withheld) | 1,020,116 | |||
Total investment income | 1,021,525 | |||
Expenses: | ||||
Management fees | 582,867 | |||
Custodian fees | 72,819 | |||
Directors’ fees | 6,183 | |||
Professional fees | 15,108 | |||
Accounting fees | 53,030 | |||
Printing and filing fees | 9,668 | |||
Compliance expense | 6,376 | |||
Other | 1,888 | |||
Total expenses | 747,939 | |||
Net investment income | 273,586 | |||
Realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (1,170,899 | ) | ||
Foreign currency contracts | 11,798 | |||
Foreign currency related transactions | (138,738 | ) | ||
Change in unrealized appreciation/depreciation on: | ||||
Investments | 23,579,074 | |||
Foreign currency related transactions | 2,387 | |||
Net realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | 22,283,622 | |||
Change in net assets from operations | $ | 22,557,208 | ||
59
International Small-Mid Company Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 273,586 | $ | 314,969 | ||||
Net realized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | (1,297,839 | ) | (26,268,151 | ) | ||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 23,581,461 | (31,078,310 | ) | |||||
Change in net assets from operations | 22,557,208 | (57,031,492 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 16,188,203 | 32,910,125 | ||||||
Paid for shares redeemed | (20,381,525 | ) | (36,157,399 | ) | ||||
Change in net assets from capital transactions | (4,193,322 | ) | (3,247,274 | ) | ||||
Change in net assets | 18,363,886 | (60,278,766 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 52,700,384 | 112,979,150 | ||||||
End of year | $ | 71,064,270 | $ | 52,700,384 | ||||
Undistributed net investment income (Accumulated net investment loss) | $ | 79,256 | $ | (67,390 | ) | |||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.29 | $ | 27.29 | $ | 23.23 | $ | 18.87 | $ | 14.69 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.07 | 0.08 | 0.07 | (0.01 | ) | 0.03 | ||||||||||||||
Net realized and unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | 6.05 | (14.08 | ) | 3.99 | 4.98 | 4.23 | ||||||||||||||
Total from operations | 6.12 | (14.00 | ) | 4.06 | 4.97 | 4.26 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (0.03 | ) | (0.08 | ) | |||||||||||||
Distributions of net realized capital gains | — | — | — | (0.58 | ) | — | ||||||||||||||
Total distributions | — | — | — | (0.61 | ) | (0.08 | ) | |||||||||||||
Net asset value, end of year | $ | 19.41 | $ | 13.29 | $ | 27.29 | $ | 23.23 | $ | 18.87 | ||||||||||
Total return | 46.05 | % | –51.30 | % | 17.48 | % | 26.35 | % | 28.99 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 71.1 | $ | 52.7 | $ | 113.0 | $ | 75.4 | $ | 49.9 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.28 | % | 1.19 | % | 1.29 | % | 1.34 | % | 1.47 | % | ||||||||||
Net investment income (loss) | 0.47 | % | 0.36 | % | 0.27 | % | –0.01 | % | 0.36 | % | ||||||||||
Portfolio turnover rate | 125 | % | 75 | % | 53 | % | 69 | % | 85 | % |
60
Aggressive Growth Portfolio
Average Annual Total Returns: | ||||
One year | 42.61% | |||
Five years | 4.51% | |||
Ten years | -4.39% |
61
Aggressive Growth Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 90.2 | ||
Preference Shares (Brazil) (3) | 1.1 | ||
Preferred Stocks (3) | 1.5 | ||
Money Market Funds Less Net Liabilities | 7.2 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Apple, Inc. | 5.7 | |||||
2. | Anheuser-Busch InBev | 5.4 | |||||
3. | Celgene Corp. | 4.5 | |||||
4. | Cisco Systems, Inc. | 4.3 | |||||
5. | Gilead Sciences, Inc. | 4.2 | |||||
6. | Crown Castle International Corp. | 3.9 | |||||
7. | Corning, Inc. | 3.8 | |||||
8. | Oracle Corp. | 3.7 | |||||
9. | Davide Campari-Milano SpA | 3.0 | |||||
10. | CVS Caremark Corp. | 3.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Information Technology | 33.9 | ||
Financials | 14.4 | ||
Consumer Staples | 14.3 | ||
Health Care | 12.4 | ||
Telecommunication Services | 7.1 | ||
Consumer Discretionary | 3.6 | ||
Energy | 2.7 | ||
Materials | 2.4 | ||
Industrials | 2.0 | ||
92.8 | |||
62
Aggressive Growth Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 90.2% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 3.6% | ||||||||
Media – 2.9% | ||||||||
News Corp. Class A | 58,895 | $ | 806,272 | |||||
Multiline Retail – 0.7% | ||||||||
Kohl’s Corp. (a) | 3,420 | 184,441 | ||||||
TOTAL CONSUMER DISCRETIONARY | 990,713 | |||||||
CONSUMER STAPLES – 14.3% | ||||||||
Beverages – 8.4% | ||||||||
Anheuser-Busch InBev (b) | 28,347 | 1,467,442 | ||||||
Davide Campari-Milano SpA (b) | 78,060 | 815,487 | ||||||
2,282,929 | ||||||||
Food & Staples Retailing – 3.0% | ||||||||
CVS Caremark Corp. | 25,139 | 809,727 | ||||||
Household Products – 1.8% | ||||||||
Colgate-Palmolive Co. | 3,080 | 253,022 | ||||||
Reckitt Benckiser Group PLC (b) | 4,535 | 245,480 | ||||||
498,502 | ||||||||
Personal Products – 1.1% | ||||||||
Mead Johnson Nutrition Co. | 6,825 | 298,253 | ||||||
TOTAL CONSUMER STAPLES | 3,889,411 | |||||||
ENERGY – 1.6% | ||||||||
Oil, Gas & Consumable Fuels – 1.6% | ||||||||
Petroleo Brasileiro SA – ADR | 9,295 | 443,186 | ||||||
TOTAL ENERGY | 443,186 | |||||||
FINANCIALS – 12.9% | ||||||||
Capital Markets – 1.7% | ||||||||
Charles Schwab Corp. / The | 2,167 | 40,783 | ||||||
Goldman Sachs Group, Inc. / The | 2,465 | 416,191 | ||||||
456,974 | ||||||||
Commercial Banks – 2.2% | ||||||||
CapitalSource, Inc. | 46,134 | 183,152 | ||||||
Standard Chartered PLC (b) | 16,808 | 424,332 | ||||||
607,484 | ||||||||
Diversified Financial Services – 6.9% | ||||||||
Bank of America Corp. | 41,160 | 619,870 | ||||||
CME Group, Inc. | 1,355 | 455,212 | ||||||
JPMorgan Chase & Co. | 13,315 | 554,836 | ||||||
MarketAxess Holdings, Inc. | 16,755 | 232,894 | ||||||
1,862,812 | ||||||||
Insurance – 1.4% | ||||||||
ACE Ltd. | 7,595 | 382,788 | ||||||
Real Estate Management & Development – 0.7% | ||||||||
Hang Lung Properties Ltd. (b) | 48,000 | 188,177 | ||||||
TOTAL FINANCIALS | 3,498,235 | |||||||
HEALTH CARE – 12.4% | ||||||||
Biotechnology – 9.5% | ||||||||
Celgene Corp. (a) | 21,765 | 1,211,875 | ||||||
Gilead Sciences, Inc. (a) | 26,600 | 1,151,248 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 4,930 | 211,251 | ||||||
2,574,374 | ||||||||
Health Care Equipment & Supplies – 1.6% | ||||||||
Intuitive Surgical, Inc. (a) | 1,494 | 453,160 | ||||||
Pharmaceuticals – 1.3% | ||||||||
Roche Holdings AG (b) | 2,032 | 347,498 | ||||||
TOTAL HEALTH CARE | 3,375,032 | |||||||
INDUSTRIALS – 2.0% | ||||||||
Air Freight & Logistics – 1.1% | ||||||||
United Parcel Service, Inc. Class B | 5,190 | 297,750 | ||||||
Professional Services – 0.9% | ||||||||
CoStar Group, Inc. (a) | 5,870 | 245,190 | ||||||
TOTAL INDUSTRIALS | 542,940 | |||||||
INFORMATION TECHNOLOGY – 33.9% | ||||||||
Communications Equipment – 8.6% | ||||||||
Cisco Systems, Inc. (a) | 48,660 | 1,164,920 | ||||||
QUALCOMM, Inc. | 10,065 | 465,607 | ||||||
Research In Motion Ltd. (a) | 10,572 | 714,033 | ||||||
2,344,560 | ||||||||
Computers & Peripherals – 5.8% | ||||||||
Apple, Inc. (a) | 7,409 | 1,562,262 | ||||||
Electronic Equipment, Instruments & Components – 6.6% | ||||||||
Amphenol Corp. Class A | 3,503 | 161,769 | ||||||
Corning, Inc. | 53,375 | 1,030,671 | ||||||
Trimble Navigation Ltd. (a) | 23,870 | 601,524 | ||||||
1,793,964 | ||||||||
Internet Software & Services – 9.2% | ||||||||
AOL, Inc. (a) | 23,295 | 542,308 | ||||||
Equinix, Inc. (a) | 4,595 | 487,759 | ||||||
Google, Inc. Class A (a) | 1,130 | 700,577 | ||||||
VistaPrint N.V. (a) | 8,160 | 462,346 | ||||||
Yahoo, Inc. (a) | 18,616 | 312,376 | ||||||
2,505,366 | ||||||||
Software – 3.7% | ||||||||
Oracle Corp. | 40,615 | 996,692 | ||||||
TOTAL INFORMATION TECHNOLOGY | 9,202,844 | |||||||
MATERIALS – 2.4% | ||||||||
Chemicals – 1.0% | ||||||||
Israel Chemicals Ltd. (b) | 20,223 | 265,550 | ||||||
Metals & Mining – 1.4% | ||||||||
Vale SA – ADR | 13,555 | 393,502 | ||||||
TOTAL MATERIALS | 659,052 | |||||||
TELECOMMUNICATION SERVICES – 7.1% | ||||||||
Diversified Telecommunication Services – 1.4% | ||||||||
tw telecom, Inc. (a) | 22,005 | 377,165 | ||||||
Wireless Telecommunication Services – 5.7% | ||||||||
America Movil S.A.B. de C.V. – ADR | 4,790 | 225,034 |
63
Aggressive Growth Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 90.2% | Shares | Value | ||||||
Wireless Telecommunication Services (continued) | ||||||||
Cellcom Israel Ltd. | 8,420 | $ | 269,945 | |||||
Crown Castle International Corp. (a) | 26,860 | 1,048,615 | ||||||
1,543,594 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 1,920,759 | |||||||
Total Common Stocks (Cost $21,426,120) | $ | 24,522,172 | ||||||
Preference Shares (Brazil) – 1.1% | Shares | Value | ||||||
ENERGY – 1.1% | ||||||||
Oil, Gas & Consumable Fuels – 1.1% | ||||||||
Petroleo Brasileiro SA – ADR | 6,804 | $ | 288,421 | |||||
Total Preference Shares (Brazil) (Cost $258,784) | $ | 288,421 | ||||||
Preferred Stocks – 1.5% | Shares | Value | ||||||
FINANCIALS – 1.5% | ||||||||
Diversified Financial Services – 1.5% | ||||||||
Bank of America Corp. | ||||||||
10.000%, convertible until 12/31/2049 | 27,405 | $ | 408,883 | |||||
Total Preferred Stocks (Cost $411,075) | $ | 408,883 | ||||||
VVPR Strips — 0.0% (c) | Quantity | Value | ||||||
CONSUMER STAPLES – 0.0% | ||||||||
Beverages – 0.0% | ||||||||
Anheuser-Busch InBev (a) (b) | 6,992 | $ | 50 | |||||
Total VVPR Strips (Cost $0) | $ | 50 | ||||||
Money Market Funds – 7.6% | Shares | Value | ||||||
Federated Prime Cash Obligations Fund | ||||||||
Institutional Shares | 764,000 | $ | 764,000 | |||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 1,313,000 | 1,313,000 | ||||||
Total Money Market Funds (Cost $2,077,000) | $ | 2,077,000 | ||||||
Total Investments – 100.4% (Cost $24,172,979) (d) | $ | 27,296,526 | ||||||
Liabilities in Excess of Other Assets – (0.4)% | (119,729 | ) | ||||||
Net Assets – 100.0% | $ | 27,176,797 | ||||||
(a) | Non-income producing security. | |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $3,754,016 or 13.8% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
(c) | A VVPR Strip is a coupon attached to specific ordinary common shares that offers tax advantages. The coupon entitles a holder to reduced withholding tax rates on the dividends generated from the related common shares. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
64
Aggressive Growth Portfolio
Assets: | ||||
Investments in securities, at value (Cost $24,172,979) | $ | 27,296,526 | ||
Cash | 21 | |||
Receivable for fund shares sold | 14,899 | |||
Dividends and accrued interest receivable | 10,781 | |||
Prepaid expenses and other assets | 417 | |||
Total assets | 27,322,644 | |||
Liabilities: | ||||
Payable for securities purchased | 103,441 | |||
Payable for fund shares redeemed | 4,402 | |||
Payable for investment management services | 18,191 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 1,619 | |||
Accrued professional fees | 11,120 | |||
Accrued accounting fees | 2,710 | |||
Accrued printing and filing fees | 1,780 | |||
Other accrued expenses | 907 | |||
Total liabilities | 145,847 | |||
Net assets | $ | 27,176,797 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 3,655,914 | ||
Paid-in capital in excess of par value | 27,788,732 | |||
Accumulated net realized loss on investments | (7,458,253 | ) | ||
Net unrealized appreciation/depreciation on: | ||||
Investments | 3,123,547 | |||
Foreign currency related transactions | (34 | ) | ||
Undistributed net investment income | 66,891 | |||
Net assets | $ | 27,176,797 | ||
Shares outstanding | 3,655,914 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 7.43 | ||
Investment income: | ||||
Interest | $ | 6,942 | ||
Dividends (net of withholding tax of $15,864) | 170,636 | |||
Total investment income | 177,578 | |||
Expenses: | ||||
Management fees | 175,039 | |||
Custodian fees | 11,460 | |||
Directors’ fees | 2,341 | |||
Professional fees | 12,990 | |||
Accounting fees | 15,720 | |||
Printing and filing fees | 3,778 | |||
Compliance expense | 6,376 | |||
Other | 504 | |||
Total expenses | 228,208 | |||
Net investment loss | (50,630 | ) | ||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (758,294 | ) | ||
Foreign currency related transactions | 594 | |||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 8,725,649 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 7,967,949 | |||
Change in net assets from operations | $ | 7,917,319 | ||
65
Aggressive Growth Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (50,630 | ) | $ | (9,928 | ) | ||
Net realized gain (loss) on investments and foreign currency related transactions | (757,700 | ) | (2,272,356 | ) | ||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 8,725,649 | (11,572,466 | ) | |||||
Change in net assets from operations | 7,917,319 | (13,854,750 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 8,748,197 | 15,640,261 | ||||||
Paid for shares redeemed | (7,473,737 | ) | (12,559,831 | ) | ||||
Change in net assets from capital transactions | 1,274,460 | 3,080,430 | ||||||
Change in net assets | 9,191,779 | (10,774,320 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 17,985,018 | 28,759,338 | ||||||
End of year | $ | 27,176,797 | $ | 17,985,018 | ||||
Undistributed net investment income | $ | 66,891 | $ | 84,605 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 5.21 | $ | 9.25 | $ | 7.14 | $ | 6.75 | $ | 5.96 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.01 | ) | 0.02 | 0.02 | (0.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 2.24 | (4.03 | ) | 2.09 | 0.37 | 0.81 | ||||||||||||||
Total from operations | 2.22 | (4.04 | ) | 2.11 | 0.39 | 0.79 | ||||||||||||||
Net asset value, end of year | $ | 7.43 | $ | 5.21 | $ | 9.25 | $ | 7.14 | $ | 6.75 | ||||||||||
Total return | 42.61 | % | –43.68 | % | 29.55 | % | 5.78 | % | 13.28 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 27.2 | $ | 18.0 | $ | 28.8 | $ | 17.8 | $ | 16.6 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.04 | % | 0.98 | % | 0.97 | % | 1.06 | % | 1.03 | % | ||||||||||
Net investment income (loss) | –0.23 | % | –0.04 | % | 0.34 | % | 0.22 | % | –0.35 | % | ||||||||||
Portfolio turnover rate | 28 | % | 43 | % | 29 | % | 105 | % | 139 | % |
66
Small Cap Growth Portfolio
Average Annual Total Returns: | ||||
One year | 50.76% | |||
Five years | 3.87% | |||
Ten years | -3.53% |
67
Small Cap Growth Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 97.3 | ||
Money Market Funds Less Net Liabilities | 2.7 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Ultimate Software Group, Inc. | 3.5 | |||||
2. | VistaPrint N.V. | 3.1 | |||||
3. | Solera Holdings, Inc. | 3.0 | |||||
4. | Jarden Corp. | 2.9 | |||||
5. | SXC Health Solutions Corp. | 2.7 | |||||
6. | World Fuel Services Corp. | 2.5 | |||||
7. | Dresser-Rand Group, Inc. | 1.9 | |||||
8. | CoStar Group, Inc. | 1.9 | |||||
9. | Catalyst Health Solutions, Inc. | 1.9 | |||||
10. | MSCI, Inc. | 1.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 31.5 | ||
Health Care | 22.5 | ||
Consumer Discretionary | 18.1 | ||
Industrials | 11.9 | ||
Financials | 5.0 | ||
Energy | 4.4 | ||
Telecommunication Services | 2.0 | ||
Materials | 1.8 | ||
Consumer Staples | 0.1 | ||
97.3 | |||
68
Small Cap Growth Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.3% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 18.1% | ||||||||
Auto Components – 0.2% | ||||||||
Motorcar Parts of America Inc. (a) | 11,349 | $ | 57,880 | |||||
Diversified Consumer Services – 3.6% | ||||||||
American Public Education, Inc. (a) | 8,248 | 283,401 | ||||||
Bridgepoint Education, Inc. (a) | 20,027 | 300,806 | ||||||
ChinaCast Education Corp. (a) | 19,420 | 146,815 | ||||||
Grand Canyon Education, Inc. (a) | 4,733 | 89,974 | ||||||
820,996 | ||||||||
Hotels, Restaurants & Leisure – 1.3% | ||||||||
Great Canadian Gaming Corp. (a) | 16,074 | 122,186 | ||||||
Kingdom Hotel Investments – GDR (a) | 34,025 | 119,088 | ||||||
Morgans Hotel Group Co. (a) | 9,159 | 41,490 | ||||||
PokerTek, Inc. (a) | 5,059 | 3,491 | ||||||
286,255 | ||||||||
Household Durables – 3.7% | ||||||||
Deer Consumer Products Inc. (a) | 14,595 | 165,215 | ||||||
Jarden Corp. | 21,657 | 669,418 | ||||||
834,633 | ||||||||
Leisure Equipment & Products – 0.3% | ||||||||
Smith & Wesson Holding Corp. (a) | 1,682 | 6,879 | ||||||
Sturm, Ruger & Co, Inc. | 5,862 | 56,862 | ||||||
63,741 | ||||||||
Media – 6.2% | ||||||||
DreamWorks Animation SKG, Inc. (a) | 1,415 | 56,529 | ||||||
Genius Products, Inc. (Acquired 12/12/2005 through 07/17/2009, Cost $238,059) (a) (c) | 225 | 1,372 | ||||||
IMAX Corp. (a) | 26,232 | 348,886 | ||||||
Interactive Data Corp. | 8,022 | 202,957 | ||||||
Lions Gate Entertainment Corp. (a) | 67,995 | 395,051 | ||||||
MDC Partners, Inc. (a) | 9,710 | 80,981 | ||||||
National CineMedia, Inc. | 19,710 | 326,595 | ||||||
1,412,371 | ||||||||
Multiline Retail – 0.6% | ||||||||
Saks, Inc. (a) | 19,590 | 128,510 | ||||||
Specialty Retail – 0.5% | ||||||||
Rue21, Inc. (a) | 4,370 | 122,753 | ||||||
Textiles, Apparel & Luxury Goods – 1.7% | ||||||||
Skechers U.S.A., Inc. (a) | 13,165 | 387,183 | ||||||
TOTAL CONSUMER DISCRETIONARY | 4,114,322 | |||||||
CONSUMER STAPLES – 0.1% | ||||||||
Beverages – 0.1% | ||||||||
Heckmann Corp. (a) | 5,650 | 28,194 | ||||||
TOTAL CONSUMER STAPLES | 28,194 | |||||||
ENERGY – 4.4% | ||||||||
Energy Equipment & Services – 1.9% | ||||||||
Dresser-Rand Group, Inc. (a) | 13,930 | 440,327 | ||||||
Oil, Gas & Consumable Fuels – 2.5% | ||||||||
World Fuel Services Corp. | 21,268 | 569,770 | ||||||
TOTAL ENERGY | 1,010,097 | |||||||
FINANCIALS – 5.0% | ||||||||
Capital Markets – 1.2% | ||||||||
Broadpoint Gleacher Securities, Inc. (a) | 21,045 | 93,861 | ||||||
Epoch Holding Corp. | 36 | 376 | ||||||
Riskmetrics Group, Inc. (a) | 10,936 | 173,992 | ||||||
268,229 | ||||||||
Diversified Financial Services – 3.4% | ||||||||
MarketAxess Holdings, Inc. | 23,805 | 330,889 | ||||||
MSCI, Inc. (a) | 13,571 | 431,558 | ||||||
762,447 | ||||||||
Thrifts & Mortgage Finance – 0.4% | ||||||||
Northwest Bancshares, Inc. | 5,860 | 66,335 | ||||||
Territorial Bancorp, Inc. (a) | 1,945 | 35,108 | ||||||
101,443 | ||||||||
TOTAL FINANCIALS | 1,132,119 | |||||||
HEALTH CARE – 22.5% | ||||||||
Biotechnology – 2.9% | ||||||||
Acorda Therapeutics, Inc. (a) | 8,386 | 211,495 | ||||||
Genomic Health, Inc. (a) | 6,238 | 122,015 | ||||||
Incyte Corp. (a) | 14,420 | 131,366 | ||||||
Myriad Genetics, Inc. (a) | 7,052 | 184,057 | ||||||
648,933 | ||||||||
Health Care Equipment & Supplies – 0.9% | ||||||||
CONMED Corp. (a) | 4,801 | 109,463 | ||||||
TomoTherapy, Inc. (a) | 22,940 | 89,466 | ||||||
198,929 | ||||||||
Health Care Providers & Services – 13.9% | ||||||||
Alliance HealthCare Services, Inc. (a) | 15,615 | 89,162 | ||||||
Amedisys, Inc. (a) | 5,265 | 255,668 | ||||||
Bio-Reference Labs, Inc. (a) | 5,035 | 197,322 | ||||||
Catalyst Health Solutions, Inc. (a) | 11,937 | 435,342 | ||||||
Concord Medical Services Holdings Limited – ADR (a) | 11,235 | 97,070 | ||||||
Genoptix, Inc. (a) | 5,107 | 181,452 | ||||||
Health Grades, Inc. (a) | 31,388 | 134,654 | ||||||
HMS Holdings Corp. (a) | 5,883 | 286,443 | ||||||
LHC Group, Inc. (a) | 11,792 | 396,329 | ||||||
MEDNAX, Inc. (a) | 4,461 | 268,151 | ||||||
MWI Veterinary Supply, Inc. (a) | 4,275 | 161,167 | ||||||
Providence Service Corp. / The (a) | 4,346 | 68,667 | ||||||
PSS World Medical, Inc. (a) | 15,052 | 339,724 | ||||||
Psychiatric Solutions, Inc. (a) | 10,911 | 230,659 | ||||||
RadNet, Inc. (a) | 13,497 | 27,534 | ||||||
3,169,344 | ||||||||
Health Care Technology – 4.0% | ||||||||
athenahealth, Inc. (a) | 4,059 | 183,629 | ||||||
MedAssets, Inc. (a) | 4,878 | 103,463 | ||||||
SXC Health Solutions Corp. (a) | 11,394 | 614,706 | ||||||
901,798 | ||||||||
Life Sciences Tools & Services – 0.8% | ||||||||
Techne Corp. | 2,807 | 192,448 | ||||||
TOTAL HEALTH CARE | 5,111,452 | |||||||
69
Small Cap Growth Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.3% | Shares | Value | ||||||
INDUSTRIALS – 11.9% | ||||||||
Aerospace & Defense – 1.0% | ||||||||
TransDigm Group, Inc. | 4,785 | $ | 227,239 | |||||
Air Freight & Logistics – 0.7% | ||||||||
Forward Air Corp. | 6,702 | 167,885 | ||||||
Commercial Services & Supplies – 2.1% | ||||||||
Copart, Inc. (a) | 1,880 | 68,865 | ||||||
Ritchie Bros. Auctioneers, Inc. | 6,826 | 153,107 | ||||||
Standard Parking Corp. (a) | 15,515 | 246,378 | ||||||
468,350 | ||||||||
Electrical Equipment – 1.5% | ||||||||
Harbin Electric, Inc. (a) | 16,835 | 345,791 | ||||||
Machinery – 1.4% | ||||||||
Barnes Group, Inc. | 6,873 | 116,154 | ||||||
Westinghouse Air Brake Technologies Corp. | 4,873 | 199,013 | ||||||
315,167 | ||||||||
Marine – 0.9% | ||||||||
Horizon Lines, Inc. | 35,433 | 197,362 | ||||||
Professional Services – 3.3% | ||||||||
CoStar Group, Inc. (a) | 10,428 | 435,577 | ||||||
Odyssey Marine Exploration, Inc. (a) | 28,780 | 40,580 | ||||||
Resources Connection, Inc. (a) | 13,512 | 286,725 | ||||||
UTEK Corp. (a) | 3,370 | 14,322 | ||||||
777,204 | ||||||||
Road & Rail – 1.0% | ||||||||
Landstar System, Inc. | 1,990 | 77,152 | ||||||
Old Dominion Freight Line, Inc. (a) | 4,644 | 142,571 | ||||||
219,723 | ||||||||
TOTAL INDUSTRIALS | 2,718,721 | |||||||
INFORMATION TECHNOLOGY – 31.5% | ||||||||
Communications Equipment – 2.0% | ||||||||
CommScope, Inc. (a) | 5,649 | 149,868 | ||||||
DG FastChannel, Inc. (a) | 11,215 | 313,235 | ||||||
463,103 | ||||||||
Electronic Equipment, Instruments & Components – 2.2% | ||||||||
DTS, Inc. (a) | 11,255 | 385,034 | ||||||
L-1 Identity Solutions, Inc. (a) | 15,872 | 118,881 | ||||||
503,915 | ||||||||
Internet Software & Services – 13.8% | ||||||||
Archipelago Learning, Inc. (a) | 6,290 | 130,203 | ||||||
Constant Contact, Inc. (a) | 7,573 | 121,168 | ||||||
DealerTrack Holdings, Inc. (a) | 11,251 | 211,406 | ||||||
Equinix, Inc. (a) | 3,013 | 319,830 | ||||||
GSI Commerce, Inc. (a) | 13,435 | 341,115 | ||||||
LivePerson, Inc. (a) | 59,660 | 415,830 | ||||||
NaviSite, Inc. (a) | 70,055 | 140,110 | ||||||
NIC, Inc. | 22,168 | 202,615 | ||||||
SAVVIS, Inc. (a) | 9,654 | 135,639 | ||||||
Switch & Data Facilities Co., Inc. (a) | 7,557 | 152,727 | ||||||
TechTarget, Inc. (a) | 7,650 | 43,069 | ||||||
VistaPrint N.V. (a) | 12,265 | 694,935 | ||||||
Vocus, Inc. (a) | 13,277 | 238,986 | ||||||
3,147,633 | ||||||||
IT Services – 2.0% | ||||||||
Euronet Worldwide, Inc. (a) | 13,795 | 302,800 | ||||||
Information Services Group, Inc. (a) | 45,551 | 144,397 | ||||||
447,197 | ||||||||
Semiconductors & Semiconductor Equipment – 1.7% | ||||||||
Atmel Corp. (a) | 83,090 | 383,045 | ||||||
Software – 9.8% | ||||||||
Blackboard, Inc. (a) | 2,800 | 127,092 | ||||||
Concur Technologies, Inc. (a) | 4,141 | 177,028 | ||||||
Fortinet, Inc. (a) | 2,410 | 42,344 | ||||||
Informatica Corp. (a) | 940 | 24,308 | ||||||
Monotype Imaging Holdings, Inc. (a) | 18,849 | 170,207 | ||||||
Salary.com, Inc. (a) | 4,007 | 9,416 | ||||||
Solera Holdings, Inc. | 19,127 | 688,763 | ||||||
SuccessFactors, Inc. (a) | 11,705 | 194,069 | ||||||
Ultimate Software Group, Inc. (a) | 27,122 | 796,573 | ||||||
2,229,800 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 7,174,693 | |||||||
MATERIALS – 1.8% | ||||||||
Chemicals – 1.8% | ||||||||
Nalco Holding Co. | 10,163 | 259,258 | ||||||
Yongye International, Inc. (a) | 19,535 | 158,820 | ||||||
TOTAL MATERIALS | 418,078 | |||||||
TELECOMMUNICATION SERVICES – 2.0% | ||||||||
Diversified Telecommunication Services – 0.4% | ||||||||
inContact, Inc. (a) | 33,999 | 99,617 | ||||||
Wireless Telecommunication Services – 1.6% | ||||||||
SBA Communications Corp. Class A (a) | 10,256 | 350,345 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 449,962 | |||||||
Total Common Stocks (Cost $20,516,541) | $ | 22,157,638 | ||||||
Warrants – 0.0% | Quantity | Value | ||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||
Hotels, Restaurants & Leisure – 0.0% | ||||||||
PokerTek, Inc. (Acquired 04/23/2007, Cost $10,537) (a) (b) (c) | ||||||||
Expiration: April 2012, Exercise Price: $10.80 | 2,172 | $ | — | |||||
Total Warrants (Cost $10,537) | $ | — | ||||||
70
Small Cap Growth Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Money Market Funds – 2.9% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 646,000 | $ | 646,000 | |||||
Total Money Market Funds (Cost $646,000) | $ | 646,000 | ||||||
Total Investments – 100.2% (Cost $21,173,078) (d) | $ | 22,803,638 | ||||||
Liabilities in Excess of Other Assets – (0.2)% | (42,097 | ) | ||||||
Net Assets – 100.0% | $ | 22,761,541 | ||||||
(a) | Non-income producing security. | |
(b) | A market quotation for this investment was not readily available at December 31, 2009. As discussed in Note 2 of the Notes to Financial Statements, the price for this issue was derived from an estimate of fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. This security represents $0 or 0.0% of the Portfolio’s net assets. | |
(c) | Represents a security deemed to be illiquid. At December 31, 2009, the value of illiquid securities in the Portfolio totalled $1,372 or 0.0% of the Portfolio’s net assets. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
71
Small Cap Growth Portfolio
Assets: | ||||
Investments in securities, at value (Cost $21,173,078) | $ | 22,803,638 | ||
Cash | 709 | |||
Receivable for securities sold | 44,934 | |||
Receivable for fund shares sold | 14,122 | |||
Dividends and accrued interest receivable | 2,950 | |||
Prepaid expenses and other assets | 338 | |||
Total assets | 22,866,691 | |||
Liabilities: | ||||
Payable for securities purchased | 67,929 | |||
Payable for fund shares redeemed | 2,541 | |||
Payable for investment management services | 17,002 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 567 | |||
Accrued professional fees | 11,113 | |||
Accrued accounting fees | 2,829 | |||
Accrued printing and filing fees | 1,492 | |||
Total liabilities | 105,150 | |||
Net assets | $ | 22,761,541 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,302,090 | ||
Paid-in capital in excess of par value | 26,152,930 | |||
Accumulated net realized loss on investments | (7,324,039 | ) | ||
Net unrealized appreciation on investments | 1,630,560 | |||
Net assets | $ | 22,761,541 | ||
Shares outstanding | 2,302,090 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 9.89 | ||
Investment income: | ||||
Interest | $ | 2,488 | ||
Dividends (net of withholding tax of $287) | 71,279 | |||
Other income | 31 | |||
Total investment income | 73,798 | |||
Expenses: | ||||
Management fees | 156,671 | |||
Custodian fees | 8,667 | |||
Directors’ fees | 1,763 | |||
Professional fees | 12,688 | |||
Accounting fees | 14,778 | |||
Printing and filing fees | 3,021 | |||
Compliance expense | 6,376 | |||
Other | 452 | |||
Total expenses | 204,416 | |||
Net investment loss | (130,618 | ) | ||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (1,455,152 | ) | ||
Foreign currency related transactions | (48 | ) | ||
Change in unrealized appreciation/depreciation on investments | 8,483,045 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 7,027,845 | |||
Change in net assets from operations | $ | 6,897,227 | ||
72
Small Cap Growth Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (130,618 | ) | $ | (159,513 | ) | ||
Net realized gain (loss) on investments and foreign currency related transactions | (1,455,200 | ) | (2,178,654 | ) | ||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 8,483,045 | (10,295,555 | ) | |||||
Change in net assets from operations | 6,897,227 | (12,633,722 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 7,889,316 | 6,841,384 | ||||||
Paid for shares redeemed | (5,207,938 | ) | (8,002,206 | ) | ||||
Change in net assets from capital transactions | 2,681,378 | (1,160,822 | ) | |||||
Change in net assets | 9,578,605 | (13,794,544 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 13,182,936 | 26,977,480 | ||||||
End of year | $ | 22,761,541 | $ | 13,182,936 | ||||
Accumulated net investment loss | $ | — | $ | (89 | ) | |||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 6.56 | $ | 12.54 | $ | 10.94 | $ | 8.71 | $ | 8.18 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.06 | ) | (0.08 | ) | (0.09 | ) | (0.09 | ) | (0.07 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 3.39 | (5.90 | ) | 1.69 | 2.32 | 0.60 | ||||||||||||||
Total from operations | 3.33 | (5.98 | ) | 1.60 | 2.23 | 0.53 | ||||||||||||||
Net asset value, end of year | $ | 9.89 | $ | 6.56 | $ | 12.54 | $ | 10.94 | $ | 8.71 | ||||||||||
Total return | 50.76 | % | –47.69 | % | 14.63 | % | 25.60 | % | 6.48 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 22.8 | $ | 13.2 | $ | 27.0 | $ | 20.8 | $ | 17.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.21 | % | 1.18 | % | 1.15 | % | 1.16 | % | 1.11 | % | ||||||||||
Net investment loss | –0.77 | % | –0.84 | % | –0.77 | % | –0.92 | % | –0.77 | % | ||||||||||
Portfolio turnover rate | 50 | % | 37 | % | 74 | % | 93 | % | 93 | % |
73
Mid Cap Opportunity Portfolio
Average Annual Total Returns: | ||||
One year | 40.60% | |||
Five years | -0.54% | |||
Ten years | -0.40% |
74
Mid Cap Opportunity Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 96.5 | ||
Money Market Funds | |||
Less Net Liabilities | 3.5 | ||
100.0 | |||
% of Net Assets | |||||||
1. | CB Richard Ellis Group, Inc. | 2.7 | |||||
2. | Chattem, Inc. | 2.6 | |||||
3. | St. Jude Medical, Inc. | 2.5 | |||||
4. | Cameron International Corp. | 2.5 | |||||
5. | Northern Trust Corp. | 2.5 | |||||
6. | Equinix, Inc. | 2.5 | |||||
7. | Broadcom Corp. Class A | 2.4 | |||||
8. | Global Payments, Inc. | 2.2 | |||||
9. | American Tower Corp. Class A | 2.1 | |||||
10. | Biogen Idec, Inc. | 2.1 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
�� | % of Net Assets | ||
Consumer Discretionary | 19.8 | ||
Information Technology | 18.2 | ||
Health Care | 15.3 | ||
Financials | 11.6 | ||
Industrials | 8.6 | ||
Consumer Staples | 8.1 | ||
Energy | 7.2 | ||
Telecommunication Services | 5.3 | ||
Materials | 2.4 | ||
96.5 | |||
75
Mid Cap Opportunity Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.5% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 19.8% | ||||||||
Diversified Consumer Services – 1.3% | ||||||||
Apollo Group, Inc. Class A (a) | 13,579 | $ | 822,616 | |||||
Hotels, Restaurants & Leisure – 1.7% | ||||||||
Marriott International, Inc. Class A | 21,834 | 594,977 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 13,139 | 480,493 | ||||||
1,075,470 | ||||||||
Household Durables – 2.3% | ||||||||
Fortune Brands, Inc. | 18,350 | 792,720 | ||||||
Newell Rubbermaid, Inc. | 43,013 | 645,625 | ||||||
1,438,345 | ||||||||
Internet & Catalog Retail – 1.7% | ||||||||
NetFlix, Inc. (a) | 20,185 | 1,113,001 | ||||||
Media – 1.0% | ||||||||
Lamar Advertising Co. Class A (a) | 20,405 | 634,391 | ||||||
Specialty Retail – 8.9% | ||||||||
Bed Bath & Beyond, Inc. (a) | 15,634 | 603,941 | ||||||
Dick’s Sporting Goods, Inc. (a) | 28,332 | 704,617 | ||||||
GameStop Corp. Class A (a) | 27,617 | 605,917 | ||||||
PetSmart, Inc. | 43,269 | 1,154,850 | ||||||
Staples, Inc. | 50,940 | 1,252,615 | ||||||
Tiffany & Co. | 22,827 | 981,561 | ||||||
Urban Outfitters, Inc. (a) | 9,469 | 331,320 | ||||||
5,634,821 | ||||||||
Textiles, Apparel & Luxury Goods – 2.9% | ||||||||
Coach, Inc. | 24,956 | 911,643 | ||||||
Polo Ralph Lauren Corp. | 11,524 | 933,213 | ||||||
1,844,856 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 12,563,500 | |||||||
CONSUMER STAPLES – 8.1% | ||||||||
Beverages – 1.8% | ||||||||
Hansen Natural Corp. (a) | 30,168 | 1,158,451 | ||||||
Household Products – 1.8% | ||||||||
Energizer Holdings, Inc. (a) | 18,570 | 1,137,970 | ||||||
Personal Products – 4.5% | ||||||||
Avon Products, Inc. | 37,853 | 1,192,369 | ||||||
Chattem, Inc. (a) | 17,836 | 1,664,099 | ||||||
2,856,468 | ||||||||
TOTAL CONSUMER STAPLES | 5,152,889 | |||||||
ENERGY – 7.2% | ||||||||
Energy Equipment & Services – 5.0% | ||||||||
Cameron International Corp. (a) | 38,095 | 1,592,371 | ||||||
Core Laboratories N.V. | 8,147 | 962,324 | ||||||
Dril-Quip, Inc. (a) | 11,450 | 646,696 | ||||||
3,201,391 | ||||||||
Oil, Gas & Consumable Fuels – 2.2% | ||||||||
Continental Resources, Inc. (a) | 16,442 | 705,197 | ||||||
Whiting Petroleum Corp. (a) | 9,542 | 681,776 | ||||||
1,386,973 | ||||||||
TOTAL ENERGY | 4,588,364 | |||||||
FINANCIALS – 11.6% | ||||||||
Capital Markets – 3.7% | ||||||||
Northern Trust Corp. | 30,198 | 1,582,375 | ||||||
TD Ameritrade Holding Corp. (a) | 38,682 | 749,657 | ||||||
2,332,032 | ||||||||
Consumer Finance – 1.1% | ||||||||
SLM Corp. (a) | 64,886 | 731,265 | ||||||
Diversified Financial Services – 2.0% | ||||||||
IntercontinentalExchange Inc. (a) | 11,157 | 1,252,931 | ||||||
Real Estate Management & Development – 2.7% | ||||||||
CB Richard Ellis Group, Inc. (a) | 128,377 | 1,742,076 | ||||||
Thrifts & Mortgage Finance – 2.1% | ||||||||
People’s United Financial, Inc. | 79,125 | 1,321,388 | ||||||
TOTAL FINANCIALS | 7,379,692 | |||||||
HEALTH CARE – 15.3% | ||||||||
Biotechnology – 4.0% | ||||||||
Amylin Pharmaceuticals, Inc. (a) | 60,408 | 857,190 | ||||||
Biogen Idec, Inc. (a) | 24,736 | 1,323,376 | ||||||
Talecris Biotherapeutics Holdings Corp. (a) | 15,120 | 336,722 | ||||||
2,517,288 | ||||||||
Health Care Equipment & Supplies – 5.0% | ||||||||
C. R. Bard, Inc. | 13,946 | 1,086,393 | ||||||
CareFusion Corp. (a) | 19,745 | 493,823 | ||||||
St. Jude Medical, Inc. (a) | 43,967 | 1,617,106 | ||||||
3,197,322 | ||||||||
Health Care Providers & Services – 2.1% | ||||||||
Emdeon, Inc. (a) | 39,049 | 595,497 | ||||||
Henry Schein, Inc. (a) | 14,533 | 764,436 | ||||||
1,359,933 | ||||||||
Life Sciences Tools & Services – 2.7% | ||||||||
Charles River Laboratories International, Inc. (a) | 27,525 | 927,317 | ||||||
Millipore Corp. (a) | 10,790 | 780,657 | ||||||
1,707,974 | ||||||||
Pharmaceuticals – 1.5% | ||||||||
Shire PLC – ADR | 16,295 | 956,516 | ||||||
TOTAL HEALTH CARE | 9,739,033 | |||||||
INDUSTRIALS – 8.6% | ||||||||
Aerospace & Defense – 1.3% | ||||||||
Alliant Techsystems, Inc. (a) | 9,513 | 839,713 | ||||||
Air Freight & Logistics – 0.5% | ||||||||
C.H. Robinson Worldwide, Inc. | 4,991 | 293,121 | ||||||
Commercial Services & Supplies – 1.8% | ||||||||
Iron Mountain, Inc. (a) | 51,343 | 1,168,567 | ||||||
Construction & Engineering – 0.7% | ||||||||
Quanta Services, Inc. (a) (b) | 20,772 | 432,889 | ||||||
Electrical Equipment – 1.9% | ||||||||
Rockwell Automation, Inc. | 13,212 | 620,700 | ||||||
Roper Industries, Inc. | 11,597 | 607,335 | ||||||
1,228,035 | ||||||||
76
Mid Cap Opportunity Portfolio (continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.5% | Shares | Value | ||||||
Machinery – 1.4% | ||||||||
Kennametal, Inc. | 33,984 | $ | 880,865 | |||||
Professional Services – 1.0% | ||||||||
Verisk Analytics, Inc. (a) | 20,223 | 612,352 | ||||||
TOTAL INDUSTRIALS | 5,455,542 | |||||||
INFORMATION TECHNOLOGY – 18.2% | ||||||||
Electronic Equipment, Instruments & Components – 3.6% | ||||||||
Amphenol Corp. Class A | 27,672 | 1,277,893 | ||||||
FLIR Systems, Inc. (a) | 29,947 | 979,866 | ||||||
2,257,759 | ||||||||
Internet Software & Services – 2.5% | ||||||||
Equinix, Inc. (a) | 14,900 | 1,581,635 | ||||||
IT Services – 4.0% | ||||||||
Cognizant Technology Solutions Corp. Class A (a) | 13,652 | 618,436 | ||||||
Global Payments, Inc. | 25,470 | 1,371,814 | ||||||
Western Union Co. / The | 30,902 | 582,503 | ||||||
2,572,753 | ||||||||
Semiconductors & Semiconductor Equipment – 5.9% | ||||||||
Altera Corp. | 27,598 | 624,543 | ||||||
Broadcom Corp. Class A (a) | 47,857 | 1,505,102 | ||||||
FormFactor, Inc. (a) | 43,638 | 949,563 | ||||||
Linear Technology Corp. | 21,139 | 645,585 | ||||||
3,724,793 | ||||||||
Software – 2.2% | ||||||||
Citrix Systems, Inc. (a) | 17,102 | 711,614 | ||||||
Salesforce.com, Inc. (a) | 9,395 | 693,069 | ||||||
1,404,683 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 11,541,623 | |||||||
MATERIALS – 2.4% | ||||||||
Chemicals – 1.9% | ||||||||
Ecolab, Inc. | 26,644 | 1,187,790 | ||||||
Paper & Forest Products – 0.5% | ||||||||
Schweitzer-Mauduit International, Inc. | 4,844 | 340,775 | ||||||
TOTAL MATERIALS | 1,528,565 | |||||||
TELECOMMUNICATION SERVICES – 5.3% | ||||||||
Diversified Telecommunication Services – 1.8% | ||||||||
tw telecom, inc. (a) | 66,647 | 1,142,330 | ||||||
Wireless Telecommunication Services – 3.5% | ||||||||
American Tower Corp. Class A (a) | 30,830 | 1,332,164 | ||||||
Crown Castle International Corp. (a) | 21,873 | 853,922 | ||||||
2,186,086 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 3,328,416 | |||||||
Total Common Stocks (Cost $57,704,627) | $ | 61,277,624 | ||||||
Money Market Funds – 4.0% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Prime Money Market Portfolio – Class I | 2,524,000 | $ | 2,524,000 | |||||
Total Money Market Funds (Cost $2,524,000) | $ | 2,524,000 | ||||||
Total Investments – 100.5% (Cost $60,228,627) (b) | $ | 63,801,624 | ||||||
Liabilities in Excess of Other Assets – (0.5)% | (299,846 | ) | ||||||
Net Assets – 100.0% | $ | 63,501,778 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Note to Financial Statements. |
77
Mid Cap Opportunity Portfolio
Assets: | ||||
Investments in securities, at value (Cost $60,228,627) | $ | 63,801,624 | ||
Cash | 971 | |||
Receivable for fund shares sold | 28,966 | |||
Dividends and accrued interest receivable | 10,742 | |||
Prepaid expenses and other assets | 893 | |||
Total assets | 63,843,196 | |||
Liabilities: | ||||
Payable for securities purchased | 51,842 | |||
Payable for fund shares redeemed | 223,430 | |||
Payable for investment management services | 44,403 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 426 | |||
Accrued professional fees | 11,165 | |||
Accrued accounting fees | 4,259 | |||
Accrued printing and filing fees | 4,216 | |||
Total liabilities | 341,418 | |||
Net assets | $ | 63,501,778 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 4,121,406 | ||
Paid-in capital in excess of par value | 96,328,818 | |||
Accumulated net realized loss on investments | (40,521,443 | ) | ||
Net unrealized appreciation on investments | 3,572,997 | |||
Net assets | $ | 63,501,778 | ||
Shares outstanding | 4,121,406 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 15.41 | ||
Investment income: | ||||
Interest | $ | 30,709 | ||
Dividends (net of withholding tax of $3,339) | 466,123 | |||
Total investment income | 496,832 | |||
Expenses: | ||||
Management fees | 600,967 | |||
Custodian fees | 9,433 | |||
Directors’ fees | 7,769 | |||
Professional fees | 15,793 | |||
Accounting fees | 32,640 | |||
Printing and filing fees | 13,866 | |||
Compliance expense | 6,376 | |||
Other | 1,859 | |||
Total expenses | 688,703 | |||
Net investment loss | (191,871 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 7,384,263 | |||
Change in unrealized appreciation/depreciation on investments | 14,668,798 | |||
Net realized/unrealized gain (loss) on investments | 22,053,061 | |||
Change in net assets from operations | $ | 21,861,190 | ||
78
Mid Cap Opportunity Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (191,871 | ) | $ | (520,337 | ) | ||
Net realized gain (loss) on investments | 7,384,263 | (47,248,842 | ) | |||||
Change in unrealized appreciation/depreciation on investments | 14,668,798 | (21,088,898 | ) | |||||
Change in net assets from operations | 21,861,190 | (68,858,077 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 37,239,976 | 66,864,431 | ||||||
Paid for shares redeemed | (75,207,718 | ) | (33,801,822 | ) | ||||
Change in net assets from capital transactions | (37,967,742 | ) | 33,062,609 | |||||
Change in net assets | (16,106,552 | ) | (35,795,468 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 79,608,330 | 115,403,798 | ||||||
End of year | $ | 63,501,778 | $ | 79,608,330 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.96 | $ | 22.50 | $ | 19.09 | $ | 17.40 | $ | 15.83 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.05 | ) | (0.07 | ) | (0.09 | ) | (0.09 | ) | (0.07 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 4.50 | (11.47 | ) | 3.50 | 1.78 | 1.64 | ||||||||||||||
Total from operations | 4.45 | (11.54 | ) | 3.41 | 1.69 | 1.57 | ||||||||||||||
Net asset value, end of year | $ | 15.41 | $ | 10.96 | $ | 22.50 | $ | 19.09 | $ | 17.40 | ||||||||||
Total return | 40.60 | % | –51.29 | % | 17.86 | % | 9.71 | % | 9.92 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 63.5 | $ | 79.6 | $ | 115.4 | $ | 86.6 | $ | 90.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.97 | % | 0.94 | % | 0.93 | % | 0.94 | % | 0.95 | % | ||||||||||
Net investment loss | –0.27 | % | –0.53 | % | –0.45 | % | –0.45 | % | –0.40 | % | ||||||||||
Portfolio turnover rate | 276 | % | 297 | % | 267 | % | 209 | % | 205 | % |
79
S&P 500® Index Portfolio
Average Annual Total Returns: | ||||
One year | 25.83% | |||
Five years | -0.03% | |||
Ten years | -1.58% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
80
S&P 500® Index Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 97.6 | ||
Exchange Traded Funds | 2.1 | ||
Commercial Paper and | |||
Other Net Assets | 0.3 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Exxon Mobil Corp. | 3.2 | |||||
2. | Microsoft Corp. | 2.3 | |||||
3. | Standard & Poor’s Depositary Receipts | 2.1 | |||||
4. | Apple, Inc. | 1.9 | |||||
5. | Johnson & Johnson | 1.7 | |||||
6. | Procter & Gamble Co. / The | 1.7 | |||||
7. | International Business Machines Corp. | 1.7 | |||||
8. | AT&T, Inc. | 1.6 | |||||
9. | JPMorgan Chase & Co. | 1.6 | |||||
10. | General Electric Co. | 1.6 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 19.4 | ||
Financials | 14.0 | ||
Health Care | 12.3 | ||
Energy | 11.2 | ||
Consumer Staples | 11.1 | ||
Industrials | 10.0 | ||
Consumer Discretionary | 9.4 | ||
Utilities | 3.6 | ||
Materials | 3.5 | ||
Telecommunication Services | 3.1 | ||
97.6 | |||
81
S&P 500® Index Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 9.4% | ||||||||
Auto Components – 0.2% | ||||||||
Goodyear Tire & Rubber Co. / The (a) | 3,800 | $ | 53,580 | |||||
Johnson Controls, Inc. | 10,600 | 288,744 | ||||||
342,324 | ||||||||
Automobiles – 0.4% | ||||||||
Ford Motor Co. (a) | 52,187 | 521,870 | ||||||
Harley-Davidson, Inc. | 3,700 | 93,240 | ||||||
615,110 | ||||||||
Distributors – 0.1% | ||||||||
Genuine Parts Co. | 2,500 | 94,900 | ||||||
Diversified Consumer Services – 0.2% | ||||||||
Apollo Group, Inc. Class A (a) | 2,000 | 121,160 | ||||||
DeVry, Inc. | 1,000 | 56,730 | ||||||
H&R Block, Inc. | 5,300 | 119,886 | ||||||
297,776 | ||||||||
Hotels, Restaurants & Leisure – 1.5% | ||||||||
Carnival Corp. (a) | 6,900 | 218,661 | ||||||
Darden Restaurants, Inc. | 2,200 | 77,154 | ||||||
International Game Technology | 4,700 | 88,219 | ||||||
Marriott International, Inc. Class A | 4,046 | 110,254 | ||||||
McDonald’s Corp. | 17,000 | 1,061,480 | ||||||
Starbucks Corp. (a) | 11,700 | 269,802 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,000 | 109,710 | ||||||
Wyndham Worldwide Corp. | 2,860 | 57,686 | ||||||
Wynn Resorts Ltd. (a) | 1,100 | 64,053 | ||||||
Yum! Brands, Inc. | 7,400 | 258,778 | ||||||
2,315,797 | ||||||||
Household Durables – 0.3% | ||||||||
Black & Decker Corp. / The | 1,000 | 64,830 | ||||||
D.R. Horton, Inc. | 4,400 | 47,828 | ||||||
Fortune Brands, Inc. | 2,400 | 103,680 | ||||||
Harman International Industries, Inc. | 1,100 | 38,808 | ||||||
Leggett & Platt, Inc. | 2,400 | 48,960 | ||||||
Lennar Corp. Class A | 2,500 | 31,925 | ||||||
Newell Rubbermaid, Inc. | 4,400 | 66,044 | ||||||
Pulte Homes, Inc. (a) | 4,950 | 49,500 | ||||||
Whirlpool Corp. | 1,155 | 93,162 | ||||||
544,737 | ||||||||
Internet & Catalog Retail – 0.6% | ||||||||
Amazon.com, Inc. (a) | 5,300 | 712,956 | ||||||
Expedia, Inc. (a) | 3,300 | 84,843 | ||||||
Priceline.com, Inc. (a) | 650 | 142,025 | ||||||
939,824 | ||||||||
Leisure Equipment & Products – 0.1% | ||||||||
Eastman Kodak Co. (a) | 4,200 | 17,724 | ||||||
Hasbro, Inc. | 2,000 | 64,120 | ||||||
Mattel, Inc. | 5,700 | 113,886 | ||||||
195,730 | ||||||||
Media – 2.8% | ||||||||
CBS Corp. Class B | 10,650 | 149,632 | ||||||
Comcast Corp. Class A | 45,053 | 759,594 | ||||||
DIRECTV Group, Inc. / The (a) | 15,100 | 503,585 | ||||||
Gannett Co., Inc. | 3,700 | 54,945 | ||||||
Interpublic Group of Companies, Inc. (a) | 7,723 | 56,996 | ||||||
McGraw-Hill Companies, Inc. / The | 5,000 | 167,550 | ||||||
Meredith Corp. | 600 | 18,510 | ||||||
New York Times Co. Class A / The (a) | 1,800 | 22,248 | ||||||
News Corp. Class A | 35,600 | 487,364 | ||||||
Omnicom Group, Inc. | 4,900 | 191,835 | ||||||
Scripps Networks Interactive, Inc. | 1,400 | 58,100 | ||||||
Time Warner Cable, Inc. | 5,532 | 228,969 | ||||||
Time Warner, Inc. | 18,466 | 538,099 | ||||||
Viacom, Inc. Class B (a) | 9,550 | 283,922 | ||||||
Walt Disney Co. / The | 30,300 | 977,175 | ||||||
Washington Post Co. Class B / The | 100 | 43,960 | ||||||
4,542,484 | ||||||||
Multiline Retail – 0.8% | ||||||||
Big Lots, Inc. (a) | 1,300 | 37,674 | ||||||
Family Dollar Stores, Inc. | 2,200 | 61,226 | ||||||
J.C. Penney Co., Inc. | 3,700 | 98,457 | ||||||
Kohl’s Corp. (a) | 4,800 | 258,864 | ||||||
Macy’s, Inc. | 6,676 | 111,890 | ||||||
Nordstrom, Inc. | 2,600 | 97,708 | ||||||
Sears Holdings Corp. (a) | 801 | 66,843 | ||||||
Target Corp. | 11,900 | 575,603 | ||||||
1,308,265 | ||||||||
Specialty Retail – 1.9% | ||||||||
Abercrombie & Fitch Co. Class A | 1,400 | 48,790 | ||||||
AutoNation, Inc. (a) | 1,500 | 28,725 | ||||||
AutoZone, Inc. (a) | 500 | 79,035 | ||||||
Bed Bath & Beyond, Inc. (a) | 4,100 | 158,383 | ||||||
Best Buy Co., Inc. | 5,375 | 212,097 | ||||||
GameStop Corp. Class A (a) | 2,600 | 57,044 | ||||||
Gap, Inc. / The | 7,550 | 158,173 | ||||||
Home Depot, Inc. / The | 26,900 | 778,217 | ||||||
Limited Brands, Inc. | 4,200 | 80,808 | ||||||
Lowe’s Companies, Inc. | 23,200 | 542,648 | ||||||
Office Depot, Inc. (a) | 4,300 | 27,735 | ||||||
O’Reilly Automotive, Inc. (a) | 2,200 | 83,864 | ||||||
RadioShack Corp. | 2,000 | 39,000 | ||||||
Ross Stores, Inc. | 2,000 | 85,420 | ||||||
Sherwin-Williams Co. / The | 1,500 | 92,475 | ||||||
Staples, Inc. | 11,400 | 280,326 | ||||||
Tiffany & Co. | 2,000 | 86,000 | ||||||
TJX Cos., Inc. / The | 6,600 | 241,230 | ||||||
3,079,970 | ||||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
Coach, Inc. | 5,000 | 182,650 | ||||||
NIKE, Inc. Class B | 6,200 | 409,634 |
82
S&P 500® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods (continued) | ||||||||
Polo Ralph Lauren Corp. | 900 | $ | 72,882 | |||||
V.F. Corp. | 1,400 | 102,536 | ||||||
767,702 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 15,044,619 | |||||||
CONSUMER STAPLES – 11.1% | ||||||||
Beverages – 2.6% | ||||||||
Brown-Forman Corp. Class B | 1,750 | 93,747 | ||||||
Coca-Cola Co. / The | 36,600 | 2,086,200 | ||||||
Coca-Cola Enterprises, Inc. | 5,000 | 106,000 | ||||||
Constellation Brands, Inc. Class A (a) | 3,100 | 49,383 | ||||||
Dr Pepper Snapple Group, Inc. | 4,000 | 113,200 | ||||||
Molson Coors Brewing Co. Class B | 2,500 | 112,900 | ||||||
Pepsi Bottling Group, Inc. / The | 2,300 | 86,250 | ||||||
PepsiCo, Inc. | 24,600 | 1,495,680 | ||||||
4,143,360 | ||||||||
Food & Staples Retailing – 2.6% | ||||||||
Costco Wholesale Corp. | 6,900 | 408,273 | ||||||
CVS Caremark Corp. | 22,320 | 718,927 | ||||||
Kroger Co. / The | 10,300 | 211,459 | ||||||
Safeway, Inc. | 6,400 | 136,256 | ||||||
SUPERVALU, Inc. | 3,319 | 42,185 | ||||||
Sysco Corp. | 9,300 | 259,842 | ||||||
Walgreen Co. | 15,600 | 572,832 | ||||||
Wal-Mart Stores, Inc. | 33,700 | 1,801,265 | ||||||
Whole Foods Market, Inc. (a) | 2,200 | 60,390 | ||||||
4,211,429 | ||||||||
Food Products – 1.6% | ||||||||
Archer-Daniels-Midland Co. | 10,150 | 317,796 | ||||||
Campbell Soup Co. | 3,000 | 101,400 | ||||||
ConAgra Foods, Inc. | 7,000 | 161,350 | ||||||
Dean Foods Co. (a) | 2,900 | 52,316 | ||||||
General Mills, Inc. | 5,200 | 368,212 | ||||||
H.J. Heinz Co. | 5,000 | 213,800 | ||||||
Hershey Company / The | 2,600 | 93,054 | ||||||
Hormel Foods Corp. | 1,100 | 42,295 | ||||||
J.M. Smucker Co. / The | 1,900 | 117,325 | ||||||
Kellogg Co. | 4,000 | 212,800 | ||||||
Kraft Foods, Inc. Class A | 23,376 | 635,360 | ||||||
McCormick & Co., Inc. | 2,100 | 75,873 | ||||||
Sara Lee Corp. | 11,000 | 133,980 | ||||||
Tyson Foods, Inc. Class A | 4,800 | 58,896 | ||||||
2,584,457 | ||||||||
Household Products – 2.5% | ||||||||
Clorox Co. / The | 2,200 | 134,200 | ||||||
Colgate-Palmolive Co. | 7,900 | 648,985 | ||||||
Kimberly-Clark Corp. | 6,600 | 420,486 | ||||||
Procter & Gamble Co. / The | 46,122 | 2,796,377 | ||||||
4,000,048 | ||||||||
Personal Products – 0.3% | ||||||||
Avon Products, Inc. | 6,700 | 211,050 | ||||||
Estee Lauder Cos. Inc. Class A / The | 1,900 | 91,884 | ||||||
Mead Johnson Nutrition Co. | 3,251 | 142,069 | ||||||
445,003 | ||||||||
Tobacco – 1.5% | ||||||||
Altria Group, Inc. | 32,700 | 641,901 | ||||||
Lorillard, Inc. | 2,497 | 200,334 | ||||||
Philip Morris International, Inc. | 30,100 | 1,450,519 | ||||||
Reynolds American, Inc. | 2,700 | 143,019 | ||||||
2,435,773 | ||||||||
TOTAL CONSUMER STAPLES | 17,820,070 | |||||||
ENERGY – 11.2% | ||||||||
Energy Equipment & Services – 1.8% | ||||||||
Baker Hughes, Inc. | 4,900 | 198,352 | ||||||
BJ Services Co. | 4,600 | 85,560 | ||||||
Cameron International Corp. (a) | 3,900 | 163,020 | ||||||
Diamond Offshore Drilling, Inc. | 1,100 | 108,262 | ||||||
FMC Technologies, Inc. (a) | 1,900 | 109,896 | ||||||
Halliburton Co. | 14,200 | 427,278 | ||||||
Nabors Industries Ltd. (a) | 4,500 | 98,505 | ||||||
National Oilwell Varco, Inc. (a) | 6,600 | 290,994 | ||||||
Rowan Cos., Inc. (a) | 1,800 | 40,752 | ||||||
Schlumberger Ltd. | 19,000 | 1,236,710 | ||||||
Smith International, Inc. | 3,900 | 105,963 | ||||||
2,865,292 | ||||||||
Oil, Gas & Consumable Fuels – 9.4% | ||||||||
Anadarko Petroleum Corp. | 7,800 | 486,876 | ||||||
Apache Corp. | 5,322 | 549,071 | ||||||
Cabot Oil & Gas Corp. | 1,600 | 69,744 | ||||||
Chesapeake Energy Corp. | 10,200 | 263,976 | ||||||
Chevron Corp. | 31,638 | 2,435,810 | ||||||
ConocoPhillips | 23,400 | 1,195,038 | ||||||
CONSOL Energy, Inc. | 2,900 | 144,420 | ||||||
Denbury Resources, Inc. (a) | 3,900 | 57,720 | ||||||
Devon Energy Corp. | 7,000 | 514,500 | ||||||
El Paso Corp.�� | 11,100 | 109,113 | ||||||
EOG Resources, Inc. | 4,000 | 389,200 | ||||||
Exxon Mobil Corp. | 75,000 | 5,114,250 | ||||||
Hess Corp. | 4,600 | 278,300 | ||||||
Marathon Oil Corp. | 11,220 | 350,288 | ||||||
Massey Energy Corp. | 1,400 | 58,814 | ||||||
Murphy Oil Corp. | 3,000 | 162,600 | ||||||
Noble Energy, Inc. | 2,700 | 192,294 | ||||||
Occidental Petroleum Corp. | 12,800 | 1,041,280 | ||||||
Peabody Energy Corp. | 4,200 | 189,882 | ||||||
Pioneer Natural Resources Co. | 1,800 | 86,706 | ||||||
Range Resources Corp. | 2,500 | 124,625 | ||||||
Southwestern Energy Co. (a) | 5,500 | 265,100 | ||||||
Spectra Energy Corp. | 10,218 | 209,571 | ||||||
Sunoco, Inc. | 1,800 | 46,980 | ||||||
Tesoro Corp. | 2,200 | 29,810 | ||||||
Valero Energy Corp. | 8,900 | 149,075 |
83
S&P 500® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Williams Cos., Inc. / The | 9,200 | $ | 193,936 | |||||
XTO Energy, Inc. | 9,166 | 426,494 | ||||||
15,135,473 | ||||||||
TOTAL ENERGY | 18,000,765 | |||||||
FINANCIALS – 14.0% | ||||||||
Capital Markets – 2.7% | ||||||||
Ameriprise Financial, Inc. | 3,980 | 154,503 | ||||||
Bank Of New York Mellon Corp. / The | 19,011 | 531,738 | ||||||
Charles Schwab Corp. / The | 15,000 | 282,300 | ||||||
E*TRADE Financial Corp. (a) | 24,500 | 42,875 | ||||||
Federated Investors, Inc. Class B | 1,400 | 38,500 | ||||||
Franklin Resources, Inc. | 2,400 | 252,840 | ||||||
Goldman Sachs Group, Inc. / The | 8,150 | 1,376,046 | ||||||
Invesco Ltd. | 6,800 | 159,732 | ||||||
Janus Capital Group, Inc. | 2,900 | 39,005 | ||||||
Legg Mason, Inc. | 2,600 | 78,416 | ||||||
Morgan Stanley | 21,500 | 636,400 | ||||||
Northern Trust Corp. | 3,800 | 199,120 | ||||||
State Street Corp. | 7,800 | 339,612 | ||||||
T. Rowe Price Group, Inc. | 4,100 | 218,325 | ||||||
4,349,412 | ||||||||
Commercial Banks – 2.7% | ||||||||
BB&T Corp. | 10,900 | 276,533 | ||||||
Comerica, Inc. | 2,400 | 70,968 | ||||||
Fifth Third Bancorp | 12,550 | 122,362 | ||||||
First Horizon National Corp. (a) | 3,548 | 47,548 | ||||||
Huntington Bancshares, Inc. | 11,300 | 41,245 | ||||||
KeyCorp | 13,900 | 77,145 | ||||||
M&T Bank Corp. | 1,300 | 86,957 | ||||||
Marshall & Ilsley Corp. | 8,300 | 45,235 | ||||||
PNC Financial Services Group, Inc. | 7,242 | 382,305 | ||||||
Regions Financial Corp. | 18,775 | 99,320 | ||||||
SunTrust Banks, Inc. | 7,900 | 160,291 | ||||||
U.S. Bancorp | 30,190 | 679,577 | ||||||
Wells Fargo & Co. | 80,713 | 2,178,444 | ||||||
Zions Bancorporation | 2,200 | 28,226 | ||||||
4,296,156 | ||||||||
Consumer Finance – 0.8% | ||||||||
American Express Co. | 18,800 | 761,776 | ||||||
Capital One Financial Corp. | 7,073 | 271,179 | ||||||
Discover Financial Services | 8,550 | 125,770 | ||||||
SLM Corp. (a) | 7,500 | 84,525 | ||||||
1,243,250 | ||||||||
Diversified Financial Services – 4.2% | ||||||||
Bank of America Corp. | 156,927 | 2,363,321 | ||||||
Citigroup, Inc. | 308,169 | 1,020,039 | ||||||
CME Group, Inc. | 1,075 | 361,146 | ||||||
IntercontinentalExchange, Inc. (a) | 1,200 | 134,760 | ||||||
JPMorgan Chase & Co. | 62,243 | 2,593,666 | ||||||
Leucadia National Corp. (a) | 3,000 | 71,370 | ||||||
Moody’s Corp. | 3,100 | 83,080 | ||||||
NASDAQ OMX Group, Inc. / The (a) | 2,300 | 45,586 | ||||||
NYSE Euronext | 4,100 | 103,730 | ||||||
6,776,698 | ||||||||
Insurance – 2.3% | ||||||||
Aflac, Inc. | 7,400 | 342,250 | ||||||
Allstate Corp. / The | 8,500 | 255,340 | ||||||
American International Group, Inc. (a) | 2,095 | 62,808 | ||||||
AON Corp. | 4,300 | 164,862 | ||||||
Assurant, Inc. | 1,800 | 53,064 | ||||||
Chubb Corp. / The | 5,400 | 265,572 | ||||||
Cincinnati Financial Corp. | 2,566 | 67,332 | ||||||
Genworth Financial, Inc. Class A (a) | 7,700 | 87,395 | ||||||
Hartford Financial Services Group, Inc. / The | 6,000 | 139,560 | ||||||
Lincoln National Corp. | 4,786 | 119,076 | ||||||
Loews Corp. | 5,661 | 205,777 | ||||||
Marsh & Mclennan Companies, Inc. | 8,300 | 183,264 | ||||||
MetLife, Inc. | 12,900 | 456,015 | ||||||
Principal Financial Group, Inc. | 5,000 | 120,200 | ||||||
Progressive Corp. / The (a) | 10,600 | 190,694 | ||||||
Prudential Financial, Inc. | 7,300 | 363,248 | ||||||
Torchmark Corp. | 1,300 | 57,135 | ||||||
Travelers Companies, Inc. / The | 8,659 | 431,738 | ||||||
Unum Group | 5,200 | 101,504 | ||||||
XL Capital Ltd. Class A | 5,400 | 98,982 | ||||||
3,765,816 | ||||||||
Real Estate Investment Trusts – 1.2% | ||||||||
Apartment Investment & Management Co. Class A | 1,873 | 29,818 | ||||||
AvalonBay Communities, Inc. | 1,331 | 109,289 | ||||||
Boston Properties, Inc. | 2,200 | 147,554 | ||||||
Equity Residential | 4,400 | 148,632 | ||||||
HCP, Inc. | 4,600 | 140,484 | ||||||
Health Care REIT, Inc. | 1,900 | 84,208 | ||||||
Host Hotels & Resorts, Inc. | 10,002 | 116,734 | ||||||
Kimco Realty Corp. | 6,300 | 85,239 | ||||||
Plum Creek Timber Co. Inc. | 2,600 | 98,176 | ||||||
ProLogis | 7,500 | 102,675 | ||||||
Public Storage | 2,100 | 171,045 | ||||||
Simon Property Group, Inc. | 4,562 | 364,053 | ||||||
Ventas, Inc. | 2,500 | 109,350 | ||||||
Vornado Realty Trust | 2,493 | 174,360 | ||||||
1,881,617 | ||||||||
Real Estate Management & Development – 0.0% | ||||||||
CB Richard Ellis Group, Inc. (a) | 4,300 | 58,351 | ||||||
Thrifts & Mortgage Finance – 0.1% | ||||||||
Hudson City Bancorp, Inc. | 7,500 | 102,975 | ||||||
Peoples United Financial, Inc. | 5,500 | 91,850 | ||||||
194,825 | ||||||||
TOTAL FINANCIALS | 22,566,125 | |||||||
84
S&P 500® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
HEALTH CARE – 12.3% | ||||||||
Biotechnology – 1.5% | ||||||||
Amgen, Inc. (a) | 16,006 | $ | 905,459 | |||||
Biogen Idec, Inc. (a) | 4,545 | 243,158 | ||||||
Celgene Corp. (a) | 7,300 | 406,464 | ||||||
Cephalon, Inc. (a) | 1,200 | 74,892 | ||||||
Genzyme Corp. (a) | 4,200 | 205,842 | ||||||
Gilead Sciences, Inc. (a) | 14,200 | 614,576 | ||||||
2,450,391 | ||||||||
Health Care Equipment & Supplies – 2.0% | ||||||||
Baxter International, Inc. | 9,500 | 557,460 | ||||||
Becton Dickinson & Co. | 3,700 | 291,782 | ||||||
Boston Scientific Corp. (a) | 23,903 | 215,127 | ||||||
C.R. Bard, Inc. | 1,500 | 116,850 | ||||||
CareFusion Corp. (a) | 2,750 | 68,777 | ||||||
DENTSPLY International, Inc. | 2,400 | 84,408 | ||||||
Hospira, Inc. (a) | 2,610 | 133,110 | ||||||
Intuitive Surgical, Inc. (a) | 600 | 181,992 | ||||||
Medtronic, Inc. | 17,500 | 769,650 | ||||||
St. Jude Medical, Inc. (a) | 5,300 | 194,934 | ||||||
Stryker Corp. | 4,500 | 226,665 | ||||||
Varian Medical Systems, Inc. (a) | 2,000 | 93,700 | ||||||
Zimmer Holdings, Inc. (a) | 3,370 | 199,201 | ||||||
3,133,656 | ||||||||
Health Care Providers & Services – 2.1% | ||||||||
Aetna, Inc. | 6,800 | 215,560 | ||||||
AmerisourceBergen Corp. | 4,500 | 117,315 | ||||||
Cardinal Health, Inc. | 5,700 | 183,768 | ||||||
CIGNA Corp. | 4,300 | 151,661 | ||||||
Coventry Health Care, Inc. (a) | 2,300 | 55,867 | ||||||
DaVita, Inc. (a) | 1,600 | 93,984 | ||||||
Express Scripts, Inc. (a) | 4,300 | 371,735 | ||||||
Humana, Inc. (a) | 2,700 | 118,503 | ||||||
Laboratory Corp. of America Holdings (a) | 1,700 | 127,228 | ||||||
McKesson Corp. | 4,200 | 262,500 | ||||||
Medco Health Solutions, Inc. (a) | 7,576 | 484,182 | ||||||
Patterson Cos., Inc. (a) | 1,500 | 41,970 | ||||||
Quest Diagnostics, Inc. | 2,500 | 150,950 | ||||||
Tenet Healthcare Corp. (a) | 6,850 | 36,922 | ||||||
UnitedHealth Group, Inc. | 18,400 | 560,832 | ||||||
WellPoint, Inc. (a) | 7,200 | 419,688 | ||||||
3,392,665 | ||||||||
Health Care Technology – 0.0% | ||||||||
IMS Health, Inc. | 2,900 | 61,074 | ||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Life Technologies Corp. (a) | 2,817 | 147,132 | ||||||
Millipore Corp. (a) | 900 | 65,115 | ||||||
PerkinElmer, Inc. | 1,800 | 37,062 | ||||||
Thermo Fisher Scientific, Inc. (a) | 6,400 | 305,216 | ||||||
Waters Corp. (a) | 1,500 | 92,940 | ||||||
647,465 | ||||||||
Pharmaceuticals – 6.3% | ||||||||
Abbott Laboratories | 24,400 | 1,317,356 | ||||||
Allergan, Inc. | 4,900 | 308,749 | ||||||
Bristol-Myers Squibb Co. | 26,969 | 680,967 | ||||||
Eli Lilly & Co. | 16,000 | 571,360 | ||||||
Forest Laboratories, Inc. (a) | 4,800 | 154,128 | ||||||
Johnson & Johnson | 43,600 | 2,808,276 | ||||||
King Pharmaceuticals, Inc. (a) | 3,900 | 47,853 | ||||||
Merck & Co., Inc. | 48,194 | 1,761,009 | ||||||
Mylan, Inc. (a) | 4,800 | 88,464 | ||||||
Pfizer, Inc. | 127,410 | 2,317,588 | ||||||
Watson Pharmaceuticals, Inc. (a) | 1,700 | 67,337 | ||||||
10,123,087 | ||||||||
TOTAL HEALTH CARE | 19,808,338 | |||||||
INDUSTRIALS – 10.0% | ||||||||
Aerospace & Defense – 2.7% | ||||||||
Boeing Co. / The | 11,500 | 622,495 | ||||||
General Dynamics Corp. | 6,100 | 415,837 | ||||||
Goodrich Corp. | 2,000 | 128,500 | ||||||
Honeywell International, Inc. | 12,100 | 474,320 | ||||||
ITT Corp. | 2,900 | 144,246 | ||||||
L-3 Communications Holdings, Inc. | 1,800 | 156,510 | ||||||
Lockheed Martin Corp. | 5,100 | 384,285 | ||||||
Northrop Grumman Corp. | 5,000 | 279,250 | ||||||
Precision Castparts Corp. | 2,200 | 242,770 | ||||||
Raytheon Co. | 6,100 | 314,272 | ||||||
Rockwell Collins, Inc. | 2,500 | 138,400 | ||||||
United Technologies Corp. | 14,800 | 1,027,268 | ||||||
4,328,153 | ||||||||
Air Freight & Logistics – 1.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 2,600 | 152,698 | ||||||
Expeditors International of Washington, Inc. | 3,300 | 114,609 | ||||||
FedEx Corp. | 4,900 | 408,905 | ||||||
United Parcel Service, Inc. Class B | 15,700 | 900,709 | ||||||
1,576,921 | ||||||||
Airlines – 0.1% | ||||||||
Southwest Airlines Co. | 11,700 | 133,731 | ||||||
Building Products – 0.0% | ||||||||
Masco Corp. | 5,700 | 78,717 | ||||||
Commercial Services & Supplies – 0.5% | ||||||||
Avery Dennison Corp. | 1,800 | 65,682 | ||||||
Cintas Corp. | 2,100 | 54,705 | ||||||
Iron Mountain, Inc. (a) | 2,900 | 66,004 | ||||||
Pitney Bowes, Inc. | 3,300 | 75,108 | ||||||
R.R. Donnelley & Sons Co. | 3,200 | 71,264 | ||||||
Republic Services, Inc. | 5,080 | 143,815 | ||||||
Stericycle, Inc. (a) | 1,300 | 71,721 | ||||||
Waste Management, Inc. | 7,700 | 260,337 | ||||||
808,636 | ||||||||
Construction & Engineering – 0.2% | ||||||||
Fluor Corp. | 2,800 | 126,112 | ||||||
Jacobs Engineering Group, Inc. (a) | 2,000 | 75,220 | ||||||
Quanta Services, Inc. (a) | 3,300 | 68,772 | ||||||
270,104 | ||||||||
85
S&P 500® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
Electrical Equipment – 0.5% | ||||||||
Emerson Electric Co. | 11,900 | $ | 506,940 | |||||
First Solar, Inc. (a) | 750 | 101,550 | ||||||
Rockwell Automation, Inc. | 2,200 | 103,356 | ||||||
Roper Industries, Inc. | 1,400 | 73,318 | ||||||
785,164 | ||||||||
Industrial Conglomerates – 2.2% | ||||||||
3M Co. | 11,200 | 925,904 | ||||||
General Electric Co. | 168,200 | 2,544,866 | ||||||
Textron, Inc. | 4,300 | 80,883 | ||||||
3,551,653 | ||||||||
Machinery – 1.6% | ||||||||
Caterpillar, Inc. | 9,800 | 558,502 | ||||||
Cummins, Inc. | 3,200 | 146,752 | ||||||
Danaher Corp. | 4,100 | 308,320 | ||||||
Deere & Co. | 6,700 | 362,403 | ||||||
Dover Corp. | 2,900 | 120,669 | ||||||
Eaton Corp. | 2,600 | 165,412 | ||||||
Flowserve Corp. | 900 | 85,077 | ||||||
Illinois Tool Works, Inc. | 6,100 | 292,739 | ||||||
PACCAR, Inc. | 5,712 | 207,174 | ||||||
Pall Corp. | 1,800 | 65,160 | ||||||
Parker Hannifin Corp. | 2,500 | 134,700 | ||||||
Snap-On, Inc. | 900 | 38,034 | ||||||
Stanley Works / The | 1,300 | 66,963 | ||||||
2,551,905 | ||||||||
Professional Services – 0.1% | ||||||||
Dun & Bradstreet Corp. | 800 | 67,496 | ||||||
Equifax, Inc. | 2,000 | 61,780 | ||||||
Monster Worldwide, Inc. (a) | 2,000 | 34,800 | ||||||
Robert Half International, Inc. | 2,400 | 64,152 | ||||||
228,228 | ||||||||
Road & Rail – 1.0% | ||||||||
Burlington Northern Santa Fe Corp. | 4,100 | 404,342 | ||||||
CSX Corp. | 6,200 | 300,638 | ||||||
Norfolk Southern Corp. | 5,800 | 304,036 | ||||||
Ryder System, Inc. | 900 | 37,053 | ||||||
Union Pacific Corp. | 8,000 | 511,200 | ||||||
1,557,269 | ||||||||
Trading Companies & Distributors – 0.1% | ||||||||
Fastenal Co. | 2,100 | 87,444 | ||||||
W.W. Grainger, Inc. | 1,000 | 96,830 | ||||||
184,274 | ||||||||
TOTAL INDUSTRIALS | 16,054,755 | |||||||
INFORMATION TECHNOLOGY – 19.4% | ||||||||
Communications Equipment – 2.5% | ||||||||
Cisco Systems, Inc. (a) | 90,900 | 2,176,146 | ||||||
Harris Corp. | 2,100 | 99,855 | ||||||
JDS Uniphase Corp. (a) | 3,475 | 28,669 | ||||||
Juniper Networks, Inc. (a) | 8,300 | 221,361 | ||||||
Motorola, Inc. (a) | 36,500 | 283,240 | ||||||
QUALCOMM, Inc. | 26,400 | 1,221,264 | ||||||
Tellabs, Inc. (a) | 6,100 | 34,648 | ||||||
4,065,183 | ||||||||
Computers & Peripherals – 5.8% | ||||||||
Apple, Inc. (a) | 14,200 | 2,994,212 | ||||||
Dell, Inc. (a) | 27,200 | 390,592 | ||||||
EMC Corp. (a) | 32,200 | 562,534 | ||||||
Hewlett-Packard Co. | 37,400 | 1,926,474 | ||||||
International Business Machines Corp. | 20,700 | 2,709,630 | ||||||
Lexmark International, Inc. Class A (a) | 1,200 | 31,176 | ||||||
NetApp, Inc. (a) | 5,400 | 185,706 | ||||||
QLogic Corp. (a) | 1,800 | 33,966 | ||||||
SanDisk Corp. (a) | 3,600 | 104,364 | ||||||
Sun Microsystems, Inc. (a) | 11,850 | 111,035 | ||||||
Teradata Corp. (a) | 2,700 | 84,861 | ||||||
Western Digital Corp. (a) | 3,600 | 158,940 | ||||||
9,293,490 | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Agilent Technologies, Inc. (a) | 5,500 | 170,885 | ||||||
Amphenol Corp. Class A | 2,700 | 124,686 | ||||||
Corning, Inc. | 24,600 | 475,026 | ||||||
FLIR Systems, Inc. (a) | 2,400 | 78,528 | ||||||
Jabil Circuit, Inc. | 3,000 | 52,110 | ||||||
Molex, Inc. | 2,100 | 45,255 | ||||||
946,490 | ||||||||
Internet Software & Services – 2.0% | ||||||||
Akamai Technologies, Inc. (a) | 2,700 | 68,391 | ||||||
eBay, Inc. (a) | 17,800 | 419,012 | ||||||
Google, Inc. Class A (a) | 3,850 | 2,386,923 | ||||||
VeriSign, Inc. (a) | 3,000 | 72,720 | ||||||
Yahoo!, Inc. (a) | 18,800 | 315,464 | ||||||
3,262,510 | ||||||||
IT Services – 1.6% | ||||||||
Affiliated Computer Services, Inc. Class A (a) | 1,500 | 89,535 | ||||||
Automatic Data Processing, Inc. | 8,000 | 342,560 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 4,700 | 212,910 | ||||||
Computer Sciences Corp. (a) | 2,400 | 138,072 | ||||||
Fidelity National Information Services, Inc. | 5,200 | 121,888 | ||||||
Fiserv, Inc. (a) | 2,400 | 116,352 | ||||||
Mastercard, Inc. Class A | 1,525 | 390,369 | ||||||
Paychex, Inc. | 5,100 | 156,264 | ||||||
SAIC, Inc. (a) | 4,800 | 90,912 | ||||||
Total System Services, Inc. | 3,077 | 53,140 | ||||||
Visa, Inc. | 7,100 | 620,966 | ||||||
Western Union Co. / The | 10,947 | 206,351 | ||||||
2,539,319 | ||||||||
Office Electronics – 0.1% | ||||||||
Xerox Corp. | 13,700 | 115,902 | ||||||
86
S&P 500® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – 2.5% | ||||||||
Advanced Micro Devices, Inc. (a) | 8,900 | $ | 86,152 | |||||
Altera Corp. | 4,700 | 106,361 | ||||||
Analog Devices, Inc. | 4,600 | 145,268 | ||||||
Applied Materials, Inc. | 21,100 | 294,134 | ||||||
Broadcom Corp. Class A (a) | 6,850 | 215,432 | ||||||
Intel Corp. | 87,200 | 1,778,880 | ||||||
KLA-Tencor Corp. | 2,700 | 97,632 | ||||||
Linear Technology Corp. | 3,500 | 106,890 | ||||||
LSI Corp. (a) | 10,300 | 61,903 | ||||||
MEMC Electronic Materials, Inc. (a) | 3,500 | 47,670 | ||||||
Microchip Technology, Inc. | 2,900 | 84,274 | ||||||
Micron Technology, Inc. (a) | 13,400 | 141,504 | ||||||
National Semiconductor Corp. | 3,700 | 56,832 | ||||||
Novellus Systems, Inc. (a) | 1,500 | 35,010 | ||||||
NVIDIA Corp. (a) | 8,800 | 164,384 | ||||||
Teradyne, Inc. (a) | 2,800 | 30,044 | ||||||
Texas Instruments, Inc. | 19,800 | 515,988 | ||||||
Xilinx, Inc. | 4,400 | 110,264 | ||||||
4,078,622 | ||||||||
Software – 4.3% | ||||||||
Adobe Systems, Inc. (a) | 8,300 | 305,274 | ||||||
Autodesk, Inc. (a) | 3,600 | 91,476 | ||||||
BMC Software, Inc. (a) | 2,900 | 116,290 | ||||||
CA, Inc. | 6,300 | 141,498 | ||||||
Citrix Systems, Inc. (a) | 2,900 | 120,669 | ||||||
Compuware Corp. (a) | 3,600 | 26,028 | ||||||
Electronic Arts, Inc. (a) | 5,100 | 90,525 | ||||||
Intuit, Inc. (a) | 5,000 | 153,550 | ||||||
McAfee, Inc. (a) | 2,500 | 101,425 | ||||||
Microsoft Corp. | 122,000 | 3,719,780 | ||||||
Novell, Inc. (a) | 5,500 | 22,825 | ||||||
Oracle Corp. | 61,800 | 1,516,572 | ||||||
Red Hat, Inc. (a) | 3,000 | 92,700 | ||||||
Salesforce.com, Inc. (a) | 1,700 | 125,409 | ||||||
Symantec Corp. (a) | 12,794 | 228,885 | ||||||
6,852,906 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 31,154,422 | |||||||
MATERIALS – 3.5% | ||||||||
Chemicals – 1.9% | ||||||||
Air Products and Chemicals, Inc. | 3,300 | 267,498 | ||||||
Airgas, Inc. | 1,300 | 61,880 | ||||||
CF Industries Holdings, Inc. | 800 | 72,624 | ||||||
Dow Chemical Co. / The | 18,100 | 500,103 | ||||||
E.I. du Pont de Nemours & Co. | 14,300 | 481,481 | ||||||
Eastman Chemical Co. | 1,100 | 66,264 | ||||||
Ecolab, Inc. | 3,800 | 169,404 | ||||||
FMC Corp. | 1,100 | 61,336 | ||||||
International Flavors & Fragrances, Inc. | 1,200 | 49,368 | ||||||
Monsanto Co. | 8,586 | 701,906 | ||||||
PPG Industrials, Inc. | 2,600 | 152,204 | ||||||
Praxair, Inc. | 4,800 | 385,488 | ||||||
Sigma-Aldrich Corp. | 1,900 | 96,007 | ||||||
3,065,563 | ||||||||
Construction Materials – 0.1% | ||||||||
Vulcan Materials Co. | 2,000 | 105,340 | ||||||
Containers & Packaging – 0.2% | ||||||||
Ball Corp. | 1,500 | 77,550 | ||||||
Bemis Co., Inc | 1,700 | 50,405 | ||||||
Owens-Illinois, Inc. (a) | 2,700 | 88,749 | ||||||
Pactiv Corp. (a) | 2,100 | 50,694 | ||||||
Sealed Air Corp. | 2,500 | 54,650 | ||||||
322,048 | ||||||||
Metals & Mining – 1.1% | ||||||||
AK Steel Holding Corp. | 1,700 | 36,295 | ||||||
Alcoa, Inc. | 15,400 | 248,248 | ||||||
Allegheny Technologies, Inc. | 1,500 | 67,155 | ||||||
Cliffs Natural Resources, Inc. | 2,100 | 96,789 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 6,776 | 544,045 | ||||||
Newmont Mining Corp. | 7,700 | 364,287 | ||||||
Nucor Corp. | 5,000 | 233,250 | ||||||
Titanium Metals Corp. (a) | 1,300 | 16,276 | ||||||
United States Steel Corp. | 2,300 | 126,776 | ||||||
1,733,121 | ||||||||
Paper & Forest Products – 0.2% | ||||||||
International Paper Co. | 6,800 | 182,104 | ||||||
MeadWestvaco Corp. | 2,700 | 77,301 | ||||||
Weyerhaeuser Co. | 3,300 | 142,362 | ||||||
401,767 | ||||||||
TOTAL MATERIALS | 5,627,839 | |||||||
TELECOMMUNICATION SERVICES – 3.1% | ||||||||
Diversified Telecommunication Services – 2.8% | ||||||||
AT&T, Inc. | 93,178 | 2,611,779 | ||||||
CenturyTel, Inc. | 4,746 | 171,853 | ||||||
Frontier Communications Corp. | 4,900 | 38,269 | ||||||
Qwest Communications International, Inc. | 23,500 | 98,935 | ||||||
Verizon Communications, Inc. | 44,900 | 1,487,537 | ||||||
Windstream Corp. | 6,896 | 75,787 | ||||||
4,484,160 | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
American Tower Corp. Class A (a) | 6,300 | 272,223 | ||||||
MetroPCS Communications, Inc. (a) | 4,100 | 31,283 | ||||||
Sprint Nextel Corp. (a) | 46,932 | 171,771 | ||||||
475,277 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 4,959,437 | |||||||
UTILITIES – 3.6% | ||||||||
Electric Utilities – 2.0% | ||||||||
Allegheny Energy, Inc. | 2,700 | 63,396 | ||||||
American Electric Power Co., Inc. | 7,500 | 260,925 | ||||||
Duke Energy Corp. | 20,636 | 355,145 | ||||||
Edison International | 5,100 | 177,378 | ||||||
Entergy Corp. | 3,000 | 245,520 | ||||||
Exelon Corp. | 10,400 | 508,248 | ||||||
FirstEnergy Corp. | 4,800 | 222,960 | ||||||
FPL Group, Inc. | 6,500 | 343,330 | ||||||
Northeast Utilities | 2,800 | 72,212 | ||||||
Pepco Holdings, Inc. | 3,500 | 58,975 |
87
S&P 500® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.6% | Shares | Value | ||||||
Electric Utilities (continued) | ||||||||
Pinnacle West Capital Corp. | 1,600 | $ | 58,528 | |||||
PPL Corp. | 6,000 | 193,860 | ||||||
Progress Energy, Inc. | 4,400 | 180,444 | ||||||
Southern Co. / The | 12,600 | 419,832 | ||||||
3,160,753 | ||||||||
Gas Utilities – 0.1% | ||||||||
EQT Corp. | 2,100 | 92,232 | ||||||
Nicor, Inc. | 700 | 29,470 | ||||||
Questar Corp. | 2,800 | 116,396 | ||||||
238,098 | ||||||||
Independent Power Producers & Energy Traders – 0.2% | ||||||||
AES Corp. / The (a) | 10,500 | 139,755 | ||||||
Constellation Energy Group, Inc. | 3,200 | 112,544 | ||||||
252,299 | ||||||||
Multi-Utilities – 1.3% | ||||||||
Ameren Corp. | 3,700 | 103,415 | ||||||
CenterPoint Energy, Inc. | 6,200 | 89,962 | ||||||
CMS Energy Corp. | 3,600 | 56,376 | ||||||
Consolidated Edison, Inc. | 4,400 | 199,892 | ||||||
Dominion Resources, Inc. | 9,400 | 365,848 | ||||||
DTE Energy Co. | 2,600 | 113,334 | ||||||
Integrys Energy Group, Inc. | 1,212 | 50,892 | ||||||
NiSource, Inc. | 4,400 | 67,672 | ||||||
PG&E Corp. | 5,900 | 263,435 | ||||||
Public Service Enterprise Group, Inc. | 8,000 | 266,000 | ||||||
SCANA Corp. | 1,800 | 67,824 | ||||||
Sempra Energy | 3,900 | 218,322 | ||||||
TECO Energy, Inc. | 3,400 | 55,148 | ||||||
Wisconsin Energy Corp. | 1,800 | 89,694 | ||||||
Xcel Energy, Inc. | 7,200 | 152,784 | ||||||
2,160,598 | ||||||||
TOTAL UTILITIES | 5,811,748 | |||||||
Total Common Stocks (Cost $152,706,806) | $ | 156,848,118 | ||||||
Exchange Traded Funds – 2.1% | Shares | Value | ||||||
Standard & Poor’s Depositary Receipts (SPDRs) | 30,225 | $ | 3,368,274 | |||||
Total Exchange Traded Funds (Cost $3,286,189) | $ | 3,368,274 | ||||||
Face | Amortized | |||||||
Commercial Paper – 0.2% | Amount | Cost | ||||||
Prudential Funding LLC 0.020%, 01/04/2010 | $ | 316,000 | $ | 316,000 | ||||
Total Commercial Paper (Cost $316,000) | $ | 316,000 | ||||||
Total Investments – 99.9% (Cost $156,308,995) (b) | $ | 160,532,392 | ||||||
Other Assets in Excess of Liabilities – 0.1% | 176,061 | |||||||
Net Assets – 100.0% | $ | 160,708,453 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. | |
See also Note 8 of the Notes to Financial Statements. |
88
S&P 500® Index Portfolio
Assets: | ||||
Investments in securities, at value (Cost $156,308,995) | $ | 160,532,392 | ||
Cash | 1,500 | |||
Receivable for securities sold | 28 | |||
Receivable for fund shares sold | 98,512 | |||
Dividends and accrued interest receivable | 230,095 | |||
Prepaid expenses and other assets | 2,483 | |||
Total assets | 160,865,010 | |||
Liabilities: | ||||
Payable for securities purchased | 26,143 | |||
Payable for fund shares redeemed | 41,716 | |||
Payable for investment management services | 51,656 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 716 | |||
Accrued professional fees | 11,301 | |||
Accrued accounting fees | 12,643 | |||
Accrued printing and filing fees | 10,705 | |||
Total liabilities | 156,557 | |||
Net assets | $ | 160,708,453 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 13,749,946 | ||
Paid-in capital in excess of par value | 160,117,468 | |||
Accumulated net realized loss on investments | (17,694,384 | ) | ||
Net unrealized appreciation on investments | 4,223,397 | |||
Undistributed net investment income | 312,026 | |||
Net assets | $ | 160,708,453 | ||
Shares outstanding | 13,749,946 | |||
Authorized Fund shares allocated to Portfolio | 23,000,000 | |||
Net asset value per share | $ | 11.69 | ||
Investment income: | ||||
Interest | $ | 635 | ||
Dividends | 3,015,250 | |||
Total investment income | 3,015,885 | |||
Expenses: | ||||
Management fees | 495,827 | |||
Custodian fees | 24,444 | |||
Directors’ fees | 13,567 | |||
Professional fees | 19,239 | |||
Accounting fees | 70,796 | |||
Printing and filing fees | 21,758 | |||
Compliance expense | 6,376 | |||
Other | 3,117 | |||
Total expenses | 655,124 | |||
Net investment income | 2,360,761 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized/unrealized gain (loss) on investments | (937,053 | ) | ||
Change in unrealized appreciation/depreciation on investments | 31,621,689 | |||
Net realized/unrealized gain (loss) on investments | 30,684,636 | |||
Change in net assets from operations | $ | 33,045,397 | ||
89
S&P 500® Index Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 2,360,761 | $ | 2,645,943 | ||||
Net realized gain (loss) on investments | (937,053 | ) | (2,389,253 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 31,621,689 | (63,273,864 | ) | |||||
Change in net assets from operations | 33,045,397 | (63,017,174 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (2,047,655 | ) | (2,337,448 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 62,219,156 | 38,152,445 | ||||||
Received from dividends reinvested | 2,047,655 | 2,337,448 | ||||||
Paid for shares redeemed | (40,764,928 | ) | (48,360,668 | ) | ||||
Change in net assets from capital transactions | 23,501,883 | (7,870,775 | ) | |||||
Change in net assets | 54,499,625 | (73,225,397 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 106,208,828 | 179,434,225 | ||||||
End of year | $ | 160,708,453 | $ | 106,208,828 | ||||
Undistributed net investment income | $ | 312,026 | $ | 285,045 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.41 | $ | 15.36 | $ | 14.82 | $ | 12.99 | $ | 12.56 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.17 | 0.24 | 0.24 | 0.22 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.26 | (5.98 | ) | 0.51 | 1.77 | 0.37 | ||||||||||||||
Total from operations | 2.43 | (5.74 | ) | 0.75 | 1.99 | 0.56 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.21 | ) | (0.21 | ) | (0.16 | ) | (0.13 | ) | ||||||||||
Net asset value, end of year | $ | 11.69 | $ | 9.41 | $ | 15.36 | $ | 14.82 | $ | 12.99 | ||||||||||
Total return | 25.83 | % | –37.30 | % | 5.06 | % | 15.30 | % | 4.47 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 160.7 | $ | 106.2 | $ | 179.4 | $ | 182.1 | $ | 190.5 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.51 | % | 0.48 | % | 0.45 | % | 0.47 | % | 0.47 | % | ||||||||||
Net investment income | 1.85 | % | 1.85 | % | 1.50 | % | 1.45 | % | 1.39 | % | ||||||||||
Portfolio turnover rate | 21 | % | 12 | % | 7 | % | 7 | % | 9 | % |
90
Strategic Value Portfolio
Average Annual Total Returns: | ||||
One year | 11.52% | |||
Five years | -2.31% | |||
Ten years | -0.38% |
91
Strategic Value Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
92
Strategic Value Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 98.0 | ||
Money Market Funds and Other Net Assets | 2.0 | ||
100.0 | |||
% of Net Assets | |||||||
1. | BP PLC – ADR | 3.6 | |||||
2. | AT&T, Inc. | 3.5 | |||||
3. | BCE, Inc. | 3.3 | |||||
4. | Kimberly-Clark Corp. | 3.2 | |||||
5. | Chevron Corp. | 3.2 | |||||
6. | Eli Lilly & Co. | 3.2 | |||||
7. | Total S.A. | 3.2 | |||||
8. | Southern Co. / The | 3.1 | |||||
9. | Dominion Resources, Inc. | 3.1 | |||||
10. | Verizon Communications, Inc. | 3.1 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Consumer Staples | 22.6 | ||
Telecommunication Services | 20.4 | ||
Health Care | 15.9 | ||
Energy | 15.3 | ||
Utilities | 14.6 | ||
Financials | 4.5 | ||
Consumer Discretionary | 2.9 | ||
Industrials | 1.8 | ||
98.0 | |||
93
Strategic Value Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 98.0% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 2.9% | ||||||||
Hotels, Restaurants & Leisure – 2.9% | ||||||||
McDonald’s Corp. | 9,025 | $ | 563,521 | |||||
TOTAL CONSUMER DISCRETIONARY | 563,521 | |||||||
CONSUMER STAPLES – 22.6% | ||||||||
Beverages – 3.3% | ||||||||
Coca-Cola Co. / The | 6,315 | 359,955 | ||||||
Diageo PLC (a) | 16,910 | 295,014 | ||||||
654,969 | ||||||||
Food Products – 4.5% | ||||||||
H.J. Heinz Co. | 12,975 | 554,811 | ||||||
Unilever PLC (a) | 10,710 | 343,312 | ||||||
898,123 | ||||||||
Household Products – 5.7% | ||||||||
Clorox Co. / The | 2,800 | 170,800 | ||||||
Kimberly-Clark Corp. | 9,975 | 635,507 | ||||||
Procter & Gamble Co. / The | 5,260 | 318,914 | ||||||
1,125,221 | ||||||||
Tobacco – 9.1% | ||||||||
Altria Group, Inc. | 21,720 | 426,363 | ||||||
Lorillard, Inc. | 4,200 | 336,966 | ||||||
Philip Morris International, Inc. | 11,735 | 565,510 | ||||||
Reynolds American, Inc. | 8,710 | 461,369 | ||||||
1,790,208 | ||||||||
TOTAL CONSUMER STAPLES | 4,468,521 | |||||||
ENERGY – 15.3% | ||||||||
Oil, Gas & Consumable Fuels – 15.3% | ||||||||
BP PLC – ADR | 12,430 | 720,567 | ||||||
Chevron Corp. | 8,150 | 627,469 | ||||||
ConocoPhillips | 8,905 | 454,778 | ||||||
Royal Dutch Shell PLC – B Shares (a) | 20,620 | 600,520 | ||||||
Total S.A. (a) | 9,720 | 624,314 | ||||||
TOTAL ENERGY | 3,027,648 | |||||||
FINANCIALS – 4.5% | ||||||||
Real Estate Investment Trusts – 4.5% | ||||||||
HCP, Inc. | 9,700 | 296,238 | ||||||
Health Care REIT, Inc. | 6,600 | 292,512 | ||||||
Realty Income Corp. | 11,600 | 300,556 | ||||||
TOTAL FINANCIALS | 889,306 | |||||||
HEALTH CARE – 15.9% | ||||||||
Pharmaceuticals – 15.9% | ||||||||
Abbott Laboratories | 7,150 | 386,028 | ||||||
AstraZeneca PLC (a) | 4,600 | 216,187 | ||||||
Bristol-Myers Squibb Co. | 23,675 | 597,794 | ||||||
Eli Lilly & Co. | 17,500 | 624,925 | ||||||
GlaxoSmithKline PLC (a) | 24,805 | 526,011 | ||||||
Johnson & Johnson | 7,360 | 474,057 | ||||||
Merck & Co., Inc. | 8,920 | 325,937 | ||||||
TOTAL HEALTH CARE | 3,150,939 | |||||||
INDUSTRIALS – 1.8% | ||||||||
Commercial Services & Supplies – 0.8% | ||||||||
Waste Management, Inc. | 4,900 | 165,669 | ||||||
Electrical Equipment – 1.0% | ||||||||
Emerson Electric Co. | 4,400 | 187,440 | ||||||
TOTAL INDUSTRIALS | 353,109 | |||||||
TELECOMMUNICATION SERVICES – 20.4% | ||||||||
Diversified Telecommunication Services – 18.4% | ||||||||
AT&T, Inc. | 24,500 | 686,735 | ||||||
BCE, Inc. | 23,280 | 645,523 | ||||||
CenturyTel, Inc. | 6,825 | 247,133 | ||||||
Deutsche Telekom AG (a) | 21,795 | 319,728 | ||||||
France Telecom SA (a) | 17,745 | 443,417 | ||||||
Telefonica SA (a) | 16,300 | 456,221 | ||||||
Verizon Communications, Inc. | 18,320 | 606,942 | ||||||
Windstream Corp. | 21,405 | 235,241 | ||||||
3,640,940 | ||||||||
Wireless Telecommunication Services – 2.0% | ||||||||
Vodafone Group PLC – ADR | 16,970 | 391,837 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 4,032,777 | |||||||
UTILITIES – 14.6% | ||||||||
Electric Utilities – 7.3% | ||||||||
Duke Energy Corp. | 26,720 | 459,851 | ||||||
Progress Energy, Inc. | 8,990 | 368,680 | ||||||
Southern Co. / The | 18,560 | 618,419 | ||||||
1,446,950 | ||||||||
Gas Utilities – 1.6% | ||||||||
AGL Resources, Inc. | 8,310 | 303,066 | ||||||
Multi-Utilities – 5.7% | ||||||||
Dominion Resources, Inc. | 15,825 | 615,909 | ||||||
NSTAR | 5,200 | 191,360 | ||||||
SCANA Corp. | 8,575 | 323,106 | ||||||
1,130,375 | ||||||||
TOTAL UTILITIES | 2,880,391 | |||||||
Total Common Stocks (Cost $19,077,573) | $ | 19,366,212 | ||||||
Money Market Funds – 1.7% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 341,000 | $ | 341,000 | |||||
Total Money Market Funds (Cost $341,000) | $ | 341,000 | ||||||
Total Investments – 99.7% (Cost $19,418,573) (b) | $ | 19,707,212 | ||||||
Other Assets in Excess of Liabilities – 0.3% | 55,796 | |||||||
Net Assets – 100.0% | $ | 19,763,008 | ||||||
94
Strategic Value Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
(a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $3,824,724 or 19.4% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
95
Strategic Value Portfolio
Assets: | ||||
Investments in securities, at value (Cost $19,418,573) | $ | 19,707,212 | ||
Cash | 305 | |||
Receivable for fund shares sold | 14,190 | |||
Dividends and accrued interest receivable | 81,677 | |||
Prepaid expenses and other assets | 269 | |||
Total assets | 19,803,653 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 9,844 | |||
Payable for investment management services | 12,532 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 211 | |||
Accrued professional fees | 11,110 | |||
Accrued accounting fees | 2,412 | |||
Accrued printing and filing fees | 1,315 | |||
Other accrued expenses | 1,544 | |||
Total liabilities | 40,645 | |||
Net assets | $ | 19,763,008 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,287,531 | ||
Paid-in capital in excess of par value | 26,532,807 | |||
Accumulated net realized loss on investments | (9,383,246 | ) | ||
Net unrealized appreciation/depreciation on: | ||||
Investments | 288,639 | |||
Foreign currency related transactions | (242 | ) | ||
Undistributed net investment income | 37,519 | |||
Net assets | $ | 19,763,008 | ||
Shares outstanding | 2,287,531 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 8.64 | ||
Investment income: | ||||
Interest | $ | 2,513 | ||
Dividends (net of withholding tax of $15,530) | 774,540 | |||
Total investment income | 777,053 | |||
Expenses: | ||||
Management fees | 109,180 | |||
Custodian fees | 1,891 | |||
Directors’ fees | 1,548 | |||
Professional fees | 12,537 | |||
Accounting fees | 14,090 | |||
Printing and filing fees | 2,561 | |||
Compliance expense | 6,376 | |||
Other | 383 | |||
Total expenses | 148,566 | |||
Net investment income | 628,487 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (1,820,735 | ) | ||
Foreign currency related transactions | (25,685 | ) | ||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 3,343,973 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 1,497,553 | |||
Change in net assets from operations | $ | 2,126,040 | ||
96
Strategic Value Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 628,487 | $ | 877,920 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (1,846,420 | ) | (6,318,616 | ) | ||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 3,343,973 | (634,959 | ) | |||||
Change in net assets from operations | 2,126,040 | (6,075,655 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (553,534 | ) | (771,804 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 9,094,435 | 3,545,632 | ||||||
Received from dividends reinvested | 553,534 | 771,804 | ||||||
Paid for shares redeemed | (4,802,105 | ) | (12,524,636 | ) | ||||
Change in net assets from capital transactions | 4,845,864 | (8,207,200 | ) | |||||
Change in net assets | 6,418,370 | (15,054,659 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 13,344,638 | 28,399,297 | ||||||
End of year | $ | 19,763,008 | $ | 13,344,638 | ||||
Undistributed net investment income | $ | 37,519 | $ | 104,460 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.97 | $ | 11.81 | $ | 13.10 | $ | 11.36 | $ | 10.95 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.27 | 0.56 | 0.17 | 0.16 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 0.65 | (3.91 | ) | (1.31 | ) | 1.70 | 0.37 | |||||||||||||
Total from operations | 0.92 | (3.35 | ) | (1.14 | ) | 1.86 | 0.52 | |||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.25 | ) | (0.49 | ) | (0.15 | ) | (0.12 | ) | (0.11 | ) | ||||||||||
Net asset value, end of year | $ | 8.64 | $ | 7.97 | $ | 11.81 | $ | 13.10 | $ | 11.36 | ||||||||||
Total return | 11.52 | % | –28.27 | % | –8.74 | % | 16.35 | % | 4.74 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 19.8 | $ | 13.3 | $ | 28.4 | $ | 34.8 | $ | 30.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.02 | % | 0.96 | % | 0.87 | % | 0.88 | % | 0.92 | % | ||||||||||
Net investment income | 4.31 | % | 4.68 | % | 1.18 | % | 1.38 | % | 1.27 | % | ||||||||||
Portfolio turnover rate | 42 | % | 162 | % | 63 | % | 65 | % | 55 | % |
97
High Income Bond Portfolio
Average Annual Total Returns: | ||||
One year | 49.65% | |||
Five years | 5.53% | |||
Ten years | 6.00% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
98
High Income Bond Portfolio (Continued)
% of Net Assets | |||||||
1. | HCA, Inc. 9.625%, 11/15/2016 | 1.6 | |||||
2. | GMAC, Inc. 6.875%, 09/15/2011 | 1.4 | |||||
3. | Sprint Capital Corp. 6.900%, 05/01/2019 | 1.1 | |||||
4. | Intelsat Intermediate Holdings Co. Ltd. 9.500%, 02/01/2015 | 1.1 | |||||
5. | Intelsat Jackson Holdings Ltd. 11.250%, 06/15/2016 | 1.0 | |||||
6. | Biomet, Inc. 11.625%, 10/15/2017 | 1.0 | |||||
7. | Visant Holding Corp. 8.750%, 12/01/2013 | 0.9 | |||||
8. | Visant Corp. 7.625%, 10/01/2012 | 0.8 | |||||
9. | Nalco Co. 8.875%, 11/15/2013 | 0.7 | |||||
10. | ARAMARK Corp. 8.500%, 02/01/2015 | 0.7 |
% of Net Assets | |||
Corporate Bonds (3) (4) | 97.5 | ||
Convertible Bonds (3) (4) | 0.5 | ||
Preferred Stocks (3) | 0.2 | ||
Common Stocks (3) | 0.1 | ||
Money Market Funds and Other Net Assets | 1.7 | ||
100.0 | |||
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Consumer Discretionary | 30.7 | ||
Industrials | 12.9 | ||
Health Care | 9.8 | ||
Materials | 9.4 | ||
Financials | 6.9 | ||
Consumer Staples | 6.8 | ||
Energy | 6.4 | ||
Information Technology | 6.3 | ||
Telecommunication Services | 6.0 | ||
Utilities | 3.1 | ||
98.3 | |||
(4) | Bond credit quality (Standard & Poor’s ratings) (combined): |
% of Total Bonds | |||
BBB | 0.5 | ||
BB | 19.6 | ||
B | 45.2 | ||
CCC | 30.9 | ||
CC & Below | 3.8 | ||
100.0 | |||
99
High Income Bond Portfolio
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 30.7% | ||||||||
Auto Components – 1.1% | ||||||||
American Axle & Manufacturing, Inc. 9.250%, 01/15/2017 (b) | $ | 75,000 | $ | 76,500 | ||||
Cooper-Standard Automotive, Inc. 8.375%, 12/15/2014 (Acquired 12/16/2004 through 05/15/2008, Cost $214,803) (a) (d) | 250,000 | 65,000 | ||||||
Hawk Corp. 8.750%, 11/01/2014 | 100,000 | 100,375 | ||||||
Tenneco, Inc. 8.625%, 11/15/2014 | 500,000 | 506,875 | ||||||
TRW Automotive, Inc. 8.875%, 12/01/2017 (b) | 175,000 | 182,875 | ||||||
United Components, Inc. 9.375%, 06/15/2013 | 850,000 | 824,500 | ||||||
1,756,125 | ||||||||
Automobiles – 0.7% | ||||||||
Affinia Group, Inc. 10.750%, 08/15/2016 (b) | 425,000 | 462,719 | ||||||
Motors Liquidation Co. 7.400%, 09/01/2025 (Acquired 12/20/2006 through 04/02/2008, Cost $891,003) (a) (d) | 1,100,000 | 280,500 | ||||||
Yonkers Racing Corp. 11.375%, 07/15/2016 (b) | 300,000 | 316,500 | ||||||
1,059,719 | ||||||||
Distributors – 0.5% | ||||||||
Baker & Taylor, Inc. 11.500%, 07/01/2013 (b) | 400,000 | 217,500 | ||||||
McJunkin Red Man Corp. 9.500%, 12/15/2016 (b) | 550,000 | 540,375 | ||||||
757,875 | ||||||||
Diversified Consumer Services – 0.6% | ||||||||
Education Management LLC / Education Management Finance Corp. 10.250%, 06/01/2016 | 450,000 | 483,750 | ||||||
Knowledge Learning Corp. 7.750%, 02/01/2015 (b) | 550,000 | 530,750 | ||||||
1,014,500 | ||||||||
Hotels, Restaurants & Leisure – 7.7% | ||||||||
American Casino & Entertainment Properties 11.000%, 06/15/2014 (b) | 550,000 | 466,125 | ||||||
Ameristar Casinos, Inc. 9.250%, 06/01/2014 (b) | 625,000 | 651,562 | ||||||
Dave & Busters, Inc. 11.250%, 03/15/2014 | 450,000 | 469,125 | ||||||
Fontainebleau Las Vegas Holdings LLC 11.000%, 06/15/2015 (Acquired 05/24/2007 through 05/02/2008, Cost $361,055) (a) (b) (d) | 375,000 | 5,625 | ||||||
Great Canadian Gaming Corp. 7.250%, 02/15/2015 (b) | 675,000 | 652,219 | ||||||
Harrah’s Operating Co., Inc. 11.250%, 06/01/2017 (b) | 250,000 | 262,813 | ||||||
Harrahs Operating Escrow LLC / Harrahs Escrow Corp. 11.250%, 06/01/2017 (b) | 400,000 | 420,500 | ||||||
Herbst Gaming, Inc. 7.000%, 11/15/2014 (Acquired 11/05/2004 through 01/03/2008, Cost $352,676) (a) (d) | 375,000 | 2,109 | ||||||
Indianapolis Downs LLC / Indiana Downs Capital Corp. 11.000%, 11/01/2012 (b) | 725,000 | 474,875 | ||||||
15.500%, 11/01/2013 (b) | 101,133 | 34,006 | ||||||
Jacobs Entertainment, Inc. 9.750%, 06/15/2014 | 625,000 | 585,938 | ||||||
Mandalay Resort Group 9.375%, 02/15/2010 | 165,000 | 165,000 | ||||||
MGM Mirage, Inc. 8.375%, 02/01/2011 | 200,000 | 190,500 | ||||||
13.000%, 11/15/2013 | 150,000 | 172,875 | ||||||
5.875%, 02/27/2014 | 700,000 | 564,375 | ||||||
10.375%, 05/15/2014 (b) | 50,000 | 54,500 | ||||||
7.500%, 06/01/2016 | 625,000 | 490,625 | ||||||
11.125%, 11/15/2017 (b) | 175,000 | 194,688 | ||||||
11.375%, 03/01/2018 (b) | 425,000 | 382,500 | ||||||
NPC International, Inc. 9.500%, 05/01/2014 | 650,000 | 646,750 | ||||||
Penn National Gaming, Inc. 6.750%, 03/01/2015 | 425,000 | 412,781 | ||||||
8.750%, 08/15/2019 (b) | 225,000 | 231,188 | ||||||
Penninsula Gaming LLC 8.375%, 08/15/2015 (b) | 250,000 | 250,625 | ||||||
10.750%, 08/15/2017 (b) | 575,000 | 580,750 | ||||||
Royal Caribbean Cruises Ltd. 7.250%, 06/15/2016 | 425,000 | 412,781 | ||||||
San Pasqual Casino 8.000%, 09/15/2013 (b) | 350,000 | 329,000 | ||||||
Seminole Hard Rock Entertainment, Inc. 2.754%, 03/15/2014 (b) (c) | 475,000 | 393,656 | ||||||
Seminole Indian Tribe of Florida 7.804%, 10/01/2020 (b) | 550,000 | 467,071 | ||||||
Shingle Springs Tribal Gaming Authority 9.375%, 06/15/2015 (b) | 575,000 | 439,875 | ||||||
Tunica-Biloxi Gaming Authority 9.000%, 11/15/2015 (b) | 400,000 | 362,500 | ||||||
Universal City Development Partners, Ltd. 8.875%, 11/15/2015 (b) | 475,000 | 467,281 | ||||||
10.875%, 11/15/2016 (b) | 150,000 | 151,125 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 6.625%, 12/01/2014 | 500,000 | 485,625 | ||||||
7.875%, 11/01/2017 (b) | 425,000 | 432,438 | ||||||
12,303,406 | ||||||||
Household Durables – 1.7% | ||||||||
Jarden Corp. 8.000%, 05/01/2016 | 225,000 | 233,438 | ||||||
7.500%, 05/01/2017 | 725,000 | 726,812 |
100
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
Household Durables (continued) | ||||||||
Norcraft Companies LP / Norcraft Finance Corp. 10.500%, 12/15/2015 (b) | $ | 450,000 | $ | 463,500 | ||||
Norcraft Holdings LP / Norcraft Capital Corp. 9.750%, 09/01/2012 | 182,000 | 175,630 | ||||||
Sealy Mattress Co. 8.250%, 06/15/2014 | 675,000 | 678,375 | ||||||
10.875%, 04/15/2016 (b) | 375,000 | 419,063 | ||||||
2,696,818 | ||||||||
Leisure Equipment & Products – 2.3% | ||||||||
Easton-Bell Sports, Inc. 9.750%, 12/01/2016 (b) | 450,000 | 468,562 | ||||||
Visant Corp. 7.625%, 10/01/2012 | 1,225,000 | 1,237,250 | ||||||
Visant Holding Corp. 8.750%, 12/01/2013 | 1,325,000 | 1,368,063 | ||||||
10.250%, 12/01/2013 | 550,000 | 570,625 | ||||||
3,644,500 | ||||||||
Media – 12.0% | ||||||||
AAC Group Holding Corp. 10.250%, 10/01/2012 (b) | 625,000 | 629,687 | ||||||
Affinity Group Holding, Inc. 10.875%, 02/15/2012 (Acquired 03/21/2005 through 02/22/2008, Cost $220,782) (a) (d) (e) | 225,490 | 91,042 | ||||||
Affinity Group, Inc. 9.000%, 02/15/2012 | 175,000 | 120,094 | ||||||
American Achievement Corp. 8.250%, 04/01/2012 (b) | 425,000 | 426,062 | ||||||
American Achievement Group Holding Corp. 16.750% 10/01/2012 | 161,208 | 126,548 | ||||||
Belo Corp. 8.000%, 11/15/2016 | 50,000 | 51,625 | ||||||
CCH II LLC / CCH II Capital Corp. 13.500%, 11/30/2016 | 421,692 | 498,651 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. 8.750%, 11/15/2013 (a) | 450,000 | 464,062 | ||||||
CSC Holdings LLC 8.500%, 04/15/2014 (b) | 125,000 | 133,750 | ||||||
7.875%, 02/15/2018 | 150,000 | 156,000 | ||||||
Cinemark USA, Inc. 8.625%, 06/15/2019 (b) | 575,000 | 600,875 | ||||||
Dex Media West LLC / Dex Media West Finance Co. 9.875%, 08/15/2013 (Acquired 08/15/2003 through 07/22/2008, Cost $419,420) (a) (d) | 422,000 | 133,985 | ||||||
Dex Media, Inc. 9.000%, 11/15/2013 (Acquired 11/03/2003 through 02/05/2004, Cost $273,372) (a) (d) | 275,000 | 70,812 | ||||||
DISH DBS Corp. 6.625%, 10/01/2014 | 850,000 | 859,562 | ||||||
Fox Acquisition Sub. LLC 13.375%, 07/15/2016 (b) | 575,000 | 447,781 | ||||||
Idearc, Inc. 8.000%, 11/15/2016 (Acquired 11/01/2006 through 06/08/2007, Cost $631,081) (a) (d) | 625,000 | 46,875 | ||||||
Intelsat Intermediate Holding Co. Ltd. 0.000% to 02/01/2010 then | ||||||||
9.500%, 02/01/2015 | 1,650,000 | 1,703,625 | ||||||
Intelsat Jackson Holdings Ltd. 11.250%, 06/15/2016 | 1,525,000 | 1,658,438 | ||||||
8.500%, 11/01/2019 (b) | 275,000 | 284,625 | ||||||
Interpublic Group of Companies, Inc. 10.000%, 07/15/2017 | 700,000 | 780,500 | ||||||
Kabel Deutschland GmbH 10.625%, 07/01/2014 | 650,000 | 682,500 | ||||||
Lamar Media Corp. 7.250%, 01/01/2013 | 50,000 | 50,125 | ||||||
9.750%, 04/01/2014 | 175,000 | 194,031 | ||||||
6.625%, 08/15/2015 | 950,000 | 916,750 | ||||||
MDC Partners, Inc. 11.000%, 11/01/2016 (b) | 625,000 | 653,125 | ||||||
MediMedia USA, Inc. 11.375%, 11/15/2014 (b) | 775,000 | 654,875 | ||||||
Newport Television LLC / NTV Finance Corp. 13.000%, 03/15/2017 (b) | 427,500 | 190,772 | ||||||
Nexstar Broadcasting, Inc. 0.500% to 01/15/2011 then 7.000%, 01/15/2014 (b) | 430,113 | 325,273 | ||||||
7.000%, 01/15/2014 | 225,000 | 170,156 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. 11.625%, 02/01/2014 | 450,000 | 507,938 | ||||||
11.500%, 05/01/2016 | 400,000 | 449,000 | ||||||
0.000% to 08/01/2011 then 12.500%, 08/01/2016 | 325,000 | 298,188 | ||||||
Quebecor Media, Inc. 7.750%, 03/15/2016 | 450,000 | 451,125 | ||||||
R.H. Donnelley Corp. 6.875%, 01/15/2013 (Acquired 01/13/2006 through 02/28/2007, Cost $357,325) (a) (d) | 375,000 | 37,031 | ||||||
8.875%, 01/15/2016 (Acquired 01/13/2006, Cost $150,000) (a) (d) | 150,000 | 14,813 | ||||||
8.875%, 10/15/2017 (Acquired 09/19/2007 and 10/2/2007, Cost $450,000) (a) (d) | 450,000 | 44,438 | ||||||
Rainbow National Services LLC 10.375%, 09/01/2014 (b) | 639,000 | 677,340 | ||||||
Readers Digest Association, Inc. / The 9.000%, 02/15/2017 (Acquired 02/27/2007 through 10/31/2007, Cost $618,265) (a) (d) | 725,000 | 11,781 | ||||||
Regal Cinemas Corp. 8.625%, 07/15/2019 | 225,000 | 235,125 | ||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC 7.750%, 10/15/2016 (b) | 900,000 | 924,750 | ||||||
TruVo Subsidiary Corp. 8.375%, 12/01/2014 (Acquired 11/30/2004 through 11/03/2005, Cost $445,453) (b) (e) | 475,000 | 40,375 |
101
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
Media (continued) | ||||||||
Umbrella Acquisition, Inc. 9.750%, 03/15/2015 (b) | $ | 494,687 | $ | 435,943 | ||||
Univision Communications Inc. 12.000%, 07/01/2014 (b) | 75,000 | 82,969 | ||||||
Videotron Ltee 6.375%, 12/15/2015 | 100,000 | 98,250 | ||||||
9.125%, 04/15/2018 | 75,000 | 82,875 | ||||||
9.125%, 04/15/2018 (b) | 200,000 | 221,000 | ||||||
Virgin Media Finance PLC 9.500%, 08/15/2016 | 725,000 | 782,094 | ||||||
XM Satellite Radio, Inc. 11.250%, 06/15/2013 (b) | 125,000 | 135,000 | ||||||
13.000%, 08/01/2014 (b) | 500,000 | 545,625 | ||||||
19,197,866 | ||||||||
Multiline Retail – 1.6% | ||||||||
Dollar General Corp. 11.875%, 07/15/2017 | 635,000 | 736,600 | ||||||
J.C. Penney Corp. Inc. 7.400%, 04/01/2037 | 125,000 | 124,687 | ||||||
Macy’s Retail Holdings, Inc. 6.650%, 07/15/2024 | 175,000 | 160,125 | ||||||
7.000%, 02/15/2028 | 100,000 | 88,500 | ||||||
6.900%, 04/01/2029 | 125,000 | 110,625 | ||||||
6.900%, 01/15/2032 | 50,000 | 43,750 | ||||||
QVC, Inc. 7.500%, 10/01/2019 (b) | 525,000 | 538,125 | ||||||
Toys “R” Us Property Co. I LLC 10.750%, 07/15/2017 (b) | 700,000 | 770,000 | ||||||
2,572,412 | ||||||||
Specialty Retail – 2.1% | ||||||||
Limited Brands, Inc. 8.500%, 06/15/2019 (b) | 525,000 | 573,562 | ||||||
NBC Acquisition Corp. 11.000%, 03/15/2013 | 350,000 | 217,000 | ||||||
Nebraska Book Co., Inc. 10.000%, 12/01/2011 (b) | 525,000 | 534,188 | ||||||
8.625%, 03/15/2012 | 825,000 | 713,625 | ||||||
Penske Auto Group, Inc. 7.750%, 12/15/2016 | 275,000 | 267,438 | ||||||
Sally Holdings LLC / Sally Capital, Inc. 10.500%, 11/15/2016 | 950,000 | 1,026,000 | ||||||
3,331,813 | ||||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
Hanesbrands, Inc. 8.000%, 12/15/2016 | 75,000 | 76,781 | ||||||
Phillips-Van Heusen Corp. 7.250%, 02/15/2011 | 150,000 | 151,125 | ||||||
8.125%, 05/01/2013 | 450,000 | 461,250 | ||||||
689,156 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 49,024,190 | |||||||
CONSUMER STAPLES – 6.8% | ||||||||
Beverages – 0.4% | ||||||||
Constellation Brands, Inc. 8.375%, 12/15/2014 | 150,000 | 160,500 | ||||||
7.250%, 09/01/2016 | 175,000 | 178,500 | ||||||
7.250%, 05/15/2017 | 350,000 | 356,562 | ||||||
695,562 | ||||||||
Food & Staples Retailing – 0.7% | ||||||||
General Nutrition Centers, Inc. 5.178%, 03/15/2014 (c) | 925,000 | 867,188 | ||||||
SUPERVALU, Inc. 8.000%, 05/01/2016 | 225,000 | 229,500 | ||||||
1,096,688 | ||||||||
Food Products – 4.0% | ||||||||
B&G Foods, Inc. 8.000%, 10/01/2011 | 1,000,000 | 1,022,500 | ||||||
12.000%, 10/30/2016 | 52,728 | 53,657 | ||||||
Bumble Bee Foods LLC 7.750%, 12/15/2015 (b) | 150,000 | 150,750 | ||||||
Dean Foods Co. 7.000%, 06/01/2016 | 775,000 | 763,375 | ||||||
Del Monte Corp. 7.500%, 10/15/2019 (b) | 300,000 | 310,500 | ||||||
M-Foods Holdings Inc. 9.750%, 10/01/2013 (b) | 425,000 | 443,594 | ||||||
Michael Foods, Inc. 8.000%, 11/15/2013 | 550,000 | 565,812 | ||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. 9.250%, 04/01/2015 | 425,000 | 433,500 | ||||||
9.250%, 04/01/2015 (b) | 150,000 | 153,000 | ||||||
10.625%, 04/01/2017 | 425,000 | 444,125 | ||||||
Reddy Ice Holdings, Inc. 10.500%, 11/01/2012 | 825,000 | 771,375 | ||||||
Smithfield Foods, Inc. 7.750%, 05/15/2013 | 350,000 | 341,250 | ||||||
10.000%, 07/15/2014 (b) | 375,000 | 408,750 | ||||||
7.750%, 07/01/2017 | 325,000 | 301,438 | ||||||
Tyson Foods, Inc. 10.500%, 03/01/2014 | 275,000 | 315,563 | ||||||
6,479,189 | ||||||||
Household Products – 1.3% | ||||||||
Central Garden & Pet Co. 9.125%, 02/01/2013 | 825,000 | 840,469 | ||||||
JohnsonDiversey Inc. 8.250%, 11/15/2019 (b) | 175,000 | 178,062 | ||||||
JohnsonDiversey Holdings, Inc. 10.500%, 05/15/2020 (b) | 375,000 | 378,750 | ||||||
Spectrum Brands, Inc. 12.000%, 08/28/2019 | 625,000 | 615,625 | ||||||
2,012,906 | ||||||||
102
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
Tobacco – 0.4% | ||||||||
Alliance One International, Inc. 10.000%, 07/15/2016 (b) | $ | 275,000 | $ | 290,125 | ||||
Reynolds American, Inc. 7.750%, 06/01/2018 | 325,000 | 353,917 | ||||||
644,042 | ||||||||
TOTAL CONSUMER STAPLES | 10,928,387 | |||||||
ENERGY – 6.4% | ||||||||
Energy Equipment & Services – 0.6% | ||||||||
Basic Energy Services, Inc. 7.125%, 04/15/2016 | 375,000 | 314,062 | ||||||
CGG-Veritas 9.500%, 05/15/2016 (b) | 75,000 | 80,625 | ||||||
7.750%, 05/15/2017 | 375,000 | 374,063 | ||||||
Complete Production Services, Inc. 8.000%, 12/15/2016 | 225,000 | 223,031 | ||||||
991,781 | ||||||||
Oil, Gas & Consumable Fuels – 5.8% | ||||||||
Aquilex Holdings LLC / Aquilex Finance Corp. 11.125%, 12/15/2016 (b) | 250,000 | 250,625 | ||||||
Chesapeake Energy Corp. 7.500%, 09/15/2013 | 325,000 | 332,312 | ||||||
9.500%, 02/15/2015 | 325,000 | 358,312 | ||||||
6.875%, 01/15/2016 | 675,000 | 678,375 | ||||||
6.875%, 11/15/2020 | 425,000 | 412,250 | ||||||
Forest Oil Corp. 8.500%, 02/15/2014 (b) | 100,000 | 105,000 | ||||||
7.250%, 06/15/2019 | 450,000 | 446,625 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. 7.750%, 11/01/2015 (b) | 400,000 | 394,000 | ||||||
Holly Energy Partners LP 6.250%, 03/01/2015 | 900,000 | 864,000 | ||||||
Inergy LP / Inergy Finance Corp. 6.875%, 12/15/2014 | 625,000 | 620,313 | ||||||
8.750%, 03/01/2015 | 425,000 | 438,813 | ||||||
Linn Energy LLC 11.750%, 05/15/2017 (b) | 200,000 | 225,500 | ||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp. 8.750%, 04/15/2018 | 850,000 | 879,750 | ||||||
Petroplus Finance Ltd. 6.750%, 05/01/2014 (b) | 200,000 | 189,000 | ||||||
7.000%, 05/01/2017 (b) | 225,000 | 203,625 | ||||||
Pioneer Natural Resources Co. 6.875%, 05/01/2018 | 300,000 | 298,326 | ||||||
Plains Exploration & Production Co. 7.750%, 06/15/2015 | 600,000 | 613,500 | ||||||
7.000%, 03/15/2017 | 125,000 | 123,438 | ||||||
Range Resources Corp. 6.375%, 03/15/2015 | 100,000 | 99,750 | ||||||
7.500%, 05/15/2016 | 150,000 | 154,875 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp. 8.375%, 12/15/2013 | 575,000 | 598,000 | ||||||
9.375%, 06/01/2016 (b) | 250,000 | 267,500 | ||||||
SandRidge Energy, Inc. 9.875%, 05/15/2016 (b) | 100,000 | 105,750 | ||||||
8.000%, 06/01/2018 (b) | 250,000 | 246,875 | ||||||
Southern Star Central Corp. 6.750%, 03/01/2016 | 225,000 | 218,250 | ||||||
Southwestern Energy Co. 7.500%, 02/01/2018 | 150,000 | 159,750 | ||||||
9,284,514 | ||||||||
TOTAL ENERGY | 10,276,295 | |||||||
FINANCIALS – 6.7% | ||||||||
Capital Markets – 1.0% | ||||||||
Nuveen Investments, Inc. 10.500%, 11/15/2015 | 1,125,000 | 1,026,562 | ||||||
Reliance Intermediate Holdings LP 9.500%, 12/15/2019 (b) | 550,000 | 575,438 | ||||||
1,602,000 | ||||||||
Consumer Finance – 4.3% | ||||||||
Ford Motor Credit Co. LLC 9.875%, 08/10/2011 | 500,000 | 523,703 | ||||||
7.250%, 10/25/2011 | 875,000 | 884,025 | ||||||
3.034%, 01/13/2012 (c) | 550,000 | 512,187 | ||||||
7.500%, 08/01/2012 | 400,000 | 403,616 | ||||||
8.000%, 06/01/2014 | 250,000 | 256,933 | ||||||
8.000%, 12/15/2016 | 1,000,000 | 1,002,644 | ||||||
8.125%, 01/15/2020 | 150,000 | 147,653 | ||||||
GMAC, Inc. 6.875%, 09/15/2011 (b) | 2,322,000 | 2,310,390 | ||||||
7.000%, 02/01/2012 (b) | 625,000 | 621,875 | ||||||
8.000%, 11/01/2031 (b) | 260,000 | 236,600 | ||||||
6,899,626 | ||||||||
Real Estate Investment Trusts – 1.2% | ||||||||
Host Hotels & Resorts LP 7.125%, 11/01/2013 | 325,000 | 331,906 | ||||||
6.875%, 11/01/2014 | 250,000 | 252,812 | ||||||
6.375%, 03/15/2015 | 175,000 | 172,375 | ||||||
6.750%, 06/01/2016 | 100,000 | 100,000 | ||||||
Ventas Realty LP / Ventas Capital Corp. 7.125%, 06/01/2015 | 100,000 | 100,500 | ||||||
6.500%, 06/01/2016 | 550,000 | 533,500 | ||||||
6.750%, 04/01/2017 | 375,000 | 364,688 | ||||||
1,855,781 | ||||||||
Real Estate Management & Development – 0.2% | ||||||||
lcahn Enterprises LP / lcahn Enterprises Finance Corp. 7.125%, 02/15/2013 | 250,000 | 256,250 | ||||||
TOTAL FINANCIALS | 10,613,657 | |||||||
103
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
HEALTH CARE – 9.8% | ||||||||
Biotechnology – 0.0% | ||||||||
Talecris Biotherapeutics Holdings 7.750%, 11/15/2016 (b) | $ | 100,000 | $ | 102,000 | ||||
Health Care Equipment & Supplies – 2.9% | ||||||||
Accellent, Inc. 10.500%, 12/01/2013 | 550,000 | 532,125 | ||||||
Bausch & Lomb, Inc. 9.875%, 11/01/2015 | 550,000 | 583,000 | ||||||
Biomet, Inc. 10.375%, 10/15/2017 | 75,000 | 81,750 | ||||||
11.625%, 10/15/2017 | 1,425,000 | 1,581,750 | ||||||
Inverness Medical Innovations Inc. 7.875%, 02/01/2016 | 275,000 | 270,875 | ||||||
9.000%, 05/15/2016 | 500,000 | 513,750 | ||||||
VWR Funding, Inc. 10.250%, 07/15/2015 | 975,000 | 1,018,875 | ||||||
4,582,125 | ||||||||
Health Care Providers & Services – 6.5% | ||||||||
AMR HoldCo, Inc. / EmCare HoldCo, Inc. 10.000%, 02/15/2015 | 625,000 | 659,375 | ||||||
CRC Health Corp. 10.750%, 02/01/2016 | 550,000 | 464,750 | ||||||
Fresenius US Finance II, Inc. 9.000%, 07/15/2015 (b) | 325,000 | 359,125 | ||||||
HCA, Inc. 9.250%, 11/15/2016 | 550,000 | 591,937 | ||||||
9.625%, 11/15/2016 | 2,376,516 | 2,578,520 | ||||||
9.875%, 02/15/2017 (b) | 225,000 | 249,750 | ||||||
7.875%, 02/15/2020 (b) | 275,000 | 287,031 | ||||||
7.500%, 11/06/2033 | 225,000 | 197,896 | ||||||
National Mentor Holdings, Inc. 11.250%, 07/01/2014 | 475,000 | 486,875 | ||||||
Omnicare, Inc. 6.875%, 12/15/2015 | 775,000 | 757,562 | ||||||
Psychiatric Solutions, Inc. 7.750%, 07/15/2015 (b) | 125,000 | 118,438 | ||||||
United Surgical Partners International, Inc. 9.250%, 05/01/2017 | 750,000 | 768,750 | ||||||
Universal Hospital Services, Inc. 3.859%, 06/01/2015 (c) | 150,000 | 127,125 | ||||||
8.500%, 06/01/2015 | 325,000 | 321,750 | ||||||
Vanguard Health Holding Co. I LLC 11.250%, 10/01/2015 | 150,000 | 158,625 | ||||||
Vanguard Health Holding Co. II LLC 9.000%, 10/01/2014 | 550,000 | 572,688 | ||||||
Viant Holdings, Inc. 10.125%, 07/15/2017 (b) | 625,000 | 625,000 | ||||||
Yankee Acquisition Corp. 8.500%, 02/15/2015 | 200,000 | 199,500 | ||||||
9.750%, 02/15/2017 | 925,000 | 915,750 | ||||||
10,440,447 | ||||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Bio-Rad Laboratories, Inc. 6.125%, 12/15/2014 | 275,000 | 276,375 | ||||||
8.000%, 09/15/2016 (b) | 300,000 | 317,250 | ||||||
593,625 | ||||||||
TOTAL HEALTH CARE | 15,718,197 | |||||||
INDUSTRIALS – 12.3% | ||||||||
Aerospace & Defense – 2.1% | ||||||||
Alliant Techsystems, Inc. 6.750%, 04/01/2016 | 500,000 | 497,500 | ||||||
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. 9.750%, 04/01/2017 | 200,000 | 125,000 | ||||||
L-3 Communications Corp. 6.125%, 07/15/2013 | 425,000 | 431,375 | ||||||
6.125%, 01/15/2014 | 700,000 | 707,875 | ||||||
5.875%, 01/15/2015 | 225,000 | 225,844 | ||||||
6.375%, 10/15/2015 | 225,000 | 226,969 | ||||||
Sequa Corporation 11.750%, 12/01/2015 (b) | 300,000 | 280,500 | ||||||
13.500%, 12/01/2015 (b) | 183,054 | 170,240 | ||||||
TransDigm, Inc. 7.750%, 07/15/2014 (b) | 225,000 | 229,500 | ||||||
7.750%, 07/15/2014 | 450,000 | 457,875 | ||||||
3,352,678 | ||||||||
Air Freight & Logistics – 0.4% | ||||||||
CEVA Group PLC 10.000%, 09/01/2014 (b) | 450,000 | 429,750 | ||||||
11.625%, 10/01/2016 (b) | 150,000 | 154,687 | ||||||
584,437 | ||||||||
Building Products – 0.8% | ||||||||
Associated Materials LLC / Associated Materials Finance, Inc. 9.875%, 11/15/2016 (b) | 50,000 | 53,000 | ||||||
Goodman Global Group, Inc. 0.000%, 12/15/2014 (b) | 775,000 | 443,688 | ||||||
Goodman Global, Inc. 13.500%, 02/15/2016 | 350,000 | 388,937 | ||||||
Nortek, Inc. 11.000%, 12/01/2013 | 125,555 | 131,833 | ||||||
Ply Gem Industries, Inc. 11.750%, 06/15/2013 | 250,000 | 251,250 | ||||||
1,268,708 | ||||||||
Commercial Services & Supplies – 4.3% | ||||||||
Altegrity, Inc. 10.500%, 11/01/2015 (b) | 425,000 | 381,437 | ||||||
11.750%, 05/01/2016 (b) | 425,000 | 368,156 | ||||||
ARAMARK Corp. 3.781%, 02/01/2015 (c) | 250,000 | 230,000 | ||||||
8.500%, 02/01/2015 | 1,075,000 | 1,112,625 | ||||||
Browning-Ferris Industries, Inc. 9.250%, 05/01/2021 | 225,000 | 267,642 |
104
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
Commercial Services & Supplies (continued) | ||||||||
GEO Group, Inc. 7.750%, 10/15/2017 (b) | $ | 50,000 | $ | 51,438 | ||||
Global Cash Access, Inc. / Global Cash Finance Corp. 8.750%, 03/15/2012 | 650,000 | 650,813 | ||||||
Interface, Inc. 11.375%, 11/01/2013 | 50,000 | 56,125 | ||||||
KAR Auction Services, Inc. 8.750%, 05/01/2014 | 150,000 | 155,437 | ||||||
10.000%, 05/01/2015 | 17,000 | 18,275 | ||||||
RSC Equipment Rental, Inc. 9.500%, 12/01/2014 | 600,000 | 603,750 | ||||||
10.000%, 07/15/2017 (b) | 175,000 | 191,188 | ||||||
SGS International, Inc. 12.000%, 12/15/2013 | 825,000 | 838,406 | ||||||
West Corp. 9.500%, 10/15/2014 | 850,000 | 867,000 | ||||||
11.000%, 10/15/2016 | 1,000,000 | 1,050,000 | ||||||
6,842,292 | ||||||||
Electrical Equipment – 1.7% | ||||||||
Baldor Electric Co. 8.625%, 02/15/2017 | 225,000 | 231,187 | ||||||
Belden, Inc. 7.000%, 03/15/2017 | 450,000 | 440,438 | ||||||
9.250%, 06/15/2019 (b) | 200,000 | 212,250 | ||||||
General Cable Corp. 2.665%, 04/01/2015 (c) | 325,000 | 290,469 | ||||||
7.125%, 04/01/2017 | 600,000 | 592,500 | ||||||
Sensus USA, Inc. 8.625%, 12/15/2013 | 525,000 | 538,781 | ||||||
Viasystems, Inc. 12.000%, 01/15/2015 (b) | 375,000 | 403,594 | ||||||
2,709,219 | ||||||||
Machinery – 1.5% | ||||||||
ALH Finance LLC / ALH Finance Corp. 8.500%, 01/15/2013 | 600,000 | 603,000 | ||||||
Esco Corp. 4.129%, 12/15/2013 (b) (c) | 225,000 | 206,156 | ||||||
8.625%, 12/15/2013 (b) | 250,000 | 250,000 | ||||||
Mueller Water Products, Inc. 7.375%, 06/01/2017 | 250,000 | 232,500 | ||||||
Navistar International Corp. 8.250%, 11/01/2021 | 400,000 | 412,000 | ||||||
SPX Corp. 7.625%, 12/15/2014 | 550,000 | 569,250 | ||||||
Valmont Industries, Inc. 6.875%, 05/01/2014 | 200,000 | 206,500 | ||||||
2,479,406 | ||||||||
Marine – 0.2% | ||||||||
Stena AB 7.500%, 11/01/2013 | 200,000 | 193,500 | ||||||
7.000%, 12/01/2016 | 175,000 | 155,312 | ||||||
348,812 | ||||||||
Road & Rail – 0.9% | ||||||||
Hertz Corp. / The 8.875%, 01/01/2014 | 625,000 | 642,187 | ||||||
10.500%, 01/01/2016 | 300,000 | 321,750 | ||||||
Kansas City Southern Railway Co. 13.000%, 12/15/2013 | 225,000 | 262,125 | ||||||
8.000%, 06/01/2015 | 250,000 | 260,313 | ||||||
1,486,375 | ||||||||
Trading Companies & Distributors – 0.4% | ||||||||
American Tire Distributors, Inc. 10.750%, 04/01/2013 | 175,000 | 161,875 | ||||||
Interline Brands, Inc. 8.125%, 06/15/2014 | 400,000 | 404,000 | ||||||
565,875 | ||||||||
TOTAL INDUSTRIALS | 19,637,802 | |||||||
INFORMATION TECHNOLOGY – 6.3% | ||||||||
Computers & Peripherals – 0.4% | ||||||||
Seagate Technology International / Seagate Technology HDD Holdings 10.000%, 05/01/2014 (b) | 100,000 | 111,000 | ||||||
6.800%, 10/01/2016 | 575,000 | 559,187 | ||||||
670,187 | ||||||||
Electronic Equipment, Instruments & Components – 0.1% | ||||||||
SMART Modular Technologies (WWH), Inc. 5.790%, 04/01/2012 (c) | 114,000 | 103,170 | ||||||
Internet Software & Services – 0.5% | ||||||||
Terremark Worldwide, Inc. 12.000%, 06/15/2017 (b) | 675,000 | 749,250 | ||||||
IT Services – 3.5% | ||||||||
Ceridian Corp. 11.250%, 11/15/2015 | 675,000 | 647,156 | ||||||
CompuCom Systems, Inc. 12.500%, 10/01/2015 (b) | 800,000 | 817,000 | ||||||
First Data Corp. 9.875%, 09/24/2015 | 575,000 | 539,062 | ||||||
iPayment, Inc. 9.750%, 05/15/2014 | 350,000 | 292,687 | ||||||
Lender Processing Services, Inc. 8.125%, 07/01/2016 | 550,000 | 587,813 | ||||||
Stream Global Services, Inc. 11.250%, 10/01/2014 (b) | 575,000 | 584,344 | ||||||
SunGard Data Systems, Inc. 9.125%, 08/15/2013 | 350,000 | 360,500 | ||||||
10.625%, 05/15/2015 | 450,000 | 497,813 | ||||||
10.250%, 08/15/2015 | 975,000 | 1,043,250 |
105
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
IT Services (continued) | ||||||||
Unisys Corp. 12.500%, 01/15/2016 | $ | 225,000 | $ | 234,000 | ||||
5,603,625 | ||||||||
Office Electronics – 0.1% | ||||||||
Xerox Corp. 7.625%, 06/15/2013 | 100,000 | 102,030 | ||||||
Semiconductor & Semiconductor Equipment – 0.6% | ||||||||
Advanced Micro Devices, Inc. 8.125%, 12/15/2017 (b) | 250,000 | 250,313 | ||||||
Freescale Semiconductor, Inc. 8.875%, 12/15/2014 | 375,000 | 345,937 | ||||||
9.125%, 12/15/2014 | 523,067 | 464,876 | ||||||
1,061,126 | ||||||||
Software – 1.1% | ||||||||
Activant Solutions, Inc. 9.500%, 05/01/2016 | 500,000 | 474,375 | ||||||
JDA Software Group, Inc. 8.000%, 12/15/2014 (b) | 175,000 | 179,375 | ||||||
Open Solutions, Inc. 9.750%, 02/01/2015 (b) | 100,000 | 77,375 | ||||||
Serena Software, Inc. 10.375%, 03/15/2016 | 525,000 | 507,281 | ||||||
SS&C Technologies, Inc. 11.750%, 12/01/2013 | 500,000 | 532,500 | ||||||
1,770,906 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 10,060,294 | |||||||
MATERIALS – 9.4% | ||||||||
Chemicals – 3.0% | ||||||||
Ashland, Inc. 9.125%, 06/01/2017 (b) | 600,000 | 660,000 | ||||||
Chemtura Corp. 6.875%, 06/01/2016 (Acquired 04/19/2006 and 04/11/2007, Cost $346,755) (a) (d) | 350,000 | 372,750 | ||||||
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC 9.750%, 11/15/2014 | 450,000 | 443,250 | ||||||
Huntsman International LLC 5.500%, 06/30/2016 (b) | 525,000 | 468,562 | ||||||
Invista 9.250%, 05/01/2012 (b) | 275,000 | 280,500 | ||||||
Koppers, Inc. 7.875%, 12/01/2019 (b) | 275,000 | 279,125 | ||||||
Nalco Finance Holdings, Inc. 9.000%, 02/01/2014 | 66,000 | 67,650 | ||||||
Nalco Co. 8.875%, 11/15/2013 | 1,150,000 | 1,190,250 | ||||||
8.250%, 05/15/2017 (b) | 75,000 | 80,063 | ||||||
Solutia, Inc. 8.750%, 11/01/2017 | 450,000 | 470,813 | ||||||
Terra Capital, Inc. 7.750%, 11/01/2019 (b) | 300,000 | 322,500 | ||||||
Union Carbide Corp. 7.875%, 04/01/2023 | 100,000 | 89,478 | ||||||
7.500%, 06/01/2025 | 50,000 | 46,073 | ||||||
4,771,014 | ||||||||
Containers & Packaging – 3.5% | ||||||||
Ball Corp. 7.125%, 09/01/2016 | 350,000 | 360,500 | ||||||
6.625%, 03/15/2018 | 250,000 | 248,125 | ||||||
Berry Plastic Corp. 8.875%, 09/15/2014 | 725,000 | 708,687 | ||||||
Cascades, Inc. 7.875%, 01/15/2020 (b) | 150,000 | 153,000 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. 7.750%, 11/15/2015 | 775,000 | 806,000 | ||||||
7.625%, 05/15/2017 (b) | 75,000 | 78,187 | ||||||
Graham Packaging Co. LP / GPC Capital Corp. I 8.250%, 01/01/2017 (b) | 375,000 | 372,187 | ||||||
Graphic Packaging International Corp. 9.500%, 08/15/2013 | 775,000 | 804,063 | ||||||
9.500%, 06/15/2017 | 250,000 | 266,250 | ||||||
Greif, Inc. 7.750%, 08/01/2019 | 475,000 | 486,875 | ||||||
Owens-Brockway Glass Container, Inc. 8.250%, 05/15/2013 | 500,000 | 516,250 | ||||||
7.375%, 05/15/2016 | 200,000 | 207,500 | ||||||
Rock-Tenn Co. 9.250%, 03/15/2016 | 250,000 | 272,813 | ||||||
9.250%, 03/15/2016 (b) | 200,000 | 218,250 | ||||||
Sealed Air Corp 7.875%, 06/15/2017 (b) | 100,000 | 106,667 | ||||||
5,605,354 | ||||||||
Metals & Mining – 1.2% | ||||||||
Aleris International, Inc. 9.000%, 12/15/2014 (Acquired 12/13/2006, Cost $175,000) (a) (d) | 175,000 | 1,351 | ||||||
10.000%, 12/15/2016 (Acquired 12/13/2006 and 05/30/2007, Cost $256,970) (a) (d) | 250,000 | 1,875 | ||||||
Compass Minerals International, Inc. 8.000%, 06/01/2019 (b) | 150,000 | 155,250 | ||||||
Freeport-McMoRan Copper & Gold, Inc. 8.375%, 04/01/2017 | 400,000 | 438,600 | ||||||
Teck Resources Ltd. 9.750%, 05/15/2014 | 125,000 | 144,844 | ||||||
10.250%, 05/15/2016 | 825,000 | 965,250 | ||||||
10.750%, 05/15/2019 | 150,000 | 180,000 | ||||||
1,887,170 | ||||||||
Paper & Forest Products – 1.7% | ||||||||
Boise Paper Holdings LLC / Boise Finance Co. 9.000%, 11/01/2017 (b) | 600,000 | 624,750 | ||||||
Clearwater Paper Corp. 10.625%, 06/15/2016 (b) | 125,000 | 140,156 |
106
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 97.5% | Amount | Value | ||||||
Paper & Forest Products (continued) | ||||||||
Georgia-Pacific LLC 8.250%, 05/01/2016 (b) | $ | 900,000 | $ | 958,500 | ||||
NewPage Corp. 10.000%, 05/01/2012 | 300,000 | 216,000 | ||||||
12.000%, 05/01/2013 | 425,000 | 217,281 | ||||||
11.375%, 12/31/2014 (b) | 250,000 | 253,750 | ||||||
PE Paper Escrow GmbH 12.000%, 08/01/2014 (b) | 375,000 | 415,110 | ||||||
2,825,547 | ||||||||
TOTAL MATERIALS | 15,089,085 | |||||||
TELECOMMUNICATION SERVICES – 6.0% | ||||||||
Diversified Telecommunication Services – 1.9% | ||||||||
Clear Channel Worldwide Holdings, Inc. 9.250%, 12/15/2017 (b) | 75,000 | 76,875 | ||||||
9.250%, 12/15/2017 (b) | 300,000 | 310,500 | ||||||
GXS Worldwide Inc. 9.750%, 06/15/2015 (b) | 500,000 | 493,750 | ||||||
Inmarsat Finance PLC 7.375%, 12/01/2017 (b) | 175,000 | 179,812 | ||||||
Qwest Corp. 8.875%, 03/15/2012 | 800,000 | 864,000 | ||||||
8.375%, 05/01/2016 | 50,000 | 53,875 | ||||||
SBA Telecommunications, Inc. 8.000%, 08/15/2016 (b) | 325,000 | 341,250 | ||||||
8.250%, 08/15/2019 (b) | 125,000 | 133,125 | ||||||
Wind Acquisition Finance S.A. 11.750%, 07/15/2017 (b) | 525,000 | 576,188 | ||||||
3,029,375 | ||||||||
Wireless Telecommunication Services – 4.1% | ||||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. 7.750%, 05/01/2017 (b) | 75,000 | 80,250 | ||||||
Crown Castle International Corp. 9.000%, 01/15/2015 | 75,000 | 80,250 | ||||||
Digicel Group Ltd. 12.000%, 04/01/2014 (b) | 500,000 | 557,500 | ||||||
8.875%, 01/15/2015 (b) | 425,000 | 414,375 | ||||||
9.125%, 01/15/2015 (b) | 487,000 | 482,130 | ||||||
8.250%, 09/01/2017 (b) | 150,000 | 147,000 | ||||||
MetroPCS Wireless, Inc. 9.250%, 11/01/2014 | 125,000 | 127,187 | ||||||
9.250%, 11/01/2014 | 1,025,000 | 1,042,937 | ||||||
Nextel Communications, Inc. 7.375%, 08/01/2015 | 900,000 | 879,750 | ||||||
Sprint Capital Corp. 6.900%, 05/01/2019 | 1,850,000 | 1,711,250 | ||||||
Sprint Nextel Corp. 6.000%, 12/01/2016 | 725,000 | 665,188 | ||||||
8.375%, 08/15/2017 | 325,000 | 333,125 | ||||||
6,520,942 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 9,550,317 | |||||||
UTILITIES – 3.1% | ||||||||
Electric Utilities – 1.2% | ||||||||
Edison Mission Energy 7.750%, 06/15/2016 | 250,000 | 213,750 | ||||||
7.000%, 05/15/2017 | 500,000 | 397,500 | ||||||
NV Energy, Inc. 6.750%, 08/15/2017 | 425,000 | 416,196 | ||||||
Texas Competitive Electric Holdings Co. LLC 10.250%, 11/01/2015 | 1,100,000 | 896,500 | ||||||
1,923,946 | ||||||||
Gas Utilities – 0.5% | ||||||||
AmeriGas Partners LP 7.250%, 05/20/2015 | 425,000 | 427,125 | ||||||
7.125%, 05/20/2016 | 400,000 | 402,000 | ||||||
829,125 | ||||||||
Independent Power Producers & Energy Traders – 1.3% | ||||||||
Dynegy Holdings, Inc. 7.750%, 06/01/2019 | 650,000 | 567,125 | ||||||
Energy Future Competitive Holdings Co. 10.875%, 11/01/2017 | 100,000 | 82,250 | ||||||
NRG Energy, Inc. 7.250%, 02/01/2014 | 375,000 | 380,625 | ||||||
7.375%, 02/01/2016 | 775,000 | 777,906 | ||||||
7.375%, 01/15/2017 | 200,000 | 201,000 | ||||||
2,008,906 | ||||||||
Multi-Utilities – 0.1% | ||||||||
FPL Energy National Wind Portfolio 6.125%, 03/25/2019 (b) | 252,169 | 239,559 | ||||||
TOTAL UTILITIES | 5,001,536 | |||||||
Total Corporate Bonds (Cost $153,956,212) | $ | 155,899,760 | ||||||
Face | ||||||||
Convertible Bonds – 0.5% | Amount | Value | ||||||
INDUSTRIALS – 0.5% | ||||||||
Professional Services – 0.5% | ||||||||
School Specialty, Inc. 3.750%, 08/01/2023 | $ | 550,000 | $ | 542,437 | ||||
3.750%, 11/30/2026 | 225,000 | 214,594 | ||||||
Total Convertible Bonds (Cost $658,028) | $ | 757,031 | ||||||
Preferred Stocks – 0.2% | Shares | Value | ||||||
FINANCIALS – 0.2% | ||||||||
Consumer Finance – 0.2% | ||||||||
GMAC, Inc. (b) | 346 | $ | 228,079 | |||||
Total Preferred Stocks (Cost $0) | $ | 228,079 | ||||||
107
High Income Bond Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 0.1% | Shares | Value | ||||||
INDUSTRIALS – 0.1% | ||||||||
Building Products – 0.1% | ||||||||
Nortek, Inc. (Private Company) (a) | 5,618 | $ | 199,439 | |||||
Total Common Stocks (Cost $197,541) | $ | 199,439 | ||||||
Warrants – 0.0% | Quantity | Value | ||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||
Media – 0.0% | ||||||||
Sirius XM Radio, Inc. | ||||||||
Expiration: March 2010, Exercise Price: $9.83 (a) | 50 | $ | 31 | |||||
Total Warrants (Cost $0) | $ | 31 | ||||||
Money Market Funds – 0.5% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 867,000 | $ | 867,000 | |||||
Total Money Market Funds (Cost $867,000) | $ | 867,000 | ||||||
Total Investments (Cost $155,678,781) – 98.8% (f) | $ | 157,951,340 | ||||||
Other Assets in Excess of Liabilities – 1.2% | 1,955,869 | |||||||
Net Assets – 100.0% | $ | 159,907,209 | ||||||
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2009, the value of these securities totaled $47,815,087 or 29.9% of the Portfolio’s net assets. Unless otherwise noted by (e) below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | Security is a variable rate instrument in which the coupon rate is adjusted quarterly or semi-annually in concert with U.S. LIBOR. Interest rates stated are those in effect at December 31, 2009. | |
(d) | Represents a security that is in default. Unless otherwise noted by (e) below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(e) | Represents a security deemed to be illiquid. At December 31, 2009, the value of illiquid securities in the Portfolio totaled $131,417 or 0.1% of the Portfolio’s net assets. | |
(f) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
108
High Income Bond Portfolio
Assets: | ||||
Investments in securities, at value (Cost $155,678,781) | $ | 157,951,340 | ||
Cash | 3,342 | |||
Receivable for securities sold | 783,481 | |||
Receivable for fund shares sold | 90,079 | |||
Dividends and accrued interest receivable | 3,061,617 | |||
Prepaid expenses and other assets | 254 | |||
Total assets | 161,890,113 | |||
Liabilities: | ||||
Payable for securities purchased | 72,841 | |||
Payable for fund shares redeemed | 1,767,896 | |||
Payable for investment management services | 97,100 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 800 | |||
Accrued professional fees | 11,299 | |||
Accrued accounting fees | 20,496 | |||
Accrued printing and filing fees | 10,795 | |||
Total liabilities | 1,982,904 | |||
Net assets | $ | 159,907,209 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 14,819,966 | ||
Paid-in capital in excess of par value | 135,679,408 | |||
Accumulated net realized loss on investments | (3,332,103 | ) | ||
Net unrealized appreciation on investments | 2,272,559 | |||
Undistributed net investment income | 10,467,379 | �� | ||
Net assets | $ | 159,907,209 | ||
Shares outstanding | 14,819,966 | |||
Authorized Fund shares allocated to Portfolio | 25,000,000 | |||
Net asset value per share | $ | 10.79 | ||
Investment income: | ||||
Interest | $ | 11,448,946 | ||
Dividends | 21,630 | |||
Other income | 244 | |||
Total investment income | 11,470,820 | |||
Expenses: | ||||
Management fees | 837,627 | |||
Custodian fees | 9,409 | |||
Directors’ fees | 12,300 | |||
Professional fees | 18,575 | |||
Accounting fees | 97,806 | |||
Printing and filing fees | 21,075 | |||
Compliance expense | 6,376 | |||
Other | 273 | |||
Total expenses | 1,003,441 | |||
Net investment income | 10,467,379 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (967,160 | ) | ||
Change in unrealized appreciation/depreciation on investments | 34,205,835 | |||
Net realized/unrealized gain (loss) on investments | 33,238,675 | |||
Change in net assets from operations | $ | 43,706,054 | ||
109
High Income Bond Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 10,467,379 | $ | 7,174,182 | ||||
Net realized gain (loss) on investments | (967,160 | ) | (516,850 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 34,205,835 | (29,655,248 | ) | |||||
Change in net assets from operations | 43,706,054 | (22,997,916 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 89,610,175 | 46,469,522 | ||||||
Paid for shares redeemed | (44,752,454 | ) | (41,091,673 | ) | ||||
Change in net assets from capital transactions | 44,857,721 | 5,377,849 | ||||||
Change in net assets | 88,563,775 | (17,620,067 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 71,343,434 | 88,963,501 | ||||||
End of year | $ | 159,907,209 | $ | 71,343,434 | ||||
Undistributed net investment income | $ | 10,467,379 | $ | 7,174,182 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.21 | $ | 9.68 | $ | 9.35 | $ | 8.49 | $ | 8.65 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.46 | 0.68 | 0.59 | 0.47 | 0.60 | (a) | ||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 3.12 | (3.15 | ) | (0.26 | ) | 0.39 | (0.34 | ) | ||||||||||||
Total from operations | 3.58 | (2.47 | ) | 0.33 | 0.86 | 0.26 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.42 | ) | ||||||||||||||
Net asset value, end of year | $ | 10.79 | $ | 7.21 | $ | 9.68 | $ | 9.35 | $ | 8.49 | ||||||||||
Total return | 49.65 | % | –25.52 | % | 3.53 | % | 10.13 | % | 2.99 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 159.9 | $ | 71.3 | $ | 89.0 | $ | 74.3 | $ | 54.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.88 | % | 0.88 | % | 0.87 | % | 0.91 | % | 0.97 | % | ||||||||||
Net investment income | 9.14 | % | 8.77 | % | 7.05 | % | 7.12 | % | 6.89 | % | ||||||||||
Portfolio turnover rate | 20 | % | 18 | % | 32 | % | 32 | % | 36 | % |
(a) | Calculated using the average daily shares method. |
110
Capital Growth Portfolio
Average Annual Total Returns: | ||||
One year | 35.27% | |||
Five years | 3.37% | |||
Ten years | -3.17% |
111
Capital Growth Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
112
Capital Growth Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 99.2 | ||
Money Market Funds | |||
Less Net Liabilities | 0.8 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Huntsman Corp. | 3.4 | |||||
2. | Cash America International, Inc. | 3.2 | |||||
3. | Lufkin Industries, Inc. | 2.8 | |||||
4. | Thoratec Corp. | 2.7 | |||||
5. | Genesco, Inc. | 2.5 | |||||
6. | Varian Semiconductor Equipment Associates, Inc. | 2.5 | |||||
7. | Rovi Corp. | 2.4 | |||||
8. | American Medical Systems Holdings, Inc. | 2.3 | |||||
9. | DTS, Inc. | 2.2 | |||||
10. | Bally Technologies, Inc. | 2.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 25.7 | ||
Health Care | 23.8 | ||
Consumer Discretionary | 16.2 | ||
Industrials | 14.6 | ||
Financials | 6.6 | ||
Energy | 5.9 | ||
Materials | 5.5 | ||
Consumer Staples | 0.9 | ||
99.2 | |||
113
Capital Growth Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 99.2% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 16.2% | ||||||||
Auto Components – 1.0% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 46,235 | $ | 370,805 | |||||
Diversified Consumer Services – 2.9% | ||||||||
Coinstar, Inc. (a) | 21,176 | 588,269 | ||||||
Sotheby’s | 21,535 | 484,107 | ||||||
1,072,376 | ||||||||
Hotels, Restaurants & Leisure – 6.5% | ||||||||
Bally Technologies, Inc. (a) | 19,750 | 815,478 | ||||||
BJ’s Restaurants, Inc. (a) | 34,140 | 642,515 | ||||||
Choice Hotels International, Inc. | 5,550 | 175,713 | ||||||
Shuffle Master, Inc. (a) | 62,081 | 511,547 | ||||||
Steak N Shake Co. / The (a) | 778 | 252,165 | ||||||
2,397,418 | ||||||||
Household Durables – 2.1% | ||||||||
Universal Electronics, Inc. (a) | 33,666 | 781,724 | ||||||
Specialty Retail – 3.7% | ||||||||
Genesco, Inc. (a) | 34,156 | 937,924 | ||||||
Vitamin Shoppe, Inc. (a) | 18,038 | 401,165 | ||||||
1,339,089 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 5,961,412 | |||||||
CONSUMER STAPLES – 0.9% | ||||||||
Personal Products – 0.9% | ||||||||
Herbalife Ltd. | 8,595 | 348,699 | ||||||
TOTAL CONSUMER STAPLES | 348,699 | |||||||
ENERGY – 5.9% | ||||||||
Energy Equipment & Services – 4.6% | ||||||||
Lufkin Industries, Inc. | 14,035 | 1,027,362 | ||||||
OYO Geospace Corp. (a) | 15,500 | 664,795 | ||||||
1,692,157 | ||||||||
Oil, Gas & Consumable Fuels – 1.3% | ||||||||
Whiting Petroleum Corp. (a) | 6,845 | 489,075 | ||||||
TOTAL ENERGY | 2,181,232 | |||||||
FINANCIALS – 6.6% | ||||||||
Capital Markets – 1.7% | ||||||||
Broadpoint Gleacher Securities, Inc. (a) | 27,040 | 120,598 | ||||||
Duff & Phelps Corp. Class A | 18,135 | 331,145 | ||||||
optionsXpress Holdings Inc. | 10,760 | 166,242 | ||||||
617,985 | ||||||||
Commercial Banks – 1.0% | ||||||||
First Commonwealth Financial Corp. | 31,175 | 144,964 | ||||||
UMB Financial Corp. | 5,200 | 204,620 | ||||||
349,584 | ||||||||
Consumer Finance – 3.2% | ||||||||
Cash America International, Inc. | 33,550 | 1,172,908 | ||||||
Real Estate Investment Trusts – 0.7% | ||||||||
Redwood Trust, Inc. | 19,101 | 276,201 | ||||||
TOTAL FINANCIALS | 2,416,678 | |||||||
HEALTH CARE – 23.8% | ||||||||
Biotechnology – 3.9% | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 25,875 | 486,709 | ||||||
Cubist Pharmaceuticals, Inc. (a) | 9,633 | 182,738 | ||||||
Onyx Pharmaceuticals, Inc. (a) | 11,175 | 327,874 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 11,115 | 268,761 | ||||||
Seattle Genetics Inc. (a) | 16,225 | 164,846 | ||||||
1,430,928 | ||||||||
Health Care Equipment & Supplies – 5.8% | ||||||||
American Medical Systems Holdings, Inc. (a) | 44,410 | 856,669 | ||||||
Cutera, Inc. (a) | 18,335 | 156,031 | ||||||
SurModics, Inc. (a) | 6,500 | 147,290 | ||||||
Thoratec Corp. (a) | 36,758 | 989,525 | ||||||
2,149,515 | ||||||||
Health Care Providers & Services – 6.7% | ||||||||
Addus HomeCare Corp. (a) | 8,905 | 81,926 | ||||||
Amedisys, Inc. (a) | 12,335 | 598,988 | ||||||
Centene Corp. (a) | 20,730 | 438,854 | ||||||
Genoptix, Inc. (a) | 14,918 | 530,036 | ||||||
Lincare Holdings, Inc. (a) | 12,909 | 479,182 | ||||||
Psychiatric Solutions, Inc. (a) | 15,293 | 323,294 | ||||||
2,452,280 | ||||||||
Health Care Technology – 5.0% | ||||||||
Eclipsys Corp. (a) | 38,287 | 709,075 | ||||||
MedAssets, Inc. (a) | 16,091 | 341,290 | ||||||
Quality Systems, Inc. | 9,203 | 577,857 | ||||||
Vital Images, Inc. (a) | 16,815 | 213,382 | ||||||
1,841,604 | ||||||||
Life Sciences Tools & Services – 2.0% | ||||||||
Bio-Rad Laboratories, Inc. (a) | 3,805 | 367,031 | ||||||
ICON PLC – ADR (a) | 16,314 | 354,503 | ||||||
721,534 | ||||||||
Pharmaceuticals – 0.4% | ||||||||
Vivus, Inc. (a) | 16,525 | 151,865 | ||||||
TOTAL HEALTH CARE | 8,747,726 | |||||||
INDUSTRIALS – 14.6% | ||||||||
Commercial Services & Supplies – 5.3% | ||||||||
GEO Group, Inc. / The (a) | 35,135 | 768,754 | ||||||
Ritchie Bros. Auctioneers, Inc. | 28,500 | 639,255 | ||||||
Waste Connections, Inc. (a) | 16,783 | 559,545 | ||||||
1,967,554 | ||||||||
Construction & Engineering – 1.8% | ||||||||
MasTec, Inc. (a) | 18,195 | 227,437 | ||||||
Northwest Pipe Co. (a) | 15,825 | 425,060 | ||||||
652,497 | ||||||||
Electrical Equipment – 4.1% | ||||||||
A123 Systems, Inc. (a) | 17,140 | 384,622 | ||||||
GrafTech International Ltd. (a) | 29,975 | 466,111 | ||||||
Regal-Beloit Corp. | 12,602 | 654,548 | ||||||
1,505,281 | ||||||||
114
Capital Growth Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 99.2% | Shares | Value | ||||||
Marine – 0.8% | ||||||||
Genco Shipping & Trading Ltd. (a) | 14,085 | $ | 315,222 | |||||
Professional Services – 1.0% | ||||||||
Monster Worldwide, Inc. (a) | 20,335 | 353,829 | ||||||
Road & Rail – 1.6% | ||||||||
Landstar System, Inc. | 15,285 | 592,600 | ||||||
TOTAL INDUSTRIALS | 5,386,983 | |||||||
INFORMATION TECHNOLOGY – 25.7% | ||||||||
Communications Equipment – 1.0% | ||||||||
EMS Technologies, Inc. (a) | 26,106 | 378,537 | ||||||
Computers & Peripherals – 3.2% | ||||||||
Compellent Technologies, Inc. (a) | 34,917 | 791,918 | ||||||
Netezza Corp. (a) | 37,955 | 368,163 | ||||||
1,160,081 | ||||||||
Electronic Equipment, Instruments & Components – 4.3% | ||||||||
Coherent, Inc. (a) | 24,750 | 735,817 | ||||||
DTS, Inc. (a) | 23,976 | 820,219 | ||||||
1,556,036 | ||||||||
Semiconductors & Semiconductor Equipment – 7.8% | ||||||||
FormFactor, Inc. (a) | 29,908 | 650,798 | ||||||
ON Semiconductor Corp. (a) | 81,333 | 716,544 | ||||||
Teradyne, Inc. (a) | 54,420 | 583,927 | ||||||
Varian Semiconductor Equipment Associates, Inc. (a) | 25,865 | 928,036 | ||||||
2,879,305 | ||||||||
Software – 9.4% | ||||||||
ANSYS, Inc. (a) | 18,485 | 803,358 | ||||||
Informatica Corp. (a) | 28,130 | 727,442 | ||||||
Novell, Inc. (a) | 48,074 | 199,507 | ||||||
Radiant Systems, Inc. (a) | 16,785 | 174,564 | ||||||
Rovi Corp. (a) | 27,185 | 866,386 | ||||||
TIBCO Software, Inc. (a) | 72,241 | 695,681 | ||||||
3,466,938 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 9,440,897 | |||||||
MATERIALS – 5.5% | ||||||||
Chemicals – 5.5% | ||||||||
Huntsman Corp. | 109,921 | 1,241,008 | ||||||
Terra Industries, Inc. | 23,880 | 768,697 | ||||||
TOTAL MATERIALS | 2,009,705 | |||||||
Total Common Stocks (Cost $29,464,864) | $ | 36,493,332 | ||||||
Warrants – 0.0% | Quantity | Value | ||||||
INFORMATION TECHNOLOGY – 0.0% | ||||||||
Communications Equipment – 0.0% | ||||||||
Lantronix, Inc. | ||||||||
Expiration: February, 2011, | ||||||||
Exercise Price: $28.08 (a) (b) | 305 | $ | — | |||||
Total Warrants (Cost $0) | $ | — | ||||||
Money Market Funds – 1.0% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 350,000 | $ | 350,000 | |||||
Total Money Market Funds (Cost $350,000) | $ | 350,000 | ||||||
Total Investments – 100.2% (Cost $29,814,864) (c) | $ | 36,843,332 | ||||||
Liabilities in Excess of Other Assets – (0.2)% | (59,505 | ) | ||||||
Net Assets – 100.0% | $ | 36,783,827 | ||||||
(a) | Non-income producing security. | |
(b) | Market quotations for these investments were not readily available at December 31, 2009. As discussed in Note 2 of the Notes to Financial Statements, prices for these issues were derived from estimates of fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. At December 31, 2009 the value of these securities totaled $0 or 0.0% of the Portfolio’s net assets. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
115
Capital Growth Portfolio
Assets: | ||||
Investments in securities, at value (Cost $29,814,864) | $ | 36,843,332 | ||
Cash | 532 | |||
Receivable for fund shares sold | 114,206 | |||
Dividends and accrued interest receivable | 11,527 | |||
Prepaid expenses and other assets | 579 | |||
Total assets | 36,970,176 | |||
Liabilities: | ||||
Payable for securities purchased | 114,678 | |||
Payable for fund shares redeemed | 25,778 | |||
Payable for investment management services | 27,283 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 268 | |||
Accrued professional fees | 11,131 | |||
Accrued accounting fees | 3,135 | |||
Accrued printing and filing fees | 2,399 | |||
Total liabilities | 186,349 | |||
Net assets | $ | 36,783,827 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,812,753 | ||
Paid-in capital in excess of par value | 42,967,548 | |||
Accumulated net realized loss on investments | (15,029,618 | ) | ||
Net unrealized appreciation on investments | 7,028,468 | |||
Undistributed net investment income | 4,676 | |||
Net assets | $ | 36,783,827 | ||
Shares outstanding | 1,812,753 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 20.29 | ||
Investment income: | ||||
Interest | $ | 2,738 | ||
Dividends (net of withholding tax of $1,136) | 326,470 | |||
Total investment income | 329,208 | |||
Expenses: | ||||
Management fees | 273,242 | |||
Custodian fees | 4,543 | |||
Directors’ fees | 3,187 | |||
Professional fees | 13,474 | |||
Accounting fees | 17,747 | |||
Printing and filing fees | 5,174 | |||
Compliance expense | 6,376 | |||
Other | 789 | |||
Total expenses | 324,532 | |||
Net investment income | 4,676 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (2,009,614 | ) | ||
Change in unrealized appreciation/depreciation on investments | 11,786,408 | |||
Net realized/unrealized gain (loss) on investments | 9,776,794 | |||
Change in net assets from operations | $ | 9,781,470 | ||
116
Capital Growth Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 4,676 | $ | (222,826 | ) | |||
Net realized gain (loss) on investments | (2,009,614 | ) | (3,527,322 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 11,786,408 | (10,934,251 | ) | |||||
Change in net assets from operations | 9,781,470 | (14,684,399 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 10,662,186 | 15,704,298 | ||||||
Paid for shares redeemed | (10,743,788 | ) | (12,143,882 | ) | ||||
Change in net assets from capital transactions | (81,602 | ) | 3,560,416 | |||||
Change in net assets | 9,699,868 | (11,123,983 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 27,083,959 | 38,207,942 | ||||||
End of year | $ | 36,783,827 | $ | 27,083,959 | ||||
Undistributed net investment income | $ | 4,676 | $ | — | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.00 | $ | 23.57 | $ | 21.19 | $ | 17.64 | $ | 17.19 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | — | (0.12 | ) | (0.16 | ) | (0.16 | ) | (0.14 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 5.29 | (8.45 | ) | 2.54 | 3.71 | 0.59 | ||||||||||||||
Total from operations | 5.29 | (8.57 | ) | 2.38 | 3.55 | 0.45 | ||||||||||||||
Net asset value, end of year | $ | 20.29 | $ | 15.00 | $ | 23.57 | $ | 21.19 | $ | 17.64 | ||||||||||
Total return | 35.27 | % | –36.36 | % | 11.23 | % | 20.12 | % | 2.62 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 36.8 | $ | 27.1 | $ | 38.2 | $ | 32.9 | $ | 28.2 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.07 | % | 1.04 | % | 1.02 | % | 1.03 | % | 1.03 | % | ||||||||||
Net investment income (loss) | 0.02 | % | –0.66 | % | –0.70 | % | –0.81 | % | –0.78 | % | ||||||||||
Portfolio turnover rate | 67 | % | 63 | % | 63 | % | 69 | % | 52 | % |
117
Nasdaq-100® Index Portfolio
Average Annual Total Returns: | ||||
One year | 53.70% | |||
Five years | 2.72% | |||
Since inception (5/1/00) | -7.35% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
118
Nasdaq-100® Index Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 97.3 | ||
Exchange Traded Funds | 3.4 | ||
Commercial Paper | |||
Less Net Liabilities | (0.7) | ||
100.0 | |||
% of Net Assets | |||||||
1. | Apple, Inc. | 15.1 | |||||
2. | QUALCOMM, Inc. | 5.3 | |||||
3. | Microsoft Corp. | 5.3 | |||||
4. | Google, Inc. Class A | 5.2 | |||||
5. | PowerShares QQQ | 3.4 | |||||
6. | Oracle Corp. | 2.9 | |||||
7. | Cisco Systems, Inc. | 2.8 | |||||
8. | Teva Pharmaceutical Industries, Ltd. – ADR | 2.4 | |||||
9. | Intel Corp. | 2.2 | |||||
10. | Amazon.com, Inc. | 2.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 61.4 | ||
Health Care | 15.2 | ||
Consumer Discretionary | 14.0 | ||
Industrials | 4.0 | ||
Telecommunication Services | 1.5 | ||
Consumer Staples | 0.8 | ||
Materials | 0.4 | ||
97.3 | |||
119
Nasdaq-100® Index Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.3% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 14.0% | ||||||||
Diversified Consumer Services – 0.5% | ||||||||
Apollo Group, Inc. Class A (a) | 4,250 | $ | 257,465 | |||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
Starbucks Corp. (a) | 27,875 | 642,797 | ||||||
Wynn Resorts Ltd. (a) | 3,625 | 211,084 | ||||||
853,881 | ||||||||
Household Durables – 0.3% | ||||||||
Garmin Ltd. | 5,050 | 155,035 | ||||||
Internet & Catalog Retail – 3.5% | ||||||||
Amazon.com, Inc. (a) | 7,775 | 1,045,893 | ||||||
Expedia, Inc. (a) | 7,700 | 197,967 | ||||||
Liberty Media Corp. – Interactive (a) | 14,800 | 160,432 | ||||||
priceline.com, Inc. (a) | 1,250 | 273,125 | ||||||
1,677,417 | ||||||||
Leisure Equipment & Products – 0.5% | ||||||||
Mattel, Inc. | 11,200 | 223,776 | ||||||
Media – 4.4% | ||||||||
Comcast Corp. Class A | 39,097 | 659,175 | ||||||
DIRECTV (a) | 18,875 | 629,481 | ||||||
DISH Network Corp. | 5,835 | 121,193 | ||||||
News Corp. Class A | 38,550 | 527,750 | ||||||
Virgin Media Inc. | 9,125 | 153,574 | ||||||
2,091,173 | ||||||||
Multiline Retail – 0.6% | ||||||||
Sears Holdings Corp. (a) | 3,275 | 273,299 | ||||||
Specialty Retail – 2.4% | ||||||||
Bed Bath & Beyond, Inc. (a) | 9,575 | 369,882 | ||||||
O’Reilly Automotive, Inc. (a) | 3,700 | 141,044 | ||||||
Ross Stores, Inc. | 3,425 | 146,282 | ||||||
Staples, Inc. | 13,150 | 323,358 | ||||||
Urban Outfitters, Inc. (a) | 4,500 | 157,455 | ||||||
1,138,021 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 6,670,067 | |||||||
CONSUMER STAPLES – 0.8% | ||||||||
Food & Staples Retailing – 0.8% | ||||||||
Costco Wholesale Corp. | 6,210 | 367,446 | ||||||
TOTAL CONSUMER STAPLES | 367,446 | |||||||
HEALTH CARE – 15.2% | ||||||||
Biotechnology – 7.8% | ||||||||
Amgen, Inc. (a) | 12,772 | 722,512 | ||||||
Biogen Idec, Inc. (a) | 8,525 | 456,088 | ||||||
Celgene Corp. (a) | 12,350 | 687,648 | ||||||
Cephalon, Inc. (a) | 1,975 | 123,260 | ||||||
Genzyme Corp. (a) | 9,000 | 441,090 | ||||||
Gilead Sciences, Inc. (a) | 24,000 | 1,038,720 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 5,625 | 241,031 | ||||||
3,710,349 | ||||||||
Health Care Equipment & Supplies – 1.2% | ||||||||
DENTSPLY International, Inc. | 3,950 | 138,921 | ||||||
Hologic, Inc. (a) | 7,350 | 106,575 | ||||||
Intuitive Surgical, Inc. (a) | 1,025 | 310,903 | ||||||
556,399 | ||||||||
Health Care Providers & Services – 1.7% | ||||||||
Express Scripts, Inc. (a) | 6,650 | 574,893 | ||||||
Henry Schein, Inc. (a) | 2,450 | 128,870 | ||||||
Patterson Cos., Inc. (a) | 3,180 | 88,976 | ||||||
792,739 | ||||||||
Health Care Technology – 0.4% | ||||||||
Cerner Corp. (a) | 2,200 | 181,368 | ||||||
Life Sciences Tools & Services – 1.0% | ||||||||
Illumina, Inc. (a) | 3,325 | 101,911 | ||||||
Life Technologies Corp. (a) | 4,875 | 254,621 | ||||||
QIAGEN N.V. (a) | 6,325 | 141,174 | ||||||
497,706 | ||||||||
Pharmaceuticals – 3.1% | ||||||||
Mylan Inc. (a) | 8,400 | 154,812 | ||||||
Teva Pharmaceutical Industries, Ltd. – ADR | 20,010 | 1,124,162 | ||||||
Warner Chilcott PLC Class A (a) | 6,775 | 192,884 | ||||||
1,471,858 | ||||||||
TOTAL HEALTH CARE | 7,210,419 | |||||||
INDUSTRIALS – 4.0% | ||||||||
Air Freight & Logistics – 1.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 4,500 | 264,285 | ||||||
Expeditors International of Washington, Inc. | 5,650 | 196,224 | ||||||
460,509 | ||||||||
Commercial Services & Supplies – 0.6% | ||||||||
Cintas Corp. | 4,975 | 129,599 | ||||||
Stericycle, Inc. (a) | 2,400 | 132,408 | ||||||
262,007 | ||||||||
Construction & Engineering – 0.2% | ||||||||
Foster Wheeler AG (a) | 3,600 | 105,984 | ||||||
Electrical Equipment – 0.6% | ||||||||
First Solar, Inc. (a) | 2,025 | 274,185 | ||||||
Machinery – 1.1% | ||||||||
Joy Global, Inc. | 2,725 | 140,583 | ||||||
PACCAR, Inc. | 11,039 | 400,384 | ||||||
540,967 | ||||||||
Road & Rail – 0.2% | ||||||||
J.B. Hunt Transport Services, Inc. | 3,450 | 111,332 | ||||||
Trading Companies & Distributors – 0.3% | ||||||||
Fastenal Co. | 3,850 | 160,314 | ||||||
TOTAL INDUSTRIALS | 1,915,298 | |||||||
INFORMATION TECHNOLOGY – 61.4% | ||||||||
Communications Equipment – 10.3% | ||||||||
Cisco Systems, Inc. (a) | 55,650 | 1,332,261 | ||||||
QUALCOMM, Inc. | 54,545 | 2,523,252 | ||||||
Research In Motion Ltd. (a) | 15,400 | 1,040,116 | ||||||
4,895,629 | ||||||||
Computers & Peripherals – 17.4% | ||||||||
Apple, Inc. (a) | 34,020 | 7,173,457 | ||||||
Dell, Inc. (a) | 19,475 | 279,661 | ||||||
Logitech International SA (a) | 4,650 | 79,515 | ||||||
NetApp, Inc. (a) | 9,535 | 327,909 |
120
Nasdaq-100® Index Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.3% | Shares | Value | ||||||
Computers & Peripherals (continued) | ||||||||
SanDisk Corp. (a) | 6,275 | $ | 181,912 | |||||
Seagate Technology | 13,450 | 244,656 | ||||||
8,287,110 | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Flextronics International Ltd. (a) | 23,875 | 174,526 | ||||||
FLIR Systems, Inc. (a) | 4,300 | 140,696 | ||||||
315,222 | ||||||||
Internet Software & Services – 8.0% | ||||||||
Baidu, Inc. – ADR (a) | 725 | 298,142 | ||||||
eBay, Inc.��(a) | 26,110 | 614,630 | ||||||
Google, Inc. Class A (a) | 4,000 | 2,479,920 | ||||||
VeriSign, Inc. (a) | 4,905 | 118,897 | ||||||
Yahoo!, Inc. (a) | 18,235 | 305,983 | ||||||
3,817,572 | ||||||||
IT Services – 3.1% | ||||||||
Automatic Data Processing, Inc. | 9,650 | 413,213 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 7,775 | 352,207 | ||||||
Fiserv, Inc. (a) | 5,212 | 252,678 | ||||||
Infosys Technologies Ltd. – ADR | 2,950 | 163,046 | ||||||
Paychex, Inc. | 9,295 | 284,799 | ||||||
1,465,943 | ||||||||
Semiconductors & Semiconductor Equipment – 7.7% | ||||||||
Altera Corp. | 11,250 | 254,587 | ||||||
Applied Materials, Inc. | 18,675 | 260,329 | ||||||
Broadcom Corp. Class A (a) | 10,775 | 338,874 | ||||||
Intel Corp. | 52,370 | 1,068,348 | ||||||
KLA-Tencor Corp. | 5,600 | 202,496 | ||||||
Lam Research Corp. (a) | 3,550 | 139,196 | ||||||
Linear Technology Corp. | 8,080 | 246,763 | ||||||
Marvell Technology Group Ltd. (a) | 16,100 | 334,075 | ||||||
Maxim Integrated Products, Inc. | 8,125 | 164,938 | ||||||
Microchip Technology, Inc. | 4,125 | 119,873 | ||||||
NVIDIA Corp. (a) | 14,762 | 275,754 | ||||||
Xilinx, Inc. | 9,955 | 249,472 | ||||||
3,654,705 | ||||||||
Software – 14.3% | ||||||||
Activision Blizzard, Inc. (a) | 30,675 | 340,799 | ||||||
Adobe Systems, Inc. (a) | 13,905 | 511,426 | ||||||
Autodesk, Inc. (a) | 6,475 | 164,530 | ||||||
BMC Software, Inc. (a) | 5,775 | 231,577 | ||||||
CA, Inc. | 13,575 | 304,894 | ||||||
Check Point Software Technologies Ltd. (a) | 5,595 | 189,559 | ||||||
Citrix Systems, Inc. (a) | 5,875 | 244,459 | ||||||
Electronic Arts, Inc. (a) | 8,880 | 157,620 | ||||||
Intuit, Inc. (a) | 10,805 | 331,822 | ||||||
Microsoft Corp. | 82,750 | 2,523,047 | ||||||
Oracle Corp. | 56,610 | 1,389,209 | ||||||
Symantec Corp. (a) | 22,948 | 410,540 | ||||||
6,799,482 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 29,235,663 | |||||||
MATERIALS – 0.4% | ||||||||
Chemicals – 0.4% | ||||||||
Sigma-Aldrich Corp. | 3,175 | 160,433 | ||||||
TOTAL MATERIALS | 160,433 | |||||||
TELECOMMUNICATION SERVICES – 1.5% | ||||||||
Wireless Telecommunication Services – 1.5% | ||||||||
Millicom International Cellular S.A. | 2,850 | 210,245 | ||||||
NII Holdings, Inc. (a) | 4,375 | 146,912 | ||||||
Vodafone Group PLC – ADR | 15,825 | 365,399 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 722,556 | |||||||
Total Common Stocks (Cost $37,197,625) | $ | 46,281,882 | ||||||
Exchange Traded Funds – 3.4% | Shares | Value | ||||||
PowerShares QQQ | 35,565 | $ | 1,633,145 | |||||
Total Exchange Traded Funds (Cost $1,552,063) | $ | 1,633,145 | ||||||
Face | Amortized | |||||||
Commercial Paper – 0.3% | Amount | Cost | ||||||
Prudential Funding LLC 0.020%, 01/04/2010 | $ | 167,000 | $ | 167,000 | ||||
Total Commercial Paper (Cost $167,000) | $ | 167,000 | ||||||
Total Investments – 101.0% (Cost $38,916,688) (b) | $ | 48,082,027 | ||||||
Liabilities in Excess of Other Assets – (1.0)% | (493,748 | ) | ||||||
Net Assets – 100.0% | $ | 47,588,279 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
121
Nasdaq-100® Index Portfolio
Assets: | ||||
Investments in securities, at value (Cost $38,916,688) | $ | 48,082,027 | ||
Cash | 477 | |||
Receivable for fund shares sold | 49,929 | |||
Dividends and accrued interest receivable | 9,298 | |||
Prepaid expenses and other assets | 713 | |||
Total assets | 48,142,444 | |||
Liabilities: | ||||
Payable for securities purchased | 21,681 | |||
Payable for fund shares redeemed | 496,099 | |||
Payable for investment management services | 15,837 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 247 | |||
Accrued professional fees | 11,146 | |||
Accrued accounting fees | 3,851 | |||
Accrued printing and filing fees | 3,097 | |||
Other accrued expenses | 530 | |||
Total liabilities | 554,165 | |||
Net assets | $ | 47,588,279 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 9,947,009 | ||
Paid-in capital in excess of par value | 34,350,682 | |||
Accumulated net realized loss on investments | (5,943,767 | ) | ||
Net unrealized appreciation on investments | 9,165,339 | |||
Undistributed net investment income | 69,016 | |||
Net assets | $ | 47,588,279 | ||
Shares outstanding | 9,947,009 | |||
Authorized Fund shares allocated to Portfolio | 20,000,000 | |||
Net asset value per share | $ | 4.78 | ||
Investment income: | ||||
Interest | $ | 149 | ||
Dividends (net of withholding tax of $2,913) | 272,573 | |||
Total investment income | 272,722 | |||
Expenses: | ||||
Management fees | 145,688 | |||
Custodian fees | 6,624 | |||
Directors’ fees | 3,868 | |||
Professional fees | 13,843 | |||
Accounting fees | 21,512 | |||
Printing and filing fees | 6,240 | |||
Compliance expense | 6,376 | |||
Other | 858 | |||
Total expenses | 205,009 | |||
Net investment income | 67,713 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 232,855 | |||
Change in unrealized appreciation/depreciation on investments | 15,353,126 | |||
Net realized/unrealized gain (loss) on investments | 15,585,981 | |||
Change in net assets from operations | $ | 15,653,694 | ||
122
Nasdaq-100® Index Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 67,713 | $ | 4,870 | ||||
Net realized gain (loss) on investments | 232,855 | (1,406,553 | ) | |||||
Change in unrealized appreciation/depreciation on investments | 15,353,126 | (18,845,859 | ) | |||||
Change in net assets from operations | 15,653,694 | (20,247,542 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 18,529,577 | 17,536,823 | ||||||
Paid for shares redeemed | (14,683,834 | ) | (17,821,298 | ) | ||||
Change in net assets from capital transactions | 3,845,743 | (284,475 | ) | |||||
Change in net assets | 19,499,437 | (20,532,017 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 28,088,842 | 48,620,859 | ||||||
End of year | $ | 47,588,279 | $ | 28,088,842 | ||||
Undistributed net investment income | $ | 69,016 | $ | 6,848 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 3.11 | $ | 5.36 | $ | 4.52 | $ | 4.24 | $ | 4.18 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.01 | — | — | — | — | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.66 | (2.25 | ) | 0.84 | 0.28 | 0.06 | ||||||||||||||
Total from operations | 1.67 | (2.25 | ) | 0.84 | 0.28 | 0.06 | ||||||||||||||
Net asset value, end of year | $ | 4.78 | $ | 3.11 | $ | 5.36 | $ | 4.52 | $ | 4.24 | ||||||||||
Total return | 53.70 | % | –41.98 | % | 18.58 | % | 6.60 | % | 1.44 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 47.6 | $ | 28.1 | $ | 48.6 | $ | 45.7 | $ | 31.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.56 | % | 0.54 | % | 0.51 | % | 0.53 | % | 0.54 | % | ||||||||||
Net investment income (loss) | 0.19 | % | 0.01 | % | –0.01 | % | 0.00 | % | 0.05 | % | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.56 | % | 0.54 | % | 0.51 | % | 0.53 | % | 0.64 | % | ||||||||||
Net investment income (loss) | 0.19 | % | 0.01 | % | –0.01 | % | 0.00 | % | –0.04 | % | ||||||||||
Portfolio turnover rate | 29 | % | 27 | % | 13 | % | 36 | % | 45 | % |
123
Bristol Portfolio
Average Annual Total Returns: | ||||
One year | 35.83% | |||
Five years | 2.56% | |||
Since inception (5/1/02) | 3.38% |
124
Bristol Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 96.7 | ||
Money Market Funds Less Net Liabilities | 3.3 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Exxon Mobil Corp. | 2.5 | |||||
2. | Chevron Corp. | 2.4 | |||||
3. | Pfizer, Inc. | 2.4 | |||||
4. | General Electric Co. | 2.3 | |||||
5. | Dow Chemical Company / The | 2.1 | |||||
6. | Applied Materials, Inc. | 2.1 | |||||
7. | Bank of America Corp. | 2.1 | |||||
8. | Goodrich Corp. | 2.1 | |||||
9. | JPMorgan Chase & Co. | 2.0 | |||||
10. | United Technologies Corp. | 2.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 20.7 | ||
Industrials | 15.3 | ||
Financials | 13.2 | ||
Energy | 12.0 | ||
Consumer Discretionary | 9.4 | ||
Materials | 8.7 | ||
Health Care | 8.4 | ||
Consumer Staples | 7.1 | ||
Telecommunication Services | 1.9 | ||
96.7 | |||
125
Bristol Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 9.4% | ||||||||
Hotels, Restaurants & Leisure – 2.0% | ||||||||
Darden Restaurants, Inc. | 25,000 | $ | 876,750 | |||||
Royal Caribbean Cruises Ltd. (a) | 78,400 | 1,981,952 | ||||||
2,858,702 | ||||||||
Internet & Catalog Retail – 0.8% | ||||||||
Amazon.com, Inc. (a) | 8,600 | 1,156,872 | ||||||
Multiline Retail – 1.8% | ||||||||
Target Corp. | 52,400 | 2,534,588 | ||||||
Specialty Retail – 3.0% | ||||||||
Bed Bath & Beyond, Inc. (a) | 41,800 | 1,614,734 | ||||||
Lowe’s Companies, Inc. | 115,800 | 2,708,562 | ||||||
4,323,296 | ||||||||
Textiles, Apparel & Luxury Goods – 1.8% | ||||||||
V.F. Corp. | 35,500 | 2,600,020 | ||||||
TOTAL CONSUMER DISCRETIONARY | 13,473,478 | |||||||
CONSUMER STAPLES – 7.1% | ||||||||
Food & Staples Retailing – 1.9% | ||||||||
Wal-Mart Stores, Inc. | 50,200 | 2,683,190 | ||||||
Food Products – 3.4% | ||||||||
ConAgra Foods, Inc. | 61,000 | 1,406,050 | ||||||
General Mills, Inc. | 32,700 | 2,315,487 | ||||||
Ralcorp Holdings, Inc. (a) | 19,800 | 1,182,258 | ||||||
4,903,795 | ||||||||
Household Products – 1.8% | ||||||||
Procter & Gamble Co. / The | 41,500 | 2,516,145 | ||||||
TOTAL CONSUMER STAPLES | 10,103,130 | |||||||
ENERGY – 12.0% | ||||||||
Energy Equipment & Services – 1.2% | ||||||||
Transocean Ltd. (a) | 19,900 | 1,647,720 | ||||||
Oil, Gas & Consumable Fuels – 10.8% | ||||||||
Anadarko Petroleum Corp. | 30,500 | 1,903,810 | ||||||
Apache Corp. | 8,900 | 918,213 | ||||||
Chevron Corp. | 44,800 | 3,449,152 | ||||||
Exxon Mobil Corp. | 52,600 | 3,586,794 | ||||||
Hess Corp. | 46,800 | 2,831,400 | ||||||
Occidental Petroleum Corp. | 33,500 | 2,725,225 | ||||||
15,414,594 | ||||||||
TOTAL ENERGY | 17,062,314 | |||||||
FINANCIALS – 13.2% | ||||||||
Capital Markets – 5.4% | ||||||||
Goldman Sachs Group, Inc. / The | 16,500 | 2,785,860 | ||||||
Morgan Stanley | 87,900 | 2,601,840 | ||||||
State Street Corp. | 53,800 | 2,342,452 | ||||||
7,730,152 | ||||||||
Commercial Banks – 1.8% | ||||||||
Wells Fargo & Co. | 95,500 | 2,577,545 | ||||||
Diversified Financial Services – 4.1% | ||||||||
Bank of America Corp. | 196,000 | 2,951,760 | ||||||
JPMorgan Chase & Co. | 70,000 | 2,916,900 | ||||||
5,868,660 | ||||||||
Insurance – 1.9% | ||||||||
Prudential Financial, Inc. | 55,000 | 2,736,800 | ||||||
TOTAL FINANCIALS | 18,913,157 | |||||||
HEALTH CARE – 8.4% | ||||||||
Health Care Equipment & Supplies – 2.1% | ||||||||
Hospira, Inc. (a) | 54,200 | 2,764,200 | ||||||
Medtronic, Inc. | 5,800 | 255,084 | ||||||
3,019,284 | ||||||||
Health Care Providers & Services – 2.6% | ||||||||
Laboratory Corporation of America Holdings (a) | 15,100 | 1,130,084 | ||||||
McKesson Corp. | 41,900 | 2,618,750 | ||||||
3,748,834 | ||||||||
Life Sciences Tools & Services – 0.5% | ||||||||
Thermo Fisher Scientific, Inc. (a) | 15,000 | 715,350 | ||||||
Pharmaceuticals – 3.2% | ||||||||
Merck & Co., Inc. | 28,800 | 1,052,352 | ||||||
Pfizer, Inc. | 187,600 | 3,412,444 | ||||||
4,464,796 | ||||||||
TOTAL HEALTH CARE | 11,948,264 | |||||||
INDUSTRIALS – 15.3% | ||||||||
Aerospace & Defense – 6.0% | ||||||||
Goodrich Corp. | 45,800 | 2,942,650 | ||||||
Honeywell International Inc. | 70,000 | 2,744,000 | ||||||
United Technologies Corp. | 41,500 | 2,880,515 | ||||||
8,567,165 | ||||||||
Construction & Engineering – 1.1% | ||||||||
Quanta Services, Inc. (a) | 74,400 | 1,550,496 | ||||||
Electrical Equipment – 0.1% | ||||||||
SunPower Corp. Class B (a) | 8,600 | 180,170 | ||||||
Industrial Conglomerates – 5.0% | ||||||||
3M Co. | 17,400 | 1,438,458 | ||||||
General Electric Co. | 218,100 | 3,299,853 | ||||||
Tyco International Ltd. | 66,500 | 2,372,720 | ||||||
7,111,031 | ||||||||
Machinery – 3.1% | ||||||||
Caterpillar, Inc. | 48,500 | 2,764,015 | ||||||
Illinois Tool Works, Inc. | 36,000 | 1,727,640 | ||||||
4,491,655 | ||||||||
TOTAL INDUSTRIALS | 21,900,517 | |||||||
INFORMATION TECHNOLOGY – 20.7% | ||||||||
Communications Equipment – 3.7% | ||||||||
Cisco Systems, Inc. (a) | 110,100 | 2,635,794 | ||||||
QUALCOMM, Inc. | 59,100 | 2,733,966 | ||||||
5,369,760 | ||||||||
Computers & Peripherals – 7.2% | ||||||||
Apple, Inc. (a) | 11,300 | 2,382,718 | ||||||
Dell, Inc. (a) | 164,800 | 2,366,528 | ||||||
Hewlett-Packard Co. | 53,800 | 2,771,238 | ||||||
International Business Machines Corp. | 21,400 | 2,801,260 | ||||||
10,321,744 | ||||||||
Internet Software & Services – 1.8% | ||||||||
Google, Inc. Class A (a) | 4,100 | 2,541,918 | ||||||
Semiconductors & Semiconductor Equipment – 8.0% | ||||||||
Applied Materials, Inc. | 216,600 | 3,019,404 | ||||||
Intel Corp. | 137,900 | 2,813,160 |
126
Bristol Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 96.7% | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Maxim Integrated Products, Inc. | 134,500 | $ | 2,730,350 | |||||
Texas Instruments, Inc. | 108,400 | 2,824,904 | ||||||
11,387,818 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 29,621,240 | |||||||
MATERIALS – 8.7% | ||||||||
Chemicals – 3.1% | ||||||||
Air Products and Chemicals, Inc. | 16,300 | 1,321,278 | ||||||
Dow Chemical Company / The | 109,500 | 3,025,485 | ||||||
4,346,763 | ||||||||
Containers & Packaging – 1.9% | ||||||||
Ball Corp. | 53,400 | 2,760,780 | ||||||
Metals & Mining – 3.7% | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 33,100 | 2,657,599 | ||||||
Teck Resources Ltd. (a) | 74,100 | 2,591,277 | ||||||
5,248,876 | ||||||||
TOTAL MATERIALS | 12,356,419 | |||||||
TELECOMMUNICATION SERVICES – 1.9% | ||||||||
Diversified Telecommunication Services – 1.9% | ||||||||
Verizon Communications, Inc. | 81,400 | 2,696,782 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 2,696,782 | |||||||
Total Common Stocks (Cost $125,479,377) | $ | 138,075,301 | ||||||
Money Market Funds – 4.0% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 5,709,000 | $ | 5,709,000 | |||||
Total Money Market Funds (Cost $5,709,000) | $ | 5,709,000 | ||||||
Total Investments – 100.7% (Cost $131,188,377) (b) | $ | 143,784,301 | ||||||
Liabilities in Excess of Other Assets – (0.7)% | (985,379 | ) | ||||||
Net Assets – 100.0% | $ | 142,798,922 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
127
Bristol Portfolio
Assets: | ||||
Investments in securities, at value (Cost $131,188,377) | $ | 143,784,301 | ||
Cash | 916 | |||
Receivable for securities sold | 4,838,393 | |||
Receivable for fund shares sold | 217,013 | |||
Dividends and accrued interest receivable | 116,111 | |||
Prepaid expenses and other assets | 2,111 | |||
Total assets | 148,958,845 | |||
Liabilities: | ||||
Payable for securities purchased | 5,338,853 | |||
Payable for fund shares redeemed | 696,693 | |||
Payable for investment management services | 92,550 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 907 | |||
Accrued professional fees | 11,275 | |||
Accrued accounting fees | 8,490 | |||
Accrued printing and filing fees | 9,478 | |||
Total liabilities | 6,159,923 | |||
Net assets | $ | 142,798,922 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 12,847,042 | ||
Paid-in capital in excess of par value | 141,755,997 | |||
Accumulated net realized loss on investments | (24,507,412 | ) | ||
Net unrealized appreciation on investments | 12,595,924 | |||
Undistributed net investment income | 107,371 | |||
Net assets | $ | 142,798,922 | ||
Shares outstanding | 12,847,042 | |||
Authorized Fund shares allocated to Portfolio | 25,000,000 | |||
Net asset value per share | $ | 11.12 | ||
Investment income: | ||||
Interest | $ | 20,798 | ||
Dividends (net of withholding tax of $293) | 1,808,443 | |||
Total investment income | 1,829,241 | |||
Expenses: | ||||
Management fees | 853,043 | |||
Custodian fees | 12,829 | |||
Directors’ fees | 11,643 | |||
Professional fees | 18,094 | |||
Accounting fees | 45,364 | |||
Printing and filing fees | 19,010 | |||
Compliance expense | 6,376 | |||
Other | 2,280 | |||
Total expenses | 968,639 | |||
Net investment income | 860,602 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (2,496,547 | ) | ||
Foreign currency related transactions | 72 | |||
Change in unrealized appreciation/depreciation on investments | 35,271,355 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 32,774,880 | |||
Change in net assets from operations | $ | 33,635,482 | ||
128
Bristol Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 860,602 | $ | 1,039,053 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (2,496,475 | ) | (21,019,200 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 35,271,355 | (25,860,147 | ) | |||||
Change in net assets from operations | 33,635,482 | (45,840,294 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (753,303 | ) | (906,531 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 53,481,033 | 53,323,139 | ||||||
Received from dividends reinvested | 753,303 | 906,531 | ||||||
Paid for shares redeemed | (25,861,068 | ) | (23,005,171 | ) | ||||
Change in net assets from capital transactions | 28,373,268 | 31,224,499 | ||||||
Change in net assets | 61,255,447 | (15,522,326 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 81,543,475 | 97,065,801 | ||||||
End of year | $ | 142,798,922 | $ | 81,543,475 | ||||
Undistributed net investment income | $ | 107,371 | $ | 132,522 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.23 | $ | 14.02 | $ | 13.08 | $ | 11.27 | $ | 10.06 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.06 | 0.11 | 0.08 | 0.04 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currency related transactions | 2.89 | (5.80 | ) | 0.93 | 1.81 | 1.20 | ||||||||||||||
Total from operations | 2.95 | (5.69 | ) | 1.01 | 1.85 | 1.21 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.06 | ) | (0.10 | ) | (0.07 | ) | (0.04 | ) | — | |||||||||||
Net asset value, end of year | $ | 11.12 | $ | 8.23 | $ | 14.02 | $ | 13.08 | $ | 11.27 | ||||||||||
Total return | 35.83 | % | –40.54 | % | 7.75 | % | 16.42 | % | 12.03 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 142.8 | $ | 81.5 | $ | 97.1 | $ | 62.4 | $ | 30.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.89 | % | 0.90 | % | 0.89 | % | 0.92 | % | 0.96 | % | ||||||||||
Net investment income | 0.79 | % | 1.13 | % | 0.69 | % | 0.56 | % | 0.54 | % | ||||||||||
Portfolio turnover rate | 223 | % | 184 | % | 176 | % | 216 | % | 224 | % |
129
Bryton Growth Portfolio
Average Annual Total Returns: | ||||
One year | 35.73% | |||
Five years | 1.89% | |||
Since inception (5/1/02) | 1.27% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
130
Bryton Growth Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 95.4 | ||
Money Market Funds Less Net Liabilities | 4.6 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Arena Resources, Inc. | 1.7 | |||||
2. | Warnaco Group, Inc. / The | 1.7 | |||||
3. | Skyworks Solutions, Inc. | 1.6 | |||||
4. | Human Genome Sciences, Inc. | 1.6 | |||||
5. | Informatica Corp. | 1.6 | |||||
6. | Advanced Energy Industries, Inc. | 1.6 | |||||
7. | Medicis Pharmaceutical Corp. Class A | 1.6 | |||||
8. | Clean Energy Fuels Corp. | 1.5 | |||||
9. | Silicon Laboratories, Inc. | 1.5 | |||||
10. | Zoran Corp. | 1.5 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 34.4 | ||
Consumer Discretionary | 16.7 | ||
Health Care | 16.6 | ||
Industrials | 14.0 | ||
Energy | 5.9 | ||
Financials | 4.7 | ||
Materials | 2.0 | ||
Consumer Staples | 1.1 | ||
95.4 | |||
131
Bryton Growth Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 95.4% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 16.7% | ||||||||
Distributors – 1.1% | ||||||||
LKQ Corp. (a) | 63,100 | $ | 1,236,129 | |||||
Hotels, Restaurants & Leisure – 5.0% | ||||||||
Bally Technologies, Inc. (a) | 37,000 | 1,527,730 | ||||||
California Pizza Kitchen, Inc. (a) | 100,000 | 1,345,000 | ||||||
Cheesecake Factory, Inc. / The (a) | 70,000 | 1,511,300 | ||||||
P.F. Chang’s China Bistro, Inc. (a) | 35,000 | 1,326,850 | ||||||
5,710,880 | ||||||||
Household Durables – 1.3% | ||||||||
Tupperware Brands Corp. | 32,000 | 1,490,240 | ||||||
Leisure Equipment & Products – 1.0% | ||||||||
Callaway Golf Co. | 150,000 | 1,131,000 | ||||||
Specialty Retail – 6.6% | ||||||||
Childrens Place Retail Stores, Inc. / The (a) | 47,000 | 1,551,470 | ||||||
Finish Line, Inc. Class A / The | 125,000 | 1,568,750 | ||||||
Gymboree Corp. / The (a) | 28,000 | 1,217,720 | ||||||
Monro Muffler Brake, Inc. | 45,000 | 1,504,800 | ||||||
Pacific Sunwear of California, Inc. (a) | 140,000 | 557,200 | ||||||
Tractor Supply Co. (a) | 20,000 | 1,059,200 | ||||||
7,459,140 | ||||||||
Textiles, Apparel & Luxury Goods – 1.7% | ||||||||
Warnaco Group, Inc. / The (a) | 45,000 | 1,898,550 | ||||||
TOTAL CONSUMER DISCRETIONARY | 18,925,939 | |||||||
CONSUMER STAPLES – 1.1% | ||||||||
Food Products – 1.1% | ||||||||
Diamond Foods, Inc. | 35,000 | 1,243,900 | ||||||
TOTAL CONSUMER STAPLES | 1,243,900 | |||||||
ENERGY – 5.9% | ||||||||
Energy Equipment & Services – 1.3% | ||||||||
Dril-Quip, Inc. (a) | 25,000 | 1,412,000 | ||||||
Oil, Gas & Consumable Fuels – 4.6% | ||||||||
Arena Resources, Inc. (a) | 45,000 | 1,940,400 | ||||||
Carrizo Oil & Co., Inc. (a) | 60,000 | 1,589,400 | ||||||
Clean Energy Fuels Corp. (a) | 110,000 | 1,695,100 | ||||||
5,224,900 | ||||||||
TOTAL ENERGY | 6,636,900 | |||||||
FINANCIALS – 4.7% | ||||||||
Capital Markets – 3.5% | ||||||||
Affiliated Managers Group, Inc. (a) | 22,000 | 1,481,700 | ||||||
Knight Capital Group, Inc. Class A (a) | 80,000 | 1,232,000 | ||||||
Stifel Financial Corp. (a) | 22,000 | 1,303,280 | ||||||
4,016,980 | ||||||||
Diversified Financial Services – 1.2% | ||||||||
Portfolio Recovery Associates, Inc. (a) | 30,000 | 1,346,400 | ||||||
TOTAL FINANCIALS | 5,363,380 | |||||||
HEALTH CARE – 16.6% | ||||||||
Biotechnology – 7.2% | ||||||||
Celera Corp. (a) | 150,000 | 1,036,500 | ||||||
Exelixis, Inc. (a) | 95,000 | 700,150 | ||||||
Human Genome Sciences, Inc. (a) | 60,000 | 1,836,000 | ||||||
InterMune, Inc. (a) | 40,000 | 521,600 | ||||||
Isis Pharmaceuticals, Inc. (a) | 45,000 | 499,500 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 50,000 | 630,500 | ||||||
Onyx Pharmaceuticals, Inc. (a) | 16,000 | 469,440 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 42,000 | 1,015,560 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 65,000 | 618,150 | ||||||
Savient Pharmaceuticals, Inc. (a) | 60,000 | 816,600 | ||||||
8,144,000 | ||||||||
Health Care Equipment & Supplies – 4.3% | ||||||||
American Medical Systems Holdings, Inc. (a) | 78,000 | 1,504,620 | ||||||
STERIS Corp. | 40,000 | 1,118,800 | ||||||
Thoratec Corp. (a) | 30,000 | 807,600 | ||||||
Wright Medical Group, Inc. (a) | 75,000 | 1,421,250 | ||||||
4,852,270 | ||||||||
Health Care Providers & Services – 1.2% | ||||||||
MWI Veterinary Supply, Inc. (a) | 35,000 | 1,319,500 | ||||||
Health Care Technology – 1.3% | ||||||||
Eclipsys Corp. (a) | 80,000 | 1,481,600 | ||||||
Life Sciences Tools & Services – 1.1% | ||||||||
Luminex Corp. (a) | 85,000 | 1,269,050 | ||||||
Pharmaceuticals – 1.5% | ||||||||
Medicis Pharmaceutical Corp. Class A | 65,000 | 1,758,250 | ||||||
TOTAL HEALTH CARE | 18,824,670 | |||||||
INDUSTRIALS – 14.0% | ||||||||
Aerospace & Defense – 1.1% | ||||||||
Aerovironment, Inc. (a) | 45,000 | 1,308,600 | ||||||
Commercial Services & Supplies – 1.1% | ||||||||
GEO Group, Inc. / The (a) | 55,000 | 1,203,400 | ||||||
Construction & Engineering – 3.7% | ||||||||
MasTec, Inc. (a) | 125,000 | 1,562,500 | ||||||
Michael Baker Corp. (a) | 36,000 | 1,490,400 | ||||||
MYR Group Inc. (a) | 63,884 | 1,155,023 | ||||||
4,207,923 | ||||||||
Electrical Equipment – 2.0% | ||||||||
Baldor Electric Co. | 30,000 | 842,700 | ||||||
GrafTech International Ltd. (a) | 90,000 | 1,399,500 | ||||||
2,242,200 | ||||||||
Machinery – 4.9% | ||||||||
Actuant Corp. Class A | 40,000 | 741,200 | ||||||
Astec Industries, Inc. (a) | 47,000 | 1,266,180 | ||||||
Columbus McKinnon Corp. (a) | 70,000 | 956,200 | ||||||
Energy Recovery, Inc. (a) | 100,000 | 688,000 | ||||||
ESCO Technologies, Inc. | 30,000 | 1,075,500 | ||||||
Westinghouse Air Brake Technologies Corp. | 20,000 | 816,800 | ||||||
5,543,880 | ||||||||
Professional Services – 1.2% | ||||||||
Watson Wyatt Worldwide Inc. | 30,000 | 1,425,600 | ||||||
TOTAL INDUSTRIALS | 15,931,603 | |||||||
132
Bryton Growth Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 95.4% | Shares | Value | ||||||
INFORMATION TECHNOLOGY – 34.4% | ||||||||
Communications Equipment – 3.5% | ||||||||
Harmonic, Inc. (a) | 200,000 | $ | 1,266,000 | |||||
Infinera Corporation (a) | 150,000 | 1,330,500 | ||||||
Riverbed Technology, Inc. (a) | 60,000 | 1,378,200 | ||||||
3,974,700 | ||||||||
Internet Software & Services – 5.5% | ||||||||
comScore, Inc. (a) | 75,000 | 1,316,250 | ||||||
Equinix, Inc. (a) | 8,000 | 849,200 | ||||||
MercadoLibre, Inc. (a) | 31,000 | 1,607,970 | ||||||
Sohu.com, Inc. (a) | 18,000 | 1,031,040 | ||||||
ValueClick, Inc. (a) | 140,000 | 1,416,800 | ||||||
6,221,260 | ||||||||
IT Services – 2.7% | ||||||||
Euronet Worldwide, Inc. (a) | 65,000 | 1,426,750 | ||||||
Sapient Corp. (a) | 195,000 | 1,612,650 | ||||||
3,039,400 | ||||||||
Semiconductors & Semiconductor Equipment – 15.8% | ||||||||
Advanced Energy Industries, Inc. (a) | 120,000 | 1,809,600 | ||||||
Applied Micro Circuits Corp. (a) | 190,000 | 1,419,300 | ||||||
Cavium Networks, Inc. (a) | 65,000 | 1,548,950 | ||||||
FormFactor Inc. (a) | 65,000 | 1,414,400 | ||||||
Micrel, Inc. | 140,000 | 1,148,000 | ||||||
Microsemi Corp. (a) | 80,000 | 1,420,000 | ||||||
Semtech Corp. (a) | 70,000 | 1,190,700 | ||||||
Silicon Laboratories, Inc. (a) | 35,000 | 1,691,900 | ||||||
Skyworks Solutions, Inc. (a) | 130,000 | 1,844,700 | ||||||
TriQuint Semiconductor, Inc. (a) | 200,000 | 1,200,000 | ||||||
Volterra Semiconductor Corp. (a) | 80,000 | 1,529,600 | ||||||
Zoran Corp. (a) | 150,000 | 1,657,500 | ||||||
17,874,650 | ||||||||
Software – 6.9% | ||||||||
Informatica Corp. (a) | 70,000 | 1,810,200 | ||||||
Quest Software, Inc. (a) | 80,000 | 1,472,000 | ||||||
Solera Holdings, Inc. | 40,000 | 1,440,400 | ||||||
Take-Two Interactive Software, Inc. (a) | 150,000 | 1,507,500 | ||||||
TIBCO Software, Inc. (a) | 170,000 | 1,637,100 | ||||||
7,867,200 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 38,977,210 | |||||||
MATERIALS – 2.0% | ||||||||
Containers & Packaging – 1.2% | ||||||||
Silgan Holdings, Inc. | 24,000 | 1,389,120 | ||||||
Metals & Mining – 0.8% | ||||||||
HudBay Minerals, Inc. (a) | 70,000 | 906,500 | ||||||
TOTAL MATERIALS | 2,295,620 | |||||||
Total Common Stocks (Cost $93,090,701) | $ | 108,199,222 | ||||||
Money Market Funds – 4.8% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 5,474,000 | $ | 5,474,000 | |||||
Total Money Market Funds (Cost $5,474,000) | $ | 5,474,000 | ||||||
Total Investments – 100.2% (Cost $98,564,701) (b) | $ | 113,673,222 | ||||||
Liabilities in Excess of Other Assets – (0.2)% | (239,100 | ) | ||||||
Net Assets – 100.0% | $ | 113,434,122 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
133
Bryton Growth Portfolio
Assets: | ||||
Investments in securities, at value (Cost $98,564,701) | $ | 113,673,222 | ||
Cash | 730 | |||
Receivable for securities sold | 1,331,084 | |||
Receivable for fund shares sold | 756,319 | |||
Dividends and accrued interest receivable | 26,422 | |||
Prepaid expenses and other assets | 1,640 | |||
Total assets | 115,789,417 | |||
Liabilities: | ||||
Payable for securities purchased | 2,006,867 | |||
Payable for fund shares redeemed | 243,437 | |||
Payable for investment management services | 77,413 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 589 | |||
Accrued professional fees | 11,228 | |||
Accrued accounting fees | 6,838 | |||
Accrued printing and filing fees | 7,246 | |||
Total liabilities | 2,355,295 | |||
Net assets | $ | 113,434,122 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 10,366,666 | ||
Paid-in capital in excess of par value | 101,770,871 | |||
Accumulated net realized loss on investments | (13,811,936 | ) | ||
Net unrealized appreciation on investments | 15,108,521 | |||
Net assets | $ | 113,434,122 | ||
Shares outstanding | 10,366,666 | |||
Authorized Fund shares allocated to Portfolio | 20,000,000 | |||
Net asset value per share | $ | 10.94 | ||
Investment income: | ||||
Interest | $ | 19,049 | ||
Dividends | 241,480 | |||
Total investment income | 260,529 | |||
Expenses: | ||||
Management fees | 689,707 | |||
Custodian fees | 8,684 | |||
Directors’ fees | 8,541 | |||
Professional fees | 16,562 | |||
Accounting fees | 36,471 | |||
Printing and filing fees | 14,627 | |||
Compliance expense | 6,376 | |||
Other | 1,704 | |||
Total expenses | 782,672 | |||
Net investment loss | (522,143 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (3,579,256 | ) | ||
Change in unrealized appreciation/depreciation on investments | 30,818,101 | |||
Net realized/unrealized gain (loss) on investments | 27,238,845 | |||
Change in net assets from operations | $ | 26,716,702 | ||
134
Bryton Growth Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (522,143 | ) | $ | (398,879 | ) | ||
Net realized gain (loss) on investments | (3,579,256 | ) | (9,701,458 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 30,818,101 | (19,649,484 | ) | |||||
Change in net assets from operations | 26,716,702 | (29,749,821 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 48,509,791 | 46,393,507 | ||||||
Paid for shares redeemed | (20,811,898 | ) | (22,858,481 | ) | ||||
Change in net assets from capital transactions | 27,697,893 | 23,535,026 | ||||||
Change in net assets | 54,414,595 | (6,214,795 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 59,019,527 | 65,234,322 | ||||||
End of year | $ | 113,434,122 | $ | 59,019,527 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.06 | $ | 13.33 | $ | 12.13 | $ | 10.46 | $ | 10.03 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.05 | ) | (0.05 | ) | (0.05 | ) | (0.03 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 2.93 | (5.22 | ) | 1.25 | 1.78 | 0.49 | ||||||||||||||
Total from operations | 2.88 | (5.27 | ) | 1.20 | 1.75 | 0.43 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions of net realized capital gains | — | — | — | (0.08 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 10.94 | $ | 8.06 | $ | 13.33 | $ | 12.13 | $ | 10.46 | ||||||||||
Total return | 35.73 | % | –39.53 | % | 9.89 | % | 16.74 | % | 4.30 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 113.4 | $ | 59.0 | $ | 65.2 | $ | 29.3 | $ | 11.2 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.96 | % | 0.96 | % | 0.96 | % | 1.04 | % | 1.11 | % | ||||||||||
Net investment loss | –0.64 | % | –0.62 | % | –0.54 | % | –0.67 | % | –0.74 | % | ||||||||||
Portfolio turnover rate | 82 | % | 54 | % | 55 | % | 99 | % | 155 | % |
135
U.S. Equity Portfolio
Average Annual Total Returns: | ||||
One year | 16.57% | |||
Five years | -4.24% | |||
Since inception (5/1/04) | -1.03% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
136
U.S. Equity Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 95.7 | ||
Money Market Funds and Other Net Assets | 4.3 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Microsoft Corp. | 3.6 | |||||
2. | International Business Machines Corp. | 2.8 | |||||
3. | Google, Inc. Class A | 2.8 | |||||
4. | General Electric Co. | 2.5 | |||||
5. | Hewlett-Packard Co. | 2.3 | |||||
6. | Merck & Co., Inc. | 2.3 | |||||
7. | Union Pacific Corp. | 2.1 | |||||
8. | CSX Corp. | 2.1 | |||||
9. | Tyco International Ltd. | 2.1 | |||||
10. | Procter & Gamble Co. / The | 2.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 19.6 | ||
Industrials | 15.2 | ||
Health Care | 13.8 | ||
Energy | 11.3 | ||
Materials | 9.6 | ||
Consumer Staples | 8.2 | ||
Financials | 7.1 | ||
Consumer Discretionary | 6.6 | ||
Utilities | 4.3 | ||
95.7 | |||
137
U.S. Equity Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 95.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 6.6% | ||||||||
Hotels, Restaurants & Leisure – 0.9% | ||||||||
McDonald’s Corp. | 2,070 | $ | 129,251 | |||||
Media – 2.1% | ||||||||
Arbitron, Inc. | 6,700 | 156,914 | ||||||
Time Warner, Inc. | 5,100 | 148,614 | ||||||
305,528 | ||||||||
Multiline Retail – 1.0% | ||||||||
Target Corp. | 3,000 | 145,110 | ||||||
Textiles, Apparel & Luxury Goods – 2.6% | ||||||||
NIKE, Inc. Class B | 2,240 | 147,997 | ||||||
V.F. Corp. | 1,060 | 77,634 | ||||||
Wolverine World Wide, Inc. | 5,810 | 158,148 | ||||||
383,779 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 963,668 | |||||||
CONSUMER STAPLES – 8.2% | ||||||||
Food & Staples Retailing – 1.0% | ||||||||
Walgreen Co. | 4,050 | 148,716 | ||||||
Food Products – 2.3% | ||||||||
Campbell Soup Co. | 3,290 | 111,202 | ||||||
ConAgra Foods, Inc. | 4,990 | 115,020 | ||||||
Kellogg Co. | 2,090 | 111,188 | ||||||
337,410 | ||||||||
Household Products – 2.1% | ||||||||
Procter & Gamble Co. / The | 4,910 | 297,693 | ||||||
Tobacco – 2.8% | ||||||||
Altria Group, Inc. | 5,820 | 114,246 | ||||||
Philip Morris International, Inc. | 2,930 | 141,197 | ||||||
Reynolds American, Inc. | 3,000 | 158,910 | ||||||
414,353 | ||||||||
TOTAL CONSUMER STAPLES | 1,198,172 | |||||||
ENERGY – 11.3% | ||||||||
Energy Equipment & Services – 3.5% | ||||||||
Diamond Offshore Drilling, Inc. | 2,280 | 224,398 | ||||||
Noble Corp. | 5,430 | 221,001 | ||||||
Transocean Ltd. (a) | 910 | 75,348 | ||||||
520,747 | ||||||||
Oil, Gas & Consumable Fuels – 7.8% | ||||||||
BP PLC – ADR (b) | 2,450 | 142,026 | ||||||
Chevron Corp. | 2,840 | 218,652 | ||||||
China Petroleum & Chemical Corp. – ADR | 1,790 | 157,645 | ||||||
ConocoPhillips | 4,190 | 213,983 | ||||||
Exxon Mobil Corp. | 1,930 | 131,607 | ||||||
Murphy Oil Corp. | 2,280 | 123,576 | ||||||
StatoilHydro ASA – ADR | 6,080 | 151,453 | ||||||
1,138,942 | ||||||||
TOTAL ENERGY | 1,659,689 | |||||||
FINANCIALS – 7.1% | ||||||||
Capital Markets – 0.8% | ||||||||
Goldman Sachs Group, Inc. / The | 710 | 119,876 | ||||||
Commercial Banks – 1.8% | ||||||||
Credicorp Ltd. | 1,530 | 117,841 | ||||||
U.S. Bancorp | 6,060 | 136,410 | ||||||
254,251 | ||||||||
Consumer Finance – 2.1% | ||||||||
Cash America International, Inc. | 5,580 | 195,077 | ||||||
Dollar Financial Corp. (a) | 4,900 | 115,934 | ||||||
311,011 | ||||||||
Insurance – 2.4% | ||||||||
Aflac, Inc. | 3,170 | 146,613 | ||||||
Hartford Financial Services Group, Inc. / The | 5,970 | 138,862 | ||||||
Prudential Financial, Inc. | 1,400 | 69,664 | ||||||
355,139 | ||||||||
TOTAL FINANCIALS | 1,040,277 | |||||||
HEALTH CARE – 13.8% | ||||||||
Health Care Equipment & Supplies – 1.7% | ||||||||
Becton, Dickinson & Co. | 1,090 | 85,957 | ||||||
Medtronic, Inc. | 1,990 | 87,520 | ||||||
Stryker Corp. | 1,470 | 74,044 | ||||||
247,521 | ||||||||
Health Care Providers & Services – 3.6% | ||||||||
Cardinal Health, Inc. | 3,630 | 117,031 | ||||||
Express Scripts, Inc. (a) | 1,310 | 113,250 | ||||||
Patterson Companies., Inc. (a) | 5,300 | 148,294 | ||||||
UnitedHealth Group, Inc. | 2,360 | 71,933 | ||||||
WellPoint, Inc. (a) | 1,260 | 73,445 | ||||||
523,953 | ||||||||
Life Sciences Tools & Services – 1.0% | ||||||||
Covance, Inc. (a) | 2,750 | 150,068 | ||||||
Pharmaceuticals – 7.5% | ||||||||
Abbott Laboratories | 2,730 | 147,393 | ||||||
Eli Lilly & Co. | 6,260 | 223,545 | ||||||
GlaxoSmithKline PLC – ADR | 3,530 | 149,142 | ||||||
Merck & Co., Inc. | 9,090 | 332,148 | ||||||
Pfizer, Inc. | 13,740 | 249,931 | ||||||
1,102,159 | ||||||||
TOTAL HEALTH CARE | 2,023,701 | |||||||
INDUSTRIALS – 15.2% | ||||||||
Aerospace & Defense – 1.1% | ||||||||
Honeywell International, Inc. | 4,010 | 157,192 | ||||||
Airlines – 0.7% | ||||||||
Alaska Air Group, Inc. (a) | 2,790 | 96,422 | ||||||
Electrical Equipment – 0.5% | ||||||||
Emerson Electric Co. | 1,750 | 74,550 | ||||||
Industrial Conglomerates – 5.5% | ||||||||
General Electric Co. | 24,150 | 365,390 | ||||||
Siemens AG – ADR | 1,530 | 140,301 | ||||||
Tyco International Ltd. | 8,450 | 301,496 | ||||||
807,187 | ||||||||
138
U.S. Equity Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 95.7% | Shares | Value | ||||||
Machinery – 2.6% | ||||||||
Harsco Corp. | 2,380 | $ | 76,707 | |||||
Parker Hannifin Corp. | 5,520 | 297,418 | ||||||
374,125 | ||||||||
Marine – 0.6% | ||||||||
Navios Maritime Holdings, Inc. | 14,930 | 90,327 | ||||||
Road & Rail – 4.2% | ||||||||
CSX Corp. | 6,390 | 309,851 | ||||||
Union Pacific Corp. | 4,850 | 309,915 | ||||||
619,766 | ||||||||
TOTAL INDUSTRIALS | 2,219,569 | |||||||
INFORMATION TECHNOLOGY – 19.6% | ||||||||
Communications Equipment – 2.0% | ||||||||
Cisco Systems, Inc. (a) | 12,380 | 296,377 | ||||||
Computers & Peripherals – 6.2% | ||||||||
Apple, Inc. (a) | 730 | 153,928 | ||||||
Hewlett-Packard Co. | 6,660 | 343,056 | ||||||
International Business Machines Corp. | 3,100 | 405,790 | ||||||
902,774 | ||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
Avnet, Inc. (a) | 2,460 | 74,194 | ||||||
Internet Software & Services – 2.8% | ||||||||
Google, Inc. Class A (a) | 650 | 402,987 | ||||||
IT Services – 4.5% | ||||||||
Accenture PLC | 3,120 | 129,480 | ||||||
Computer Sciences Corp. (a) | 2,900 | 166,837 | ||||||
Mastercard, Inc. Class A | 720 | 184,305 | ||||||
Visa, Inc. | 2,110 | 184,541 | ||||||
665,163 | ||||||||
Software – 3.6% | ||||||||
Microsoft Corp. | 17,430 | 531,441 | ||||||
TOTAL INFORMATION TECHNOLOGY | 2,872,936 | |||||||
MATERIALS – 9.6% | ||||||||
Chemicals – 5.7% | ||||||||
Air Products and Chemicals, Inc. | 1,360 | 110,242 | ||||||
Albemarle Corp. | 6,150 | 223,675 | ||||||
Dow Chemical Co. / The | 3,840 | 106,099 | ||||||
FMC Corp. | 2,700 | 150,552 | ||||||
Praxair, Inc. | 1,380 | 110,828 | ||||||
RPM International, Inc. | 6,030 | 122,590 | ||||||
823,986 | ||||||||
Metals & Mining – 3.9% | ||||||||
Barrick Gold Corp. | 1,240 | 48,831 | ||||||
BHP Billiton Ltd. – ADR | 1,420 | 108,744 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 2,770 | 222,403 | ||||||
Newmont Mining Corp. | 4,110 | 194,444 | ||||||
574,422 | ||||||||
TOTAL MATERIALS | 1,398,408 | |||||||
UTILITIES – 4.3% | ||||||||
Electric Utilities – 2.0% | ||||||||
Edison International | 4,060 | 141,207 | ||||||
Portland General Electric Co. | 7,000 | 142,870 | ||||||
284,077 | ||||||||
Multi-Utilities – 2.3% | ||||||||
Alliant Energy Corp. | 2,560 | 77,465 | ||||||
Dominion Resources Inc. | 1,950 | 75,894 | ||||||
PG&E Corp. | 2,460 | 109,839 | ||||||
Xcel Energy, Inc. | 3,600 | 76,392 | ||||||
339,590 | ||||||||
TOTAL UTILITIES | 623,667 | |||||||
Total Common Stocks (Cost $12,139,094) | $ | 14,000,087 | ||||||
Money Market Funds – 4.0% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 585,000 | $ | 585,000 | |||||
Total Money Market Funds (Cost $585,000) | $ | 585,000 | ||||||
Total Investments – 99.7% (Cost $12,724,094) (b) | $ | 14,585,087 | ||||||
Other Assets in Excess of Liabilities – 0.3% | 44,915 | |||||||
Net Assets – 100.0% | $ | 14,630,002 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
139
U.S. Equity Portfolio
Assets: | ||||
Investments in securities, at value (Cost $12,724,094) | $ | 14,585,087 | ||
Cash | 647 | |||
Receivable for securities sold | 364,993 | |||
Receivable for fund shares sold | 1,010 | |||
Dividends and accrued interest receivable | 27,703 | |||
Prepaid expenses and other assets | 235 | |||
Total assets | 14,979,675 | |||
Liabilities: | ||||
Payable for securities purchased | 322,494 | |||
Payable for fund shares redeemed | 1,763 | |||
Payable for investment management services | 9,303 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 329 | |||
Accrued professional fees | 11,103 | |||
Accrued accounting fees | 2,028 | |||
Accrued printing and filing fees | 976 | |||
Total liabilities | 349,673 | |||
Net assets | $ | 14,630,002 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,597,451 | ||
Paid-in capital in excess of par value | 19,698,292 | |||
Accumulated net realized loss on investments | (8,545,817 | ) | ||
Net unrealized appreciation on investments | 1,860,993 | |||
Undistributed net investment income | 19,083 | |||
Net assets | $ | 14,630,002 | ||
Shares outstanding | 1,597,451 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 9.16 | ||
Investment income: | ||||
Interest | $ | 4,019 | ||
Dividends (net of withholding tax of $2,749) | 246,832 | |||
Total investment income | 250,851 | |||
Expenses: | ||||
Management fees | 97,310 | |||
Custodian fees | 3,040 | |||
Directors’ fees | 1,384 | |||
Professional fees | 12,448 | |||
Accounting fees | 11,445 | |||
Printing and filing fees | 2,107 | |||
Compliance expense | 6,376 | |||
Other | 372 | |||
Total expenses | 134,482 | |||
Net investment income | 116,369 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (657,934 | ) | ||
Change in unrealized appreciation/depreciation on investments | 2,721,449 | |||
Net realized/unrealized gain (loss) on investments | 2,063,515 | |||
Change in net assets from operations | $ | 2,179,884 | ||
140
U.S. Equity Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 116,369 | $ | 232,808 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (657,934 | ) | (7,848,066 | ) | ||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 2,721,449 | (4,466,554 | ) | |||||
Change in net assets from operations | 2,179,884 | (12,081,812 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (97,286 | ) | (195,588 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 2,971,249 | 5,488,668 | ||||||
Received from dividends reinvested | 97,286 | 195,588 | ||||||
Paid for shares redeemed | (3,541,722 | ) | (5,158,816 | ) | ||||
Change in net assets from capital transactions | (473,187 | ) | 525,440 | |||||
Change in net assets | 1,609,411 | (11,751,960 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 13,020,591 | 24,772,551 | ||||||
End of year | $ | 14,630,002 | $ | 13,020,591 | ||||
Undistributed net investment income | $ | 19,083 | $ | 36,208 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.91 | $ | 15.45 | $ | 13.70 | $ | 12.73 | $ | 11.71 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.07 | 0.14 | 0.06 | 0.05 | — | |||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currency related transactions | 1.24 | (7.56 | ) | 1.74 | 0.96 | 1.02 | ||||||||||||||
Total from operations | 1.31 | (7.42 | ) | 1.80 | 1.01 | 1.02 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.06 | ) | (0.12 | ) | (0.05 | ) | (0.04 | ) | — | |||||||||||
Net asset value, end of year | $ | 9.16 | $ | 7.91 | $ | 15.45 | $ | 13.70 | $ | 12.73 | ||||||||||
Total return | 16.57 | % | –47.98 | % | 13.17 | % | 7.93 | % | 8.71 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 14.6 | $ | 13.0 | $ | 24.8 | $ | 21.7 | $ | 12.7 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.04 | % | 0.96 | % | 0.91 | % | 0.96 | % | 1.05 | % | ||||||||||
Net investment income (loss) | 0.90 | % | 1.19 | % | 0.41 | % | 0.47 | % | 0.03 | % | ||||||||||
Portfolio turnover rate | 173 | % | 216 | % | 128 | % | 139 | % | 136 | % |
141
Balanced Portfolio
Average Annual Total Returns: | ||||
One year | 24.92% | |||
Five years | 3.71% | |||
Since inception (5/1/04) | 5.56% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
142
Balanced Portfolio (Continued)
% of Net Assets | |||||||
1. | Hewlett-Packard Co. | 2.1 | |||||
2. | PPL Energy Supply LLC 6.500%, 05/01/2018 | 1.9 | |||||
3. | Google, Inc. Class A | 1.8 | |||||
4. | General Electric Co. | 1.7 | |||||
5. | Wells Fargo Capital XI 6.250%, cumulative | 1.7 | |||||
6. | Exxon Mobil Corp. | 1.6 | |||||
7. | TJX Cos., Inc. / The | 1.6 | |||||
8. | Rohm & Haas Co. 5.600%, 03/15/2013 | 1.6 | |||||
9. | International Business Machines Corp. | 1.5 | |||||
10. | American Express Credit Corp. 0.351%, 02/24/2012 | 1.4 |
% of Net Assets | |||
Common Stocks (3) | 60.7 | ||
Preferred Stocks (3) | 1.6 | ||
Corporate Bonds (3) | 31.1 | ||
U.S. Government Agency Issues | 1.9 | ||
Money Market Funds and Other Net Assets | 4.7 | ||
100.0 | |||
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Financials | 25.0 | ||
Health Care | 12.6 | ||
Information Technology | 12.4 | ||
Industrials | 9.2 | ||
Utilities | 8.4 | ||
Consumer Discretionary | 7.4 | ||
Materials | 6.5 | ||
Energy | 6.1 | ||
Consumer Staples | 4.4 | ||
Telecommunication Services | 1.4 | ||
93.4 | |||
143
Balanced Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 60.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 4.4% | ||||||||
Media – 1.1% | ||||||||
Comcast Corp. Class A | 9,000 | $ | 151,740 | |||||
Multiline Retail – 1.0% | ||||||||
Target Corp. | 2,700 | 130,599 | ||||||
Specialty Retail – 1.6% | ||||||||
TJX Cos., Inc. / The | 6,000 | 219,300 | ||||||
Textiles, Apparel & Luxury Goods – 0.7% | ||||||||
NIKE, Inc. Class B | 1,500 | 99,105 | ||||||
TOTAL CONSUMER DISCRETIONARY | 600,744 | |||||||
CONSUMER STAPLES – 3.6% | ||||||||
Beverages – 0.6% | ||||||||
Coca-Cola Co. / The | 1,500 | 85,500 | ||||||
Food & Staples Retailing – 1.5% | ||||||||
CVS Caremark Corp. | 3,600 | 115,956 | ||||||
Kroger Co. / The | 4,000 | 82,120 | ||||||
198,076 | ||||||||
Household Products – 0.5% | ||||||||
Kimberly-Clark Corp. | 1,100 | 70,081 | ||||||
Tobacco – 1.0% | ||||||||
Altria Group, Inc. | 7,000 | 137,410 | ||||||
TOTAL CONSUMER STAPLES | 491,067 | |||||||
ENERGY – 5.3% | ||||||||
Energy Equipment & Services – 1.3% | ||||||||
Diamond Offshore Drilling, Inc. | 1,000 | 98,420 | ||||||
Transocean Ltd. (a) | 1,000 | 82,800 | ||||||
181,220 | ||||||||
Oil, Gas & Consumable Fuels – 4.0% | ||||||||
Chevron Corp. | 2,500 | 192,475 | ||||||
Exxon Mobil Corp. | 3,250 | 221,617 | ||||||
PetroChina Co Ltd. – ADR | 500 | 59,480 | ||||||
Statoil ASA – ADR | 2,500 | 62,275 | ||||||
535,847 | ||||||||
TOTAL ENERGY | 717,067 | |||||||
FINANCIALS – 9.0% | ||||||||
Commercial Banks – 0.8% | ||||||||
Shinhan Financial Group Co Ltd. – ADR (a) | 500 | 37,140 | ||||||
U.S. Bancorp | 3,000 | 67,530 | ||||||
104,670 | ||||||||
Consumer Finance – 2.6% | ||||||||
EZCORP, Inc. (a) | 9,000 | 154,890 | ||||||
World Acceptance Corp. (a) | 5,400 | 193,482 | ||||||
348,372 | ||||||||
Insurance – 4.6% | ||||||||
Aflac, Inc. | 1,700 | 78,625 | ||||||
Allstate Corp. / The | 2,500 | 75,100 | ||||||
Delphi Financial Group, Inc. | 3,000 | 67,110 | ||||||
HCC Insurance Holdings, Inc. | 4,500 | 125,865 | ||||||
Reinsurance Group America, Inc. | 1,000 | 47,650 | ||||||
Sun Life Financial, Inc. | 2,500 | 71,800 | ||||||
Travelers Companies, Inc. / The | 1,500 | 74,790 | ||||||
Willis Group Holdings Ltd. | 3,500 | 92,330 | ||||||
633,270 | ||||||||
Real Estate Investment Trusts – 1.0% | ||||||||
Annaly Capital Management, Inc. | 7,800 | 135,330 | ||||||
TOTAL FINANCIALS | 1,221,642 | |||||||
HEALTH CARE – 12.6% | ||||||||
Health Care Equipment & Supplies – 2.1% | ||||||||
Covidien PLC | 3,000 | 143,670 | ||||||
Stryker Corp. | 2,950 | 148,591 | ||||||
292,261 | ||||||||
Health Care Providers & Services – 3.2% | ||||||||
Aetna, Inc. | 3,000 | 95,100 | ||||||
AmerisourceBergen Corp. | 2,000 | 52,140 | ||||||
Cardinal Health, Inc. | 1,000 | 32,240 | ||||||
Laboratory Corporation of America Holdings (a) | 1,800 | 134,712 | ||||||
McKesson Corp. | 2,000 | 125,000 | ||||||
439,192 | ||||||||
Pharmaceuticals – 7.3% | ||||||||
Abbott Laboratories | 2,500 | 134,975 | ||||||
Bayer AG – ADR | 1,000 | 79,800 | ||||||
Eli Lily & Co. | 2,000 | 71,420 | ||||||
GlaxoSmithKline PLC – ADR | 3,170 | 133,932 | ||||||
Johnson & Johnson | 2,050 | 132,041 | ||||||
Merck & Co Inc. | 4,000 | 146,160 | ||||||
Novartis AG – ADR | 2,760 | 150,227 | ||||||
Pfizer, Inc. | 7,500 | 136,425 | ||||||
984,980 | ||||||||
TOTAL HEALTH CARE | 1,716,433 | |||||||
INDUSTRIALS – 7.4% | ||||||||
Aerospace & Defense – 2.0% | ||||||||
General Dynamics Corp. | 1,500 | 102,255 | ||||||
L-3 Communications Holdings Inc. | 1,300 | 113,035 | ||||||
Lockheed Martin Corp. | 400 | 30,140 | ||||||
Northrop Grumman Corp. | 500 | 27,925 | ||||||
273,355 | ||||||||
Airlines – 0.4% | ||||||||
Republic Airways Holdings, Inc. (a) | 6,500 | 48,035 | ||||||
Electrical Equipment – 0.7% | ||||||||
Hubbell, Inc. | 2,000 | 94,600 | ||||||
Industrial Conglomerates – 2.5% | ||||||||
General Electric Co. | 15,000 | 226,950 | ||||||
Siemens AG – ADR | 1,300 | 119,210 | ||||||
346,160 | ||||||||
Machinery – 0.8% | ||||||||
Pall Corp. | 2,000 | 72,400 | ||||||
Parker Hannifin Corp. | 700 | 37,716 | ||||||
110,116 | ||||||||
144
Balanced Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 60.7% | Shares | Value | ||||||
Road & Rail – 1.0% | ||||||||
Union Pacific Corp. | 2,100 | $ | 134,190 | |||||
TOTAL INDUSTRIALS | 1,006,456 | |||||||
INFORMATION TECHNOLOGY – 10.9% | ||||||||
Computers & Peripherals – 3.6% | ||||||||
Hewlett-Packard Co. | 5,420 | 279,184 | ||||||
International Business Machines Corp. | 1,600 | 209,440 | ||||||
488,624 | ||||||||
Electronic Equipment, Instruments & Components – 0.9% | ||||||||
Avnet, Inc. (a) | 2,500 | 75,400 | ||||||
Insight Enterprises, Inc. (a) | 4,000 | 45,680 | ||||||
121,080 | ||||||||
Internet Software & Services – 1.8% | ||||||||
Google, Inc. Class A (a) | 400 | 247,992 | ||||||
IT Services – 3.5% | ||||||||
Accenture PLC | 3,380 | 140,270 | ||||||
Automatic Data Processing, Inc. | 2,500 | 107,050 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 1,910 | 86,523 | ||||||
Mastercard, Inc. Class A | 520 | 133,110 | ||||||
466,953 | ||||||||
Software – 1.1% | ||||||||
Microsoft Corp. | 5,020 | 153,060 | ||||||
TOTAL INFORMATION TECHNOLOGY | 1,477,709 | |||||||
MATERIALS – 2.2% | ||||||||
Chemicals – 2.2% | ||||||||
FMC Corp. | 2,000 | 111,520 | ||||||
Lubrizol Corp. | 2,500 | 182,375 | ||||||
TOTAL MATERIALS | 293,895 | |||||||
TELECOMMUNICATION SERVICES – 1.4% | ||||||||
Diversified Telecommunication Services – 1.4% | ||||||||
AT&T, Inc. | 2,300 | 64,469 | ||||||
Telefonica SA – ADR | 1,520 | 126,950 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 191,419 | |||||||
UTILITIES – 3.9% | ||||||||
Electric Utilities – 1.7% | ||||||||
NV Energy, Inc. | 4,990 | 61,776 | ||||||
Portland General Electric Co. | 3,250 | 66,333 | ||||||
Progress Energy, Inc. | 2,500 | 102,525 | ||||||
230,634 | ||||||||
Gas Utilities – 1.1% | ||||||||
Southwest Gas Corp. | 5,000 | 142,650 | ||||||
Multi-Utilities – 1.1% | ||||||||
Consolidated Edison, Inc. | 1,500 | 68,145 | ||||||
Public Service Enterprise Group, Inc. | 2,500 | 83,125 | ||||||
151,270 | ||||||||
TOTAL UTILITIES | 524,554 | |||||||
Total Common Stocks (Cost $7,342,997) | $ | 8,240,986 | ||||||
Preferred Stocks – 1.6% | Shares | Value | ||||||
FINANCIALS – 1.6% | ||||||||
Commercial Banks – 1.6% | ||||||||
Wells Fargo Capital XI 6.250%, cumulative | 10,000 | $ | 224,900 | |||||
Total Preferred Stocks (Cost $205,310) | $ | 224,900 | ||||||
Face | ||||||||
Corporate Bonds – 31.1% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 3.0% | ||||||||
Automobiles – 0.2% | ||||||||
Daimler Finance North America LLC 6.500%, 11/15/2013 | $ | 30,000 | $ | 32,915 | ||||
Household Durables – 1.3% | ||||||||
Black & Decker Corp. / The 8.950%, 04/15/2014 | 100,000 | 118,336 | ||||||
Fortune Brands, Inc. 4.875%, 12/01/2013 | 50,000 | 51,117 | ||||||
169,453 | ||||||||
Leisure Equipment & Products – 0.3% | ||||||||
Eastman Kodak Co. 7.250%, 11/15/2013 | 50,000 | 41,500 | ||||||
Multiline Retail – 1.2% | ||||||||
Dillard’s, Inc. 9.125%, 08/01/2011 | 46,000 | 46,000 | ||||||
Nordstrom, Inc. 6.750%, 06/01/2014 | 100,000 | 111,787 | ||||||
157,787 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 401,655 | |||||||
CONSUMER STAPLES – 0.8% | ||||||||
Tobacco – 0.8% | ||||||||
Reynolds American, Inc. 7.250%, 06/01/2013 | 100,000 | 109,185 | ||||||
TOTAL CONSUMER STAPLES | 109,185 | |||||||
ENERGY – 0.8% | ||||||||
Oil, Gas & Consumable Fuels – 0.8% | ||||||||
Petrobras International Finance Co. 7.750%, 09/15/2014 | 50,000 | 58,500 | ||||||
Williams Companies, Inc. / The 7.125%, 09/01/2011 | 50,000 | 53,456 | ||||||
TOTAL ENERGY | 111,956 | |||||||
FINANCIALS – 14.4% | ||||||||
Capital Markets – 5.3% | ||||||||
Goldman Sachs Group, Inc. / The 5.125%, 01/15/2015 | 100,000 | 105,192 | ||||||
Merrill Lynch & Co., Inc. 5.450%, 02/05/2013 | 150,000 | 157,952 | ||||||
5.000%, 02/03/2014 | 10,000 | 10,129 | ||||||
0.760%, 05/05/2014 (b) | 150,000 | 143,135 |
145
Balanced Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
Corporate Bonds – 31.1% | Amount | Value | ||||||
Capital Markets (continued) | ||||||||
Morgan Stanley 0.564%, 01/15/2010 (b) | $ | 100,000 | $ | 100,007 | ||||
0.764%, 10/15/2015 (b) | 100,000 | 93,910 | ||||||
5.375%, 10/15/2015 | 100,000 | 103,453 | ||||||
713,778 | ||||||||
Commercial Banks – 1.0% | ||||||||
UBS AG 5.875%, 12/20/2017 | 50,000 | 51,466 | ||||||
Wells Fargo Bank 0.483%, 05/16/2016 (b) | 100,000 | 88,685 | ||||||
140,151 | ||||||||
Consumer Finance – 3.3% | ||||||||
American Express Credit Corp. 0.351%, 02/24/2012 (b) | 200,000 | 195,564 | ||||||
American General Finance 4.625%, 09/01/2010 | 50,000 | 48,466 | ||||||
HSBC Finance Corp. 7.000%, 05/15/2012 | 50,000 | 54,398 | ||||||
6.375%, 11/27/2012 | 50,000 | 54,488 | ||||||
2.020%, 11/10/2013 (b) | 100,000 | 96,215 | ||||||
449,131 | ||||||||
Diversified Financial Services – 1.3% | ||||||||
Bank of America NA 0.554%, 06/15/2017 (b) | 50,000 | 42,561 | ||||||
Bear Stearns Companies LLC / The 0.657%, 11/21/2016 (b) | 50,000 | 45,634 | ||||||
Citigroup, Inc. 5.300%, 10/17/2012 | 50,000 | 52,121 | ||||||
5.125%, 05/05/2014 | 40,000 | 39,850 | ||||||
180,166 | ||||||||
Insurance – 2.7% | ||||||||
American International Group, Inc. 5.375%, 10/18/2011 | 50,000 | 49,677 | ||||||
Swiss Re Solutions Holding Corp. 7.000%, 02/15/2026 | 40,000 | 39,175 | ||||||
Hartford Financial Services Group, Inc. / The 5.250%, 10/15/2011 | 50,000 | 51,623 | ||||||
5.375%, 03/15/2017 | 50,000 | 47,733 | ||||||
Prudential Financial, Inc. 5.100%, 09/20/2014 | 100,000 | 104,372 | ||||||
6.100%, 06/15/2017 | 50,000 | 51,833 | ||||||
Unum Group 7.190%, 02/01/2028 | 30,000 | 24,697 | ||||||
369,110 | ||||||||
Real Estate Investment Trusts – 0.8% | ||||||||
Simon Property Group LP 5.450%, 03/15/2013 | 100,000 | 102,561 | ||||||
TOTAL FINANCIALS | 1,954,897 | |||||||
INDUSTRIALS – 1.8% | ||||||||
Industrial Conglomerates – 0.1% | ||||||||
General Electric Co. 5.000%, 02/01/2013 | 15,000 | 15,881 | ||||||
Machinery – 0.9% | ||||||||
Ingersoll-Rand Global Holding Co. 9.500%, 04/15/2014 | 100,000 | 119,601 | ||||||
Road & Rail – 0.8% | ||||||||
Ryder System, Inc. 5.000%, 04/01/2011 | 100,000 | 102,204 | ||||||
TOTAL INDUSTRIALS | 237,686 | |||||||
INFORMATION TECHNOLOGY – 1.5% | ||||||||
IT Services – 0.8% | ||||||||
Western Union Co. / The 5.400%, 11/17/2011 | 100,000 | 106,816 | ||||||
Office Electronics – 0.7% | ||||||||
Xerox Corp. 5.650%, 05/15/2013 | 100,000 | 104,276 | ||||||
TOTAL INFORMATION TECHNOLOGY | 211,092 | |||||||
MATERIALS – 4.3% | ||||||||
Chemicals – 3.6% | ||||||||
Dow Chemical Co. / The 6.000%, 10/01/2012 | 100,000 | 107,639 | ||||||
7.600%, 05/15/2014 | 100,000 | 113,896 | ||||||
E.I. Du Pont de Nemours & Co. 5.000%, 07/15/2013 | 50,000 | 53,906 | ||||||
Rohm & Haas Co. 5.600%, 03/15/2013 | 200,000 | 211,240 | ||||||
486,681 | ||||||||
Metals & Mining – 0.7% | ||||||||
Alcoa, Inc. 6.500%, 06/01/2011 | 100,000 | 105,481 | ||||||
TOTAL MATERIALS | 592,162 | |||||||
UTILITIES – 4.5% | ||||||||
Electric Utilities – 2.6% | ||||||||
Arizona Public Service Co. 6.375%, 10/15/2011 | 50,000 | 53,547 | ||||||
DPL, Inc. 6.875%, 09/01/2011 | 150,000 | 160,372 | ||||||
Exelon Generation Co. LLC 5.350%, 01/15/2014 | 100,000 | 105,665 | ||||||
PSEG Energy Holdings LLC 8.500%, 06/15/2011 | 25,000 | 26,281 | ||||||
345,865 | ||||||||
Independent Power Producers & Energy Traders – 1.9% | ||||||||
PPL Energy Supply LLC 6.500%, 05/01/2018 | $ | 250,000 | $ | 261,093 | ||||
TOTAL UTILITIES | 606,958 | |||||||
Total Corporate Bonds (Cost $3,958,754) | $ | 4,225,591 | ||||||
146
Balanced Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Face | ||||||||
U.S. Government Agency Issues – 1.9% | Amount | Value | ||||||
Federal Home Loan Bank 4.500%, 09/16/2013 | $ | 20,000 | $ | 21,610 | ||||
5.375%, 08/15/2018 | 20,000 | 21,712 | ||||||
Federal National Mortgage Association 5.500%, 03/15/2011 | 100,000 | 105,711 | ||||||
5.250%, 08/01/2012 | 100,000 | 106,778 | ||||||
Total U.S. Government Agency Issues (Cost $240,926) | $ | 255,811 | ||||||
Money Market Funds – 4.3% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 580,000 | $ | 580,000 | |||||
Total Money Market Funds (Cost $580,000) | $ | 580,000 | ||||||
Total Investments – 99.6% (Cost $12,327,987) (c) | $ | 13,527,288 | ||||||
Other Assets in Excess of Liabilities – 0.4% | 55,059 | |||||||
Net Assets – 100.0% | $ | 13,582,347 | ||||||
(a) | Non-income producing security. | |
(b) | Security is a variable rate instrument in which the coupon rate is adjusted monthly or quarterly in concert with U.S. LIBOR or Consumer Price Index. Interest rates stated are those in effect at December 31, 2009. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
147
Balanced Portfolio
Assets: | ||||
Investments in securities, at value (Cost $12,327,987) | $ | 13,527,288 | ||
Cash | 347 | |||
Receivable for fund shares sold | 6,285 | |||
Dividends and accrued interest receivable | 73,621 | |||
Prepaid expenses and other assets | 205 | |||
Total assets | 13,607,746 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 498 | |||
Payable for investment management services | 7,405 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 106 | |||
Accrued professional fees | 11,102 | |||
Accrued accounting fees | 3,582 | |||
Accrued printing and filing fees | 903 | |||
Other accrued expenses | 126 | |||
Total liabilities | 25,399 | |||
Net assets | $ | 13,582,347 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,034,552 | ||
Paid-in capital in excess of par value | 13,023,095 | |||
Accumulated net realized loss on investments | (1,720,803 | ) | ||
Net unrealized appreciation/depreciation on: | ||||
Investments | 1,199,301 | |||
Foreign currency related transactions | 16 | |||
Undistributed net investment income | 46,186 | |||
Net assets | $ | 13,582,347 | ||
Shares outstanding | 1,034,552 | |||
Authorized Fund shares allocated to Portfolio | 3,000,000 | |||
Net asset value per share | $ | 13.13 | ||
Investment income: | ||||
Interest | $ | 247,375 | ||
Dividends (net of withholding tax of $2,800) | 210,166 | |||
Total investment income | 457,541 | |||
Expenses: | ||||
Management fees | 79,818 | |||
Custodian fees | 1,331 | |||
Directors’ fees | 1,211 | |||
Professional fees | 12,345 | |||
Accounting fees | 18,446 | |||
Printing and filing fees | 1,922 | |||
Compliance expense | 6,376 | |||
Other | 277 | |||
Total expenses | 121,726 | |||
Net investment income | 335,815 | |||
Realized/unrealized gain (loss) on investments | ||||
and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (190,772 | ) | ||
Foreign currency related transactions | (9 | ) | ||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 2,509,467 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 2,318,686 | |||
Change in net assets from operations | $ | 2,654,501 | ||
148
Balanced Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 335,815 | $ | 251,540 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (190,781 | ) | (1,530,107 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 2,509,467 | (2,184,764 | ) | |||||
Change in net assets from operations | 2,654,501 | (3,463,331 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (289,620 | ) | — | |||||
Capital transactions: | ||||||||
Received from shares sold | 4,421,101 | 5,969,464 | ||||||
Received from dividends reinvested | 289,620 | — | ||||||
Paid for shares redeemed | (3,118,826 | ) | (3,837,953 | ) | ||||
Change in net assets from capital transactions | 1,591,895 | 2,131,511 | ||||||
Change in net assets | 3,956,776 | (1,331,820 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 9,625,571 | 10,957,391 | ||||||
End of year | $ | 13,582,347 | $ | 9,625,571 | ||||
Undistributed net investment income | $ | 46,186 | $ | 251,129 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.74 | $ | 14.70 | $ | 13.09 | $ | 11.70 | $ | 11.33 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.29 | 0.25 | 0.20 | 0.17 | 0.06 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 2.39 | (4.21 | ) | 1.41 | 1.37 | 0.33 | ||||||||||||||
Total from operations | 2.68 | (3.96 | ) | 1.61 | 1.54 | 0.39 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.29 | ) | — | — | (0.15 | ) | (0.02 | ) | ||||||||||||
Net asset value, end of year | $ | 13.13 | $ | 10.74 | $ | 14.70 | $ | 13.09 | $ | 11.70 | ||||||||||
Total return | 24.92 | % | –26.94 | % | 12.30 | % | 13.12 | % | 3.47 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 13.6 | $ | 9.6 | $ | 11.0 | $ | 7.6 | $ | 4.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.08 | % | 1.09 | % | 1.13 | % | 1.31 | % | 1.50 | % | ||||||||||
Net investment income | 2.99 | % | 2.29 | % | 1.77 | % | 1.95 | % | 0.99 | % | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.08 | % | 1.09 | % | 1.13 | % | 1.31 | % | 1.55 | % | ||||||||||
Net investment income | 2.99 | % | 2.29 | % | 1.77 | % | 1.95 | % | 0.93 | % | ||||||||||
Portfolio turnover rate | 72 | % | 80 | % | 81 | % | 105 | % | 118 | % |
149
Income Opportunity Portfolio
Average Annual Total Returns: | ||||
One year | 13.14% | |||
Five years | 0.81% | |||
Since inception (5/1/04) | 2.00% |
150
Income Opportunity Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 99.7 | ||
Purchased Options | 0.1 | ||
Written Options Outstanding | (2.1) | ||
Money Market Funds Less Net Liabilities | 2.3 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Microsoft Corp. | 4.6 | |||||
2. | International Business Machines Corp. | 2.5 | |||||
3. | Hewlett-Packard Co. | 2.1 | |||||
4. | Kimberly-Clark Corp. | 2.0 | |||||
5. | Merck & Co, Inc. | 2.0 | |||||
6. | Google, Inc. Class A | 1.9 | |||||
7. | ConocoPhillips | 1.8 | |||||
8. | Pfizer, Inc. | 1.6 | |||||
9. | Medtronic, Inc. | 1.6 | |||||
10. | Apple, Inc. | 1.6 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Health Care | 20.2 | ||
Information Technology | 18.4 | ||
Consumer Staples | 13.7 | ||
Industrials | 12.6 | ||
Financials | 7.6 | ||
Energy | 7.2 | ||
Consumer Discretionary | 7.0 | ||
Utilities | 6.6 | ||
Materials | 4.8 | ||
Telecommunication Services | 1.6 | ||
99.7 | |||
151
Income Opportunity Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 99.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 7.0% | ||||||||
Media – 3.4% | ||||||||
Arbitron, Inc. | 2,100 | $ | 49,182 | |||||
Time Warner Cable, Inc. (b) | 1,100 | 45,529 | ||||||
Time Warner, Inc. | 1,200 | 34,968 | ||||||
Walt Disney Co. / The (b) | 3,100 | 99,975 | ||||||
229,654 | ||||||||
Multiline Retail – 0.9% | ||||||||
Target Corp. (b) | 1,300 | 62,881 | ||||||
Specialty Retail – 0.7% | ||||||||
TJX Cos., Inc. / The (b) | 1,300 | 47,515 | ||||||
Textiles, Apparel & Luxury Goods – 2.0% | ||||||||
NIKE, Inc. Class B (b) | 900 | 59,463 | ||||||
V.F. Corp. | 300 | 21,972 | ||||||
Wolverine World Wide, Inc. (b) | 1,800 | 48,996 | ||||||
130,431 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 470,481 | |||||||
CONSUMER STAPLES – 13.7% | ||||||||
Beverages – 2.4% | ||||||||
Constellation Brands, Inc. Class A (a) | 1,700 | 27,081 | ||||||
Pepsi Bottling Group, Inc. / The (b) | 900 | 33,750 | ||||||
PepsiCo, Inc. (b) | 1,600 | 97,280 | ||||||
158,111 | ||||||||
Food & Staples Retailing – 2.3% | ||||||||
Sysco Corp. (b) | 3,400 | 94,996 | ||||||
Walgreen Co. (b) | 1,700 | 62,424 | ||||||
157,420 | ||||||||
Food Products – 2.9% | ||||||||
Campbell Soup Co. (b) | 2,300 | 77,740 | ||||||
ConAgra Foods, Inc. | 2,000 | 46,100 | ||||||
Kellogg Co. | 700 | 37,240 | ||||||
Unilever NV | 1,100 | 35,563 | ||||||
196,643 | ||||||||
Household Products – 3.3% | ||||||||
Clorox Co. / The | 800 | 48,800 | ||||||
Kimberly-Clark Corp. (b) | 2,100 | 133,791 | ||||||
Procter & Gamble Co. / The | 600 | 36,378 | ||||||
218,969 | ||||||||
Tobacco – 2.8% | ||||||||
Altria Group, Inc. (b) | 5,200 | 102,076 | ||||||
Lorillard, Inc. | 400 | 32,092 | ||||||
Reynolds American, Inc. (b) | 1,000 | 52,970 | ||||||
187,138 | ||||||||
TOTAL CONSUMER STAPLES | 918,281 | |||||||
ENERGY – 7.2% | ||||||||
Energy Equipment & Services – 1.6% | ||||||||
Atwood Oceanics, Inc. (a) (b) | 1,400 | 50,190 | ||||||
Diamond Offshore Drilling, Inc. (b) | 400 | 39,368 | ||||||
Transocean Ltd. (a) (b) | 200 | 16,560 | ||||||
106,118 | ||||||||
Oil, Gas & Consumable Fuels – 5.6% | ||||||||
BP PLC – ADR | 800 | 46,376 | ||||||
Chevron Corp. (b) | 1,200 | 92,388 | ||||||
ConocoPhillips (b) | 2,400 | 122,568 | ||||||
Occidental Petroleum Corp. (b) | 900 | 73,215 | ||||||
Royal Dutch Shell PLC – ADR | 700 | 42,077 | ||||||
376,624 | ||||||||
TOTAL ENERGY | 482,742 | |||||||
FINANCIALS – 7.6% | ||||||||
Capital Markets – 0.9% | ||||||||
Ameriprise Financial, Inc. (b) | 800 | 31,056 | ||||||
Deutsche Bank AG (b) | 400 | 28,364 | ||||||
59,420 | ||||||||
Commercial Banks – 1.6% | ||||||||
Credicorp Ltd. (b) | 400 | 30,808 | ||||||
PNC Financial Services Group, Inc. (b) | 700 | 36,953 | ||||||
U.S. Bancorp | 1,700 | 38,267 | ||||||
106,028 | ||||||||
Consumer Finance – 0.5% | ||||||||
Cash America International, Inc. (b) | 1,000 | 34,960 | ||||||
Insurance – 4.6% | ||||||||
Allianz SE – ADR (b) | 2,300 | 28,635 | ||||||
Allstate Corp. / The (b) | 1,600 | 48,064 | ||||||
Everest Re Group, Ltd. | 300 | 25,704 | ||||||
Loews Corp. | 1,000 | 36,350 | ||||||
PartnerRe Ltd. | 500 | 37,330 | ||||||
Prudential Financial, Inc. (b) | 1,100 | 54,736 | ||||||
Reinsurance Group of America, Inc. | 500 | 23,825 | ||||||
Travelers Companies, Inc. / The (b) | 1,000 | 49,860 | ||||||
304,504 | ||||||||
TOTAL FINANCIALS | 504,912 | |||||||
HEALTH CARE – 20.2% | ||||||||
Health Care Equipment & Supplies – 4.2% | ||||||||
Becton, Dickinson & Co. | 600 | 47,316 | ||||||
Medtronic, Inc. (b) | 2,400 | 105,552 | ||||||
Stryker Corp. (b) | 1,300 | 65,481 | ||||||
Varian Medical Systems, Inc. (a) (b) | 1,300 | 60,905 | ||||||
279,254 | ||||||||
Health Care Providers & Services – 7.0% | ||||||||
Aetna, Inc. | 2,200 | 69,740 | ||||||
AmerisourceBergen Corp. (b) | 3,400 | 88,638 | ||||||
Cardinal Health, Inc. (b) | 1,900 | 61,256 | ||||||
Express Scripts, Inc. (a) (b) | 1,000 | 86,450 | ||||||
Humana, Inc. (a) | 1,200 | 52,668 | ||||||
Patterson Companies., Inc. (a) | 1,700 | 47,566 | ||||||
Quest Diagnostics, Inc. (b) | 1,100 | 66,418 | ||||||
472,736 | ||||||||
Pharmaceuticals – 9.0% | ||||||||
Abbott Laboratories (b) | 1,900 | 102,581 | ||||||
Allergan, Inc. (b) | 600 | 37,806 | ||||||
GlaxoSmithKline PLC – ADR (b) | 2,100 | 88,725 | ||||||
Medicis Pharmaceutical Corp. Class A | 800 | 21,640 |
152
Income Opportunity Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 99.7% | Shares | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Merck & Co, Inc. (b) | 3,600 | $ | 131,544 | |||||
Mylan, Inc. (a) | 1,100 | 20,273 | ||||||
Novartis AG – ADR (b) | 1,000 | 54,430 | ||||||
Pfizer, Inc. (b) | 6,000 | 109,140 | ||||||
Sanofi-Aventis – ADR | 900 | 35,343 | ||||||
601,482 | ||||||||
TOTAL HEALTH CARE | 1,353,472 | |||||||
INDUSTRIALS – 12.6% | ||||||||
Aerospace & Defense – 3.6% | ||||||||
General Dynamics Corp. | 500 | 34,085 | ||||||
Honeywell International, Inc. | 800 | 31,360 | ||||||
Northrop Grumman Corp. | 1,400 | 78,190 | ||||||
United Technologies Corp. (b) | 1,400 | 97,174 | ||||||
240,809 | ||||||||
Commercial Services & Supplies – 0.5% | ||||||||
ATC Technology Corp. (a) (b) | 1,300 | 31,005 | ||||||
Electrical Equipment – 0.7% | ||||||||
Cooper Industries PLC | 500 | 21,320 | ||||||
Hubbell, Inc. (b) | 600 | 28,380 | ||||||
49,700 | ||||||||
Industrial Conglomerates – 3.4% | ||||||||
3M Co. (b) | 1,100 | 90,937 | ||||||
General Electric Co. (b) | 4,200 | 63,546 | ||||||
Siemens AG – ADR (b) | 800 | 73,360 | ||||||
227,843 | ||||||||
Machinery – 1.4% | ||||||||
Eaton Corp. | 400 | 25,448 | ||||||
Parker Hannifin Corp. | 400 | 21,552 | ||||||
Snap-On, Inc. (b) | 1,100 | 46,486 | ||||||
93,486 | ||||||||
Road & Rail – 2.3% | ||||||||
CSX Corp. (b) | 1,700 | 82,433 | ||||||
Union Pacific Corp. (b) | 1,100 | 70,290 | ||||||
152,723 | ||||||||
Trading Companies & Distributors – 0.7% | ||||||||
W.W. Grainger, Inc. (b) | 500 | 48,415 | ||||||
TOTAL INDUSTRIALS | 843,981 | |||||||
INFORMATION TECHNOLOGY – 18.4% | ||||||||
Computers & Peripherals – 6.9% | ||||||||
Apple, Inc. (a) (b) | 500 | 105,430 | ||||||
Hewlett-Packard Co. | 2,700 | 139,077 | ||||||
International Business Machines Corp. (b) | 1,300 | 170,170 | ||||||
Western Digital Corp. (a) | 1,000 | 44,150 | ||||||
458,827 | ||||||||
Internet Software & Services – 1.9% | ||||||||
AOL, Inc. (a) | 109 | 2,538 | ||||||
Google, Inc. Class A (a) (b) | 200 | 123,996 | ||||||
126,534 | ||||||||
IT Services – 4.5% | ||||||||
Accenture PLC | 1,100 | 45,650 | ||||||
Amdocs Ltd. (a) | 2,700 | 77,031 | ||||||
Computer Sciences Corp. (a) | 1,000 | 57,530 | ||||||
MasterCard, Inc. Class A | 200 | 51,196 | ||||||
Visa, Inc. (b) | 800 | 69,968 | ||||||
301,375 | ||||||||
Semiconductors & Semiconductor Equipment – 0.6% | ||||||||
Intel Corp. (b) | 2,000 | 40,800 | ||||||
Software – 4.5% | ||||||||
Microsoft Corp. (b) | 10,000 | 304,900 | ||||||
TOTAL INFORMATION TECHNOLOGY | 1,232,436 | |||||||
MATERIALS – 4.8% | ||||||||
Chemicals – 3.0% | ||||||||
Air Products and Chemicals, Inc. | 500 | 40,530 | ||||||
Ecolab, Inc. | 500 | 22,290 | ||||||
Lubrizol Corp. (b) | 700 | 51,065 | ||||||
Potash Corp. of Saskatchewan, Inc. | 800 | 86,800 | ||||||
200,685 | ||||||||
Metals & Mining – 1.8% | ||||||||
BHP Billiton Ltd. – ADR | 300 | 22,974 | ||||||
Freeport-McMoRan Copper & Gold, Inc. (b) | 600 | 48,174 | ||||||
Newmont Mining Corp. (b) | 1,000 | 47,310 | ||||||
118,458 | ||||||||
TOTAL MATERIALS | 319,143 | |||||||
TELECOMMUNICATION SERVICES – 1.6% | ||||||||
Diversified Telecommunication Services – 1.1% | ||||||||
AT&T, Inc. | 1,300 | 36,439 | ||||||
Verizon Communications, Inc. | 1,100 | 36,443 | ||||||
72,882 | ||||||||
Wireless Telecommunication Services – 0.5% | ||||||||
America Movil SAB de C.V. – ADR | 700 | 32,886 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 105,768 | |||||||
UTILITIES – 6.6% | ||||||||
Electric Utilities – 2.0% | ||||||||
American Electric Power Co., Inc. (b) | 1,700 | 59,143 | ||||||
Pinnacle West Capital Corp. | 900 | 32,922 | ||||||
Southern Co. / The | 1,300 | 43,316 | ||||||
135,381 | ||||||||
Gas Utilities – 1.2% | ||||||||
AGL Resources, Inc. | 1,100 | 40,117 | ||||||
ONEOK, Inc. | 900 | 40,113 | ||||||
80,230 | ||||||||
Independent Power Producers & Energy Traders – 0.3% | ||||||||
Constellation Energy Group, Inc. | 600 | 21,102 | ||||||
Multi-Utilities – 3.1% | ||||||||
Consolidated Edison, Inc. | 900 | 40,887 | ||||||
Sempra Energy | 800 | 44,784 |
153
Income Opportunity Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 99.7% | Shares | Value | ||||||
Multi-Utilities (continued) | ||||||||
Wisconsin Energy Corp. | 1,500 | $ | 74,745 | |||||
Xcel Energy, Inc. | 2,000 | 42,440 | ||||||
202,856 | ||||||||
TOTAL UTILITIES | 439,569 | |||||||
Total Common Stocks (Cost $5,857,572) | $ | 6,670,785 | ||||||
Purchased Options – 0.1% | Contracts (c) | Value | ||||||
S&P 500 Index Put Option | ||||||||
Expiration: January 2010, | ||||||||
Exercise Price: $1,050.00 | 23 | $ | 6,555 | |||||
Total Purchased Options (Cost $20,089) | $ | 6,555 | ||||||
Money Market Funds – 12.4% | Shares | Value | ||||||
Federated Prime Cash Obligations Fund Institutional Class | 372,000 | $ | 372,000 | |||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 376,000 | 376,000 | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Prime Money Market Portfolio – Class I | 84,000 | 84,000 | ||||||
Total Money Market Funds (Cost $832,000) | $ | 832,000 | ||||||
Total Investments – 112.2% (Cost $6,709,661) (d) | $ | 7,509,340 | ||||||
Total Written Options Outstanding – (2.1)% (see following schedule) | (141,112 | ) | ||||||
Other Liabilities in Excess of Other Assets – (10.1)% | (676,780 | ) | ||||||
Net Assets – 100.0% | $ | 6,691,448 | ||||||
(a) | Non-income producing security. | |
(b) | Security is fully or partially pledged as collateral for written call options outstanding. Outstanding written call options are presented in the following schedule. | |
(c) | 100 shares per contract. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
154
Income Opportunity Portfolio
Schedule of Written Options Outstanding | December 31, 2009 |
Call Options | Contracts* | Value | ||||||
S&P 500 Index Call Option | ||||||||
Expiration: January 2010, | ||||||||
Exercise Price: $1,105.00 | 62 | $ | 141,112 | |||||
Total Written Options Outstanding (Premiums received $120,692) | $ | 141,112 | ||||||
* | 100 shares per contract. |
155
Income Opportunity Portfolio
Assets: | ||||
Investments in securities, at value (Cost $6,709,661) | $ | 7,509,340 | ||
Cash | 114 | |||
Receivable for fund shares sold | 4,149 | |||
Dividends and accrued interest receivable | 14,155 | |||
Prepaid expenses and other assets | 97 | |||
Total assets | 7,527,855 | |||
Liabilities: | ||||
Margin payable to prime broker | 674,844 | |||
Options written, at value (premiums received of $120,692) | 141,112 | |||
Payable for fund shares redeemed | 218 | |||
Payable for investment management services | 4,412 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 738 | |||
Accrued professional fees | 11,092 | |||
Accrued accounting fees | 1,879 | |||
Accrued printing and filing fees | 435 | |||
Total liabilities | 836,407 | |||
Net assets | $ | 6,691,448 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 598,125 | ||
Paid-in capital in excess of par value | 5,843,900 | |||
Accumulated net realized loss on investments | (549,876 | ) | ||
Net unrealized appreciation/depreciation on: | ||||
Investments | 799,679 | |||
Written options | (20,420 | ) | ||
Undistributed net investment income | 20,040 | |||
Net assets | $ | 6,691,448 | ||
Shares outstanding | 598,125 | |||
Authorized Fund shares allocated to Portfolio | 3,000,000 | |||
Net asset value per share | $ | 11.19 | ||
Investment income: | ||||
Interest | $ | 2,385 | ||
Dividends (net of withholding tax of $907) | 103,020 | |||
Total investment income | 105,405 | |||
Expenses: | ||||
Management fees | 43,028 | |||
Custodian fees | 10,197 | |||
Directors’ fees | 602 | |||
Professional fees | 12,005 | |||
Accounting fees | 10,564 | |||
Printing and filing fees | 913 | |||
Compliance expense | 6,376 | |||
Other | 119 | |||
Total expenses | 83,804 | |||
Net investment income | 21,601 | |||
Realized/unrealized gain (loss) on investments, foreign currency related transactions, and written options: | ||||
Net realized gain (loss) on: | ||||
Investments | 130,262 | |||
Foreign currency related transactions | 3 | |||
Written options | (421,067 | ) | ||
Change in unrealized appreciation/depreciation on: | ||||
Investments | 1,090,904 | |||
Written options | 5,831 | |||
Net realized/unrealized gain (loss) on investments, foreign currency related transactions, and written options | 805,933 | |||
Change in net assets from operations | $ | 827,534 | ||
156
Income Opportunity Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 21,601 | $ | 46,558 | ||||
Net realized gain (loss) on investments, foreign currency related transactions, and written options | (290,802 | ) | (109,701 | ) | ||||
Change in unrealized appreciation/depreciation on investments, foreign currency related transactions, and written options | 1,096,735 | (1,018,989 | ) | |||||
Change in net assets from operations | 827,534 | (1,082,132 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 3,291,911 | 1,537,866 | ||||||
Paid for shares redeemed | (1,941,532 | ) | (1,124,981 | ) | ||||
Change in net assets from capital transactions | 1,350,379 | 412,885 | ||||||
Change in net assets | 2,177,913 | (669,247 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 4,513,535 | 5,182,782 | ||||||
End of year | $ | 6,691,448 | $ | 4,513,535 | ||||
Undistributed net investment income | $ | 20,040 | $ | 45,735 | ||||
Years Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.89 | $ | 12.49 | $ | 11.53 | $ | 11.07 | $ | 10.75 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.01 | 0.10 | — | 0.01 | (0.04 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments, foreign | ||||||||||||||||||||
currency related transactions, and written options | 1.29 | (2.70 | ) | 0.96 | 0.45 | 0.36 | ||||||||||||||
Total from operations | 1.30 | (2.60 | ) | 0.96 | 0.46 | 0.32 | ||||||||||||||
Net asset value, end of year | $ | 11.19 | $ | 9.89 | $ | 12.49 | $ | 11.53 | $ | 11.07 | ||||||||||
Total return | 13.14 | % | –20.82 | % | 8.33 | % | 4.16 | % | 2.98 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of year (millions) | $ | 6.7 | $ | 4.5 | $ | 5.2 | $ | 5.7 | $ | 4.2 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.56 | % | 1.62 | % | 1.46 | % | 1.52 | % | 1.60 | % | ||||||||||
Net investment income (loss) | 0.40 | % | 0.98 | % | –0.04 | % | 0.12 | % | –0.48 | % | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.56 | % | 1.62 | % | 1.46 | % | 1.52 | % | 1.67 | % | ||||||||||
Net investment income (loss) | 0.40 | % | 0.98 | % | –0.04 | % | 0.12 | % | –0.54 | % | ||||||||||
Portfolio turnover rate | 200 | % | 203 | % | 159 | % | 140 | % | 158 | % |
157
Target VIP Portfolio
Average Annual Total Returns: | ||||
One year | 14.77% | |||
Since inception (11/2/05) | -5.18% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
158
Target VIP Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 98.7 | ||
Money Market Funds and Other Net Assets | 1.3 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Microsoft Corp. | 4.5 | |||||
2. | Caterpillar, Inc. | 4.4 | |||||
3. | Johnson & Johnson | 4.3 | |||||
4. | McDonald’s Corp. | 4.0 | |||||
5. | Amgen, Inc. | 3.8 | |||||
6. | Gilead Sciences, Inc. | 3.4 | |||||
7. | AT&T, Inc. | 3.4 | |||||
8. | General Electric Co. | 3.3 | |||||
9. | Exxon Mobil Corp. | 2.9 | |||||
10. | DIRECTV | 2.5 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Financials | 19.7 | ||
Health Care | 16.2 | ||
Consumer Discretionary | 15.4 | ||
Industrials | 14.1 | ||
Energy | 11.1 | ||
Information Technology | 10.1 | ||
Telecommunication Services | 4.5 | ||
Consumer Staples | 4.3 | ||
Materials | 1.8 | ||
Utilities | 1.5 | ||
98.7 | |||
159
Target VIP Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 98.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 15.4% | ||||||||
Automobiles – 1.5% | ||||||||
Daimler AG | 5,653 | $ | 301,305 | |||||
Diversified Consumer Services – 2.4% | ||||||||
Apollo Group, Inc. Class A (a) | 5,225 | 316,530 | ||||||
DeVry, Inc. | 1,238 | 70,232 | ||||||
ITT Educational Services, Inc. (a) | 662 | 63,526 | ||||||
Strayer Education, Inc. | 228 | 48,448 | ||||||
498,736 | ||||||||
Hotels, Restaurants & Leisure – 4.4% | ||||||||
McDonald’s Corp. | 13,262 | 828,079 | ||||||
Panera Bread Co. (a) | 962 | 64,425 | ||||||
892,504 | ||||||||
Internet & Catalog Retail – 0.7% | ||||||||
NetFlix, Inc. (a) | 1,686 | 92,966 | ||||||
PetMed Express, Inc. | 2,322 | 40,937 | ||||||
133,903 | ||||||||
Media – 2.5% | ||||||||
DIRECTV (a) | 15,638 | 521,527 | ||||||
Multiline Retail – 0.6% | ||||||||
Dollar Tree, Inc. (a) | 1,585 | 76,555 | ||||||
Family Dollar Stores, Inc. | 1,891 | 52,627 | ||||||
129,182 | ||||||||
Specialty Retail – 3.1% | ||||||||
AutoZone, Inc. (a) | 1,181 | 186,681 | ||||||
Bed Bath & Beyond, Inc. (a) | 3,950 | 152,588 | ||||||
Hot Topic, Inc. (a) | 4,382 | 27,870 | ||||||
Jos. A Bank Clothiers, Inc. (a) | 1,949 | 82,228 | ||||||
Ross Stores, Inc. | 1,970 | 84,139 | ||||||
Tractor Supply Co. (a) | 1,426 | 75,521 | ||||||
Wet Seal, Inc. / The (a) | 10,232 | 35,300 | ||||||
644,327 | ||||||||
Textiles, Apparel & Luxury Goods – 0.2% | ||||||||
Coach, Inc. | 1,182 | 43,179 | ||||||
TOTAL CONSUMER DISCRETIONARY | 3,164,663 | |||||||
CONSUMER STAPLES – 4.3% | ||||||||
Beverages – 2.0% | ||||||||
Hansen Natural Corp. (a) | 1,132 | 43,469 | ||||||
PepsiCo, Inc. | 6,155 | 374,224 | ||||||
417,693 | ||||||||
Food & Staples Retailing – 0.3% | ||||||||
Nash Finch Co. | 1,088 | 40,354 | ||||||
Spartan Stores, Inc. | 2,090 | 29,866 | ||||||
70,220 | ||||||||
Food Products – 1.2% | ||||||||
Campbell Soup Co. | 1,408 | 47,590 | ||||||
TreeHouse Foods, Inc. (a) | 5,008 | 194,611 | ||||||
242,201 | ||||||||
Household Products – 0.8% | ||||||||
Colgate-Palmolive Co. | 2,011 | 165,204 | ||||||
TOTAL CONSUMER STAPLES | 895,318 | |||||||
ENERGY – 11.1% | ||||||||
Energy Equipment & Services – 0.1% | ||||||||
ENSCO International PLC – ADR | 406 | 16,216 | ||||||
Oil, Gas & Consumable Fuels – 11.0% | ||||||||
BP PLC – ADR | 4,694 | 272,111 | ||||||
Chevron Corp. | 5,726 | 440,845 | ||||||
Clayton Williams Energy, Inc. (a) | 1,174 | 41,137 | ||||||
ENI SpA – ADR | 4,516 | 228,555 | ||||||
EOG Resources, Inc. | 725 | 70,542 | ||||||
Exxon Mobil Corp. | 8,900 | 606,891 | ||||||
Goodrich Petroleum Corp. (a) | 3,748 | 91,264 | ||||||
Statoil ASA – ADR | 13,092 | 326,122 | ||||||
Vaalco Energy, Inc. | 5,767 | 26,240 | ||||||
World Fuel Services Corp. | 5,778 | 154,792 | ||||||
2,258,499 | ||||||||
TOTAL ENERGY | 2,274,715 | |||||||
FINANCIALS – 19.7% | ||||||||
Capital Markets – 4.6% | ||||||||
Credit Suisse Group AG – ADR | 7,817 | 384,284 | ||||||
Deutsche Bank AG | 5,309 | 376,461 | ||||||
Stifel Financial Corp. (a) | 2,544 | 150,706 | ||||||
SWS Group, Inc. | 2,727 | 32,997 | ||||||
944,448 | ||||||||
Commercial Banks – 8.2% | ||||||||
Banco Bilbao Vizcaya Argentaria S.A. – ADR | 17,770 | 320,571 | ||||||
Banco Santander S.A. – ADR | 22,501 | 369,917 | ||||||
BNP Paribas – ADR | 10,094 | 405,375 | ||||||
Community Bank System, Inc. | 3,336 | 64,418 | ||||||
First Financial Bankshares, Inc. | 2,155 | 116,866 | ||||||
HSBC Holdings PLC – ADR | 5,125 | 292,586 | ||||||
Old National Bancorp | 6,614 | 82,212 | ||||||
S&T Bancorp, Inc. | 2,842 | 48,342 | ||||||
1,700,287 | ||||||||
Consumer Finance – 0.7% | ||||||||
Ezcorp, Inc. (a) | 4,110 | 70,733 | ||||||
First Cash Financial Services, Inc. (a) | 3,105 | 68,900 | ||||||
139,633 | ||||||||
Diversified Financial Services – 0.3% | ||||||||
Moody’s Corp. | 2,572 | 68,929 | ||||||
Insurance – 5.2% | ||||||||
Allianz SE – ADR | 20,066 | 249,822 | ||||||
AXA SA – ADR | 9,654 | 228,607 | ||||||
Infinity Property & Casualty Corp. | 1,520 | 61,773 | ||||||
Swiss Reinsurance Co. Ltd. – ADR | 4,564 | 219,939 | ||||||
Travelers Companies, Inc. / The | 6,154 | 306,838 | ||||||
1,066,979 | ||||||||
160
Target VIP Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 98.7% | Shares | Value | ||||||
Real Estate Investment Trusts – 0.7% | ||||||||
Public Storage | 1,760 | $ | 143,352 | |||||
TOTAL FINANCIALS | 4,063,628 | |||||||
HEALTH CARE – 16.2% | ||||||||
Biotechnology – 7.7% | ||||||||
Amgen, Inc. (a) | 13,761 | 778,460 | ||||||
Cephalon, Inc. (a) | 1,076 | 67,153 | ||||||
Gilead Sciences, Inc. (a) | 16,035 | 693,995 | ||||||
Myriad Genetics, Inc. (a) | 1,466 | 38,262 | ||||||
Myriad Pharmaceuticals, Inc. (a) | 368 | 1,851 | ||||||
1,579,721 | ||||||||
Health Care Equipment & Supplies – 1.0% | ||||||||
Cyberonics, Inc. (a) | 2,820 | 57,641 | ||||||
Greatbatch, Inc. (a) | 4,246 | 81,650 | ||||||
Merit Medical Systems, Inc. (a) | 2,938 | 56,674 | ||||||
195,965 | ||||||||
Health Care Providers & Services – 0.9% | ||||||||
Gentiva Health Services, Inc. (a) | 2,965 | 80,085 | ||||||
Hanger Orthopedic Group, Inc. (a) | 3,273 | 45,266 | ||||||
LHC Group, Inc. (a) | 1,891 | 63,556 | ||||||
188,907 | ||||||||
Health Care Technology – 1.3% | ||||||||
Computer Programs & Systems, Inc. | 1,822 | 83,903 | ||||||
Quality Systems, Inc. | 2,970 | 186,487 | ||||||
270,390 | ||||||||
Life Sciences Tools & Services – 0.3% | ||||||||
Luminex Corp. (a) | 4,384 | 65,453 | ||||||
Pharmaceuticals – 5.0% | ||||||||
Forest Laboratories, Inc. (a) | 1,370 | 43,991 | ||||||
Johnson & Johnson | 13,898 | 895,170 | ||||||
Questcor Pharmaceuticals, Inc. (a) | 6,430 | 30,542 | ||||||
Viropharma, Inc. (a) | 8,222 | 68,983 | ||||||
1,038,686 | ||||||||
TOTAL HEALTH CARE | 3,339,122 | |||||||
INDUSTRIALS – 14.1% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
Aerovironment, Inc. (a) | 2,176 | 63,278 | ||||||
American Science & Engineering, Inc. | 908 | 68,863 | ||||||
132,141 | ||||||||
Air Freight & Logistics – 0.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 2,546 | 149,527 | ||||||
Airlines – 0.7% | ||||||||
Allegiant Travel Co. (a) | 2,165 | 102,123 | ||||||
Hawaiian Holdings, Inc. (a) | 4,917 | 34,419 | ||||||
136,542 | ||||||||
Commercial Services & Supplies – 0.2% | ||||||||
Cintas Corp. | 1,700 | 44,285 | ||||||
Industrial Conglomerates – 3.3% | ||||||||
General Electric Co. | 44,211 | 668,912 | ||||||
Machinery – 5.3% | ||||||||
Caterpillar, Inc. | 16,018 | 912,866 | ||||||
Dover Corp. | 4,440 | 184,748 | ||||||
1,097,614 | ||||||||
Professional Services – 0.5% | ||||||||
Dun & Bradstreet Corp. / The | 1,311 | 110,609 | ||||||
Road & Rail – 1.1% | ||||||||
Arkansas Best Corp. | 2,559 | 75,311 | ||||||
Genesee & Wyoming, Inc. (a) | 3,264 | 106,537 | ||||||
J.B. Hunt Transport Services, Inc. | 1,531 | 49,406 | ||||||
231,254 | ||||||||
Trading Companies & Distributors – 1.7% | ||||||||
Beacon Roofing Supply, Inc. (a) | 4,419 | 70,704 | ||||||
Fastenal Co. | 2,259 | 94,065 | ||||||
W. W. Grainger, Inc. | 1,827 | 176,908 | ||||||
341,677 | ||||||||
TOTAL INDUSTRIALS | 2,912,561 | |||||||
INFORMATION TECHNOLOGY – 10.1% | ||||||||
Computers & Peripherals – 0.5% | ||||||||
Lexmark International, Inc. Class A (a) | 4,272 | 110,987 | ||||||
IT Services – 0.9% | ||||||||
CSG Systems International Inc. (a) | 3,603 | 68,781 | ||||||
Mantech International Corp. Class A (a) | 903 | 43,597 | ||||||
SAIC, Inc. (a) | 3,495 | 66,195 | ||||||
178,573 | ||||||||
Semiconductors & Semiconductor Equipment – 3.6% | ||||||||
Altera Corp. | 20,148 | 455,949 | ||||||
Microchip Technology, Inc. | 9,648 | 280,371 | ||||||
736,320 | ||||||||
Software – 5.1% | ||||||||
Check Point Software Technologies Ltd. (a) | 3,299 | 111,770 | ||||||
Microsoft Corp. | 30,541 | 931,195 | ||||||
1,042,965 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 2,068,845 | |||||||
MATERIALS – 1.8% | ||||||||
Chemicals – 0.2% | ||||||||
Innophos Holdings, Inc. | 1,942 | 44,647 | ||||||
Containers & Packaging – 1.3% | ||||||||
Rock-Tenn Co.- Class A | 5,154 | 259,813 | ||||||
Metals & Mining – 0.3% | ||||||||
Compass Minerals International, Inc. | 832 | 55,902 | ||||||
TOTAL MATERIALS | 360,362 | |||||||
TELECOMMUNICATION SERVICES – 4.5% | ||||||||
Diversified Telecommunication Services – 4.5% | ||||||||
AT&T, Inc. | 24,756 | 693,911 | ||||||
BT Group PLC – ADR | 10,783 | 234,422 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 928,333 | |||||||
161
Target VIP Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 98.7% | Shares | Value | ||||||
UTILITIES – 1.5% | ||||||||
Electric Utilities – 0.4% | ||||||||
Southern Co. / The | 2,766 | $ | 92,163 | |||||
Gas Utilities – 0.4% | ||||||||
Laclede Group, Inc. / The | 2,293 | 77,434 | ||||||
Multi-Utilities – 0.3% | ||||||||
Sempra Energy | 853 | 47,751 | ||||||
TECO Energy, Inc. | 751 | 12,181 | ||||||
59,932 | ||||||||
Water Utilities – 0.4% | ||||||||
California Water Service Group | 2,091 | 76,991 | ||||||
TOTAL UTILITIES | 306,520 | |||||||
Total Common Stocks (Cost $18,853,154) | $ | 20,314,067 | ||||||
Money Market Funds – 1.3% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 264,000 | $ | 264,000 | |||||
Total Money Market Funds (Cost $264,000) | $ | 264,000 | ||||||
Total Investments – 100.0% (Cost $19,117,154) (b) | $ | 20,578,067 | ||||||
Other Assets in Excess of Liabilities – 0.0% | 2,931 | |||||||
Net Assets – 100.0% | $ | 20,580,998 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
162
Target VIP Portfolio
Assets: | ||||
Investments in securities, at value (Cost $19,117,154) | $ | 20,578,067 | ||
Cash | 802 | |||
Receivable for fund shares sold | 9,271 | |||
Dividends and accrued interest receivable | 22,753 | |||
Prepaid expenses and other assets | 331 | |||
Total assets | 20,611,224 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 2,331 | |||
Payable for investment management services | 10,464 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 84 | |||
Accrued professional fees | 11,111 | |||
Accrued accounting fees | 2,622 | |||
Accrued printing and filing fees | 1,373 | |||
Other accrued expenses | 564 | |||
Total liabilities | 30,226 | |||
Net assets | $ | 20,580,998 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,665,997 | ||
Paid-in capital in excess of par value | 27,639,691 | |||
Accumulated net realized loss on investments | (11,217,802 | ) | ||
Net unrealized appreciation on investments | 1,460,913 | |||
Undistributed net investment income | 32,199 | |||
Net assets | $ | 20,580,998 | ||
Shares outstanding | 2,665,997 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 7.72 | ||
Investment income: | ||||
Interest | $ | 2,576 | ||
Dividends (net of withholding tax of $19,964) | 438,549 | |||
Total investment income | 441,125 | |||
Expenses: | ||||
Management fees | 111,970 | |||
Custodian fees | 3,405 | |||
Directors’ fees | 2,004 | |||
Professional fees | 12,782 | |||
Accounting fees | 15,175 | |||
Printing and filing fees | 3,025 | |||
Compliance expense | 6,376 | |||
Other | 489 | |||
Total expenses | 155,226 | |||
Net investment income | 285,899 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (11,189,698 | ) | ||
Change in unrealized appreciation/depreciation on investments | 13,803,902 | |||
Net realized/unrealized gain (loss) on investments | 2,614,204 | |||
Change in net assets from operations | $ | 2,900,103 | ||
163
Target VIP Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 285,899 | $ | 337,472 | ||||
Net realized gain (loss) on investments | (11,189,698 | ) | 330,868 | |||||
Change in unrealized appreciation/depreciation on investments | 13,803,902 | (13,398,858 | ) | |||||
Change in net assets from operations | 2,900,103 | (12,730,518 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (253,696 | ) | (303,211 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 6,226,014 | 13,635,800 | ||||||
Received from dividends reinvested | 253,696 | 303,211 | ||||||
Paid for shares redeemed | (6,742,319 | ) | (5,830,040 | ) | ||||
Change in net assets from capital transactions | (262,609 | ) | 8,108,971 | |||||
Change in net assets | 2,383,798 | (4,924,758 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 18,197,200 | 23,121,958 | ||||||
End of year | $ | 20,580,998 | $ | 18,197,200 | ||||
Undistributed net investment income | $ | 32,199 | $ | 34,261 | ||||
For the | ||||||||||||||||||||
Period from | ||||||||||||||||||||
Years Ended December 31, | November 2, 2005* to | |||||||||||||||||||
2009 | 2008 | 2007 | 2006 | December 31, 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 6.81 | $ | 12.23 | $ | 11.23 | $ | 10.14 | $ | 10.00 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.11 | 0.12 | 0.09 | 0.02 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.90 | (5.42 | ) | 1.00 | 1.07 | 0.13 | ||||||||||||||
Total from operations | 1.01 | (5.30 | ) | 1.09 | 1.09 | 0.14 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.10 | ) | (0.12 | ) | (0.09 | ) | — | — | ||||||||||||
Net asset value, end of period | $ | 7.72 | $ | 6.81 | $ | 12.23 | $ | 11.23 | $ | 10.14 | ||||||||||
Total return | 14.77 | % | –43.34 | % | 9.74 | % | 10.76 | % | 1.40 | %(b) | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 20.6 | $ | 18.2 | $ | 23.1 | $ | 10.6 | $ | 1.5 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.83 | % | 0.80 | % | 0.83 | % | 1.26 | % | 1.60 | %(a) | ||||||||||
Net investment income | 1.53 | % | 1.45 | % | 1.22 | % | 0.53 | % | 0.74 | %(a) | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.83 | % | 0.80 | % | 0.83 | % | 1.30 | % | 7.39 | %(a) | ||||||||||
Net investment income | 1.53 | % | 1.45 | % | 1.22 | % | 0.48 | % | –5.04 | %(a) | ||||||||||
Portfolio turnover rate | 91 | % | 79 | % | 52 | % | 24 | % | 0 | % |
(a) | Annualized. |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
164
Target Equity/Income Portfolio
Average Annual Total Returns: | ||||
One year | 12.33% | |||
Since inception (11/2/05) | -6.54% |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
165
Target Equity/Income Portfolio (Continued)
% of Net Assets | |||
Common Stocks (3) | 98.0 | ||
Money Market Funds Less Net Liabilities | 2.0 | ||
100.0 | |||
% of Net Assets | |||||||
1. | Johnson & Johnson | 7.6 | |||||
2. | McDonald’s Corp. | 6.9 | |||||
3. | Amgen, Inc. | 6.0 | |||||
4. | MeadWestvaco Corp. | 4.6 | |||||
5. | Eastman Chemical Co. | 4.4 | |||||
6. | R.R. Donnelley & Sons Co. | 3.7 | |||||
7. | Universal Corp. | 3.4 | |||||
8. | Textron, Inc. | 3.3 | |||||
9. | NiSource, Inc. | 3.2 | |||||
10. | TECO Energy, Inc. | 3.1 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Consumer Discretionary | 23.9 | ||
Health Care | 16.5 | ||
Materials | 13.9 | ||
Industrials | 12.3 | ||
Financials | 12.3 | ||
Utilities | 11.3 | ||
Consumer Staples | 5.9 | ||
Information Technology | 1.9 | ||
98.0 | |||
166
Target Equity/Income Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 98.0% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 23.9% | ||||||||
Diversified Consumer Services – 6.2% | ||||||||
Apollo Group, Inc. Class A (a) | 11,149 | $ | 675,406 | |||||
DeVry, Inc. | 5,013 | 284,387 | ||||||
ITT Educational Services, Inc. (a) | 2,681 | 257,269 | ||||||
Strayer Education, Inc. | 922 | 195,916 | ||||||
1,412,978 | ||||||||
Hotels, Restaurants & Leisure – 8.1% | ||||||||
McDonald’s Corp. | 25,049 | 1,564,060 | ||||||
Panera Bread Co. (a) | 3,897 | 260,982 | ||||||
1,825,042 | ||||||||
Internet & Catalog Retail – 1.7% | ||||||||
NetFlix, Inc. (a) | 6,828 | 376,496 | ||||||
Multiline Retail – 2.3% | ||||||||
Dollar Tree, Inc. (a) | 6,420 | 310,086 | ||||||
Family Dollar Stores, Inc. | 7,672 | 213,512 | ||||||
523,598 | ||||||||
Specialty Retail – 5.6% | ||||||||
AutoZone, Inc. (a) | 3,950 | 624,376 | ||||||
Jos. A Bank Clothiers, Inc. (a) | 7,904 | 333,470 | ||||||
Tractor Supply Co. (a) | 5,780 | 306,109 | ||||||
1,263,955 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 5,402,069 | |||||||
CONSUMER STAPLES – 5.9% | ||||||||
Food & Staples Retailing – 1.3% | ||||||||
Nash Finch Co. | 4,412 | 163,641 | ||||||
Spartan Stores, Inc. | 8,472 | 121,065 | ||||||
284,706 | ||||||||
Food Products – 1.2% | ||||||||
TreeHouse Foods, Inc. (a) | 7,187 | 279,287 | ||||||
Tobacco – 3.4% | ||||||||
Universal Corp. | 16,823 | 767,297 | ||||||
TOTAL CONSUMER STAPLES | 1,331,290 | |||||||
FINANCIALS – 12.3% | ||||||||
Commercial Banks – 10.3% | ||||||||
BB&T Corp. | 19,188 | 486,800 | ||||||
First BanCorp/Puerto Rico | 46,358 | 106,623 | ||||||
F.N.B. Corp. | 39,938 | 271,179 | ||||||
Fulton Financial Corp. | 55,119 | 480,638 | ||||||
Regions Financial Corp. | 64,690 | 342,210 | ||||||
SunTrust Banks, Inc. | 17,685 | 358,829 | ||||||
Zions Bancorporation | 22,298 | 286,083 | ||||||
2,332,362 | ||||||||
Thrifts & Mortgage Finance – 2.0% | ||||||||
First Niagara Financial Group, Inc. | 31,821 | 442,630 | ||||||
TOTAL FINANCIALS | 2,774,992 | |||||||
HEALTH CARE – 16.5% | ||||||||
Biotechnology – 6.7% | ||||||||
Amgen, Inc. (a) | 24,026 | 1,359,151 | ||||||
Myriad Genetics, Inc. (a) | 5,939 | 155,008 | ||||||
Myriad Pharmaceuticals, Inc. (a) | 1,296 | 6,519 | ||||||
1,520,678 | ||||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
Greatbatch, Inc. (a) | 7,571 | 145,590 | ||||||
Health Care Technology – 1.5% | ||||||||
Computer Programs & Systems, Inc. | 7,388 | 340,217 | ||||||
Pharmaceuticals – 7.6% | ||||||||
Johnson & Johnson | 26,706 | 1,720,134 | ||||||
TOTAL HEALTH CARE | 3,726,619 | |||||||
INDUSTRIALS – 12.3% | ||||||||
Commercial Services & Supplies – 3.7% | ||||||||
R.R. Donnelley & Sons Co. | 37,864 | 843,231 | ||||||
Industrial Conglomerates – 3.3% | ||||||||
Textron, Inc. | 39,597 | 744,819 | ||||||
Machinery – 5.3% | ||||||||
Briggs & Stratton Corp. | 30,454 | 569,795 | ||||||
Timken Co. / The | 26,737 | 633,934 | ||||||
1,203,729 | ||||||||
TOTAL INDUSTRIALS | 2,791,779 | |||||||
INFORMATION TECHNOLOGY – 1.9% | ||||||||
IT Services – 1.9% | ||||||||
ManTech International Corp. – Class A (a) | 3,662 | 176,801 | ||||||
SAIC, Inc. (a) | 14,170 | 268,380 | ||||||
TOTAL INFORMATION TECHNOLOGY | 445,181 | |||||||
MATERIALS – 13.9% | ||||||||
Chemicals – 7.0% | ||||||||
Eastman Chemical Co. | 16,684 | 1,005,044 | ||||||
Sensient Technologies Corp. | 22,172 | 583,124 | ||||||
1,588,168 | ||||||||
Containers & Packaging – 1.3% | ||||||||
Rock-Tenn Co. Class A | 5,648 | 284,716 | ||||||
Metals & Mining – 1.0% | ||||||||
Compass Minerals International, Inc. | 3,375 | 226,766 | ||||||
Paper & Forest Products – 4.6% | ||||||||
MeadWestvaco Corp. | 36,464 | 1,043,964 | ||||||
TOTAL MATERIALS | 3,143,614 | |||||||
UTILITIES – 11.3% | ||||||||
Electric Utilities – 5.0% | ||||||||
American Electric Power Co., Inc. | 15,925 | 554,031 | ||||||
Pinnacle West Cap Corp. | 15,970 | 584,182 | ||||||
1,138,213 | ||||||||
167
Target Equity/Income Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 98.0% | Shares | Value | ||||||
Multi-Utilities – 6.3% | ||||||||
NiSource, Inc. | 46,655 | $ | 717,554 | |||||
TECO Energy, Inc. | 43,072 | 698,628 | ||||||
1,416,182 | ||||||||
TOTAL UTILITIES | 2,554,395 | |||||||
Total Common Stocks (Cost $21,177,763) | $ | 22,169,939 | ||||||
Money Market Funds – 2.1% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 465,000 | $ | 465,000 | |||||
Total Money Market Funds (Cost $465,000) | $ | 465,000 | ||||||
Total Investments – 100.1% (Cost $21,642,763) (b) | $ | 22,634,939 | ||||||
Liabilities in Excess of Other Assets – (0.1)% | (18,258 | ) | ||||||
Net Assets – 100.0% | $ | 22,616,681 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
168
Target Equity/Income Portfolio
Assets: | ||||
Investments in securities, at value (Cost $21,642,763) | $ | 22,634,939 | ||
Cash | 31 | |||
Receivable for fund shares sold | 17,645 | |||
Dividends and accrued interest receivable | 15,504 | |||
Prepaid expenses and other assets | 391 | |||
Total assets | 22,668,510 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 23,300 | |||
Payable for investment management services | 11,542 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 365 | |||
Accrued professional fees | 11,114 | |||
Accrued accounting fees | 2,311 | |||
Accrued printing and filing fees | 1,520 | |||
Total liabilities | 51,829 | |||
Net assets | $ | 22,616,681 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 3,200,758 | ||
Paid-in capital in excess of par value | 36,534,506 | |||
Accumulated net realized loss on investments | (18,149,114 | ) | ||
Net unrealized appreciation on investments | 992,176 | |||
Undistributed net investment income | 38,355 | |||
Net assets | $ | 22,616,681 | ||
Shares outstanding | 3,200,758 | |||
Authorized Fund shares allocated to Portfolio | 7,000,000 | |||
Net asset value per share | $ | 7.07 | ||
Investment income: | ||||
Interest | $ | 1,314 | ||
Dividends (net of withholding tax of $223) | 630,347 | |||
Total investment income | 631,661 | |||
Expenses: | ||||
Management fees | 134,147 | |||
Custodian fees | 3,280 | |||
Directors’ fees | 2,382 | |||
Professional fees | 12,985 | |||
Accounting fees | 13,855 | |||
Printing and filing fees | 3,471 | |||
Compliance expense | 6,376 | |||
Other | 666 | |||
Total expenses | 177,162 | |||
Net investment income | 454,499 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | (17,723,261 | ) | ||
Change in unrealized appreciation/depreciation on investments | 19,904,558 | |||
Net realized/unrealized gain (loss) on investments | 2,181,297 | |||
Change in net assets from operations | $ | 2,635,796 | ||
169
Target Equity/Income Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 454,499 | $ | 718,661 | ||||
Net realized gain (loss) on investments | (17,723,261 | ) | (164,334 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 19,904,558 | (20,301,401 | ) | |||||
Change in net assets from operations | 2,635,796 | (19,747,074 | ) | |||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (416,144 | ) | (637,109 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 6,217,680 | 14,780,603 | ||||||
Received from dividends reinvested | 416,144 | 637,109 | ||||||
Paid for shares redeemed | (10,314,027 | ) | (11,395,135 | ) | ||||
Change in net assets from capital transactions | (3,680,203 | ) | 4,022,577 | |||||
Change in net assets | (1,460,551 | ) | (16,361,606 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 24,077,232 | 40,438,838 | ||||||
End of year | $ | 22,616,681 | $ | 24,077,232 | ||||
Undistributed net investment income | $ | 38,355 | $ | 81,552 | ||||
For the | ||||||||||||||||||||
Period from | ||||||||||||||||||||
Years Ended December 31, | November 2, 2005* to | |||||||||||||||||||
2009 | 2008 | 2007 | 2006 | December 31, 2005 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 6.41 | $ | 12.00 | $ | 11.01 | $ | 10.13 | $ | 10.00 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.15 | 0.19 | 0.16 | 0.08 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.64 | (5.61 | ) | 0.99 | 0.87 | 0.12 | ||||||||||||||
Total from operations | 0.79 | (5.42 | ) | 1.15 | 0.95 | 0.13 | ||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.13 | ) | (0.17 | ) | (0.16 | ) | (0.07 | ) | — | |||||||||||
Net asset value, end of period | $ | 7.07 | $ | 6.41 | $ | 12.00 | $ | 11.01 | $ | 10.13 | ||||||||||
Total return | 12.33 | % | –45.07 | % | 10.42 | % | 9.36 | % | 1.30 | %(b) | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 22.6 | $ | 24.1 | $ | 40.4 | $ | 20.9 | $ | 3.6 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.79 | % | 0.74 | % | 0.73 | % | 0.88 | % | 1.60 | %(a) | ||||||||||
Net investment income | 2.03 | % | 2.05 | % | 1.83 | % | 1.28 | % | 1.22 | %(a) | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.79 | % | 0.74 | % | 0.73 | % | 0.88 | % | 3.38 | %(a) | ||||||||||
Net investment income | 2.03 | % | 2.05 | % | 1.83 | % | 1.28 | % | -0.55 | %(a) | ||||||||||
Portfolio turnover rate | 95 | % | 105 | % | 54 | % | 52 | % | 0 | % |
(a) | Annualized. |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
170
Bristol Growth Portfolio
Average Annual Total Returns: | ||||
One year | 42.28% | |||
Since inception (5/1/07) | -4.92% |
171
Bristol Growth Portfolio (Continued)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2009. |
% of Net Assets | |||
Common Stocks (3) | 97.5 | ||
Money Market Funds and Other Net Assets | 2.5 | ||
100.0 | |||
% of Net Assets | |||||||
1. | International Business Machines Corp. | 4.0 | |||||
2. | Cisco Systems, Inc. | 3.4 | |||||
3. | Microsoft Corp. | 3.2 | |||||
4. | Apple, Inc. | 3.1 | |||||
5. | Exxon Mobil Corp. | 3.0 | |||||
6. | Johnson & Johnson | 2.8 | |||||
7. | Google, Inc. Class A | 2.8 | |||||
8. | Hewlett-Packard Co. | 2.5 | |||||
9. | Procter & Gamble Co. / The | 2.4 | |||||
10. | Intel Corp. | 2.3 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 34.5 | ||
Industrials | 13.7 | ||
Health Care | 10.5 | ||
Consumer Staples | 10.0 | ||
Consumer Discretionary | 10.0 | ||
Materials | 8.4 | ||
Financials | 6.7 | ||
Energy | 3.7 | ||
97.5 | |||
172
Bristol Growth Portfolio
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.5% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 10.0% | ||||||||
Hotels, Restaurants & Leisure – 2.0% | ||||||||
Darden Restaurants, Inc. | 1,900 | $ | 66,633 | |||||
Royal Caribbean Cruises Ltd. (a) | 5,900 | 149,152 | ||||||
215,785 | ||||||||
Internet & Catalog Retail – 0.8% | ||||||||
Amazon.com, Inc. (a) | 600 | 80,712 | ||||||
Multiline Retail – 2.0% | ||||||||
Target Corp. | 4,300 | 207,991 | ||||||
Specialty Retail – 3.3% | ||||||||
Bed Bath & Beyond, Inc. (a) | 3,200 | 123,616 | ||||||
Lowe’s Companies, Inc. | 9,400 | 219,866 | ||||||
343,482 | ||||||||
Textiles, Apparel & Luxury Goods – 1.9% | ||||||||
VF Corp. | 2,700 | 197,748 | ||||||
TOTAL CONSUMER DISCRETIONARY | 1,045,718 | |||||||
CONSUMER STAPLES – 10.0% | ||||||||
Beverages – 2.9% | ||||||||
Coca-Cola Co. / The | 1,800 | 102,600 | ||||||
PepsiCo, Inc. | 3,300 | 200,640 | ||||||
303,240 | ||||||||
Food & Staples Retailing – 1.9% | ||||||||
Wal-Mart Stores, Inc. | 3,700 | 197,765 | ||||||
Food Products – 2.8% | ||||||||
General Mills, Inc. | 2,900 | 205,349 | ||||||
Ralcorp Holdings, Inc. (a) | 1,600 | 95,536 | ||||||
300,885 | ||||||||
Household Products – 2.4% | ||||||||
Procter & Gamble Co. / The | 4,100 | 248,583 | ||||||
TOTAL CONSUMER STAPLES | 1,050,473 | |||||||
ENERGY – 3.7% | ||||||||
Oil, Gas & Consumable Fuels – 3.7% | ||||||||
Apache Corp. | 700 | 72,219 | ||||||
Exxon Mobil Corp. | 4,600 | 313,674 | ||||||
385,893 | ||||||||
TOTAL ENERGY | 385,893 | |||||||
FINANCIALS – 6.7% | ||||||||
Capital Markets – 3.8% | ||||||||
Goldman Sachs Group, Inc. / The | 600 | 101,304 | ||||||
Morgan Stanley | 4,200 | 124,320 | ||||||
State Street Corp. | 4,000 | 174,160 | ||||||
399,784 | ||||||||
Diversified Financial Services – 1.7% | ||||||||
Bank of America Corp. | 5,800 | 87,348 | ||||||
JPMorgan Chase & Co. | 2,200 | 91,674 | ||||||
179,022 | ||||||||
Insurance – 1.2% | ||||||||
Prudential Financial, Inc. | 2,500 | 124,400 | ||||||
TOTAL FINANCIALS | 703,206 | |||||||
HEALTH CARE – 10.5% | ||||||||
Health Care Equipment & Supplies – 2.2% | ||||||||
Hospira, Inc. (a) | 4,250 | 216,750 | ||||||
Medtronic, Inc. | 400 | 17,592 | ||||||
234,342 | ||||||||
Health Care Providers & Services – 2.8% | ||||||||
Laboratory Corp. of America Holdings (a) | 1,200 | 89,808 | ||||||
McKesson Corp. | 3,200 | 200,000 | ||||||
289,808 | ||||||||
Life Sciences Tools & Services – 0.5% | ||||||||
Thermo Fisher Scientific, Inc. (a) | 1,100 | 52,459 | ||||||
Pharmaceuticals – 5.0% | ||||||||
Johnson & Johnson | 4,600 | 296,286 | ||||||
Merck & Co., Inc. | 2,100 | 76,734 | ||||||
Pfizer, Inc. | 8,600 | 156,434 | ||||||
529,454 | ||||||||
TOTAL HEALTH CARE | 1,106,063 | |||||||
INDUSTRIALS – 13.7% | ||||||||
Aerospace & Defense – 6.1% | ||||||||
Goodrich Corp. | 3,400 | 218,450 | ||||||
Honeywell International, Inc. | 5,200 | 203,840 | ||||||
United Technologies Corp. | 3,100 | 215,171 | ||||||
637,461 | ||||||||
Construction & Engineering – 0.9% | ||||||||
Quanta Services, Inc. (a) | 4,700 | 97,948 | ||||||
Electrical Equipment – 0.1% | ||||||||
SunPower Corp. (a) | 600 | 12,570 | ||||||
Industrial Conglomerates – 3.3% | ||||||||
3M Co. | 1,900 | 157,073 | ||||||
Tyco International Ltd. | 5,400 | 192,672 | ||||||
349,745 | ||||||||
Machinery – 3.3% | ||||||||
Caterpillar, Inc. | 3,400 | 193,766 | ||||||
Illinois Tool Works, Inc. | 3,100 | 148,769 | ||||||
342,535 | ||||||||
TOTAL INDUSTRIALS | 1,440,259 | |||||||
INFORMATION TECHNOLOGY – 34.5% | ||||||||
Communications Equipment – 5.4% | ||||||||
Cisco Systems, Inc. (a) | 14,900 | 356,706 | ||||||
QUALCOMM, Inc. | 4,500 | 208,170 | ||||||
564,876 | ||||||||
Computers & Peripherals – 11.4% | ||||||||
Apple, Inc. (a) | 1,550 | 326,833 | ||||||
Dell, Inc. (a) | 13,700 | 196,732 | ||||||
Hewlett-Packard Co. | 5,000 | 257,550 | ||||||
International Business Machines Corp. | 3,200 | 418,880 | ||||||
1,199,995 | ||||||||
Internet Software & Services – 2.8% | ||||||||
Google, Inc. Class A (a) | 470 | 291,391 | ||||||
173
Bristol Growth Portfolio (Continued)
Schedule of Investments | December 31, 2009 |
Common Stocks – 97.5% | Shares | Value | ||||||
IT Services – 1.8% | ||||||||
MasterCard, Inc. Class A | 750 | $ | 191,985 | |||||
Semiconductors & Semiconductor Equipment – 8.8% | ||||||||
Applied Materials, Inc. | 11,000 | 153,340 | ||||||
Intel Corp. | 12,000 | 244,800 | ||||||
Maxim Integrated Products, Inc. | 10,300 | 209,090 | ||||||
Texas Instruments, Inc. | 8,300 | 216,298 | ||||||
Varian Semiconductor Equipment Associates, Inc. (a) | 2,700 | 96,876 | ||||||
920,404 | ||||||||
Software – 4.3.% | ||||||||
Microsoft Corp. | 11,100 | 338,439 | ||||||
Oracle Corp. | 4,600 | 112,884 | ||||||
451,323 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 3,619,974 | |||||||
MATERIALS – 8.4% | ||||||||
Chemicals – 2.7% | ||||||||
Air Products and Chemicals, Inc. | 1,200 | 97,272 | ||||||
Dow Chemical Co. / The | 6,900 | 190,647 | ||||||
287,919 | ||||||||
Containers & Packaging – 2.0% | ||||||||
Ball Corp. | 4,000 | 206,800 | ||||||
Metals & Mining – 3.7% | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (a) | 2,500 | 200,725 | ||||||
Teck Resources Ltd. (a) | 5,500 | 192,335 | ||||||
393,060 | ||||||||
TOTAL MATERIALS | 887,779 | |||||||
Total Common Stocks (Cost $9,198,697) | $ | 10,239,365 | ||||||
Money Market Funds – 1.8% | Shares | Value | ||||||
Fidelity Institutional Money Market Funds | ||||||||
Money Market Portfolio – Class I | 184,000 | $ | 184,000 | |||||
Total Money Market Funds (Cost $184,000) | $ | 184,000 | ||||||
Total Investments – 99.3% (Cost $9,382,697) (b) | $ | 10,423,365 | ||||||
Other Assets in Excess of Liabilities – 0.7% | 74,210 | |||||||
Net Assets – 100.0% | $ | 10,497,575 | ||||||
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
174
Bristol Growth Portfolio
Assets: | ||||
Investments in securities, at value (Cost $9,382,697) | $ | 10,423,365 | ||
Cash | 896 | |||
Receivable for securities sold | 347,802 | |||
Receivable for fund shares sold | 72 | |||
Dividends and accrued interest receivable | 6,197 | |||
Prepaid expenses and other assets | 158 | |||
Total assets | 10,778,490 | |||
Liabilities: | ||||
Payable for securities purchased | 253,998 | |||
Payable for fund shares redeemed | 4,352 | |||
Payable for investment management services | 7,054 | |||
Payable for compliance services | 1,677 | |||
Accrued custody expense | 346 | |||
Accrued professional fees | 11,097 | |||
Accrued accounting fees | 1,699 | |||
Accrued printing and filing fees | 692 | |||
Total liabilities | 280,915 | |||
Net assets | $ | 10,497,575 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,199,998 | ||
Paid-in capital in excess of par value | 9,851,920 | |||
Accumulated net realized loss on investments | (1,614,285 | ) | ||
Net unrealized appreciation on investments | 1,040,668 | |||
Undistributed net investment income | 19,274 | |||
Net assets | $ | 10,497,575 | ||
Shares outstanding | 1,199,998 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 8.75 | ||
Investment income: | ||||
Interest | $ | 850 | ||
Dividends (net of withholding tax of $22) | 114,436 | |||
Total investment income | 115,286 | |||
Expenses: | ||||
Management fees | 59,527 | |||
Custodian fees | 6,658 | |||
Directors’ fees | 795 | |||
Professional fees | 12,137 | |||
Accounting fees | 9,046 | |||
Printing and filing fees | 1,318 | |||
Compliance expense | 6,376 | |||
Other | 161 | |||
Total expenses | 96,018 | |||
Net investment income | 19,268 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | (87,073 | ) | ||
Foreign currency related transactions | 6 | |||
Change in unrealized appreciation/depreciation on investments | 2,664,053 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 2,576,986 | |||
Change in net assets from operations | $ | 2,596,254 | ||
175
Bristol Growth Portfolio
Years Ended December 31, | ||||||||
2009 | 2008 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 19,268 | $ | 11,955 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (87,067 | ) | (1,469,277 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 2,664,053 | (1,710,774 | ) | |||||
Change in net assets from operations | 2,596,254 | (3,168,096 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 4,010,986 | 998,652 | ||||||
Paid for shares redeemed | (953,320 | ) | (332,498 | ) | ||||
Change in net assets from capital transactions | 3,057,666 | 666,154 | ||||||
Change in net assets | 5,653,920 | (2,501,942 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 4,843,655 | 7,345,597 | ||||||
End of year | $ | 10,497,575 | $ | 4,843,655 | ||||
Undistributed net investment income | $ | 19,274 | $ | 11,955 | ||||
For the | ||||||||||||
Years Ended | Period from | |||||||||||
December 31, | May 1, 2007* to | |||||||||||
2009 | 2008 | December 31, 2007 | ||||||||||
Selected Per-Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 6.15 | $ | 10.35 | $ | 10.00 | ||||||
Operations: | ||||||||||||
Net investment income | 0.01 | 0.01 | 0.01 | |||||||||
Net realized and unrealized gain (loss) on investments | 2.59 | (4.21 | ) | 0.34 | ||||||||
Total from operations | 2.60 | (4.20 | ) | 0.35 | ||||||||
Net asset value, end of period | $ | 8.75 | $ | 6.15 | $ | 10.35 | ||||||
Total return | 42.28 | % | –40.58 | % | 3.50 | %(b) | ||||||
Ratios and supplemental data: | ||||||||||||
Net assets at end of period (millions) | $ | 10.5 | $ | 4.8 | $ | 7.3 | ||||||
Ratios to average net assets: | ||||||||||||
Expenses | 1.29 | % | 1.26 | % | 1.30 | %(a) | ||||||
Net investment income | 0.26 | % | 0.18 | % | 0.10 | %(a) | ||||||
Portfolio turnover rate | 218 | % | 175 | % | 107 | % |
(a) | Annualized. |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
176
Notes to Financial Statements | December 31, 2009 |
(1) | Organization |
n | Equity Portfolio — Long-term growth of capital by investing primarily in common stocks or other equity securities. | |
n | Money Market Portfolio — Maximum current income consistent with preservation of capital and liquidity by investing in high quality money market instruments. | |
n | Bond Portfolio — High level of income and opportunity for capital appreciation consistent with preservation of capital by investing primarily in intermediate-term and long-term fixed income securities. | |
n | Omni Portfolio — High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. | |
n | International Portfolio — Total return on assets by investing primarily in equity securities of foreign companies. | |
n | Capital Appreciation Portfolio — Long term capital growth by investing primarily in common stocks of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market. | |
n | Millennium Portfolio — Maximum capital growth by investing primarily in common stocks of small sized companies. | |
n | International Small-Mid Company Portfolio — Long-term growth of capital by investing at least 80% of its assets in equity securities of foreign small and mid-cap companies. | |
n | Aggressive Growth Portfolio — Long-term capital growth by investing primarily in equity securities with attractive growth opportunities. | |
n | Small Cap Growth Portfolio — Long-term capital appreciation by investing at least 80% of its net assets in stocks of small companies, primarily those with strong business franchises and competitive positions that generate rapidly rising earnings or profits. | |
n | Mid Cap Opportunity Portfolio — Long-term total return by investing at least 80% of its net assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth. | |
n | S&P 500® Index Portfolio — Total return that approximates the total return of the Standard & Poor’s 500® Index. | |
n | Strategic Value Portfolio — Growth of capital and income by investing primarily in securities of high dividend yielding companies. | |
n | High Income Bond Portfolio — High current income by investing at least 80% of its net assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated Baa or lower by Moody’s, or BBB or lower by Standard & Poor’s or Fitch. | |
n | Capital Growth Portfolio — Long-term capital appreciation by investing in and actively managing equity securities of small cap growth companies. | |
n | Nasdaq-100® Index Portfolio — Long-term growth of capital by investing primarily in stocks that are included in the Nasdaq-100® Index. Unlike the other Portfolios of the Fund, the Nasdaq-100® Index Portfolio is a non-diversified portfolio for purposes of Section 5 (b) of the 1940 Act. | |
n | Bristol Portfolio — Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. | |
n | Bryton Growth Portfolio — Long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization. |
177
Notes to Financial Statements (Continued) | December 31, 2009 |
n | U.S. Equity Portfolio — Capital appreciation with a secondary objective of capital preservation to provide long term growth by investing at least 80% of its net assets in equity securities traded in the U.S. within under-priced sectors and industries. | |
n | Balanced Portfolio — Capital appreciation and income by investing normally up to 75% of its assets in equity securities within under-priced sectors and industries while maintaining a minimum of 25% of its assets in fixed income securities. | |
n | Income Opportunity Portfolio — Modest capital appreciation and maximization of realized gains by investing within under-priced industries. | |
n | Target VIP Portfolio — Above average total return by investing in the common stocks of companies which are identified by a model that applies separate uniquely specialized strategies. | |
n | Target Equity/Income Portfolio — Above average total return by adhering to a disciplined, quantitative investment process that incorporates two distinct strategy methodologies. | |
n | Bristol Growth Portfolio — Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
Portfolio | Authorized Shares | |||
Equity | 25,000,000 | |||
Money Market | 55,000,000 | |||
Bond | 20,000,000 | |||
Omni | 5,000,000 | |||
International | 34,000,000 | |||
Capital Appreciation | 15,000,000 | |||
Millennium | 10,000,000 | |||
International Small-Mid Company | 10,000,000 | |||
Aggressive Growth | 10,000,000 | |||
Small Cap Growth | 5,000,000 | |||
Mid Cap Opportunity | 10,000,000 | |||
S&P 500® Index | 23,000,000 |
Portfolio | Authorized Shares | |||
Strategic Value | 5,000,000 | |||
High Income Bond | 25,000,000 | |||
Capital Growth | 5,000,000 | |||
Nasdaq-100® Index | 20,000,000 | |||
Bristol | 25,000,000 | |||
Bryton Growth | 20,000,000 | |||
U.S. Equity | 5,000,000 | |||
Balanced | 3,000,000 | |||
Income Opportunity | 3,000,000 | |||
Target VIP | 5,000,000 | |||
Target Equity/Income | 7,000,000 | |||
Bristol Growth | 5,000,000 |
178
Notes to Financial Statements (Continued) | December 31, 2009 |
(2) | Significant Accounting Policies |
Domestic equity securities that are traded on U.S. exchanges, with the exception of options, are valued at the last trade price reported by the primary exchange of each security (4:00 pm Eastern Time for normal trading sessions). Option securities are currently valued on a composite close price basis. Over-the-counter domestic equity securities are valued at the last trade price reported daily as of 4:00 pm Eastern Time (normal trading sessions). Over-the-counter traded ADRs may be valued at an evaluated price based on the value of the underlying securities. If a domestic equity security is not traded on a particular day, the mean between the bid and ask prices reported at 4:00 pm Eastern Time (normal trading sessions) by the primary exchange will generally be used for valuation purposes. The principal sources for market quotations are independent national pricing services that have been approved by the Board. | ||
Fixed income securities that have a remaining maturity exceeding sixty days are generally valued at the mean between the daily close bid and ask prices, as provided by independent pricing services approved by the Board. | ||
Repurchase agreements are valued at amortized cost, which approximates fair value. | ||
Restricted securities, illiquid securities, or other investments for which market quotations are not readily available are valued at estimated fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. | ||
Foreign equity securities are initially priced at the reported close price of the exchange on which a security is primarily traded. Securities not traded on a particular day are valued at the mean between the last reported bid and ask quotes at daily close, or the last sale price when appropriate. The principal sources for market quotations are independent pricing services that have been approved by the Board. | ||
Equity securities that are primarily traded on foreign exchanges, other than those in North or South America, are further subjected to fair valuation pricing procedures provided by an independent fair valuation service. The service provides data that can be used to estimate the price of a foreign issue that would prevail in a liquid market given market information available daily at 4:00 pm Eastern Time (normal trading sessions). Multiple factors may be considered in performing this valuation, including an issue’s local close price, relevant general and sector indices, currency fluctuations, and pricing of related depository receipts, exchange traded funds, and futures. The assumptions selected by the Fund that are used in the |
179
Notes to Financial Statements (Continued) | December 31, 2009 |
Level 1: | Quoted prices in active markets for identical securities. | |
Level 2: | Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc. | |
Level 3: | Significant unobservable inputs, including the Fund’s own assumptions used to determine the value of securities. |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Equity | Common Stocks | $ | 219,249,903 | $ | — | $ | — | |||||||
Preferred Stocks | 465,504 | — | — | |||||||||||
Repurchase Agreements | — | 4,868,220 | — | |||||||||||
$ | 219,715,407 | $ | 4,868,220 | $ | — | |||||||||
Money Market* | Commercial Paper | $ | — | $ | 204,993,757 | $ | — | |||||||
Money Market Funds | 45,000,000 | — | — | |||||||||||
U.S. Treasury Obligations | — | 14,998,892 | — | |||||||||||
U.S. Government Agency Issues | — | 14,999,825 | — | |||||||||||
Repurchase Agreements | — | 16,750,000 | — | |||||||||||
$ | 45,000,000 | $ | 251,742,474 | $ | — | |||||||||
Bond | Corporate Bonds | $ | — | $ | 120,078,508 | $ | — | |||||||
U.S. Treasury Obligations | — | 1,884,559 | — | |||||||||||
Commercial Paper | — | 3,999,993 | — | |||||||||||
Money Market Funds | 3,160,000 | — | — | |||||||||||
Repurchase Agreements | — | 5,829,000 | — | |||||||||||
$ | 3,160,000 | $ | 131,792,060 | $ | — | |||||||||
Omni | Common Stocks | $ | 27,934,784 | $ | — | $ | — | |||||||
Corporate Bonds | — | 11,188,621 | — | |||||||||||
Money Market Funds | 2,197,000 | — | — | |||||||||||
$ | 30,131,784 | $ | 11,188,621 | $ | — | |||||||||
180
Notes to Financial Statements (Continued) | December 31, 2009 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
International | Common Stocks | $ | 44,489,597 | $ | 153,778,513 | $ | — | |||||||
Preference Shares (Brazil) | 1,062,549 | — | — | |||||||||||
Exchange Traded Funds | 8,406,412 | — | — | |||||||||||
Rights | — | 2,322 | — | |||||||||||
Warrants | 5,496 | — | — | |||||||||||
Money Market Funds | 1,675,416 | — | — | |||||||||||
$ | 55,639,470 | $ | 153,780,835 | $ | — | |||||||||
Foreign currency contracts | $ | 20,478,030 | $ | — | $ | — | ||||||||
(19,352,779 | ) | — | — | |||||||||||
$ | 1,125,251 | $ | — | $ | — | |||||||||
Capital Appreciation | Common Stocks | $ | 119,393,488 | $ | 3,292,349 | $ | — | |||||||
Preferred Stocks | 228,276 | — | — | |||||||||||
Money Market Funds | 4,587,000 | — | — | |||||||||||
$ | 124,208,764 | $ | 3,292,349 | $ | — | |||||||||
Millennium | Common Stocks | $ | 106,253,086 | $ | — | $ | — | |||||||
Money Market Funds | 3,176,000 | — | — | |||||||||||
$ | 109,429,086 | $ | — | $ | — | |||||||||
International Small-Mid Company | Common Stocks | $ | 17,680,874 | $ | 50,634,012 | $ | — | |||||||
Exchange Traded Funds | 652,380 | — | — | |||||||||||
Money Market Funds | 2,115,321 | — | — | |||||||||||
$ | 20,448,575 | $ | 50,634,012 | $ | — | |||||||||
Aggressive Growth | Common Stocks | $ | 20,768,206 | $ | 3,753,966 | $ | — | |||||||
Preference Shares (Brazil) | 288,421 | — | — | |||||||||||
Preferred Stocks | 408,883 | — | — | |||||||||||
VVPR Strips | — | 50 | — | |||||||||||
Money Market Funds | 2,077,000 | — | — | |||||||||||
$ | 23,542,510 | $ | 3,754,016 | $ | — | |||||||||
Small Cap Growth | Common Stocks | $ | 22,157,638 | $ | — | $ | — | |||||||
Money Market Funds | 646,000 | — | — | |||||||||||
$ | 22,803,638 | $ | — | $ | — | |||||||||
Mid Cap Opportunity | Common Stocks | $ | 61,277,624 | $ | — | $ | — | |||||||
Money Market Funds | 2,524,000 | — | — | |||||||||||
$ | 63,801,624 | $ | — | $ | — | |||||||||
S&P 500® Index | Common Stocks | $ | 156,848,118 | $ | — | $ | — | |||||||
Exchange Traded Funds | 3,368,274 | — | — | |||||||||||
Commercial Paper | — | 316,000 | — | |||||||||||
$ | 160,216,392 | $ | 316,000 | $ | — | |||||||||
Strategic Value | Common Stocks | $ | 15,541,488 | $ | 3,824,724 | $ | — | |||||||
Money Market Funds | 341,000 | — | — | |||||||||||
$ | 15,882,488 | $ | 3,824,724 | $ | — | |||||||||
181
Notes to Financial Statements (Continued) | December 31, 2009 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
High Income Bond | Corporate Bonds | $ | — | $ | 155,899,760 | $ | — | |||||||
Convertible Bonds | — | 757,031 | — | |||||||||||
Preferred Stocks | — | 228,079 | — | |||||||||||
Common Stocks | — | 199,439 | — | |||||||||||
Warrants | — | 31 | — | |||||||||||
Money Market Funds | 867,000 | — | — | |||||||||||
$ | 867,000 | $ | 157,084,340 | $ | — | |||||||||
Capital Growth | Common Stocks | $ | 36,493,332 | $ | — | $ | — | |||||||
Money Market Funds | 350,000 | — | — | |||||||||||
$ | 36,843,332 | $ | — | $ | — | |||||||||
Nasdaq-100® Index | Common Stocks | $ | 46,281,882 | $ | — | $ | — | |||||||
Exchange Traded Funds | 1,633,145 | — | — | |||||||||||
Commercial Paper | — | 167,000 | — | |||||||||||
$ | 47,915,027 | $ | 167,000 | $ | — | |||||||||
Bristol | Common Stocks | $ | 138,075,301 | $ | — | $ | — | |||||||
Money Market Funds | 5,709,000 | — | — | |||||||||||
$ | 143,784,301 | $ | — | $ | — | |||||||||
Bryton Growth | Common Stocks | $ | 108,199,222 | $ | — | $ | — | |||||||
Money Market Funds | 5,474,000 | — | — | |||||||||||
$ | 113,673,222 | $ | — | $ | — | |||||||||
U.S. Equity | Common Stocks | $ | 14,000,087 | $ | — | $ | — | |||||||
Money Market Funds | 585,000 | — | — | |||||||||||
$ | 14,585,087 | $ | — | $ | — | |||||||||
Balanced | Common Stocks | $ | 8,240,986 | $ | — | $ | — | |||||||
Preferred Stocks | 224,900 | — | — | |||||||||||
Corporate Bonds | — | 4,225,591 | — | |||||||||||
U.S. Government Agency Issues | — | 255,811 | — | |||||||||||
Money Market Funds | 580,000 | — | — | |||||||||||
$ | 9,045,886 | $ | 4,481,402 | $ | — | |||||||||
Income Opportunity | Common Stocks | $ | 6,670,785 | $ | — | $ | — | |||||||
Purchased Options | 6,555 | — | — | |||||||||||
Money Market Funds | 832,000 | — | — | |||||||||||
$ | 7,509,340 | $ | — | $ | — | |||||||||
Written Options Outstanding | $ | (141,112 | ) | $ | — | $ | — | |||||||
Target VIP | Common Stocks | $ | 20,314,067 | $ | — | $ | — | |||||||
Money Market Funds | 264,000 | — | — | |||||||||||
$ | 20,578,067 | $ | — | $ | — | |||||||||
Target Equity/Income | Common Stocks | $ | 22,169,939 | $ | — | $ | — | |||||||
Money Market Funds | 465,000 | — | — | |||||||||||
$ | 22,634,939 | $ | — | $ | — | |||||||||
182
Notes to Financial Statements (Continued) | December 31, 2009 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Bristol Growth | Common Stocks | $ | 10,239,365 | $ | — | $ | — | |||||||
Money Market Funds | 184,000 | — | — | |||||||||||
$ | 10,423,365 | $ | — | $ | — | |||||||||
* | At December 31, 2009, the Money Market Portfolio’s investments, with the exception of money market funds, were valued using amortized cost, in accordance with rules under the 1940 Act. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are considered to be valued using Level 2 inputs. |
Corporate Bonds | High Income Bond | |||
Beginning Balance – December 31, 2008 | $ | 341,503 | ||
Total gains or losses (realized/unrealized): | ||||
Included in earnings (or changes in net assets) | (199,672 | ) | ||
Purchases, issuances, and settlements | (423 | ) | ||
Transfers in and/or out of Level 3 | (141,408 | ) | ||
Ending Balance – December 31, 2009 | $ | — | ||
The amount of total gains or losses for the period included in earnings (or changes in net assets) attributable to the change in unrealized gains or losses relating to assets still held at the reporting date | $ | (11 | ) | |
183
Notes to Financial Statements (Continued) | December 31, 2009 |
184
Notes to Financial Statements (Continued) | December 31, 2009 |
185
Notes to Financial Statements (Continued) | December 31, 2009 |
(3) | Related Party and Other Transactions |
Equity 0.79% of first $200 million 0.74% of next $800 million 0.70% over $1 billion Bond 0.60% of first $100 million 0.50% of next $150 million 0.45% of next $250 million 0.40% of next $500 million 0.30% of next $1 billion 0.25% over $2 billion International 0.85% of first $100 million 0.80% of next $100 million 0.70% over $200 million Millennium 0.80% of first $150 million 0.75% of next $150 million 0.70% of next $300 million 0.65% over $600 million Aggressive Growth 0.80% of first $100 million 0.75% of next $400 million 0.70% over $500 million Mid Cap Opportunity 0.85% of first $100 million 0.80% of next $100 million 0.75% of next $300 million 0.70% over $500 million Strategic Value 0.75% of first $100 million 0.70% of next $400 million 0.65% over $500 million Capital Growth 0.90% of first $100 million 0.85% of next $100 million 0.80% of next $300 million 0.75% over $500 million Bristol 0.80% of first $100 million 0.70% of next $400 million 0.65% over $500 million | Money Market 0.30% of first $100 million(1) 0.25% of next $150 million 0.23% of next $250 million 0.20% of next $500 million 0.15% over $1 billion Omni 0.60% of first $100 million 0.50% of next $150 million 0.45% of next $250 million 0.40% of next $500 million 0.30% of next $1 billion 0.25% over $2 billion Capital Appreciation 0.80% of first $100 million 0.75% of next $300 million 0.65% of next $600 million 0.60% over $1 billion International Small-Mid Company 1.00% of first $100 million 0.90% of next $100 million 0.85% over $200 million Small Cap Growth(2) 0.90% of first $150 million 0.80% of next $150 million 0.75% over $300 million S&P 500® Index 0.40% of first $100 million 0.35% of next $150 million 0.33% over $250 million High Income Bond 0.75% of first $75 million 0.70% of next $75 million 0.65% of next $75 million 0.60% over $225 million Nasdaq-100® Index 0.40% of first $100 million 0.35% of next $150 million 0.33% over $250 million Bryton Growth 0.85% of first $100 million 0.75% of next $400 million 0.70% over $500 million |
186
Notes to Financial Statements (Continued) | December 31, 2009 |
U.S. Equity 0.75% of first $200 million 0.70% of next $300 million 0.65% over $500 million Balanced(2) 0.65% of first $200 million 0.60% of next $300 million 0.55% over $500 million Target VIP 0.60% of first $100 million 0.55% of next $400 million 0.50% over $500 million | Income Opportunity 0.80% of first $200 million 0.75% of next $300 million 0.70% over $500 million Target Equity/Income 0.60% of first $100 million 0.55% of next $400 million 0.50% over $500 million Bristol Growth 0.80% of first $100 million 0.70% of next $400 million 0.65% over $500 million |
(1) | For the year ended December 31, 2009, ONI waived advisory fees in excess of 0.25% of the first $100 million of average daily net assets in the Money Market Portfolio. Waivers related to the Money Market Portfolio are voluntary and are not subject to recoupment in subsequent fiscal periods. The amount of the waiver for the year ended December 31, 2009 was $50,000. If ONI did not agree to reimburse these expenses, the total expenses incurred by the Money Market Portfolio for the year ended December 31, 2009 would have been higher than the net expenses reflected in the financial statements. | |
(2) | At a meeting held August 20, 2009, amended advisory fee schedules for these Portfolios were approved by the Board. The annualized fee breakpoints prior to the effective date of the amended advisory fee schedules (September 1, 2009) were: |
Small Cap Growth 0.95% of first $100 million 0.90% of next $50 million 0.80% of next $150 million 0.75% over $300 million | Balanced 0.75% of first $200 million 0.70% of next $300 million 0.65% over $500 million |
187
Notes to Financial Statements (Continued) | December 31, 2009 |
Equity (Legg Mason) 0.40% of first $200 million 0.38% over $200 million International (Federated Global) 0.40% of first $200 million 0.35% over $200 million Capital Appreciation (Jennison) 0.75% of first $10 million 0.50% of next $30 million 0.35% of next $25 million 0.25% of next $335 million 0.22% of next $600 million 0.20% over $1 billion Aggressive Growth (Janus) 0.55% of first $100 million 0.50% of next $400 million 0.45% over $500 million Mid Cap Opportunity (GSAM)2 0.60% of first $100 million 0.55% of next $100 million 0.50% over $200 million High Income Bond (Federated Investment) 0.50% of first $30 million 0.40% of next $20 million 0.30% of next $25 million 0.25% over $75 million | Omni (Suffolk) 0.30% of first $100 million 0.25% of next $150 million 0.225% of next $250 million 0.20% of next $500 million 0.15% of next $1 billion 0.125% over $2 billion Millennium (Neuberger Berman) 0.55% of first $150 million 0.50% of next $150 million 0.40% over $300 million International Small-Mid Company (Federated Global) 0.75% of first $100 million 0.65% over $100 million Small Cap Growth (Janus) 1 0.60% of next $150 million 0.50% over $150 million Strategic Value (Federated Equity) 0.50% of first $35 million 0.35% of next $65 million 0.25% over $100 million Capital Growth (Eagle) 0.59% of first $100 million 0.55% of next $100 million 0.50% over $200 million | |
Bristol (Suffolk) 0.45% of first $100 million 0.40% of next $400 million 0.35% over $500 million U.S. Equity (ICON) 0.50% of first $200 million 0.45% of next $300 million 0.40% over $500 million Income Opportunity (ICON) 0.55% of first $200 million 0.50% of next $300 million 0.45% over $500 million Bristol Growth (Suffolk) 0.45% of first $100 million 0.40% of next $400 million 0.35% over $500 million | Bryton Growth (Suffolk) 0.50% of first $100 million 0.45% of next $400 million 0.40% over $500 million Balanced (ICON)1 0.40% of first $200 million 0.35% of next $300 million 0.30% over $500 million Target VIP and Target Equity/Income (First Trust) 0.35% of first $500 million 0.25% over $500 million |
1 | At a meeting held August 20, 2009, amended sub-advisory fee schedules for these Portfolios were approved by the Board. The annualized fee breakpoints prior to the effective date of the amended sub-advisory fee schedules (September 1, 2009) were: |
Small Cap Growth 0.65% of first $50 million 0.60% of next $100 million 0.50% over $150 million | Balanced 0.50% of first $200 million 0.45% of next $300 million 0.40% over $500 million |
2 | At a meeting held November 19, 2009, the Board approved GSAM as sub-adviser for the Mid Cap Opportunity Portfolio. GSAM replaced the Portfolio’s previous sub-adviser, RS Investment Management Co. LLC effective December 18, 2009. |
188
Notes to Financial Statements (Continued) | December 31, 2009 |
189
Notes to Financial Statements (Continued) | December 31, 2009 |
(4) | Capital Share Transactions |
Equity | Money Market | Bond | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 1,691,434 | 4,134,758 | 41,782,044 | 87,727,402 | 4,061,330 | 3,099,909 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 25,660 | 211,054 | — | 663,868 | — | — | ||||||||||||||||||
Capital shares redeemed | (3,558,752 | ) | (7,168,214 | ) | (47,912,691 | ) | (81,757,541 | ) | (3,440,642 | ) | (7,989,964 | ) | ||||||||||||
Net increase/(decrease) | (1,841,658 | ) | (2,822,402 | ) | (6,130,647 | ) | 6,633,729 | 620,688 | (4,890,055 | ) | ||||||||||||||
Omni | International | Capital Appreciation | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 312,835 | 421,723 | 2,665,036 | 7,833,032 | 902,182 | 1,255,285 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 49,851 | 99,786 | — | — | 78,247 | 80,282 | ||||||||||||||||||
Capital shares redeemed | (650,890 | ) | (1,078,713 | ) | (6,334,979 | ) | (11,805,937 | ) | (2,140,885 | ) | (2,604,708 | ) | ||||||||||||
Net increase/(decrease) | (288,204 | ) | (557,204 | ) | (3,669,943 | ) | (3,972,905 | ) | (1,160,456 | ) | (1,269,141 | ) | ||||||||||||
Millennium | International Small-Mid Company | Aggressive Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 4,908,391 | 612,449 | 1,073,744 | 1,566,704 | 1,433,447 | 1,924,740 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (954,166 | ) | (1,070,957 | ) | (1,376,880 | ) | (1,742,571 | ) | (1,230,364 | ) | (1,582,602 | ) | ||||||||||||
Net increase/(decrease) | 3,954,225 | (458,508 | ) | (303,136 | ) | (175,867 | ) | 203,083 | 342,138 | |||||||||||||||
Small Cap Growth | Mid Cap Opportunity | S&P 500® Index | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 980,778 | 734,032 | 3,108,764 | 4,178,560 | 6,377,628 | 3,164,333 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | 174,417 | 257,996 | ||||||||||||||||||
Capital shares redeemed | (689,601 | ) | (874,270 | ) | (6,253,894 | ) | (2,040,368 | ) | (4,084,406 | ) | (3,820,480 | ) | ||||||||||||
Net increase/(decrease) | 291,177 | (140,238 | ) | (3,145,130 | ) | 2,138,192 | 2,467,639 | (398,151 | ) | |||||||||||||||
Strategic Value | High Income Bond | Capital Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 1,173,335 | 357,815 | 9,882,540 | 5,290,215 | 672,335 | 798,530 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 63,845 | 99,459 | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (624,258 | ) | (1,187,546 | ) | (4,957,356 | ) | (4,584,159 | ) | (665,264 | ) | (613,810 | ) | ||||||||||||
Net increase/(decrease) | 612,922 | (730,272 | ) | 4,925,184 | 706,056 | 7,071 | 184,720 | |||||||||||||||||
190
Notes to Financial Statements (Continued) | December 31, 2009 |
Nasdaq-100® Index | Bristol | Bryton Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 4,867,867 | 4,154,173 | 5,644,552 | 4,903,913 | 5,342,762 | 4,446,981 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | 67,319 | 114,606 | — | — | ||||||||||||||||||
Capital shares redeemed | (3,951,131 | ) | (4,197,643 | ) | (2,776,615 | ) | (2,027,717 | ) | (2,297,640 | ) | (2,018,949 | ) | ||||||||||||
Net increase/(decrease) | 916,736 | (43,470 | ) | 2,935,256 | 2,990,802 | 3,045,122 | 2,428,032 | |||||||||||||||||
U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 394,400 | 464,056 | 385,966 | 455,908 | 346,594 | 145,839 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 10,552 | 26,044 | 21,991 | — | — | — | ||||||||||||||||||
Capital shares redeemed | (454,184 | ) | (446,366 | ) | (269,350 | ) | (305,499 | ) | (204,725 | ) | (104,661 | ) | ||||||||||||
Net increase/(decrease) | (49,232 | ) | 43,734 | 138,607 | 150,409 | 141,869 | 41,178 | |||||||||||||||||
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||
Capital shares issued on sales | 937,153 | 1,365,372 | 1,049,533 | 1,490,104 | 537,735 | 117,062 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 32,609 | 46,221 | 58,040 | 103,259 | — | — | ||||||||||||||||||
Capital shares redeemed | (976,438 | ) | (629,173 | ) | (1,662,506 | ) | (1,206,350 | ) | (125,964 | ) | (38,489 | ) | ||||||||||||
Net increase/(decrease) | (6,676 | ) | 782,420 | (554,933 | ) | 387,013 | 411,771 | 78,573 | ||||||||||||||||
(5) | Investment Transactions |
Equity | Bond | Omni | International | Capital Appreciation | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 46,672,042 | $ | 18,216,806 | $ | 55,043,347 | $ | 304,477,749 | $ | 87,280,656 | ||||||||||
Sales | $ | 61,068,725 | $ | 24,483,847 | $ | 57,676,620 | $ | 326,617,704 | $ | 100,025,288 | ||||||||||
International | ||||||||||||||||||||
Millennium | Small-Mid Company | Aggressive Growth | Small Cap Growth | Mid Cap Opportunity | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 201,991,378 | $ | 68,445,603 | $ | 6,496,493 | $ | 10,674,627 | $ | 174,739,514 | ||||||||||
Sales | $ | 145,850,677 | $ | 69,266,467 | $ | 5,595,755 | $ | 8,121,807 | $ | 205,950,282 | ||||||||||
Nasdaq-100® | ||||||||||||||||||||
S&P 500® Index | Strategic Value | High Income Bond | Capital Growth | Index | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 52,539,406 | $ | 11,059,244 | $ | 81,313,419 | $ | 20,455,509 | $ | 15,423,546 | ||||||||||
Sales | $ | 27,100,489 | $ | 6,038,619 | $ | 22,281,349 | $ | 20,124,816 | $ | 10,488,618 | ||||||||||
191
Notes to Financial Statements (Continued) | December 31, 2009 |
Bristol | Bryton Growth | U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 264,576,891 | $ | 93,686,888 | $ | 21,217,020 | $ | 9,435,179 | $ | 11,171,434 | ||||||||||
Sales | $ | 231,503,782 | $ | 63,407,257 | $ | 22,083,687 | $ | 7,608,749 | $ | 10,162,000 | ||||||||||
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchase | $ | 16,692,916 | $ | 20,685,802 | $ | 18,649,681 | ||||||||||||||
Sales | $ | 16,593,161 | $ | 24,239,778 | $ | 15,829,657 |
Bond | Balanced | |||||||
Purchases | $ | 11,644,375 | $ | — | ||||
Sales | $ | 9,882,297 | $ | 185,000 |
(6) | Financial Instruments |
192
Notes to Financial Statements (Continued) | December 31, 2009 |
Number of | Premiums | |||||||
Contracts | Received | |||||||
Options outstanding, beginning of year | 45 | $ | 117,749 | |||||
Options written | 3,009 | 7,831,827 | ||||||
Options exercised | — | — | ||||||
Options expired | (62 | ) | (71,772 | ) | ||||
Options closed | (2,930 | ) | (7,757,112 | ) | ||||
Options outstanding, end of year | 62 | $ | 120,692 | |||||
193
Notes to Financial Statements (Continued) | December 31, 2009 |
Unrealized | ||||||||||||||||||||
Currency to | Currency to | Contract at | Appreciation/ | |||||||||||||||||
Date of contract | Exchange date | receive | deliver | value | Depreciation | |||||||||||||||
June 29, 2009 | January 11, 2010 | 11,421,477 AUD | $ | 9,101,318 | $ | 10,251,461 | $ | 1,150,143 |
Unrealized | ||||||||||||||||||||
Currency to | Currency to | Contract at | Appreciation/ | |||||||||||||||||
Date of contract | Exchange date | receive | deliver | value | Depreciation | |||||||||||||||
October 28, 2009 | January 11, 2010 | $ | 5,086,680 | 5,700,000 AUD | $ | 5,116,092 | $ | (29,412 | ) | |||||||||||
December 16, 2009 | January 11, 2010 | 5,139,889 | 5,721,477 AUD | $ | 5,135,369 | $ | 4,520 |
194
Notes to Financial Statements (Continued) | December 31, 2009 |
Location on | ||||||||||||||||
Value of | Value of | Statement of | ||||||||||||||
Asset | Liability | Assets and | ||||||||||||||
Portfolio | Instrument | Primary Risk Type | Derivatives | Derivatives | Liabilities | |||||||||||
International | Contracts to buy foreign currency | Currency exchange rate | $ | 10,251,461 | $ | (9,101,318 | ) | (1 | ) | |||||||
International | Contracts to sell foreign currency | Currency exchange rate | $ | 10,226,569 | $ | (10,251,461 | ) | (1 | ) | |||||||
Income Opportunity | Purchased options | Equity price | $ | 6,555 | — | (2 | ) | |||||||||
Income Opportunity | Written options | Equity price | — | $ | 141,112 | (3 | ) |
Change in | ||||||||||||||||
Unrealized | ||||||||||||||||
Realized Gain | Appreciation | |||||||||||||||
(Loss) on | (Depreciation) on | |||||||||||||||
Derivatives | Derivatives | Location on | ||||||||||||||
Recognized in | Recognized in | on Statement | ||||||||||||||
Portfolio | Instrument | Primary Risk Type | Income | Income | of Operations | |||||||||||
International | Currency contracts | Currency exchange rate | $ | (77,667 | ) | $ | 1,125,251 | (1), (2) | ||||||||
International Small-Mid Company | Currency contracts | Currency exchange rate | $ | 11,798 | $ | — | (1), (2) | |||||||||
Income Opportunity | Purchased options | Equity price | $ | (131,163 | ) | $ | 4,124 | (3), (4) | ||||||||
Written options | Equity price | (421,067 | ) | 5,831 | (5), (6) |
(7) | Temporary Guarantee Program |
195
Notes to Financial Statements (Continued) | December 31, 2009 |
(8) | Federal Income Tax Information |
Undistributed | Total | |||||||||||||||||||||||
Undistributed | Long-Term | Accumulated | Unrealized | Accumulated | ||||||||||||||||||||
Ordinary | Capital Gains | Accumulated | Capital and | Appreciation | Earnings | |||||||||||||||||||
Portfolio | Income | (Losses) | Earnings | Other Losses | (Depreciation)(1) | (Deficit) | ||||||||||||||||||
Equity | $ | 52,010 | $ | — | $ | 52,010 | $ | (116,170,176 | ) | $ | (1,728,916 | ) | $ | (117,847,082 | ) | |||||||||
Money Market | — | — | — | — | — | — | ||||||||||||||||||
Bond | 6,041,762 | — | 6,041,762 | (17,312,362 | ) | 3,827,515 | (7,443,085 | ) | ||||||||||||||||
Omni | 96,307 | — | 96,307 | (10,269,375 | ) | 2,115,978 | (8,057,090 | ) | ||||||||||||||||
International | 2,464,879 | — | 2,464,879 | (125,152,323 | ) | 43,676,346 | (79,011,098 | ) | ||||||||||||||||
Capital Appreciation | 160,402 | — | 160,402 | (41,236,635 | ) | 8,754,288 | (32,321,945 | ) | ||||||||||||||||
Millennium | — | — | — | (34,620,720 | ) | 17,150,421 | (17,470,299 | ) | ||||||||||||||||
International Small-Mid Company | 85,568 | — | 85,568 | (27,125,848 | ) | 17,941,039 | (9,099,241 | ) | ||||||||||||||||
Aggressive Growth | — | — | — | (7,356,638 | ) | 3,088,823 | (4,267,815 | ) | ||||||||||||||||
Small Cap Growth | — | — | — | (7,281,231 | ) | 1,587,752 | (5,693,479 | ) | ||||||||||||||||
Mid Cap Opportunity | — | — | — | (40,356,198 | ) | 3,407,752 | (36,948,446 | ) | ||||||||||||||||
S&P 500® Index | 286,436 | — | 286,436 | (16,601,420 | ) | 3,156,023 | (13,158,961 | ) | ||||||||||||||||
Strategic Value | 39,369 | — | 39,369 | (9,351,338 | ) | 254,881 | (9,057,088 | ) | ||||||||||||||||
High Income Bond | 10,496,614 | — | 10,496,614 | (3,330,556 | ) | 2,241,777 | 9,407,835 | |||||||||||||||||
Capital Growth | 3,532 | — | 3,532 | (14,732,557 | ) | 6,732,551 | (7,996,474 | ) | ||||||||||||||||
Nasdaq-100® Index | 67,713 | — | 67,713 | (4,780,502 | ) | 8,003,377 | 3,290,588 | |||||||||||||||||
Bristol | 107,371 | — | 107,371 | (21,958,222 | ) | 10,046,734 | (11,804,117 | ) | ||||||||||||||||
Bryton Growth | — | — | — | (13,623,623 | ) | 14,920,208 | 1,296,585 | |||||||||||||||||
U.S. Equity | 19,083 | — | 19,083 | (8,538,048 | ) | 1,853,224 | (6,665,741 | ) | ||||||||||||||||
Balanced | 46,186 | — | 46,186 | (1,720,803 | ) | 1,199,301 | (475,316 | ) | ||||||||||||||||
Income Opportunity | 20,040 | — | 20,040 | (577,479 | ) | 806,862 | 249,423 | |||||||||||||||||
Target VIP | 32,199 | — | 32,199 | (11,151,541 | ) | 1,394,652 | (9,724,690 | ) | ||||||||||||||||
Target Equity/Income | 38,355 | — | 38,355 | (18,046,200 | ) | 889,262 | (17,118,583 | ) | ||||||||||||||||
Bristol Growth | 19,274 | — | 19,274 | (1,445,176 | ) | 871,559 | (554,343 | ) |
(1) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributed primarily to tax deferral of losses on wash sales and the realization for tax purposes of unrealized gains/(losses) on certain instruments. |
Post-October | Post-October | |||||||
Portfolio | Losses | Currency Losses | ||||||
Capital Appreciation | $ | — | $ | 3,802 | ||||
Millennium | 855,988 | — | ||||||
International Small-Mid Company | 443,449 | 6,312 | ||||||
Aggressive Growth | 230,463 | 3 | ||||||
Small Cap Growth | 100,701 | — | ||||||
S&P 500® Index | 1,111,876 | — | ||||||
Strategic Value | 64,688 | 2,660 | ||||||
Nasdaq-100® Index | 6,090 | — | ||||||
Bryton Growth | 204,860 | — | ||||||
U.S. Equity | 49,801 | — | ||||||
Income Opportunity | 100,508 | — | ||||||
Target Equity/Income | 87,769 | — | ||||||
Bristol Growth | 16,804 | — |
196
Notes to Financial Statements (Continued) | December 31, 2009 |
Total Loss | Expiration Amount by Year | |||||||||||||||||||||||||||||||||||
Portfolio | Carryforward | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | |||||||||||||||||||||||||||
Equity | $ | 116,170,176 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 68,747,789 | $ | 47,422,387 | ||||||||||||||||||
Bond | 17,312,362 | — | 1,386,670 | — | 560,097 | 733,695 | — | 5,109,146 | 9,522,754 | |||||||||||||||||||||||||||
Omni | 10,269,375 | — | — | — | — | — | — | 4,973,650 | 5,295,725 | |||||||||||||||||||||||||||
International | 125,152,323 | — | — | — | — | — | — | 59,360,193 | 65,792,130 | |||||||||||||||||||||||||||
Capital Appreciation | 41,232,833 | — | — | — | — | — | — | 10,389,692 | 30,843,141 | |||||||||||||||||||||||||||
Millennium | 33,764,732 | 17,131,037 | 1,610,585 | — | — | — | — | 7,511,040 | 7,512,070 | |||||||||||||||||||||||||||
International Small-Mid Company | 26,676,087 | — | — | — | — | — | — | 15,783,654 | 10,892,433 | |||||||||||||||||||||||||||
Aggressive Growth | 7,126,172 | 4,415,159 | — | — | — | — | — | 694,915 | 2,016,098 | |||||||||||||||||||||||||||
Small Cap Growth | 7,180,530 | 3,671,938 | — | — | — | — | — | 785,300 | 2,723,292 | |||||||||||||||||||||||||||
Mid Cap Opportunity | 40,356,198 | — | — | — | — | — | — | 26,704,738 | 13,651,460 | |||||||||||||||||||||||||||
S&P 500® Index | 15,489,544 | 13,544,388 | — | 134,482 | — | — | — | 1,597,902 | 212,772 | |||||||||||||||||||||||||||
Strategic Value | 9,283,990 | 1,170,471 | 75,015 | — | — | — | — | 5,765,741 | 2,272,763 | |||||||||||||||||||||||||||
High Income Bond | 3,330,556 | 1,284,828 | 563,088 | 508,108 | 974,532 | |||||||||||||||||||||||||||||||
Capital Growth | 14,732,557 | 9,318,782 | — | — | — | — | — | — | 5,413,775 | |||||||||||||||||||||||||||
Nasdaq-100® Index | 4,774,412 | 915,546 | 1,110,252 | 701,524 | 531,984 | 215,042 | 30,818 | — | 1,269,246 | |||||||||||||||||||||||||||
Bristol | 21,958,222 | — | — | — | — | — | — | 11,896,631 | 10,061,591 | |||||||||||||||||||||||||||
Bryton Growth | 13,418,763 | — | — | — | — | — | — | 3,419,820 | 9,998,943 | |||||||||||||||||||||||||||
U.S. Equity | 8,488,247 | — | — | — | — | — | — | 4,481,829 | 4,006,418 | |||||||||||||||||||||||||||
Balanced | 1,720,803 | — | — | — | — | — | — | 1,179,209 | 541,594 | |||||||||||||||||||||||||||
Income Opportunity | 476,971 | — | — | — | — | — | — | — | 476,971 | |||||||||||||||||||||||||||
Target VIP | 11,151,541 | — | — | — | — | — | — | — | 11,151,541 | |||||||||||||||||||||||||||
Target Equity/Income | 17,958,431 | — | — | — | — | — | — | — | 17,958,431 | |||||||||||||||||||||||||||
Bristol Growth | 1,428,372 | — | — | — | — | — | — | 836,472 | 591,900 |
197
Notes to Financial Statements (Continued) | December 31, 2009 |
Net | Net | Total | ||||||||||||||
Ordinary | Short-Term | Long-Term | Distribution | |||||||||||||
Portfolio | Income | Capital Gains | Capital Gains | Paid | ||||||||||||
Equity | $ | 474,966 | $ | — | $ | — | $ | 474,966 | ||||||||
Omni | 722,837 | — | — | 722,837 | ||||||||||||
Capital Appreciation | 1,371,677 | — | — | 1,371,677 | ||||||||||||
S&P 500® Index | 2,047,655 | — | — | 2,047,655 | ||||||||||||
Strategic Value | 553,534 | — | — | 553,534 | ||||||||||||
Bristol | 753,303 | — | — | 753,303 | ||||||||||||
U.S. Equity | 97,286 | — | — | 97,286 | ||||||||||||
Balanced | 289,620 | — | — | 289,620 | ||||||||||||
Target VIP | 253,696 | — | — | 253,696 | ||||||||||||
Target Equity/Income | 416,144 | — | — | 416,144 |
Capital | ||||||||||||||||||||||||
Equity | Bond | Omni | International | Appreciation | Millennium | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 50,990,759 | $ | 5,072,309 | $ | 3,854,235 | $ | 48,896,227 | $ | 17,671,533 | $ | 18,165,939 | ||||||||||||
Depreciation | (52,719,675 | ) | (1,244,794 | ) | (1,738,257 | ) | (5,219,881 | ) | (8,917,245 | ) | (1,015,518 | ) | ||||||||||||
Net unrealized appreciation (depreciation) | $ | (1,728,916 | ) | $ | 3,827,515 | $ | 2,115,978 | $ | 43,676,346 | $ | 8,754,288 | $ | 17,150,421 | |||||||||||
Aggregate cost of securities: | $ | 226,312,543 | $ | 131,124,545 | $ | 39,204,427 | $ | 165,743,959 | $ | 118,746,825 | $ | 92,278,665 | ||||||||||||
International | ||||||||||||||||||||||||
Small-Mid Company | Aggressive Growth | Small Cap Growth | Mid Cap Opportunity | S&P 500® Index | Strategic Value | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 19,745,178 | $ | 4,882,077 | $ | 4,831,964 | $ | 3,736,006 | $ | 36,260,158 | $ | 1,355,397 | ||||||||||||
Depreciation | (1,804,139 | ) | (1,793,254 | ) | (3,244,212 | ) | (328,254 | ) | (33,104,135 | ) | (1,100,516 | ) | ||||||||||||
Net unrealized appreciation | $ | 17,941,039 | $ | 3,088,823 | $ | 1,587,752 | $ | 3,407,752 | $ | 3,156,023 | $ | 254,881 | ||||||||||||
Aggregate cost of securities: | $ | 53,141,548 | $ | 24,207,703 | $ | 21,215,886 | $ | 60,393,872 | $ | 157,376,369 | $ | 19,452,331 | ||||||||||||
198
Notes to Financial Statements (Continued) | December 31, 2009 |
High Income Bond | Capital Growth | Nasdaq-100® Index | Bristol | Bryton Growth | U.S. Equity | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 10,945,374 | $ | 9,019,903 | $ | 12,708,747 | $ | 16,517,644 | $ | 20,299,781 | $ | 2,109,276 | ||||||||||||
Depreciation | (8,703,597 | ) | (2,287,352 | ) | (4,705,370 | ) | (6,470,910 | ) | (5,379,573 | ) | (256,052 | ) | ||||||||||||
Net unrealized appreciation | $ | 2,241,777 | $ | 6,732,551 | $ | 8,003,377 | $ | 10,046,734 | $ | 14,920,208 | $ | 1,853,224 | ||||||||||||
Aggregate cost of securities: | $ | 155,709,563 | $ | 30,110,781 | $ | 40,078,650 | $ | 133,737,567 | $ | 98,753,014 | $ | 12,731,863 | ||||||||||||
Balanced | Income Opportunity | Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 1,474,498 | $ | 863,961 | $ | 2,881,980 | $ | 2,989,562 | $ | 1,171,019 | ||||||||||||||
Depreciation | (275,197 | ) | (57,099 | ) | (1,487,328 | ) | (2,100,300 | ) | (299,460 | ) | ||||||||||||||
Net unrealized appreciation | $ | 1,199,301 | $ | 806,862 | $ | 1,394,652 | $ | 889,262 | $ | 871,559 | ||||||||||||||
Aggregate cost of securities: | $ | 12,327,987 | $ | 6,702,478 | $ | 19,183,415 | $ | 21,745,677 | $ | 9,551,806 | ||||||||||||||
199
200
Additional Information | December 31, 2009 (Unaudited) |
(1) | Review and Approval of Advisory and Subadvisory Agreements |
201
Additional Information (Continued) | December 31, 2009 (Unaudited) |
202
Additional Information (Continued) | December 31, 2009 (Unaudited) |
203
Additional Information (Continued) | December 31, 2009 (Unaudited) |
204
Additional Information (Continued) | December 31, 2009 (Unaudited) |
205
Additional Information (Continued) | December 31, 2009 (Unaudited) |
206
Additional Information (Continued) | December 31, 2009 (Unaudited) |
(2) | Expense Disclosure |
207
Additional Information (Continued) | December 31, 2009 (Unaudited) |
Beginning | Ending | Expense Paid | Expense Ratio | |||||||||||||
Investment | Investment | During | During Period (net) | |||||||||||||
Value | Value | Period* | 7/1/09 – 12/31/09 | |||||||||||||
Portfolio | 7/1/09 | 12/31/09 | 7/1/09 – 12/31/09 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,235.56 | $ | 4.92 | 0.87 | % | ||||||||
Money Market | 1,000.00 | 1,000.00 | 0.79 | 0.16 | % | |||||||||||
Bond | 1,000.00 | 1,085.03 | 3.61 | 0.69 | % | |||||||||||
Omni | 1,000.00 | 1,165.48 | 4.28 | 0.78 | % | |||||||||||
International | 1,000.00 | 1,290.12 | 6.14 | 1.06 | % | |||||||||||
Capital Appreciation | 1,000.00 | 1,227.57 | 5.01 | 0.89 | % | |||||||||||
Millennium | 1,000.00 | 1,175.88 | 5.00 | 0.91 | % | |||||||||||
International Small-Mid Company | 1,000.00 | 1,283.73 | 7.38 | 1.28 | % | |||||||||||
Aggressive Growth | 1,000.00 | 1,212.07 | 5.85 | 1.05 | % | |||||||||||
Small Cap Growth | 1,000.00 | 1,225.53 | 6.69 | 1.19 | % | |||||||||||
Mid Cap Opportunity | 1,000.00 | 1,278.84 | 5.69 | 0.99 | % | |||||||||||
S&P 500® Index | 1,000.00 | 1,221.92 | 2.80 | 0.50 | % | |||||||||||
Strategic Value | 1,000.00 | 1,196.28 | 5.61 | 1.01 | % | |||||||||||
High Income Bond | 1,000.00 | 1,183.11 | 4.76 | 0.86 | % | |||||||||||
Capital Growth | 1,000.00 | 1,247.85 | 6.01 | 1.06 | % | |||||||||||
Nasdaq-100® Index | 1,000.00 | 1,257.89 | 3.12 | 0.55 | % | |||||||||||
Bristol | 1,000.00 | 1,200.71 | 4.87 | 0.88 | % | |||||||||||
Bryton Growth | 1,000.00 | 1,180.15 | 5.24 | 0.95 | % | |||||||||||
U.S. Equity | 1,000.00 | 1,219.72 | 5.76 | 1.03 | % | |||||||||||
Balanced | 1,000.00 | 1,176.85 | 5.81 | 1.06 | % | |||||||||||
Income Opportunity | 1,000.00 | 1,146.52 | 8.31 | 1.54 | % | |||||||||||
Target VIP | 1,000.00 | 1,191.40 | 4.53 | 0.82 | % | |||||||||||
Target Equity/Income | 1,000.00 | 1,239.31 | 4.49 | 0.80 | % | |||||||||||
Bristol Growth | 1,000.00 | 1,220.36 | 6.85 | 1.22 | % |
208
Additional Information (Continued) | December 31, 2009 (Unaudited) |
Beginning | Ending | Expense Paid | Expense Ratio | |||||||||||||
Investment | Investment | During | During Period (net) | |||||||||||||
Value | Value | Period* | 7/1/09 – 12/31/09 | |||||||||||||
Portfolio | 7/1/09 | 12/31/09 | 7/1/09 – 12/31/09 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,020.81 | $ | 4.44 | 0.87% | |||||||||
Money Market | 1,000.00 | 1,024.41 | 0.80 | 0.16% | ||||||||||||
Bond | 1,000.00 | 1,021.74 | 3.50 | 0.69% | ||||||||||||
Omni | 1,000.00 | 1,021.25 | 4.00 | 0.78% | ||||||||||||
International | 1,000.00 | 1,019.84 | 5.42 | 1.06% | ||||||||||||
Capital Appreciation | 1,000.00 | 1,020.71 | 4.54 | 0.89% | ||||||||||||
Millennium | 1,000.00 | 1,020.61 | 4.64 | 0.91% | ||||||||||||
International Small-Mid Company | 1,000.00 | 1,018.74 | 6.53 | 1.28% | ||||||||||||
Aggressive Growth | 1,000.00 | 1,019.91 | 5.34 | 1.05% | ||||||||||||
Small Cap Growth | 1,000.00 | 1,019.19 | 6.07 | 1.19% | ||||||||||||
Mid Cap Opportunity | 1,000.00 | 1,020.21 | 5.04 | 0.99% | ||||||||||||
S&P 500® Index | 1,000.00 | 1,022.69 | 2.55 | 0.50% | ||||||||||||
Strategic Value | 1,000.00 | 1,020.09 | 5.16 | 1.01% | ||||||||||||
High Income Bond | 1,000.00 | 1,020.85 | 4.41 | 0.86% | ||||||||||||
Capital Growth | 1,000.00 | 1,019.86 | 5.40 | 1.06% | ||||||||||||
Nasdaq-100® Index | 1,000.00 | 1,022.45 | 2.79 | 0.55% | ||||||||||||
Bristol | 1,000.00 | 1,020.78 | 4.47 | 0.88% | ||||||||||||
Bryton Growth | 1,000.00 | 1,020.40 | 4.86 | 0.95% | ||||||||||||
U.S. Equity | 1,000.00 | 1,020.02 | 5.24 | 1.03% | ||||||||||||
Balanced | 1,000.00 | 1,019.87 | 5.39 | 1.06% | ||||||||||||
Income Opportunity | 1,000.00 | 1,017.46 | 7.81 | 1.54% | ||||||||||||
Target VIP | 1,000.00 | 1,021.07 | 4.17 | 0.82% | ||||||||||||
Target Equity/Income | 1,000.00 | 1,021.19 | 4.06 | 0.80% | ||||||||||||
Bristol Growth | 1,000.00 | 1,019.03 | 6.23 | 1.22% | ||||||||||||
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. Please note that the expenses shown in these tables are meant to highlight ongoing Fund costs only and do not reflect any contract-level expenses or Fund transactional costs, such as sales charges (loads), or exchange fees (if any). Therefore, these tables are useful in comparing ongoing fund costs only, and will not fully assist a policy/contract owner in determining the relative total expenses of different funds. In addition, if transactional costs were included, costs may be higher for these Portfolios as well as for a fund being compared. |
(3) | Other Federal Tax Information |
Equity | 100.0% | Strategic Value | 90.3% | |||||||
Money Market | 0.0% | High Income Bond | 0.21% | |||||||
Bond | 0.0% | Capital Growth | 100.0% | |||||||
Omni | 47.1% | Nasdaq-100® Index | 100.0% | |||||||
International | 0.0% | Bristol | 100.0% | |||||||
Capital Appreciation | 100.0% | Bryton Growth | 0.0% | |||||||
Millennium | 0.0% | U.S. Equity | 39.4% | |||||||
International Small-Mid Company | 0.0% | Balanced | 47.7% | |||||||
Aggressive Growth | 0.0% | Income Opportunity | 100.0% | |||||||
Small Cap Growth | 0.0% | Target VIP | 100.0% | |||||||
Mid Cap Opportunity | 0.0% | Target Equity/Income | 100.0% | |||||||
S&P 500® Index | 100.0% | Bristol Growth | 0.0% |
209
Additional Information (Continued) | December 31, 2009 (Unaudited) |
Portion of Ordinary | ||||||||||||
Creditable Foreign | Per Share | Income Distribution Derived | ||||||||||
Taxes Paid | Amount | from Foreign Sourced Income | ||||||||||
International | $ | 641,335 | 0.0319 | 100.00% | ||||||||
International Small-Mid Company | $ | 111,447 | 0.0304 | 100.00% |
210
Information about Directors and Officers | December 31, 2009 (Unaudited) |
Term served | Number of | |||||||||
as Officer | Portfolios in | Principal Occupation and Other | ||||||||
Name and Address | Age | Position with the Fund | or Director | Fund Complex* | Directorships During Past Five Years | |||||
Independent Directors | ||||||||||
James E. Bushman 100 W. Rivercenter Boulevard, 2C Covington, Kentucky | 65 | Director, Chairman of Audit Committee and Member of Independent Directors Committee | Since March 2000 | 32 | Director, Chairman and CEO: Cast-Fab Technologies, Inc. (a manufacturing company); Director: The Midland Company (1998-2008), Air Transport Services Group, Inc., The Littleford Group, Inc., Hilltop Basic Resources, Inc., The Elizabeth Gamble Deaconess Home Association, The Christ Hospital and The University of Cincinnati Foundation. | |||||
L. Ross Love 2121 Alpine Place Cincinnati, Ohio | 63 | Director, Member of Audit and Independent Directors Committee | Since March 1997 | 32 | Director, President and CEO: Blue Chip Enterprises LLC (a company with holdings in the communications and medical equipment industries.); Director: The VQ Company; Trustee: Syracuse University, Greater Cincinnati Chamber of Commerce. | |||||
George M. Vredeveld University of Cincinnati Economics Center for Education & Research 90 West Daniels Cincinnati, Ohio | 67 | Lead Independent Director, Member of Audit and Independent Directors Committee | Since March 1996 | 32 | Alpaugh Professor of Economics: University of Cincinnati; President: Economics Center for Education & Research. | |||||
John I. Von Lehman 10 Creek Side Drive Cincinnati, Ohio | 57 | Director, Member of Audit and Independent Directors Committee | Since August 2007 | 32 | Former Executive Vice President, CFO, Secretary, and Director: The Midland Company (1988-2007); Director and Audit Committee Member: American Financial Group, Inc.; Director: Life Enriching Communities; Audit Committee Member: Health Alliance of Cincinnati, Red Cross Cincinnati Chapter; Investment Committee: Xavier University Foundation. | |||||
Interested Director and Officers | ||||||||||
John J. Palmer One Financial Way Cincinnati, Ohio | 70 | President, Chairman of the Board and Director | Since July 1997 | 32 | Director and Vice Chairman: ONLIC; President, CEO and Director: NSLA; Director: ONI and various other Ohio National-affiliated companies; Director: Cincinnati Symphony Orchestra; Trustee: Cincinnati Opera. | |||||
Thomas A. Barefield One Financial Way Cincinnnati, Ohio | 56 | Vice President | Since February 1998 | 32 | Executive Vice President and Chief Marketing Officer — Institutional Sales: ONLIC; Director and Vice President — Marketing: NSLA; Director: ONI; Senior Vice President: Ohio National Equities, Inc.; Recent graduate of class XXIX of Leadership Cincinnati. | |||||
Christopher A. Carlson One Financial Way Cincinnnati, Ohio | 50 | Vice President | Since March 2000 | 32 | Senior Vice President and Chief Investment Officer: ONLIC; President and Director: ONI; Chief Investment Officer: NSLA; Officer and Director of various other Ohio National-affiliated companies. | |||||
Dennis R. Taney One Financial Way Cincinnnati, Ohio | 62 | Chief Compliance Officer | Since August 2004 | 32 | Second Vice President: ONLIC, Chief Compliance Officer: ONLIC, ONI, NSLA, and other Ohio National-affiliated companies. | |||||
R. Todd Brockman One Financial Way Cincinnati, Ohio | 41 | Treasurer | Since August 2004 | 32 | Second Vice President, Mutual Fund Operations: ONLIC and NSLA; Treasurer: ONI. |
211
Information about Directors and Officers (Continued) | December 31, 2009 (Unaudited) |
Term served | Number of | |||||||||
as Officer | Portfolios in | Principal Occupation and Other | ||||||||
Name and Address | Age | Position with the Fund | or Director | Fund Complex* | Directorships During Past Five Years | |||||
Kimberly A. Plante One Financial Way Cincinnnati, Ohio | 35 | Secretary | Since March 2005 | 32 | Prior to August 2007 was Assistant Secretary, Associate Counsel: ONLIC; Secretary: ONI; Officer of various other Ohio National-affiliated companies. | |||||
Catherine E. Gehr One Financial Way Cincinnnati, Ohio | 37 | Assistant Treasurer | Since March 2005 | 32 | Manager, Mutual Fund Operations: ONLIC; Assistant Treasurer: ONI. | |||||
Katherine L. Carter One Financial Way Cincinnnati, Ohio | 30 | Assistant Secretary | Since August 2007 | 32 | Assistant Counsel: ONLIC; Prior to July 2007 was Compliance Officer with Fifth Third Securities, Inc. |
* | The Fund Complex is defined as Ohio National Fund, Inc. and The Dow® Target Variable Fund LLC. |
212
213
214
As of the end of the period covered by this report, Ohio National Fund, Inc. (the “Fund”) has adopted a code of ethics that applies to the Fund’s principal executive officer and principal financial officer. There were no substantive amendments or waivers to the Code of Ethics during the period covered by this report. |
A copy of this Code of Ethics is filed as Exhibit EX-99.CODE to this Form N-CSR and is also available, without charge, upon request, by calling 877-781-6392 toll free. |
The Fund’s Board of Directors has determined that the Fund has an audit committee financial expert serving on its Audit Committee. The Audit Committee financial expert is Mr. James E. Bushman. Mr. Bushman is independent for purposes of Item 3 of Form N-CSR. |
The aggregate fees for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Fund’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are listed below. |
(a) | Audit Fees. |
Fiscal year ended December 31, 2009: $276,000 |
Fiscal year ended December 31, 2008: $275,800 |
(b) | Audit-Related Fees. | ||
Professional services rendered in connection with the consent on the Fund’s N1A filing. | |||
Fiscal year ended December 31, 2009: $4,600 | |||
Fiscal year ended December 31, 2008: $4,600 | |||
(c) | Tax Fees. None. | ||
(d) | All Other Fees. None. | ||
(e) | (1) Audit Committee Pre-Approval Policies and Procedures: | ||
The Fund’s Audit Committee has adopted an Audit Committee Charter that requires that the Audit Committee oversee the quality and appropriateness of the accounting methods used in the preparation of the Fund’s financial statements, and the independent audit thereof; approve the selection and compensation of the independent auditors; and pre-approve the performance, by the independent auditors, of non-audit services for the Fund, its investment adviser, or any affiliated entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Fund. | |||
(e) | (2) Services Approved Pursuant to Paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: | ||
During the fiscal years ended December 31, 2009 and 2008, there were no non-audit services provided by the Fund’s principal accountant that would have required pre-approval by the Fund’s Audit Committee. The audit related fees aforementioned were pre-approved by the Fund’s Audit Committee, although not required by paragraph (c) (7) (ii) of Regulation S-X as the audit-related fees were less than five percent of the total amount of revenues paid to the Fund’s principal accountant. | |||
(f) | Not applicable. | ||
(g) | There were no non-audit services provided by the Fund’s principal accountant, other than items disclosed in item (b) above, in which a fee was billed to the Fund, the Fund’s adviser, and any entity controlling, controlled |
by, or under common control with the adviser that provides ongoing services to the registrant for the last two fiscal years. | |||
(h) | Not applicable, as there were no non-audit services performed by the Fund’s principal accountant that were rendered to the Fund, the Fund’s adviser, or any entity controlling, controlled by, or under common control with the adviser that provided ongoing services to the registrant that were not pre-approved for the last two fiscal years. |
Not applicable. |
Not applicable. |
Not Applicable. |
Not Applicable. |
Not Applicable. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors. |
(a) | The Fund’s principal executive officer and principal financial officer have concluded, based on their evaluation conducted as of a date within 90 days of the filing of this report, that the Fund’s disclosure controls and procedures are adequately designed and are operating effectively to ensure (i) that material information relating to the Fund, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared; and (ii) that information required to be disclosed by the Fund on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. | ||
(b) | There were no changes in the Fund’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting. |
(a)(1) | The Fund’s Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE. | ||
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the Fund as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as EX-99.CERT. | ||
The certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
Ohio National Fund, Inc. | ||||
By: | /s/ John J. Palmer | |||
President and Director | ||||
March 8, 2010 |
Ohio National Fund, Inc. | ||||
By: | /s/ John J. Palmer | |||
President and Director | ||||
March 8, 2010 | ||||
By: | /s/ R. Todd Brockman | |||
R. Todd Brockman | ||||
Treasurer | ||||
March 8, 2010 |