Prudential Variable Contract Account 10 N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

Investment Company Act file number:	811-03421
Exact name of registrant as specified in charter:	The Prudential Variable Contract Account - 10
Address of principal executive offices:	655 Broad Street, 17th Floor Newark, New Jersey 07102
Name and address of agent for service:	Andrew R. French 655 Broad Street, 17th Floor Newark, New Jersey 07102
Registrant’s telephone number, including area code:	800-225-1852
Date of fiscal year end:	12/31/2018
Date of reporting period:	12/31/2018

Item 1 – Reports to Stockholders

The MEDLEY Program

ANNUAL REPORT December 31, 2018

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable ContractAccount-11(VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.

The views expressed in this report and information about the Accounts’ portfolio holdings are for the period covered by this report and are subject to change thereafter.

Please note that this document may include prospectus supplements that are separate from and not a part of this report.

The Prudential MEDLEY Program   Table of Contents Annual Report December 31, 2018

∎ LETTER TO PARTICIPANTS

∎ MARKET OVERVIEW

∎ REPORT OF THE INVESTMENT MANAGER

∎ BENCHMARK GLOSSARY

∎ VCA-10

Financial Statements

∎ VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

The Prudential MEDLEY Program Letter to Participants December 31, 2018

∎ DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stuart Parker President, The Prudential Variable Contract Account 10	Timothy S. Cronin President, The Prudential Series Fund

January 31, 2019

Market Overview — unaudited Annual Report December 31, 2018

Equity Market Overview

Stock markets worldwide retreated in 2018 and volatility spiked late in the year, triggered by uncertainties regarding interest rates, a potential trade war, slowing global economic growth, geopolitical issues, and other challenges.

In the US, the broad-based Russell 3000^® Index and the S&P 500^® Index returned-5.24% and-4.38%, respectively, for the year but held up better than international stocks in general. Equities trading in developed markets outside the US and Canada, as measured by the MSCI EAFE Index, fell 13.79%. Stocks in emerging markets reversed course. After posting strong gains in 2017, the MSCI Emerging Markets Index finished down 14.58%. (Returns are in US dollars, excluding dividends.)

Global economy and interest rates

In contrast to 2017’s global synchronized growth, 2018 saw global divergence characterized by strength in the US and weakness in many other parts of the world. In the US, economic growth remained healthy but decelerated slightly in the third quarter. Corporate earnings were generally solid, companies continued to hire at a strong pace, and inflation remained benign. The US dollar strengthened against most other currencies, and oil prices declined.

Several emerging markets economies, such as Argentina and Turkey, faced severe challenges in 2018, and the performance of other countries ran somewhere in between. In China, economic activity weakened and imports slowed, which had a negative impact on other economies, particularly in Europe. In the United Kingdom, wage growth improved, but uncertainty regarding negotiations to leave the European Union (known as Brexit) created a drag on stock prices. The European political backdrop became a bit more volatile late in the period, spurred by concerns over cohesion in the eurozone after the election of an anti-establishment coalition government in Italy that is skeptical of the European Union and widespread protests over stagnant wage growth in France.

Against this backdrop of decelerating economic activity and rising global tensions, many central banks continued to tighten monetary policy. In December, the Federal Reserve (the Fed) raised its target range for the short-term federal funds rate to2.25%-2.50%, following three rate hikes earlier in the year. The Fed also moderated its median projection for additional hikes going forward. A number of other central banks raised rates or took other measures to reduce stimulus during the period. For example, the European Central Bank ended its quantitative-easing bond-purchase program. China, however, moved to stimulate its economy, but these efforts did not gain much traction.

Equity markets fluctuated sharply

Volatility picked up significantly in 2018. The CBOE Volatility Index (VIX) average annual level rose sharply in 2018 from 2017.

After kicking off the new year with a rally, stocks declined in early February in reaction to reports of a sharp rise in average hourly earnings, which triggered concerns about inflation and that the Fed might raise rates more quickly than expected. Stocks recovered but sold off again in March, driven by the prospects of a tariff trade war between the US and China. US companies continued to report strong earnings, fueled in part by tax cuts, and stocks advanced throughout the spring and summer.

In the fall, sentiment shifted again in reaction to Fed comments perceived by many as hawkish, weaker growth in China, and rising trade tensions. The price of a42-gallon barrel of Current West Texas Intermediate Crude Oil, which had risen to $76.41 per barrel in October, plunged to $45.41 at the end of the period. The year closed with a US government shutdown due to a stalemate over border wall funding. Many of these factors exerted pressure on European, Japanese, and US stock markets.

Strong earnings growth, combined with the market decline, brought US equity valuations down from elevated levels to multiples more in line with long-term averages. For the fourth quarter, the Russell 3000 returned -14.30% and the MSCI EAFE Index returned-12.54%, although the MSCI Emerging Markets Index held up better, declining 7.47%.

Investors’ desire for less-risky assets prompted a rally in US Treasuries in December. The yield on the10-year note, which moves opposite to its price, ended the year up 28 basis points (0.28%) at approximately 2.68%.

S&P 500: leaders and laggards

Three of the S&P 500’s 11 sectors finished higher during the period. They were Health Care (+6.5%) and Utilities (+4.1%), which include defensive stocks less correlated to the economy, and Consumer Discretionary (+0.8%). Five sectors posted double-digit losses. Energy performed worst(-18.1%), hurt by the sharp drop in oil prices. The next worst-performing sectors were Materials(-14.7%), Industrials(-13.3%), Financials(-13.0%), Communication Services(-12.5%), Consumer Staples(-8.4%), Real Estate(-2.2%), and Information Technology(-0.3%).

Market Overview — unaudited(continued) Annual Report December 31, 2018

Growth andlarger-cap stocks outperformed their counterparts

During the period, the Russell 3000 Growth Index fell 2.1%, while the Russell 3000 Value Index dropped 8.6%. Stocks with large market capitalizations, as measured by the Russell 1000^® Index, held up best, finishing down 4.8%. The Russell Midcap^® Index fell 9.1%, and the Russell 2000^® Index, which reflects the performance ofsmall-cap stocks, dropped 11.0%. Smaller-capitalized companies often have more debt, making them more susceptible to rising rates.

International equity markets: best and worst performers

For the 12 months, the best-performing countries making up the MSCI Emerging Markets Index were Russia (+0.2%), Brazil(-0.1%), and Malaysia(-6.0%). The worst performers were South Africa(-24.3%), South Korea(-20.5%), and China(-18.7%). For the fourth quarter, Brazil’s market outperformed, returning 13.6%.

For the 12 months, the best-performing developed markets making up the MSCI EAFE Index were Switzerland(-8.2%), Australia(-11.8%), and France(-11.9%). The worst performers were Germany(-21.6%), Italy(-17.0%), and Spain(-15.7%).

Fixed Income Market Overview

Financial markets experienced a volatile year in 2018, particularly riskier assets. The total returns and excess returns on bonds relative to US Treasuries were generally low or negative.

Over the12-month period, the Bloomberg Barclays US Aggregate Bond Index, a broad measure of the US investment-grade bond market, finished virtually flat with a return of 0.01%. Among key sectors, US agency mortgage-backed securities returned 0.99%, US Treasuries advanced 0.86%, commercial mortgage-backed securities (CMBS) rose 0.78%, Treasury inflation protected securities (TIPS) dropped 1.26%, and investment-grade corporate bonds declined 2.51%.

Municipal bonds rose 1.28%. High yield municipal issues (rated below investment grade) rose 4.76% for the year. However, high yield corporate bonds fell 2.08%.

The Bloomberg Barclays Global Aggregate Bond Index (USD), which reflects performance of investment-grade bonds in developing and emerging markets, declined 0.03%. Emerging markets bonds, as measured by the J.P. Morgan EMBI Global Diversified Index (hard currency), finished down 4.26% for the year.

Bond market highlights

Early in the reporting period, hawkish rhetoric from the Federal Reserve (the Fed), anticipated fiscal stimulus from tax cuts, an increased supply of US Treasuries (particularly shorter-dated issues), and concerns about inflation exerted pressure on the prices of US bonds. These factors sent bond yields, which move in the opposite direction, higher. Later in the first quarter, concerns about trade friction between the US and China put pressure on riskier assets.

In the second quarter, rates diverged. Signs that the US economy was growing at a strong pace sparked concerns that inflation could pick up. The yield on the10-year US Treasury note rose above 3%. Meanwhile, growth in many other economies weakened. Rising rates in the US and a strong dollar, coupled with trade uncertainty and geopolitical concerns, helped expose structural weaknesses in several emerging markets, and prices of emerging market bonds fell sharply. Yields on Italian bonds rose significantly in reaction to political concerns in Italy.

Although the US economy grew at a healthy pace during the year, growth decelerated in the third quarter and economic activity in the eurozone slowed.

Risk aversion rose late in the period

In the fourth quarter, following a sharp spike in US Treasury bond yields in November, demand for higher-quality US bonds rose — driving their prices higher and yields down — as a result of a flight to quality, whereas riskier US assets such as high yield bonds sold off. The shift in sentiment was triggered by uncertainties regarding the economy amid growing concerns about a potential trade war, Great Britain’s negotiations to leave the European Union (known as Brexit), and perceptions of a hawkish Fed.

In December, the Fed raised its federal funds rate target for the fourth time in 2018 but moderated its median projection for future additional rate hikes. The European Central Bank (ECB) halted its quantitative-easing asset purchases and issued guidance that it does not anticipate raising interest rates at least until after the summer of 2019. The yield on the10-year US Treasury note fell during the quarter to close the period at 2.68%.

For the fourth quarter, based on returns of the Bloomberg Barclays indexes, US Treasuries returned 2.6%. Agency mortgage-backed securities returned 2.1%, as their spreads widened amid the broadrisk-off sentiment and higher net supply. CMBS advanced 1.7%.

Market Overview — unaudited(continued) Annual Report December 31, 2018

US corporate bonds — excluding energy — remained supported by robust earnings, strong cash flows, positive economic growth, and tailwinds from tax reform, but underperformed US government securities. For the quarter, US investment-grade corporates returned-0.2%. High yield bonds declined 4.53%, as they were hurt by a drop in oil prices. The municipal bonds sector rose 1.20%. Yields on debt carrying atriple-A rating ended lower on the heels of the rally in US Treasuries.

Emerging markets closed the year at varying stages of economic and political cycles. For the fourth quarter, emerging markets bonds declined 1.26%, based on the return of the J.P. Morgan EMBI Global Diversified Index (hard currency), benefiting in part from a weakening US dollar following its strong rise during the year. Yields on China’s government bonds dropped significantly in November in anticipation of further monetary stimulus. Global investment-grade bonds, based on the Bloomberg Barclays Global Aggregate Bond Index (USD), gained 1.55% in the fourth quarter.

The Prudential Variable Contract Account-10 (VCA-10)   Presentation of Portfolio Holdings — unaudited December 31, 2018

VCA-10
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.5%
Boeing Co. (The)	3.5%
Merck & Co., Inc.	3.1%
Alphabet, Inc.	3.0%
Microsoft Corp.	2.9%

For a complete listing of holdings, refer to the Statement of Net Assets section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential MEDLEY Program — VCA-10   December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years			Since Inception
VCA-101—Standard Contract		-7.88	%		5.46	%		11.33	%		—
VCA-101—0.50% Contract		-7.42			5.98			11.88			—
VCA-101—0.45% Contract		-7.37			6.03			—			8.51
S&P 500 Index		-4.38			8.49			13.11

Past performance does not guarantee future returns. Account performance is net of fund expenses. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

0.45% Contract inception: 4/1/2011. Unless noted otherwise, Index since inception returns reflect performance beginning the closest month-end date to the Account’s inception of the 0.45% Contract.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the value of the Standard Contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) returned -7.88%, the value of a contract with annual expenses of 0.50% returned -7.42%, and the value of a contract with annual expenses of 0.45% returned -7.37%. The Account contracts underperformed the S&P 500 Index.

The Account’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Market concerns surrounding rising inflation expectations and monetary tightening, along with uncertainty about the Trump administration’s policy initiatives, caused equity markets to decline early in 2018. Those concerns seemed to subside, as most major indices continued their march upward until October. Early in the fourth calendar quarter, market fears surrounding rising interest rates, deteriorating growth prospects in the US and emerging markets, and the escalating odds of a trade war combined to unsettle both domestic and global equity markets.

Volatility returned with a vengeance in 2018, having been muted over the past few years, with the CBOE Volatility Index (the VIX) higher by a sharp 130% during the 12-month period. The energy sector was among the worst-performing sectors within the broad S&P 500 Index, likely a result of West Texas Intermediate (WTI) oil prices falling 24.84% during the year. Prices for most industrial metals also saw double-digit declines, hurting the performance of the materials sector, while health care and utilities were among the few bright spots in 2018.

The S&P 500 (the Index) fell 4.38% in 2018, with the energy, materials, industrials, and financials sectors all posting double-digit declines. Health care, utilities, information technology, and consumer discretionary were the only sectors in the Index that gained during the year.

Despite the narrowing differential between styles toward the end of the year, growth stocks, as measured by the Russell 1000 Growth Index, outperformed their value peers, as measured by the Russell 1000 Value Index, by over 775 basis points for the period overall. A basis point is 0.01%. Meanwhile large-cap stocks, as measured by the Russell 1000 Index, outperformed the small-cap-based Russell 2000 Index.

What strategies or holdings affected the Account’s performance?

The Account underperformed the Index during the period. On an absolute basis, positions in information technology were the primary drivers of overall return, specifically within application software. The movies & entertainment and pharmaceuticals sectors also contributed. Conversely, financial holdings were among the primary detractors, particularly the diversified banks and consumer finance stocks. The Account’s semiconductor holdings also hurt performance.

Notable Account contributors includedEli Lilly and Co.after it reported solid quarterly earnings and beat consensus estimates during the period. Eli Lilly’s diabetes team generated a series of positive news in October after showing robust phase 2 results for its GIP/GLP-1 co-agonist (LY’176) for the treatment of diabetes, supporting its decision to roll out eight phase 3 clinical trials in late 2018 and early 2019. Shares ofsalesforce.com, Inc. rose

¹  The Account performance results is net of all contract charges but not including the effect of any sales charges. The standardVCA-10 contract has total annual expenses (as a percentage of net assets) of 1.00%. CertainVCA-10 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of theVCA-10 contracts with reduced expenses will be higher than the performance of the standardVCA-10 contract. All total returns are for the periods indicated and are calculated based on changes in unit values.

²  The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to a lower fee structure.

For a complete list of holdings please see the Statement of Net Assets sections of this report.

1

The Prudential MEDLEY Program — VCA-10   December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited) (Continued)

as the company benefited from secular growth drivers, including the shift to cloud computing, increasing corporate focus on customer-facing applications, emergence of mobile as a primary user interface into enterprise applications, and increasing demand for analytical capabilities to optimize business decisions and processes. Application software makerMicrosoft Corp. performed well, as the company posted solid earnings while beating consensus expectations during the past several quarters. This was driven in part by its Commercial Cloud and Azure segments and by a steady personal computer business. Additionally, its Office 365 software drove operating income improvements in the company’s productivity and business process segment. Jennison believes improving top-line growth and expanding profit margins should drive multiple years of accelerated earnings-per-share growth.

Among the notable detractors in the Account was the semiconductor firmNVIDIA Corp.Its shares declined in November, reflecting lower-than-anticipated third-quarter revenue from low- and mid-end gaming graphics-processing units. An underlying inventory issue was anticipated to result in a revenue shortfall in the fourth quarter, as the company would not ship more product until the channel had been cleared. Jennison reduced its estimates to reflect the company’s temporary inventory challenge. Further, based on the company’s third-quarter revenue miss and its inability to anticipate the inventory/demand problem, the position was sold during the fourth quarter for what Jennison saw as more attractive investment opportunities.

Conagra Brands, Inc. lost ground during the reporting period as the company was weighed down by higher-than-expected cost inflation, higher interest rates, and pricing pressures from retailers. Additionally, the company’s acquisition ofPinnacle Foods, Inc., while potentially beneficial for the long term, caused concerns over the short term given Pinnacle’s slowdown in revenue. Investors had become more defensive, as companies with levered balance sheets fell out of favor with the market.

Goldman Sachs Group, Inc. underperformed after its shares declined when the firm was issued a limit on shareholder payouts as a result of its “conditional non-objection” grade on the quantitative portion of the Federal Reserve’s annual stress test of capital levels during the period. Additionally, the market negatively reacted to potential repercussions from the indictment of two senior Goldman Sachs executives. While many investors were aware of this indictment, the timing of any settlement and potential charge to the company’s bottom line was unclear. However, at the end of the reporting period, Jennison favored the company for its valuation and multiple businesses that can generate profits, in its view.

For a complete list of holdings, please refer to the Schedule of Investments section of this report.

2

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2018

LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 4.5%
Boeing Co. (The)		14,971	$	4,828,148
United Technologies Corp.		13,805		1,469,956
				6,298,104
Automobiles — 1.2%
Tesla Inc.*		4,878		1,623,398
Banks — 10.4%
Bank of America Corp.		114,344		2,817,436
BB&T Corp.		35,591		1,541,802
Citigroup, Inc.		31,646		1,647,491
JPMorgan Chase & Co.		49,528		4,834,923
PNC Financial Services Group, Inc. (The)		13,796		1,612,890
SunTrust Banks Inc.		16,396		827,014
Wells Fargo & Co.		27,623		1,272,868
				14,554,424
Biotechnology — 0.5%
Celgene Corp.*		11,294		723,832
Building Products — 0.6%
Johnson Controls International PLC		28,570		847,101
Capital Markets — 0.8%
Goldman Sachs Group, Inc. (The)		6,606		1,103,532
Chemicals — 2.3%
DowDuPont, Inc.		9,961		532,714
FMC Corp.		18,681		1,381,647
Linde PLC (United Kingdom)		7,854		1,225,538
				3,139,899
Communication Equipment — 1.5%
Cisco Systems, Inc.		48,356		2,095,266
Consumer Finance — 2.0%
Capital One Financial Corp.		21,436		1,620,347
SLM Corp.*		140,035		1,163,691
				2,784,038
Diversified Telecommunication Services — 1.6%
Verizon Communications, Inc.		39,775		2,236,151
Electric Utilities — 3.6%
American Electric Power Co., Inc.		34,610		2,586,751
Exelon Corp.		54,900		2,475,990
				5,062,741
Electrical Equipment — 0.7%
Emerson Electric Co.		16,208		968,428
Energy Equipment & Services — 0.3%
Schlumberger Ltd.		11,412		411,745
Entertainment — 2.3%
Netflix, Inc.*		6,683		1,788,772
Twenty-First Century Fox, Inc. (Class A Stock)		30,418		1,463,714
				3,252,486

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trust (REITs) — 2.6%
American Campus Communities Inc.		23,244	$	962,069
American Tower Corp.		16,977		2,685,592
				3,647,661
Food & Staples Retailing — 1.7%
Wal-Mart Stores, Inc.		24,826		2,312,542
Food Products — 1.7%
Conagra Brands, Inc.		32,929		703,363
Mondelez International, Inc. (Class A Stock)		41,122		1,646,114
				2,349,477
Health Care Equipment & Supplies — 1.1%
Zimmer Biomet Holdings, Inc.		14,737		1,528,522
Health Care Providers & Service — 3.0%
Cigna Corp.		6,936		1,317,285
Laboratory Corp. of America Holdings*		8,998		1,136,987
UnitedHealth Group, Inc.		6,773		1,687,290
				4,141,562
Hotels, Restaurants & Leisure — 1.0%
McDonald’s Corp.		7,458		1,324,317
Household Products — 1.5%
Procter & Gamble Co. (The)		22,280		2,047,978
Insurance — 2.9%
Brighthouse Financial, Inc.*		19,126		582,961
Chubb Ltd. (Switzerland)		14,619		1,888,482
MetLife, Inc.		37,574		1,542,788
				4,014,231
Interactive Media & Services — 5.8%
Alphabet, Inc.*		3,992		4,171,480
Facebook, Inc. (Class A Stock)*		12,341		1,617,782
Tencent Holdings Ltd. (China), ADR		57,676		2,276,472
				8,065,734
Internet & Direct Marketing Retail — 3.6%
Alibaba Group Holding Ltd. (China), ADR*		14,231		1,950,643
Amazon.com, Inc.*		1,713		2,572,875
eBay, Inc.*		19,388		544,221
				5,067,739
IT Services — 3.2%
Adyen NV (Netherlands)*		1,810		975,615
Mastercard Inc.		13,876		2,617,707
PayPal Holdings, Inc.*		10,340		869,491
				4,462,813
Life Sciences Tools & Services — 1.3%
Illumina Inc.*		6,166		1,849,368
Media — 2.1%
Comcast Corp. (Class A Stock)		55,914		1,903,872
Liberty Global PLC (United Kingdom) (Class C Stock)*		52,832		1,090,452
				2,994,324

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Multi-Utilities — 1.1%
Ameren Corp.		23,224	$	1,514,902
Oil, Gas & Consumable Fuels — 5.5%
Anadarko Petroleum Corp.		13,636		597,802
Chevron Corp.		25,898		2,817,443
Noble Energy, Inc.		35,630		668,419
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		39,105		2,278,648
Suncor Energy, Inc. (Canada)		48,738		1,363,202
				7,725,514
Pharmaceuticals — 11.7%
Allergan PLC		7,680		1,026,509
AstraZeneca PLC (United Kingdom), ADR		99,517		3,779,656
Bristol-Myers Squibb Co.		19,334		1,004,981
Elanco Animal Health, Inc.*		15,446		487,012
Eli Lilly & Co.		22,123		2,560,074
Merck & Co., Inc.		57,105		4,363,393
Pfizer, Inc.		70,555		3,079,726
				16,301,351
Road & Rail — 1.2%
Union Pacific Corp.		12,542		1,733,681
Semiconductors & Semiconductor Equipment — 1.9%
Broadcom Ltd.		6,002		1,526,189
Texas Instruments, Inc.		11,460		1,082,970
				2,609,159
Software — 7.3%
Adobe Systems, Inc.*		10,530		2,382,307
Microsoft Corp.		39,324		3,994,139
PTC, Inc.*		12,898		1,069,244
salesforce.com, Inc.*		19,711		2,699,816
				10,145,506
Specialty Retail — 2.4%
Home Depot, Inc.		6,292		1,081,091
Lowe’s Cos, Inc.		11,222		1,036,464
Ross Stores Inc.		14,872		1,237,350
				3,354,905

COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripheral — 0.9%
Apple, Inc.		8,048	$	1,269,492
Textiles, Apparel & Luxury Goods — 0.9%
Tapestry, Inc.		35,219		1,188,641
TOTAL COMMON STOCKS (cost $101,397,778)				134,750,564
SHORT-TERM INVESTMENT — 3.0%
AFFILIATED MUTUAL FUND
PGIM Core Ultra Short Bond Fund (cost $4,141,450)(a)		4,141,450		4,141,450
TOTAL INVESTMENTS — 99.7% (cost $105,539,228)				138,892,014
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
Receivable for Securities Sold				1,501,170
Dividends and Interests Receivable				108,968
Tax Reclaim Receivable				6,428
Payable for Pending Capital Transactions				(30,188	)
Payable for Securities Purchased				(1,167,880	)
OTHER ASSETS IN EXCESS OF LIABILITIES				418,498
NET ASSETS — 100%			$	139,310,512
NET ASSETS, representing:
Equity of Participants			$	139,335,714
Equity of The Prudential Insurance Company of America				(25,202	)
			$	139,310,512

The following abbreviation is used in the annual report:     

ADR American Depositary Receipt

* Non-income producing security.    

(a) PGIM Investments LLC, the manager of the Account, also serves as manager of the PGIM Core Ultra Short Bond Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2018

Fair Value Measurements:

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs.     

Level 3—unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.     

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:    

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	6,298,104	$	—	$	—
Automobiles		1,623,398		—		—
Banks		14,554,424		—		—
Biotechnology		723,832		—		—
Building Products		847,101		—		—
Capital Markets		1,103,532		—		—
Chemicals		3,139,899		—		—
Communications Equipment		2,095,266		—		—
Consumer Finance		2,784,038		—		—
Diversified Telecommunication Services		2,236,151		—		—
Electric Utilities		5,062,741		—		—
Electrical Equipment		968,428		—		—
Energy Equipment & Services		411,745		—		—
Entertainment		3,252,486		—		—
Equity Real Estate Investment Trusts (REITs)		3,647,661		—		—
Food & Staples Retailing		2,312,542		—		—
Food Products		2,349,477		—		—
Health Care Equipment & Supplies		1,528,522		—		—
Health Care Providers & Services		4,141,562		—		—
Hotels, Restaurants & Leisure		1,324,317		—		—
Household Products		2,047,978		—		—
Insurance		4,014,231		—		—
Interactive Media & Services		8,065,734		—		—
Internet & Direct Marketing Retail		5,067,739		—		—
IT Services		3,487,198		975,615		—
Life Sciences Tools & Services		1,849,368		—		—
Media		2,994,324		—		—
Multi-Utilities		1,514,902		—		—
Oil, Gas & Consumable Fuels		7,725,514		—		—
Pharmaceuticals		16,301,351		—		—
Road & Rail		1,733,681		—		—
Semiconductors & Semiconductor Equipment		2,609,159		—		—
Software		10,145,506		—		—
Specialty Retail		3,354,905		—		—
Technology Hardware, Storage & Peripherals		1,269,492		—		—
Textiles, Apparel & Luxury Goods		1,188,641		—		—
Affiliated Mutual Fund		4,141,450		—		—
Total	$	137,916,399	$	975,615	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2018

Industry Classification:

The industry classification of investments and other assets in excess of other liabilities shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):    

Pharmaceuticals	11.7	%
Banks	10.4
Software	7.3
Interactive Media & Services	5.8
Oil, Gas & Consumable Fuels	5.5
Aerospace & Defense	4.5
Internet & Direct Marketing Retail	3.6
Electric Utilities	3.6
IT Services	3.2
Affiliated Mutual Fund	3.0
Health Care Providers & Services	3.0
Insurance	2.9
Equity Real Estate Investment Trusts (REITs)	2.6
Specialty Retail	2.4
Entertainment	2.3
Chemicals	2.3
Media	2.1
Consumer Finance	2.0
Semiconductors & Semiconductor Equipment	1.9
Food Products	1.7
Food & Staples Retailing	1.7

Diversified Telecommunication Services	1.6	%
Communications Equipment	1.5
Household Products	1.5
Life Sciences Tools & Services	1.3
Road & Rail	1.2
Automobiles	1.2
Health Care Equipment & Supplies	1.1
Multi-Utilities	1.1
Hotels, Restaurants & Leisure	1.0
Technology Hardware, Storage & Peripherals	0.9
Textiles, Apparel & Luxury Goods	0.9
Capital Markets	0.8
Electrical Equipment	0.7
Building Products	0.6
Biotechnology	0.5
Energy Equipment & Services	0.3
Other assets in excess of liabilities	99.7
	0.3
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $45,729 foreign withholding tax)	$	2,910,825
Affiliated Dividend Income		81,211
Total Income		2,992,036
EXPENSES
Fees Charged to Participants for Investment Management Services		(411,718	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(1,111,426	)
0.50% Contract		(10,305	)
0.45% Contract		(20,186	)
Total Expenses		(1,553,635	)
NET INVESTMENT INCOME		1,438,401
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) on:
Investment Transactions		6,675,133
Foreign Currency Transactions		(171	)
		6,674,962
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(19,633,196	)
Foreign Currencies		(566	)
		(19,633,762	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(12,958,800	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	($	11,520,399	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
OPERATIONS
Net Investment Income	$	1,438,401		$	1,087,378
Net Realized Gain on Investment and Foreign Currency Transactions		6,674,962			14,830,963
Net Change In Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies		(19,633,762	)		15,923,733
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(11,520,399	)		31,842,074
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		1,510,220			1,305,515
Withdrawals and Transfers Out		(16,167,899	)		(17,682,984	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(14,657,679	)		(16,377,469	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(4,785	)		1,137
TOTAL INCREASE (DECREASE) IN NET ASSETS		(26,182,863	)		15,465,742
NET ASSETS
Beginning of year		165,493,375			150,027,633
End of year	$	139,310,512		$	165,493,375

Accumulation Unit Values and Equity of Participants as of December 31, 2018

Standard Contract:
Accumulation Unit Value and Equity of Participants, $127,088,675 / 7,081,311 Accumulation Units	$	17.9471
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $3,641,223 / 181,342 Accumulation Units	$	20.0793
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $8,605,816 / 426,902 Accumulation Units	$	20.1588

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2018									Year Ended December 31, 2017
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.3666		$	0.4087		$	0.4102		$	0.2909		$	0.3229		$	0.3239
Expenses
Investment management fee		(0.0500	)		(0.0558	)		(0.0560	)		(0.0440	)		(0.0489	)		(0.0491	)
Administrative expenses		(0.1497	)		(0.0558	)		(0.0448	)		(0.1318	)		(0.0489	)		(0.0392	)
Net Investment Income		0.1669			0.2971			0.3094			0.1151			0.2251			0.2356
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.7016	)		(1.9064	)		(1.9142	)		3.4389			3.8193			3.8316
Net Increase (Decrease) in Accumulation Unit Value		(1.5347	)		(1.6093	)		(1.6048	)		3.5540			4.0444			4.0672
Accumulation Unit Value
Beginning of year		19.4818			21.6886			21.7635			15.9278			17.6442			17.6963
End of year	$	17.9471		$	20.0793		$	20.1588		$	19.4818		$	21.6886		$	21.7635
Total Return**		(7.88	)%		(7.42	)%		(7.37	)%		22.31	%		22.92	%		22.98	%
Ratio of Expenses To Average Net Assets***		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.84	%		1.34	%		1.39	%		0.65	%		1.15	%		1.20	%
Portfolio Turnover Rate		36	%		36	%		36	%		49	%		49	%		49	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		7,081			181			427			7,755			190			474

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

*** These calculations exclude PICA’s equity inVCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2016									Year Ended December 31, 2015									Year Ended December 31, 2014
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2736		$	0.3019		$	0.3027		$	0.2397		$	0.2631		$	0.2637		$	0.1871		$	0.2046		$	0.2049
Expenses
Investment management fee		(0.0369	)		(0.0407	)		(0.0408	)		(0.0384	)		(0.0422	)		(0.0423	)		(0.0362	)		(0.0397	)		(0.0398	)
Administrative expenses		(0.1103	)		(0.0407	)		(0.0327	)		(0.1149	)		(0.0422	)		(0.0339	)		(0.1086	)		(0.0397	)		(0.0318	)
Net Investment Income		0.1264			0.2205			0.2292			0.0864			0.1787			0.1875			0.0423			0.1252			0.1333
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.8068			0.8955			0.8983			(0.3479	)		(0.3837	)		(0.3847	)		1.4515			1.5879			1.5907
Net Increase (Decrease) in Accumulation Unit Value		0.9332			1.1160			1.1275			(0.2615	)		(0.2050	)		(0.1972	)		1.4938			1.7131			1.7240
Accumulation Unit Value
Beginning of year		14.9946			16.5282			16.5688			15.2561			16.7332			16.7660			13.7623			15.0201			15.0420
End of year	$	15.9278		$	17.6442		$	17.6963		$	14.9946		$	16.5282		$	16.5688		$	15.2561		$	16.7332		$	16.7660
Total Return**		6.22	%		6.75	%		6.80	%		(1.71	)%		(1.23	)%		(1.18	)%		10.85	%		11.41	%		11.46	%
Ratio of Expenses To Average Net Assets***		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.85	%		1.34	%		1.39	%		0.57	%		1.06	%		1.11	%		0.29	%		0.78	%		0.83	%
Portfolio Turnover Rate		42	%		42	%		42	%		47	%		47	%		47	%		70	%		70	%		70	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		8,606			212			522			9,595			219			609			10,646			242			657

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles.

*** These calculations exclude PICA’s equity inVCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.     

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS OF

VCA-10

Note 1: General

The Prudential Variable ContractAccount-10(“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as anopen-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended.VCA-10 has been designed for use by employers (“Contract holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital.

PICA issues standardVCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% Contracts”), and contracts with annual expenses of 0.45%, as a percentage of net assets, (the “0.45% Contracts”). The financial statements show separate Accumulation Unit Values for each type of contract.

Note 2: Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services— Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Securities Valuation:    The Account holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Committee’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

For the fiscal reportingperiod-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Account’s foreign investments may change on days when investors cannot purchase or redeem Account shares.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Statement of Net Assets and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for

post-closing market movements up to the time the Account is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments inopen-end,non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Committee, the Account may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Account has valued the investment. Therefore, the Account may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Account’s subadviser under the guidelines adopted by the Committee Members of the Account. However, the liquidity of the Account’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Account are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis.

Dividend income is recorded on theex-date or for certain foreign securities, when the Account becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain (losses) (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership inVCA-10.

Estimates:    The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes:    The operations ofVCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings ofVCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value ofVCA-10 has not been reduced by federal income taxes.

Note 3: Investment Management Agreement and Charges

The Account has a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PGIM Investments pays for the services of Jennison.

VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced administrative fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a contract.

Standard Contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s account of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge (explained below), and 0.25% is paid to PGIM Investments, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s account of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s account of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services.

An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s account or on the last business day of each calendar year. Such amounts are reflected as withdrawals on the Statements of Changes in Net Assets.

PICA, PGIM Investments and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4: Other Transactions with Affiliates

The Account may enter into certain securities purchase or sale transactions under Committee approvedRule 17a-7 procedures. Rule17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Committee. For the year ended December 31, 2018 no such transactions were entered into by the Account.

During the year ended December 31, 2018, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. Through the Account’s investment in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5: Portfolio Securities

For the year ended December 31, 2018, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $57,327,139 and $74,364,042, respectively.

A summary of the cost of purchases and proceeds from sales of shares of an affiliated mutual fund for the year ended December 31, 2018, is presented as follows:

Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain(Loss)		Realized Gain(Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$2,928,819	$	32,779,648	$	31,567,017	$	—	$	—	$	4,141,450		4,141,450	$	81,211

* The Account did not have any capital gain distributions during reporting period.

Note 6: Unit Transactions

The number of Accumulation Units issued and redeemed for the year ended December 31, 2018 and the year ended December 31, 2017, respectively, are as follows:

Standard Contracts	Units			Amount
Year ended December 31, 2018:
Account units issued		75,584		$	1,510,220
Account units redeemed		(749,659	)		(14,934,615	)
Net increase (decrease) in units outstanding		(674,075	)	$	(13,424,395	)
Year ended December 31, 2017:
Account units issued		74,595		$	1,305,515
Account units redeemed		(924,776	)		(16,317,915	)
Net increase (decrease) in units outstanding		(850,181	)	$	(15,012,400	)
0.50% Contracts	Units			Amount
Year ended December 31, 2018:
Account units issued		—		$	—
Account units redeemed		(8,262	)		(184,802	)
Net increase (decrease) in units outstanding		(8,262	)	$	(184,802	)
Year ended December 31, 2017:
Account units issued		—		$	—
Account units redeemed		(22,834	)		(433,904	)
Net increase (decrease) in units outstanding		(22,834	)	$	(433,904	)
0.45% Contracts	Units			Amount
Year ended December 31, 2018:
Account units issued		—		$	—
Account units redeemed		(47,009	)		(1,048,482	)
Net increase (decrease) in units outstanding		(47,009	)	$	(1,048,482	)
Year ended December 31, 2017:
Account units issued		—		$	—
Account units redeemed		(47,660	)		(931,165	)
Net increase (decrease) in units outstanding		(47,660	)	$	(931,165	)

Note 7: Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account.

Note 8: Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans fromVCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the year ended December 31, 2018, $87,410 in participant loans were withdrawn fromVCA-10 and $62,549 of principal and interest was repaid toVCA-10. For the year ended December 31, 2017, $75,791 in participant loans were withdrawn fromVCA-10 and $66,116 of principal and interest was repaid toVCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily beVCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely fromVCA-10. During the year ended December 31, 2018, PICA has advised the Account that it received $908 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

Note 9: Risks of Investing in the Account

The Account’s risks include, but are not limited to, some or all of the risks discussed below:

Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Account invests could go down. The Account’s holdings can vary significantly from broad market indexes and the performance of the Account can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

Foreign Securities Risk: The Account’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Account may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Account’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Market and Credit Risks: Securities markets may be volatile and the market prices of the Account’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Account fall, the value of an investment in the Account will decline. Additionally, the Account may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Account has unsettled or open transactions defaults.

Note 10: Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No.2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Account’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10:

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (the Account), as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for accumulation units (the financial highlights) for each of the years indicated therein. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Account as of December 31, 2018, the results of its operations for the year then ended, changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years indicated therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Account in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian, transfer agent, or brokers, or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Prudential Variable Contract Accounts since 2003.

New York, New York

February 20, 2019

INFORMATION ABOUT COMMITTEE MEMBERS AND OFFICERS

VCA-10 is managed by the VCA-10 Committee. The members of the VCA-10 Committee are elected by the persons having voting rights in respect of the VCA-10 Account. The affairs of VCA-10 are conducted in accordance with the Rules and Regulations of VCA-10. Information pertaining to the members of the VCA-10 Committee (hereafter referred to as “Committee Members”) is set forth below. Committee Members who are not deemed to be “interested persons” of VCA-10 as defined in the Investment Company Act of 1940, as amended (the 1940 Act) are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of VCA-10 are referred to as “Independent Committee Members.” Information pertaining to the Officers of VCA-10 is also set forth below.

Independent Committee Members
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held During Past Five Years	Length of Committee Service
Ellen S. Alberding (60)  Committee Member Portfolios Overseen: 96	President and Board Member, The Joyce Foundation (charitable foundation) (since 2002); Vice Chair, City Colleges of Chicago (community college system) (2011-2015); Trustee, National Park Foundation (charitable foundation for national park system) (2009-2018); Trustee, Economic Club of Chicago (since 2009); Trustee, Loyola University (since 2018).	None.	Since September 2013
Kevin J. Bannon (66)  Committee Member Portfolios Overseen: 96	Retired; Managing Director (April2008-May 2015) and Chief Investment Officer (October 2008-November 2013) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May2003-May 2007) of BNY Hamilton Family of Mutual Funds.	Director of Urstadt Biddle Properties (equity real estate investment trust) (since September 2008).	Since July 2008
Linda W. Bynoe (66)  Committee Member Portfolios Overseen: 96	President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co. (broker-dealer).	Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009).	Since March 2005
Keith F. Hartstein (62)  Committee Member & Independent Chair Portfolios Overseen: 96	Retired; Member (since November 2014) of the Governing Council of the Independent Directors Council (organization of independent mutual fund directors); formerly President and Chief Executive Officer (2005-2012), Senior Vice President (2004-2005), Senior Vice President of Sales and Marketing (1997-2004), and various executive management positions (1990-1997), John Hancock Funds, LLC (asset management); Chairman, Investment Company Institute’s Sales Force Marketing Committee (2003-2008).	None.	Since September 2013
Michael S. Hyland, CFA (73)  Committee Member Portfolios Overseen: 96	Retired (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999).	None.	Since July 2008

E1

Interested Committee Members
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held During Past Five Years	Length of Committee Service
Stuart S. Parker (56)  Committee Member & President Portfolios Overseen: 96	President of PGIM Investments LLC (formerly known as Prudential Investments LLC) (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of PGIM Investments LLC (June 2005-December 2011).	None.	Since January 2012
Scott E. Benjamin (45)  Committee Member & Vice President Portfolios Overseen: 96	Executive Vice President (since June 2009) of PGIM Investments LLC; Executive Vice President (June 2009-June 2012) and Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, PGIM Investments (since February 2006); Vice President of Product Development and Product Management, PGIM Investments LLC (2003-2006).	None.	Since March 2010

VCA-10 Officers(a)
Name, Address and Age Position with VCA-10	Principal Occupation(s) During Past Five Years	Length of Service as VCA-10 Officer
Raymond A. O’Hara (63)  Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of PGIM Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since June 2012
Chad A. Earnst (43)  Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of PGIM Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since September 2014
Dino Capasso (44)  Deputy Chief Compliance Officer	Vice President and Deputy Chief Compliance Officer (June 2017-Present) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC.	Since March 2018

E2

VCA-10 Officers(a)
Name, Address and Age Position with VCA-10	Principal Occupation(s) During Past Five Years	Length of Service as VCA-10 Officer
Andrew R. French (56)  Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since October 2006
Jonathan D. Shain (60)  Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PGIM Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since May 2005
Claudia DiGiacomo (44)  Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PGIM Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).	Since December 2005
Charles H. Smith (46)  Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since January 2017
Christian J. Kelly (43)  Treasurer and Principal Financial and Accounting Officer	Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007).	Since January 2019
Peter Parrella (60)  Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).	Since June 2007
Lana Lomuti (51)  Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since April 2014
Linda McMullin (57)  Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since April 2014
Kelly A. Coyne (50)  Assistant Treasurer	Director, Investment Operations of Prudential Mutual Fund Services LLC (since 2010).	Since March 2015

^(a) Excludes Mr. Parker and Mr. Benjamin, interested Committee Members who also serve as President and Vice President, respectively.

Explanatory Notes to Tables:

• Committee Members are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with PGIM Investments LLC and/or an affiliate of PGIM Investments LLC.

• Unless otherwise noted, the address of all Committee Members and Officers is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

• There is no set term of office for Committee Members or Officers. The Committee Members have adopted a retirement policy, which calls for the retirement of Committee Members on December 31 of the year in which they reach the age of 75.

• “Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities and Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.

• “Portfolios Overseen” includes all investment companies managed by PGIM Investments LLC. The investment companies for which PGIM Investments LLC serves as manager include the PGIM ETF Trust, PGIM Funds, The Prudential Variable Contract Accounts, PGIM Short Duration High Yield Fund, Inc., PGIM Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc. and the Advanced Series Trust.

E3

The Prudential Series Fund

The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.

Each Subaccount of VCA-11 and VCA-24 will invest in the corresponding Portfolio of the Prudential Series Fund (the “Fund”). Of the Portfolios comprising the Fund, eight Portfolios are presently available to The MEDLEY Program. The Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Equity Subaccount invests in the Equity Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Global Subaccount in the Global Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Government Money Market Subaccount in the Government Money Market Portfolio, and the Stock Index Subaccount in the Stock Index Portfolio.

There is no assurance that the investment objective of the Portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.

Important Note

This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.

Contract unit values increase or decrease based on the performance of each corresponding Portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of each Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.

The Prudential Series Fund, Conservative Balanced Portfolio   December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-2.47	%		5.13	%		8.81	%
Blended Index		-1.71			5.44			8.13
S&P 500 Index		-4.38			8.49			13.11

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the Conservative Balanced Portfolio returned-2.47%. The Portfolio underperformed its Blended Index and outperformed the S&P 500 Index.

The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.

What were market conditions during the reporting period?

The reporting period was characterized by the return of market volatility, rising trade tensions, concerns over global economic growth, and fears of an overly aggressive Federal Reserve (the Fed). High valuations and an exceptionally strong start to the year led to a quick correction in US equities in the first quarter, which helped inject a measure of sobriety into the markets. A growing economic growth differential between the US and the rest of the world led to a steady decline in international markets, which failed to bounce back following the early-year volatility.

Escalations in trade uncertainty helped exacerbate the situation and reinforced growth uncertainty. In the meantime, the Fed was quietly unwinding its balance sheet with its quantitative-tightening program, which had the effect of reducing global liquidity and drove investor assets back toward the US, helping support equity prices as well as the dollar.

Off-the-cuff comments by Fed Chairman Jerome Powell at the beginning of the fourth quarter were construed as overly hawkish and triggered a rout in equities as investors feared there would be significant interest rate increases to come. Whether the global economy could weather such aggressive monetary policy was the question on investors’ minds heading into the end of the year and prompted a flight toward safety, as well as the most negative year for global equities since the 2008 global financial crisis.

What strategies or holdings affected the Portfolio’s performance?

Asset allocation decisions had a limited impact on performance in 2018, with positive contributions throughout most of the year offset by a negative fourth quarter. Specifically, this was driven by an overweight (larger percentage than the benchmark index) to equities and an underweight to fixed income.

Equity markets experienced a sudden drawdown in October on the back of slowing global growth and concerns that the Fed would tighten monetary policy too aggressively. Portfolio risk was quickly scaled back. Asset allocation provided positive benefits in the remaining two months of the year, despite continued drawdowns, but failed to fully offset the initial negativity of October.

An off-benchmark allocation to international equities was a negative contributor for the full year as the asset class trailed domestic equities and fixed income by a wide margin. Furthermore, an off-benchmark allocation to Treasury inflation-protected securities (TIPS) slightly detracted as the lack of inflation surprises for the year meant they lagged the fixed income benchmark. Cash was generally kept below the benchmark for much of the year before moving up to a benchmark weight before the market volatility of the fourth quarter.

The negativity of off-benchmark positions was offset by an overall tilt toward domestic equities as US stocks ended the period as the best-performing segment of the benchmark. The bulk of the Portfolio’s underperformance came from negative underlying fund returns, as both the equity and fixed income components trailed their respective benchmarks. At the close of 2018, the Portfolio was positioned with an underweight to equities and an overweight to fixed income and cash.

The Portfolio held several derivatives, including stock futures and Treasury bond futures, to manage liquidity needs for redemptions. These derivatives generally did not affect performance significantly, although they added to returns relative to the benchmark during the period due to a tilt toward fixed income futures heading into the final quarter of the year. The Portfolio also held interest rate swaps, credit default swaps, and forward foreign currency exchange contracts in the various subadviser sleeves.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

1

The Prudential Series Fund, Diversified Bond Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-0.15	%		3.80	%		6.61	%
Bloomberg Barclays U.S. Aggregate Bond Index		0.01			2.52			3.48

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the Diversified Bond Portfolio returned-0.15%. The Portfolio underperformed the Bloomberg Barclays U.S. Aggregate Bond Index.

The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital.

What were market conditions during the reporting period?

The reporting period was inhospitable for the financial markets. Most bond market returns were low or negative, and stock returns were negative as well. The only rising trend seemed to be the level of market volatility. In the end, the most solid performers of 2018 were arguably the defensive US dollar and cash.

In early 2018, the bond market suffered from a tough starting point: a combination of low government yields and tight spreads (yield differentials) that left little room for error. Over the course of the year, the market was buffeted alternately — and at times jointly — by rising government yields and widening spreads. Some of the initial spread widening could easily have been chalked up to normalizing (i.e., spreads may have gotten ahead of fundamentals and were too tight early in 2018). But investor anxiety soon rose, driving spreads wider across virtually all fixed income sectors. As a result, for all but the most defensive bond market segments, total returns and excess returns relative to US Treasuries were generally low or negative for the period.

The global economy moderated in 2018. Looking beyond that single year, the world’s population is aging, debt levels are high, and productivity has been low. But central bankers have been keen to foster growth, and perhaps there were hopes that trends such as globalization and better policy could keep economic results on a sound-enough footing. While growth prospects were looking up a year ago, in hindsight it appears more like the clock had already run out forold-school politicians. The unimpressive economic performance of recent years — along with its uneven distribution — created a new dynamic of heightened voter dissatisfaction, bringing politicians to the fore who are chipping away at policy orthodoxy and taking nationalistic stances. These new politicians are often replacing those who favor geopolitically stabilizing alliances, free trade, and labor mobility. Rising risk premiums in the fixed income and equity markets suggest investors fear that this tilt away from global policy coordination and toward unorthodoxy is likely to result in less predictable, if not subpar, economic results.

What strategies or holdings affected the Portfolio’s performance?

During the reporting period, sector allocation detracted from the Portfolio’s performance, with overweights to high yield bonds, sovereign government bonds, and commercial mortgage-backed securities (CMBS) hurting the most. Underweights to mortgage-backed securities and investment-grade corporate bonds helped offset some of the losses. Individual issue selection was positive, with positioning in high yield bonds,non-agency mortgages, US Treasuries, interest rate swaps, sovereign government bonds, and CMBS adding value. Security selection in emerging markets debt and investment-grade corporate bonds hurt performance. Within holdings of corporate bonds, the Portfolio benefited from positions in the cable & satellite sector and its underweight to the consumer non-cyclical sector, while positions in the foreignnon-corporate and automotive sectors weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies had a negligible impact on performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.

During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing this type of risk than through the purchase and sale of cash bonds. The use of futures and options collectively added to performance. In addition, the Portfolio traded foreign exchange derivatives, which had a modestly negative impact on performance during the period. The Portfolio used credit default swaps to hedge credit risk or to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had a positive impact on performance during the period.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

2

The Prudential Series Fund, Equity Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-4.85	%		6.49	%		11.99	%
Portfolio: Class II		-5.23			6.06			11.54
Russell 1000® Index		-4.78			8.21			13.28
S&P 500 Index		-4.38			8.49			13.11

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2018, Equity Portfolio Class I shares returned -4.85% and Class II shares returned -5.23%. The Portfolio’s Class I & II shares underperformed the Russell 1000 Index, and the S&P 500 Index.

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Market concerns surrounding rising inflation expectations and monetary tightening, along with uncertainty about the Trump administration’s policy initiatives, caused equity markets to decline early in 2018. Those concerns seemed to subside, as most major indices continued their march upward until October. Early in the fourth calendar quarter, market fears surrounding rising interest rates, deteriorating growth prospects in the US and emerging markets, and the escalating odds of a trade war combined to unsettle both domestic and global equity markets.

Volatility returned with a vengeance in 2018, having been muted over the past few years, with the CBOE Volatility Index (the VIX) higher by a sharp 130% during the12-month period. The energy sector was among the worst-performing sectors within the broad S&P 500 Index, likely a result of West Texas Intermediate (WTI) oil prices falling 24.84% during the year. Prices for most industrial metals also saw double-digit declines, hurting the performance of the materials sector, while health care and utilities were among the few bright spots in 2018.

Despite the narrowing differential between styles toward the end of the year, growth stocks continued to outperform their value peers for the reporting period overall. Gains in the Russell 1000 Growth Index were led by select technology, health care, and consumer company stocks. Sectors with sensitivity to commodities prices and cyclical growth — including materials, energy, and industrials — were weak. Gains in the Russell 1000 Value Index were led by the health care and utilities sectors, while financials and energy detracted from performance.

The S&P 500 (the Index) declined 4.38% in 2018, with the energy, materials, industrials, and financials sectors each posting a double-digit decline. Health care, utilities, information technology, and consumer discretionary were the only sectors to produce positive returns.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio underperformed the Index during the reporting period. On an absolute basis, positions in application software and movies & entertainment contributed positively to performance, while holdings within diversified banks and interactive media & services were among the primary detractors. Relative to the Index, stock selection in aerospace & defense and movies & entertainment helped, while security selection among health care equipment and Internet & direct marketing retail detracted from relative performance.

Notable Portfolio positive contributors included application software makerMicrosoft Corp., whose shares performed well. The company posted solid earnings while beating consensus expectations during the past several quarters. This was driven in part by its Commercial Cloud and Azure segments and by a steady personal computer business. Additionally, its Office 365 software drove operating income improvements in the company’s productivity and business process segment. Jennison believes improvingtop-line growth and expanding profit margins should drive multiple years of acceleratedearnings-per-share growth. Shares ofSalesforce.com Inc. rose as the company benefited from secular growth drivers, including the shift to cloud computing, increasing corporate focus on customer-facing applications, emergence of mobile as a primary user interface into enterprise applications,

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

3

The Prudential Series Fund, Equity Portfolio   December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited) (Continued)

and increasing demand for analytical capabilities to optimize business decisions and processes.Netflix Inc. continued to raise its long-term competitive barriers with investments in content, resulting in strong subscriber growth and solid evidence of increased pricing and operating leverage. Its shares performed well as the company’s third-quarter earnings and subscriber growth (reported in October) exceeded estimates. Netflix’s guidance for the fourth quarter implied a materially better-than-projected acceleration in growth.

Among the notable detractors in the Portfolio were semiconductor firmNvidia Corp.Its shares declined in November, reflecting lower-than-anticipated third-quarter revenue fromlow- andmid-end gaming graphics-processing units. An underlying inventory issue was anticipated to result in a revenue shortfall in the fourth quarter, as the company would not ship more product until the channel has been cleared. Jennison reduced its estimates to reflect the company’s temporary inventory challenge. Further, based on the company’s third-quarter revenue miss and its inability to anticipate the inventory/demand problem, the position was sold during the fourth quarter for what Jennison saw as more attractive investment opportunities.

Conagra Brands Inc. lost ground during the reporting period as the company was weighed down by higher-than-expected cost inflation, higher interest rates, and pricing pressures from retailers. Additionally, the company’s acquisition ofPinnacle Foods Inc., while potentially beneficial for the long term, caused concerns over the short term given Pinnacle’s slowdown in revenue. Investors had become more defensive, as companies with levered balance sheets fell out of favor with the market.

Goldman Sachs Group Inc. underperformed after its shares declined when the firm was issued a limit on shareholder payouts as a result of its “conditionalnon-objection” grade on the quantitative portion of the Federal Reserve’s annual stress test of capital levels during the period. Additionally, the market negatively reacted to potential repercussions from the indictment of two senior Goldman Sachs executives. While many investors were aware of this indictment, the timing of any settlement and potential charge to the company’s bottom line was unclear. However, at the end of the reporting period, Jennison favored the company for its valuation and multiple businesses that can generate profits, in its view.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

4

The Prudential Series Fund, Flexible Managed Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-4.18	%		6.04	%		9.86	%
Blended Index		-2.26			6.13			9.25
S&P 500 Index		-4.38			8.49			13.11

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the Flexible Managed Portfolio returned -4.18%. The Portfolio underperformed its Blended Index and outperformed the S&P 500 Index.

The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.

What were market conditions during the reporting period?

The reporting period was characterized by the return of market volatility, rising trade tensions, concerns over global economic growth, and fears of an overly aggressive Federal Reserve (the Fed). High valuations and an exceptionally strong start to the year led to a quick correction in US equities in the first quarter, which helped inject a measure of sobriety into the markets. A growing economic growth differential between the US and the rest of the world led to a steady decline in international markets, which failed to bounce back following the early-year volatility.

Escalations in trade uncertainty helped exacerbate the situation and reinforced growth uncertainty. In the meantime, the Fed was quietly unwinding its balance sheet with its quantitative-tightening program, which had the effect of reducing global liquidity and drove investor assets back toward the US, helping support equity prices as well as the dollar.

Off-the-cuff comments by Fed Chairman Jerome Powell at the beginning of the fourth quarter were construed as overly hawkish and triggered a rout in equities as investors feared there would be significant interest rate increases to come. Whether the global economy could weather such aggressive monetary policy was the question on investors’ minds heading into the end of the year and prompted a flight toward safety, as well as the most negative year for global equities since the 2008 global financial crisis.

What strategies or holdings affected the Portfolio’s performance?

Asset allocation decisions had a limited impact on performance in 2018, with positive contributions throughout most of the year offset by a negative fourth quarter. Specifically, this was driven by an overweight (larger percentage than the benchmark index) to equities and an underweight to fixed income.

Equity markets experienced a sudden drawdown in October on the back of slowing global growth and concerns that the Fed would tighten monetary policy too aggressively. Portfolio risk was quickly scaled back. Asset allocation provided positive benefits in the remaining two months of the year, despite continued drawdowns, but failed to fully offset the initial negativity of October.

Anoff-benchmark allocation to international equities was a negative contributor for the full year as the asset class trailed domestic equities and fixed income by a wide margin. Furthermore, anoff-benchmark allocation to Treasury inflation-protected securities (TIPS) slightly detracted as the lack of inflation surprises for the year meant they lagged the fixed income benchmark. Cash was generally kept below the benchmark for much of the year before moving up to a benchmark weight before the market volatility of the fourth quarter.

The negativity ofoff-benchmark positions was offset by an overall tilt toward domestic equities, as US stocks ended the period as the best-performing segment of the benchmark. The bulk of the Portfolio’s underperformance came from negative underlying fund returns, as both the equity and fixed income components trailed their respective benchmarks. At the close of 2018, the Portfolio was positioned with an underweight to equities, an overweight to fixed income, and cash at benchmark weight.

The Portfolio held several derivatives, including stock futures and Treasury bond futures, to manage liquidity needs for redemptions. These derivatives generally did not affect performance significantly, although they added to returns relative to the benchmark during the period due to a tilt toward fixed income futures heading into the final quarter of the year. The Portfolio also held interest rate swaps, credit default swaps, and forward foreign currency exchange contracts in the various subadviser sleeves.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

5

The Prudential Series Fund, Global Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-7.31	%		5.02	%		10.17	%
MSCI World Index (GD)		-8.20			5.14			10.29

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the Global Portfolio returned-7.31%. The Portfolio outperformed the MSCI World Index (GD).

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Strained fundamentals and geopolitical tensions across the globe heightened investor concerns, particularly late in 2018. To be sure, tax cuts boosted corporate earnings and US economic growth for much of the year, while the 3.7% unemployment rate remained at historically low levels. The US economy experienced two of the strongest quarters of growth since 2014 during the second and third quarters, and major equity market indices reachedall-time highs, only to plunge during the final months of the year. Concerns over trade wars, slowing growth, and falling prices for oil and other commodities led many companies to start lowering their profit forecasts for 2019. Combined with elevated valuations, heightened equity market volatility led markets lower in October and accelerated those losses in December, giving US equity markets their first annual decline since 2008. Specific to active managers, stock correlations dropped early in the year, only to spike again during the fourth quarter. Meanwhile,small-cap stocks and international investments, both emerging and developed, underperformed the S&P 500 Index, providing a headwind to many active managers who were overweight these market segments.

What strategies or holdings affected the Portfolio’s performance?

The subadviser’s performance for the period was mixed. The Portfolio’s domestic and international growth subadvisers outperformed their style-specific benchmarks, while the opposite was true for the Portfolio’s value subadvisers. The BrownLarge-Cap Growth sleeve, however, made up for the underperformance of the other managers, as it strongly outperformed the Russell 1000 Growth Index.

Additionally, Brown’s relative outperformance was solely responsible for the outperformance of the overall Portfolio, as it was the only sleeve to outperform the MSCI World Index and to post a positive absolute return in 2018. Brown’s outperformance was driven by strong stock selection within the technology and health care sectors.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

6

The Prudential Series Fund, Government Income Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		0.63	%		2.44	%		3.54	%
Bloomberg Barclays Government Bond Index		0.88			1.99			2.12

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the Government Income Portfolio returned 0.63%. The Portfolio underperformed the Bloomberg Barclays Government Bond Index.

The Portfolio’s investment objective is a high level of income over the long-term consistent with the preservation of capital.

What were market conditions during the reporting period?

The reporting period was inhospitable for the financial markets. Most bond market returns were low or negative, and stock returns were negative as well. The only rising trend seemed to be the level of market volatility. In the end, the most solid performers of 2018 were arguably the defensive US dollar and cash.

In early 2018, the bond market suffered from a tough starting point: a combination of low government yields and tight spreads (yield differentials) that left little room for error. Over the course of the year, the market was buffeted alternately — and at times jointly — by rising government yields and widening spreads. Some of the initial spread widening could easily have been chalked up to normalizing (i.e., spreads may have gotten ahead of fundamentals and were too tight early in 2018). But investor anxiety soon rose, driving spreads wider across virtually all fixed income sectors. As a result, for all but the most defensive bond market segments, total returns and excess returns relative to US Treasuries were generally low or negative for the period.

After a series of quarterly rate hikes, the Federal Reserve (the Fed) signaled in December that it expects to be less aggressive going forward, cutting its median projection from three rate hikes in 2019 to just two. At the end of 2018, the federal funds target rate, at2.25%-2.50%, was effectively at the lower end of the2.50%-3.50% range of Fed estimates for thelong-run neutral rate, which explains the Fed’s desire to become more data-dependent going forward. As a base case, PGIM Fixed Income still expects the Fed to hike rates twice in 2019, but with the risks now skewed toward fewer hikes. PGIM Fixed Income anticipates the Fed will likely need to address the “autopilot” nature of its balance sheet reduction in 2019, confronting the question of just how much more liquidity it should drain from the US financial system.

What strategies or holdings affected the Portfolio’s performance?

During the reporting period, security selection was a strong driver of the Portfolio’s performance, highlighted by positions among commercial mortgage-backed securities (CMBS), interest rate swaps, US Treasuries, and collateralized loan obligations. Security selection in mortgage-backed securities (MBS) modestly hurt performance. Sector allocation also hurt performance, with the Portfolio’s overweight in CMBS the largest detractor. An underweight to MBS added value. The Portfolio’s positioning for a flatter US yield curve added to performance, while its tactical duration positioning limited results. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.

The use of interest rate swaps had a positive impact on performance during the period. The Portfolio used futures and options to manage interest rate risk, a more efficient way of managing this type of risk than through the purchase and sale of cash bonds. The use of futures and options collectively had a positive impact on the Portfolio’s performance during the period.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

7

The Prudential Series Fund, Government Money Market Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	7-Day* Current Net Yield			1-Year			5-Years			10-Years
Portfolio		2.04	%		1.53	%		0.44	%		0.26	%
Lipper (VIP) Money Market Funds Average		N/A			1.31			0.35			0.21
Lipper US Government Money Market Index		N/A			1.22			0.30			0.17

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

7-DAY CURRENT NET YIELD*

For the year ended December 31, 2018, the Government Money Market Portfolio returned 1.53%. The Portfolio outperformed both the Lipper VIP Money Market Funds Average and the Lipper US Government Money Market Index.

The Portfolio’s investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity.

What were market conditions during the reporting period?

In the face of escalating financial market volatility and trade tensions, the global economic expansion moderated during the reporting period from “very strong” to just “solid.” While perhaps disappointing relative to robust expectations from a year ago, the current pace of growth, if sustained, would hardly be distressing for the global economy. Against this backdrop, the Federal Reserve (the Fed) led other central banks in the “punch-bowl snatching” by reducing the size of its balance sheet and increasing interest rates. In 2018, the Fed hiked rates four times, bringing the federal funds target rate to 2.25%-2.50%. Meanwhile, the European Central Bank ended its bond purchase program, and the Bank of Japan continued to reduce its bond purchases after widening the target range on the 10-year Japanese government bond yield. Other central banks (e.g., the Bank of Canada and Bank of England) hiked rates as well.

Turning to the fixed income markets, in early 2018 bonds suffered from a tough starting point: a combination of low government yields and tight spreads (yield differentials) that left little room for error. Over the course of the year, the market was buffeted alternately — and at times jointly — by rising government yields and widening spreads. Some of the initial spread widening could easily have been chalked up to normalizing (i.e., spreads may have gotten ahead of fundamentals and were too tight early in 2018). But investor anxiety soon rose, driving spreads wider across virtually all fixed income sectors. As a result, for all but the most defensive bond market segments, total returns and excess returns relative to US Treasuries were generally low or negative for the period.

Money market funds, however, after years out of the spotlight, attracted investor attention as the yield curve flattened and yields on short-term and cash-like instruments rose to relatively more attractive levels. In addition to the aforementioned increase in the federal funds target rate, thethree-month London InterBank Offered Rate (LIBOR) rose from 1.70% to 2.81%. Government money market funds similarly saw their yields rise, from 0.78% to 1.91%, according to Morningstar. Government money market funds’ average return of 1.38% bested most fixed income sectors.

What strategies or holdings affected the Portfolio’s performance?

Throughout the year, with the Fed’s rate hikes generally anticipated and telegraphed, the Portfolio’s weighted average maturity and weighted average life were shortened ahead of the hikes, thus allowing the proceeds to be reinvested after the increases at higher levels in longer maturities.

At different times during 2018, the Portfolio took advantage of wider floating-rate spreads and increased its positions in LIBOR floaters. Floaters are bonds or other types of debt with coupon rates that change with short-term interest rates.

Additionally, the Portfolio’s position in agency discount notes versus repurchase agreements and US Treasuries was shifted tactically based on relative value between the sectors.

* Source: iMoneyNet, Inc. based on 93 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Government Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/25/2018.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

An investment in the Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.

8

The Prudential Series Fund, Stock Index Portfolio December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)

Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-4.61	%		8.24	%		12.81	%
S&P 500 Index		-4.38			8.49			13.11

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2018, the Stock Index Portfolio returned -4.61%. The Portfolio underperformed the S&P 500 Index.

The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.

What were market conditions during the reporting period?

Throughout 2018, value strategies struggled in the US and around the world. In general, reasonably priced companies with good fundamentals underperformed expensive companies with weak or deteriorating fundamentals, based on the subadviser’s measures. The lack of consistent payoff to sound fundamentals is likely the result of high levels of uncertainty facing US markets, including the interest rate environment, tariff negotiations, and weak overseas economies, all feeding into slowing profit growth for US companies.

What strategies or holdings affected the Portfolio’s performance?

Potential tracking error differences (the difference between the return of the Portfolio and that of the benchmark), brokerage costs, and other costs and expenses caused the Portfolio’s return to be slightly lower than that of the S&P 500 Index (the Index).

Information technology remained the largest sector in both the Portfolio and the Index, while energy was the largest detractor to performance.Microsoft Corp. andAmazon.com Inc. were the largest contributors to Portfolio performance, whileFacebook Inc. andGeneral Electric Co. were the largest detractors.

The Portfolio had a small exposure to derivative instruments to help enhance liquidity, but the position did not have a material impact on performance.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

9

The Prudential MEDLEY Program   Benchmark Glossary — unaudited December 31, 2018

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.

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

Bloomberg Barclays Government BondIndex is a weighted unmanaged index comprised of securities issued or backed by the US Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years.

Bloomberg Barclays US Aggregate BondIndex is an unmanaged index comprised of more than 5,000 government and corporate bonds.

Lipper US Government Money Market Indexinvests principally in financial instruments issued or guaranteed by the US government, its agencies, or its instrumentalities, with dollar-weighted average maturities of less than 90 days.

Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. Returns for the Lipper Average reflect the deduction of operating expenses.

PSF Conservative Balanced Portfolio Blended Index consists of the S&P 500 Index (50%), the Bloomberg Barclays US Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the US Treasury with maturities of three months, excluding zero coupon strips.

PSF Flexible Managed Portfolio Blended Index consists of the S&P 500 Index (60%), the Bloomberg Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips.

MSCI World Index (GD) — The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends.

Russell 1000^® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market.

S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited December 31, 2018

Conservative Balanced Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	1.7%
Apple, Inc.	1.5%
U.S. Treasury Inflation Indexed Bonds, TIPS	1.4%
Amazon.com, Inc.	1.3%
Berkshire Hathaway, Inc. (Class B Stock)	0.9%

Diversified Bond Portfolio
Fund Composition	(% of Net Assets	)
Corporate Bonds	35.5%
Asset-Backed Securities	28.2%
Commercial Mortgage-Backed Securities	13.0%
Sovereign Bonds	6.2%
Residential Mortgage-Backed Securities	4.4%

Equity Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	4.0%
JPMorgan Chase & Co.	3.5%
AstraZeneca PLC	3.4%
Boeing Co. (The)	3.2%
Amazon.com, Inc.	3.0%

Flexible Managed Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	2.3%
Apple, Inc.	1.5%
JPMorgan Chase & Co.	1.3%
Alphabet, Inc. (Class C Stock)	1.3%
Amazon.com, Inc.	1.1%

Global Portfolio
Top Five Countries	(% of Net Assets	)
United States	58.4%
Japan	6.1%
France	4.7%
United Kingdom	4.6%
Canada	3.0%

Government Income Portfolio
Fund Composition	(% of Net Assets	)
U.S. Government Agency Obligations	44.0%
U.S. Treasury Obligations	22.2%
Commercial Mortgage-Backed Securities	22.2%
Asset-Backed Securities	8.1%
Corporate Bonds	1.4%

Stock Index Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	3.6%
Apple, Inc.	3.3%
Amazon.com, Inc.	2.9%
Berkshire Hathaway, Inc. (Class B Stock)	1.8%
Johnson & Johnson	1.6%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2018

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2018 through December 31, 2018.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2018		Ending Account Value December 31, 2018		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	970.30		0.59	%	$	2.93
	Hypothetical	$	1,000.00	$	1,022.23		0.59	%	$	3.01
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,015.50		0.44	%	$	2.24
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
Equity (Class I)	Actual	$	1,000.00	$	898.00		0.47	%	$	2.25
	Hypothetical	$	1,000.00	$	1,022.84		0.47	%	$	2.40
Equity (Class II)	Actual	$	1,000.00	$	896.10		0.87	%	$	4.16
	Hypothetical	$	1,000.00	$	1,020.82		0.87	%	$	4.43
Flexible Managed (Class I)	Actual	$	1,000.00	$	951.20		0.63	%	$	3.10
	Hypothetical	$	1,000.00	$	1,022.03		0.63	%	$	3.21
Global (Class I)	Actual	$	1,000.00	$	900.10		0.77	%	$	3.69
	Hypothetical	$	1,000.00	$	1,021.32		0.77	%	$	3.92
Government Income (Class I)	Actual	$	1,000.00	$	1,016.80		0.50	%	$	2.54
	Hypothetical	$	1,000.00	$	1,022.68		0.50	%	$	2.55
Government Money Market (Class I)	Actual	$	1,000.00	$	1,009.00		0.34	%	$	1.72
	Hypothetical	$	1,000.00	$	1,023.49		0.34	%	$	1.73
Stock Index (Class I)	Actual	$	1,000.00	$	930.20		0.31	%	$	1.51
	Hypothetical	$	1,000.00	$	1,023.64		0.31	%	$	1.58

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2018 and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2018 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

LONG-TERM INVESTMENTS — 86.4%
COMMON STOCKS — 45.7%	Shares		Value
Aerospace & Defense — 1.1%
Arconic, Inc.		21,480	$	362,153
Boeing Co. (The)		26,950		8,691,375
General Dynamics Corp.		14,100		2,216,661
Harris Corp.		5,900		794,435
Huntington Ingalls Industries, Inc.		2,200		418,682
L3 Technologies, Inc.		4,200		729,372
Lockheed Martin Corp.		12,480		3,267,763
MTU Aero Engines AG (Germany)		682		124,297
Northrop Grumman Corp.		8,862		2,170,304
Raytheon Co.		14,400		2,208,240
Safran SA (France)		448		54,166
Textron, Inc.		12,500		574,875
Thales SA (France)		144		16,851
TransDigm Group, Inc.*		2,500		850,150
United Technologies Corp.		40,802		4,344,597
				26,823,921
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.(a)		7,300		613,857
Expeditors International of Washington, Inc.		8,600		585,574
FedEx Corp.		12,280		1,981,132
SG Holdings Co. Ltd. (Japan)		1,300		33,694
United Parcel Service, Inc. (Class B Stock)		35,000		3,413,550
				6,627,807
Airlines — 0.2%
Alaska Air Group, Inc.(a)		6,500		395,525
American Airlines Group, Inc.		20,300		651,833
Delta Air Lines, Inc.		31,700		1,581,830
Deutsche Lufthansa AG (Germany)		1,547		35,148
International Consolidated Airlines Group SA (United Kingdom)		1,614		12,812
Japan Airlines Co. Ltd. (Japan)		3,500		124,040
Southwest Airlines Co.		26,000		1,208,480
United Continental Holdings, Inc.*		11,600		971,268
				4,980,936
Auto Components — 0.1%
Aptiv PLC		13,400		825,038
BorgWarner, Inc.		9,600		333,504
Cie Generale des Etablissements Michelin SCA (France)		231		22,970
Denso Corp. (Japan)		700		30,948
Goodyear Tire & Rubber Co. (The)		11,500		234,715
Koito Manufacturing Co. Ltd. (Japan)		100		5,126
				1,452,301
Automobiles — 0.2%
Ferrari NV (Italy)		166		16,571
Fiat Chrysler Automobiles NV (United Kingdom)*		1,497		21,770
Ford Motor Co.		197,185		1,508,465
General Motors Co.		66,100		2,211,045
Harley-Davidson, Inc.		7,900		269,548
Honda Motor Co. Ltd. (Japan)		4,100		107,686

COMMON STOCKS (continued)	Shares		Value
Automobiles (continued)
Isuzu Motors Ltd. (Japan)		900	$	12,646
Mitsubishi Motors Corp. (Japan)		2,500		13,590
Peugeot SA (France)		6,857		146,615
Suzuki Motor Corp. (Japan)		2,300		116,216
Toyota Motor Corp. (Japan)		3,500		203,180
Volkswagen AG (Germany)		45		7,193
				4,634,525
Banks — 2.6%
ABN AMRO Group NV (Netherlands), CVA, 144A		948		22,328
Australia & New Zealand Banking Group Ltd. (Australia)		4,465		76,918
Bank LeumiLe-Israel BM (Israel)		20,968		126,624
Bank of America Corp.		467,921		11,529,573
Bank of Ireland Group PLC (Ireland)		21,645		120,557
Bank of Queensland Ltd. (Australia)		11,201		76,550
BB&T Corp.		39,000		1,689,480
BNP Paribas SA (France)		1,557		70,546
BOC Hong Kong Holdings Ltd. (China)		5,500		20,377
Citigroup, Inc.		126,835		6,603,030
Citizens Financial Group, Inc.		24,000		713,520
Comerica, Inc.		8,200		563,258
Commonwealth Bank of Australia (Australia)		189		9,625
DBS Group Holdings Ltd. (Singapore)		2,700		46,869
DNB ASA (Norway)		1,450		23,291
Fifth Third Bancorp		32,821		772,278
Hang Seng Bank Ltd. (Hong Kong)		1,100		24,541
HSBC Holdings PLC (United Kingdom)		14,599		120,703
Huntington Bancshares, Inc.		54,536		650,069
ING Groep NV (Netherlands)		5,789		62,563
Intesa Sanpaolo SpA (Italy)		9,392		20,969
JPMorgan Chase & Co.		169,345		16,531,459
KeyCorp.		51,400		759,692
Lloyds Banking Group PLC (United Kingdom)		108,930		71,925
M&T Bank Corp.		7,300		1,044,849
Mebuki Financial Group, Inc. (Japan)		3,700		9,802
Mediobanca Banca di Credito Finanziario SpA (Italy)		13,648		115,920
Mitsubishi UFJ Financial Group, Inc. (Japan)		37,600		184,218
Mizuho Financial Group, Inc. (Japan)		33,500		51,966
Nordea Bank Abp (Finland)		4,691		39,521
People’s United Financial, Inc.		16,500		238,095
PNC Financial Services Group, Inc. (The)		23,433		2,739,552
Raiffeisen Bank International AG (Austria)		4,372		111,381
Regions Financial Corp.		52,003		695,800
Resona Holdings, Inc. (Japan)		30,500		146,832
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		2,447		23,843
Societe Generale SA (France)		2,623		83,968
Sumitomo Mitsui Financial Group, Inc. (Japan)		1,900		63,027
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		500		18,283

SEE NOTES TO FINANCIAL STATEMENTS.

A1

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
SunTrust Banks, Inc.		23,200	$	1,170,208
SVB Financial Group*		2,700		512,784
Svenska Handelsbanken AB (Sweden) (Class A Stock)		3,537		39,510
Swedbank AB (Sweden) (Class A Stock)		1,260		28,211
U.S. Bancorp		77,185		3,527,355
United Overseas Bank Ltd. (Singapore)		7,300		131,511
Wells Fargo & Co.		218,364		10,062,213
Zions Bancorp NA		9,450		384,993
				62,130,587
Beverages — 0.9%
Asahi Group Holdings Ltd. (Japan)		1,300		50,455
Brown-Forman Corp. (Class B Stock)		8,475		403,241
Coca-Cola Co. (The)		192,801		9,129,127
Coca-Cola European Partners PLC (United Kingdom)		3,500		160,475
Constellation Brands, Inc. (Class A Stock)		8,500		1,366,970
Diageo PLC (United Kingdom)		297		10,588
Kirin Holdings Co. Ltd. (Japan)		6,900		144,072
Molson Coors Brewing Co. (Class B Stock)		9,700		544,752
Monster Beverage Corp.*		20,000		984,400
PepsiCo, Inc.		71,307		7,877,997
Treasury Wine Estates Ltd. (Australia)		1,144		11,918
				20,683,995
Biotechnology — 1.2%
AbbVie, Inc.		76,300		7,034,097
Alexion Pharmaceuticals, Inc.*		11,300		1,100,168
Amgen, Inc.		32,637		6,353,445
Biogen, Inc.*		10,160		3,057,347
Celgene Corp.*		35,400		2,268,786
CSL Ltd. (Australia)		65		8,500
Gilead Sciences, Inc.		65,300		4,084,515
Incyte Corp.*		9,100		578,669
Regeneron Pharmaceuticals, Inc.*		3,940		1,471,590
Vertex Pharmaceuticals, Inc.*		12,900		2,137,659
				28,094,776
Building Products — 0.1%
A.O. Smith Corp.		7,800		333,060
Allegion PLC		5,133		409,151
Daikin Industries Ltd. (Japan)		400		42,465
Fortune Brands Home & Security, Inc.		6,600		250,734
Johnson Controls International PLC		46,622		1,382,342
Kingspan Group PLC (Ireland)		229		9,841
Masco Corp.		15,800		461,992
				2,889,585
Capital Markets — 1.3%
3i Group PLC (United Kingdom)		12,082		119,280
Affiliated Managers Group, Inc.		2,600		253,344
Ameriprise Financial, Inc.		7,220		753,551
Bank of New York Mellon Corp. (The)		46,358		2,182,071
BlackRock, Inc.		6,200		2,435,484

COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
Cboe Global Markets, Inc.		5,900	$	577,197
Charles Schwab Corp. (The)		60,550		2,514,642
CME Group, Inc.		17,900		3,367,348
E*TRADE Financial Corp.		12,820		562,542
Franklin Resources, Inc.(a)		15,200		450,832
Goldman Sachs Group, Inc. (The)		17,700		2,956,785
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		1,700		49,251
Intercontinental Exchange, Inc.		28,955		2,181,180
Invesco Ltd.		20,600		344,844
Macquarie Group Ltd. (Australia)		2,287		174,670
Moody’s Corp.(a)		8,350		1,169,334
Morgan Stanley		66,780		2,647,827
MSCI, Inc.		4,700		692,921
Nasdaq, Inc.		6,200		505,734
Northern Trust Corp.		11,200		936,208
Partners Group Holding AG (Switzerland)		169		102,566
Raymond James Financial, Inc.		6,500		483,665
S&P Global, Inc.		12,700		2,158,238
SBI Holdings, Inc. (Japan)		600		11,725
State Street Corp.		19,500		1,229,865
T. Rowe Price Group, Inc.		12,300		1,135,536
				29,996,640
Chemicals — 1.0%
Air Liquide SA (France)		91		11,325
Air Products & Chemicals, Inc.		11,100		1,776,555
Albemarle Corp.(a)		5,500		423,885
Arkema SA (France)		104		8,947
Asahi Kasei Corp. (Japan)		7,400		76,140
Celanese Corp.		6,100		548,817
CF Industries Holdings, Inc.		12,000		522,120
Covestro AG (Germany), 144A		1,928		95,925
DowDuPont, Inc.		116,241		6,216,569
Eastman Chemical Co.		7,100		519,081
Ecolab, Inc.(a)		12,800		1,886,080
FMC Corp.		6,800		502,928
Givaudan SA (Switzerland)		14		32,481
International Flavors & Fragrances, Inc.		5,000		671,350
Israel Chemicals Ltd. (Israel)		2,999		16,987
Kuraray Co. Ltd. (Japan)		400		5,623
Linde PLC (United Kingdom)		27,800		4,337,912
LyondellBasell Industries NV (Class A Stock)		16,100		1,338,876
Mitsubishi Chemical Holdings Corp. (Japan)		20,000		151,098
Mitsubishi Gas Chemical Co., Inc. (Japan)		400		6,009
Mitsui Chemicals, Inc. (Japan)		300		6,766
Mosaic Co. (The)		17,700		517,017
PPG Industries, Inc.		12,200		1,247,206
Sherwin-Williams Co. (The)		4,150		1,632,859
Shin-Etsu Chemical Co. Ltd. (Japan)		500		38,682
Showa Denko KK (Japan)		200		5,941
Solvay SA (Belgium)		110		11,023

SEE NOTES TO FINANCIAL STATEMENTS.

A2

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Chemicals (continued)
Sumitomo Chemical Co. Ltd. (Japan)		2,000	$	9,664
Teijin Ltd. (Japan)		700		11,183
				22,629,049
Commercial Services & Supplies — 0.2%
Cintas Corp.		4,400		739,156
Copart, Inc.*(a)		10,600		506,468
Republic Services, Inc.		10,965		790,467
Rollins, Inc.		6,600		238,260
Securitas AB (Sweden) (Class B Stock)		430		6,915
Waste Management, Inc.		19,942		1,774,639
				4,055,905
Communications Equipment — 0.5%
Arista Networks, Inc.*		2,800		589,960
Cisco Systems, Inc.		230,300		9,978,899
F5 Networks, Inc.*		3,300		534,699
Juniper Networks, Inc.		16,500		444,015
Motorola Solutions, Inc.		8,489		976,575
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		4,747		42,366
				12,566,514
Construction & Engineering — 0.1%
CIMIC Group Ltd. (Australia)		2,118		64,508
Eiffage SA (France)		108		9,039
Fluor Corp.		6,500		209,300
HOCHTIEF AG (Germany)		719		97,289
Jacobs Engineering Group, Inc.		5,900		344,914
Quanta Services, Inc.		7,400		222,740
Taisei Corp. (Japan)		300		12,824
Vinci SA (France)		2,109		174,166
				1,134,780
Construction Materials — 0.1%
CRH PLC (Ireland)		1,147		30,484
Martin Marietta Materials, Inc.(a)		3,400		584,358
Vulcan Materials Co.		6,600		652,080
				1,266,922
Consumer Finance — 0.3%
American Express Co.		35,600		3,393,392
Capital One Financial Corp.		24,161		1,826,330
Discover Financial Services		17,240		1,016,815
Synchrony Financial		34,072		799,329
				7,035,866
Containers & Packaging — 0.1%
Avery Dennison Corp.		4,300		386,269
Ball Corp.		17,300		795,454
International Paper Co.		20,473		826,290
Packaging Corp. of America		5,100		425,646
Sealed Air Corp.		8,000		278,720
Smurfit Kappa Group PLC (Ireland)		329		8,775
Westrock Co.		12,344		466,110
				3,187,264

COMMON STOCKS (continued)	Shares		Value
Distributors — 0.0%
Genuine Parts Co.		7,300	$	700,946
LKQ Corp.*		15,000		355,950
				1,056,896
Diversified Consumer Services — 0.0%
H&R Block, Inc.		10,500		266,385
Diversified Financial Services — 0.9%
Berkshire Hathaway, Inc. (Class B Stock)*		98,240		20,058,643
Investor AB (Sweden) (Class B Stock)		685		29,149
Jefferies Financial Group, Inc.		14,400		249,984
ORIX Corp. (Japan)		11,100		161,662
				20,499,438
Diversified Telecommunication Services — 1.0%
AT&T, Inc.		365,836		10,440,959
BT Group PLC (United Kingdom)		12,812		39,009
CenturyLink, Inc.(a)		47,279		716,277
Deutsche Telekom AG (Germany)		13,269		226,214
HKT Trust & HKT Ltd. (Hong Kong), (Class SS Stock)		16,000		23,052
Nippon Telegraph & Telephone Corp. (Japan)		4,200		171,115
Swisscom AG (Switzerland)		36		17,315
Telecom Italia SpA (Italy), RSP		22,010		10,564
Telefonica Deutschland Holding AG (Germany)		1,110		4,360
Telefonica SA (Spain)		1,957		16,493
Telenor ASA (Norway)		1,125		21,883
Telia Co. AB (Sweden)		4,248		20,172
Telstra Corp. Ltd. (Australia)		6,393		12,800
Verizon Communications, Inc.		208,176		11,703,655
				23,423,868
Electric Utilities — 0.9%
Alliant Energy Corp.(a)		11,300		477,425
American Electric Power Co., Inc.		24,860		1,858,037
Chubu Electric Power Co., Inc. (Japan)		900		12,806
CLP Holdings Ltd. (Hong Kong)		1,000		11,301
Duke Energy Corp.		35,861		3,094,804
Edison International		16,900		959,413
Endesa SA (Spain)		435		10,044
Enel SpA (Italy)		37,277		216,467
Entergy Corp.		9,000		774,630
Evergy, Inc.		14,000		794,780
Eversource Energy		16,300		1,060,152
Exelon Corp.		48,613		2,192,446
FirstEnergy Corp.(a)		24,706		927,710
Kansai Electric Power Co., Inc. (The) (Japan)		9,400		141,163
NextEra Energy, Inc.		23,800		4,136,916
PG&E Corp.*		25,000		593,750
Pinnacle West Capital Corp.		5,900		502,680
PPL Corp.		35,600		1,008,548
Red Electrica Corp. SA (Spain)		592		13,251
Southern Co. (The)		51,100		2,244,312

SEE NOTES TO FINANCIAL STATEMENTS.

A3

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Electric Utilities (continued)
Terna Rete Elettrica Nazionale SpA (Italy)		5,534	$	31,465
Xcel Energy, Inc.		25,510		1,256,878
				22,318,978
Electrical Equipment — 0.2%
AMETEK, Inc.		11,500		778,550
Eaton Corp. PLC		21,837		1,499,328
Emerson Electric Co.		31,700		1,894,075
Legrand SA (France)		364		20,597
Melrose Industries PLC (United Kingdom)		7,416		15,519
Rockwell Automation, Inc.		6,200		932,976
Schneider Electric SE (France)		2,562		176,029
				5,317,074
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		15,200		1,231,504
Corning, Inc.		40,800		1,232,568
FLIR Systems, Inc.		7,100		309,134
Hexagon AB (Sweden) (Class B Stock)		386		17,856
Hitachi Ltd. (Japan)		5,600		148,563
IPG Photonics Corp.*		2,100		237,909
Keysight Technologies, Inc.*		9,900		614,592
Kyocera Corp. (Japan)		300		14,974
Murata Manufacturing Co. Ltd. (Japan)		300		40,725
TDK Corp. (Japan)		200		14,017
TE Connectivity Ltd.		17,600		1,331,088
				5,192,930
Energy Equipment & Services — 0.2%
Baker Hughes a GE Co.		25,098		539,607
Halliburton Co.		43,700		1,161,546
Helmerich & Payne, Inc.		5,400		258,876
National Oilwell Varco, Inc.		18,400		472,880
Schlumberger Ltd.		69,724		2,515,642
TechnipFMC PLC (United Kingdom)		20,600		403,348
				5,351,899
Entertainment — 0.9%
Activision Blizzard, Inc.		38,400		1,788,288
Electronic Arts, Inc.*		15,400		1,215,214
Netflix, Inc.*		21,950		5,875,137
Take-Two Interactive Software, Inc.*		5,800		597,052
Twenty-First Century Fox, Inc. (Class A Stock)		53,100		2,555,172
Twenty-First Century Fox, Inc. (Class B Stock)		24,700		1,180,166
Viacom, Inc. (Class B Stock)		16,934		435,204
Walt Disney Co. (The)		74,900		8,212,785
				21,859,018
Equity Real Estate Investment Trusts (REITs) — 1.3%
Alexandria Real Estate Equities, Inc.		5,600		645,344
American Tower Corp.		22,200		3,511,818
Apartment Investment & Management Co. (Class A Stock)		8,233		361,264
AvalonBay Communities, Inc.		6,975		1,213,999

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Boston Properties, Inc.		7,800	$	877,890
Crown Castle International Corp.		20,900		2,270,367
Digital Realty Trust, Inc.		10,300		1,097,465
Duke Realty Corp.		18,200		471,380
Equinix, Inc.		4,054		1,429,278
Equity Residential		18,400		1,214,584
Essex Property Trust, Inc.		3,350		821,453
Extra Space Storage, Inc.(a)		6,400		579,072
Federal Realty Investment Trust		3,700		436,748
Goodman Group (Australia)		19,412		145,170
HCP, Inc.		23,400		653,562
Host Hotels & Resorts, Inc.		36,782		613,156
Iron Mountain, Inc.		14,702		476,492
Kimco Realty Corp.		18,700		273,955
Klepierre SA (France)		282		8,723
Land Securities Group PLC (United Kingdom)		10,899		111,867
Link REIT (Hong Kong)		3,000		30,354
Macerich Co. (The)		5,500		238,040
Mid-America Apartment Communities, Inc.		6,000		574,200
Mirvac Group (Australia)		5,038		7,949
Nippon Building Fund, Inc. (Japan)		2		12,595
Prologis, Inc.		31,677		1,860,073
Public Storage		7,600		1,538,316
Realty Income Corp.		14,600		920,384
Regency Centers Corp.		8,700		510,516
SBA Communications Corp.*		5,800		938,962
Simon Property Group, Inc.		15,593		2,619,468
SL Green Realty Corp.		4,300		340,044
Stockland (Australia)		3,629		8,986
UDR, Inc.		13,200		522,984
Ventas, Inc.		17,918		1,049,816
Vornado Realty Trust		8,525		528,806
Welltower, Inc.		18,800		1,304,908
Weyerhaeuser Co.		37,818		826,701
				31,046,689
Food & Staples Retailing — 0.7%
Costco Wholesale Corp.		22,100		4,501,991
ICA Gruppen AB (Sweden)		4,060		145,152
J Sainsbury PLC (United Kingdom)		20,236		68,414
Koninklijke Ahold Delhaize NV (Netherlands)		5,518		139,641
Kroger Co. (The)		39,992		1,099,780
Sysco Corp.		24,100		1,510,106
Walgreens Boots Alliance, Inc.		42,500		2,904,025
Walmart, Inc.		72,300		6,734,745
WM Morrison Supermarkets PLC (United Kingdom)		27,939		75,990
				17,179,844
Food Products — 0.5%
Archer-Daniels-Midland Co.		28,226		1,156,419
Barry Callebaut AG (Switzerland)		40		62,449
Campbell Soup Co.(a)		9,000		296,910
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		2		12,385
Conagra Brands, Inc.		23,000		491,280

SEE NOTES TO FINANCIAL STATEMENTS.

A4

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
General Mills, Inc.		29,300	$	1,140,942
Hershey Co. (The)		7,400		793,132
Hormel Foods Corp.(a)		13,300		567,644
J.M. Smucker Co. (The)(a)		6,100		570,289
Kellogg Co.(a)		12,700		724,027
Kraft Heinz Co. (The)		31,317		1,347,884
Lamb Weston Holdings, Inc.		6,400		470,784
McCormick & Co., Inc.(a)		6,100		849,364
MEIJI Holdings Co. Ltd. (Japan)		200		16,330
Mondelez International, Inc. (Class A Stock)		73,853		2,956,336
Nestle SA (Switzerland)		3,164		257,316
Orkla ASA (Norway)		1,233		9,717
Tate & Lyle PLC (United Kingdom)		16,744		141,072
Tyson Foods, Inc. (Class A Stock)		14,700		784,980
WH Group Ltd. (Hong Kong), 144A		23,500		18,090
Wilmar International Ltd. (Singapore)		55,600		127,163
				12,794,513
Health Care Equipment & Supplies — 1.5%
Abbott Laboratories		88,400		6,393,972
ABIOMED, Inc.*		2,260		734,590
Align Technology, Inc.*		3,800		795,834
Baxter International, Inc.		25,000		1,645,500
Becton, Dickinson & Co.		13,510		3,044,073
Boston Scientific Corp.*		69,667		2,462,032
ConvaTec Group PLC (United Kingdom), 144A		14,496		25,716
Cooper Cos., Inc. (The)		2,640		671,880
Danaher Corp.		31,000		3,196,720
DENTSPLY SIRONA, Inc.		10,800		401,868
Edwards Lifesciences Corp.*		10,600		1,623,602
Hologic, Inc.*		13,600		558,960
Hoya Corp. (Japan)		500		30,101
IDEXX Laboratories, Inc.*		4,400		818,488
Intuitive Surgical, Inc.*		5,760		2,758,579
Medtronic PLC		68,090		6,193,467
ResMed, Inc.		7,100		808,477
Smith & Nephew PLC (United Kingdom)		5,389		100,809
Sonova Holding AG (Switzerland)		76		12,512
Stryker Corp.		15,700		2,460,975
Varian Medical Systems, Inc.*		4,600		521,226
Zimmer Biomet Holdings, Inc.		10,300		1,068,316
				36,327,697
Health Care Providers & Services — 1.5%
Alfresa Holdings Corp. (Japan)		2,900		74,088
AmerisourceBergen Corp.		8,100		602,640
Anthem, Inc.		13,100		3,440,453
Cardinal Health, Inc.		15,250		680,150
Centene Corp.*		10,400		1,199,120
Cigna Corp.(a)		19,200		3,646,464
CVS Health Corp.		65,083		4,264,238
DaVita, Inc.*		6,400		329,344
Fresenius Medical Care AG & Co. KGaA (Germany)		292		18,985
Fresenius SE & Co. KGaA (Germany)		564		27,514
HCA Healthcare, Inc.		13,600		1,692,520

COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
Henry Schein, Inc.*(a)		7,700	$	604,604
Humana, Inc.		6,950		1,991,036
Laboratory Corp. of America Holdings*		5,200		657,072
McKesson Corp.		10,130		1,119,061
Medipal Holdings Corp. (Japan)		6,700		143,722
Quest Diagnostics, Inc.		6,800		566,236
UnitedHealth Group, Inc.		48,530		12,089,794
Universal Health Services, Inc. (Class B Stock)		4,300		501,208
WellCare Health Plans, Inc.*		2,500		590,225
				34,238,474
Health Care Technology — 0.0%
Cerner Corp.*		16,500		865,260
Hotels, Restaurants & Leisure — 0.8%
Accor SA (France)		257		11,058
Carnival Corp.		20,300		1,000,790
Chipotle Mexican Grill, Inc.*		1,400		604,506
Compass Group PLC (United Kingdom)		6,161		129,687
Darden Restaurants, Inc.		6,450		644,097
Genting Singapore Ltd. (Singapore)		9,300		6,662
Hilton Worldwide Holdings, Inc.		15,300		1,098,540
Marriott International, Inc. (Class A Stock)		14,528		1,577,160
McDonald’s Corp.		39,100		6,942,987
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		8,494
MGM Resorts International		25,800		625,908
Norwegian Cruise Line Holdings Ltd.*		10,300		436,617
Oriental Land Co. Ltd. (Japan)		300		30,242
Paddy Power Betfair PLC (Ireland)		114		9,363
Royal Caribbean Cruises Ltd.		9,000		880,110
Sodexo SA (France)		137		14,049
Starbucks Corp.		62,500		4,025,000
TUI AG (Germany)		591		8,490
Wynn Resorts Ltd.		4,700		464,877
Yum! Brands, Inc.		16,000		1,470,720
				19,989,357
Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)		1,516		8,957
Berkeley Group Holdings PLC (United Kingdom)		3,268		144,904
D.R. Horton, Inc.		17,500		606,550
Garmin Ltd.		6,000		379,920
Leggett & Platt, Inc.		6,300		225,792
Lennar Corp. (Class A Stock)		14,600		571,590
Mohawk Industries, Inc.*		3,340		390,647
Newell Brands, Inc.(a)		21,814		405,522
Persimmon PLC (United Kingdom)		4,934		121,651
PulteGroup, Inc.(a)		12,922		335,843
Sony Corp. (Japan)		3,900		187,288
Whirlpool Corp.		3,426		366,137
				3,744,801

SEE NOTES TO FINANCIAL STATEMENTS.

A5

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares			Value
Household Products — 0.8%
Church & Dwight Co., Inc.		12,600		$	828,576
Clorox Co. (The)		6,500			1,001,910
Colgate-Palmolive Co.		43,700			2,601,024
Henkel AG & Co. KGaA (Germany)		143			14,087
Kimberly-Clark Corp.		17,500			1,993,950
Procter & Gamble Co. (The)		125,425			11,529,066
Reckitt Benckiser Group PLC (United Kingdom)		1,024			78,576
					18,047,189
Independent Power & Renewable Electricity Producers — 0.0%
AES Corp.		30,700			443,922
Electric Power Development Co. Ltd. (Japan)		500			11,843
NRG Energy, Inc.		14,700			582,120
					1,037,885
Industrial Conglomerates — 0.7%
3M Co.(a)		29,600			5,639,984
CK Hutchison Holdings Ltd. (Hong Kong)		3,916			37,588
General Electric Co.		437,730			3,313,616
Honeywell International, Inc.		37,412			4,942,874
NWS Holdings Ltd. (Hong Kong)		34,000			69,772
Roper Technologies, Inc.		5,200			1,385,904
Siemens AG (Germany)		90			10,072
					15,399,810
Insurance — 1.1%
Aegon NV (Netherlands)		27,144			127,329
Aflac, Inc.		38,700			1,763,172
AIA Group Ltd. (Hong Kong)		2,800			23,217
Allianz SE (Germany)		1,261			254,040
Allstate Corp. (The)(a)		17,500			1,446,025
American International Group, Inc.		44,739			1,763,164
Aon PLC		12,300			1,787,928
Arthur J. Gallagher & Co.		9,000			663,300
Assurant, Inc.		3,000			268,320
Aviva PLC (United Kingdom)		5,998			28,761
AXA SA (France)		5,287			114,464
Brighthouse Financial, Inc.*		6,054			184,526
Chubb Ltd.		23,386			3,021,003
Cincinnati Financial Corp.		7,737			598,998
Dai-ichi Life Holdings, Inc. (Japan)		1,500			23,310
Everest Re Group Ltd.		2,200			479,072
Hartford Financial Services Group, Inc. (The)		17,700			786,765
Insurance Australia Group Ltd. (Australia)		3,444			16,984
Legal & General Group PLC (United Kingdom)		50,315			148,535
Lincoln National Corp.		11,318			580,727
Loews Corp.		13,675			622,486
Marsh & McLennan Cos., Inc.		25,500			2,033,625
MetLife, Inc.		50,100			2,057,106
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		222	(r)		48,585

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
NN Group NV (Netherlands)		452	$	18,043
Principal Financial Group, Inc.		13,100		578,627
Progressive Corp. (The)		29,400		1,773,702
Suncorp Group Ltd. (Australia)		1,950		17,315
Swiss Life Holding AG (Switzerland)*		95		36,747
Tokio Marine Holdings, Inc. (Japan)		900		42,732
Torchmark Corp.		5,625		419,231
Travelers Cos., Inc. (The)		13,535		1,620,816
Unum Group		11,310		332,288
Willis Towers Watson PLC		6,640		1,008,350
Zurich Insurance Group AG (Switzerland)		227		67,915
				24,757,208
Interactive Media & Services — 2.1%
Alphabet, Inc. (Class A Stock)*		15,140		15,820,694
Alphabet, Inc. (Class C Stock)*		15,603		16,158,623
Auto Trader Group PLC (United Kingdom), 144A		16,363		95,032
Facebook, Inc. (Class A Stock)*		121,520		15,930,057
TripAdvisor, Inc.*(a)		5,150		277,791
Twitter, Inc.*		35,600		1,023,144
				49,305,341
Internet & Direct Marketing Retail — 1.6%
Amazon.com, Inc.*		20,700		31,090,779
Booking Holdings, Inc.*		2,480		4,271,602
eBay, Inc.*		46,100		1,294,027
Expedia Group, Inc.(a)		5,950		670,267
				37,326,675
IT Services — 2.2%
Accenture PLC (Class A Stock)		32,300		4,554,623
Akamai Technologies, Inc.*		8,700		531,396
Alliance Data Systems Corp.		2,640		396,211
Amadeus IT Group SA (Spain)		2,089		145,845
Atos SE (France)		138		11,303
Automatic Data Processing, Inc.		22,100		2,897,752
Broadridge Financial Solutions, Inc.		6,000		577,500
Capgemini SE (France)		134		13,363
Cognizant Technology Solutions Corp. (Class A Stock)		29,200		1,853,616
DXC Technology Co.		14,128		751,186
Fidelity National Information Services, Inc.		16,600		1,702,330
Fiserv, Inc.*		20,400		1,499,196
FleetCor Technologies, Inc.*		4,600		854,312
Gartner, Inc.*		4,900		626,416
Global Payments, Inc.		7,900		814,727
International Business Machines Corp.		46,000		5,228,820
Jack Henry & Associates, Inc.		3,800		480,776
Mastercard, Inc. (Class A Stock)		46,000		8,677,900
Obic Co. Ltd. (Japan)		200		15,434
Paychex, Inc.		16,100		1,048,915
PayPal Holdings, Inc.*		59,600		5,011,764
Total System Services, Inc.		8,496		690,640
VeriSign, Inc.*		5,700		845,253
Visa, Inc. (Class A Stock)		89,500		11,808,630

SEE NOTES TO FINANCIAL STATEMENTS.

A6

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)		Shares		Value
IT Services (continued)
Western Union Co. (The)			21,510	$	366,961
Wirecard AG (Germany)			918		141,109
					51,545,978
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)			300		13,448
Hasbro, Inc.(a)			6,300		511,875
Mattel, Inc.*(a)			16,051		160,349
Sankyo Co. Ltd. (Japan)			300		11,457
					697,129
Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.			16,014		1,080,305
Illumina, Inc.*			7,400		2,219,482
IQVIA Holdings, Inc.*			8,200		952,594
Mettler-Toledo International, Inc.*			1,300		735,254
PerkinElmer, Inc.			5,900		463,445
QIAGEN NV*	��		310		10,614
Thermo Fisher Scientific, Inc.			20,380		4,560,840
Waters Corp.*			3,900		735,735
					10,758,269
Machinery — 0.7%
Alstom SA (France)			233		9,429
Atlas Copco AB (Sweden) (Class B Stock)			585		12,815
Caterpillar, Inc.			30,000		3,812,100
CNH Industrial NV (United Kingdom)			1,531		13,994
Cummins, Inc.			7,600		1,015,664
Daifuku Co. Ltd. (Japan)			1,200		54,615
Deere & Co.			16,280		2,428,488
Dover Corp.			7,500		532,125
Flowserve Corp.			6,100		231,922
Fortive Corp.			15,550		1,052,113
Hitachi Construction Machinery Co. Ltd. (Japan)			400		9,328
Illinois Tool Works, Inc.			15,600		1,976,364
Ingersoll-Rand PLC			12,400		1,131,252
Komatsu Ltd. (Japan)			1,400		29,939
PACCAR, Inc.			17,643		1,008,121
Parker-Hannifin Corp.			6,665		994,018
Pentair PLC (United Kingdom)			7,677		290,037
Sandvik AB (Sweden)			10,227		147,242
Schindler Holding AG (Switzerland)			71		13,861
Snap-on, Inc.(a)			3,100		450,399
Stanley Black & Decker, Inc.			7,697		921,639
Volvo AB (Sweden) (Class B Stock)			11,123		146,154
Xylem, Inc.			9,000		600,480
Yangzijiang Shipbuilding Holdings Ltd. (China)			143,700		130,900
					17,012,999
Marine — 0.0%
AP Moller-Maersk A/S (Denmark) (Class A Stock)			5		5,921
Media — 0.6%
CBS Corp. (Class B Stock)			17,034		744,726

COMMON STOCKS (continued)	Shares		Value
Media (continued)
Charter Communications, Inc. (Class A Stock)*(a)		9,080	$	2,587,528
Comcast Corp. (Class A Stock)		230,280		7,841,034
Discovery, Inc. (Class A Stock)*(a)		7,800		192,972
Discovery, Inc. (Class C Stock)*		16,600		383,128
DISH Network Corp. (Class A Stock)*		11,400		284,658
Eutelsat Communications SA (France)		256		5,054
Hakuhodo DY Holdings, Inc. (Japan)		900		12,864
I-CABLE Communications Ltd. (Hong Kong)*		3,831		57
Interpublic Group of Cos., Inc. (The)		18,831		388,484
News Corp. (Class A Stock)		16,175		183,586
News Corp. (Class B Stock)		4,800		55,440
Omnicom Group, Inc.(a)		11,700		856,908
Pearson PLC (United Kingdom)		13,015		155,989
RTL Group SA (Luxembourg)		138		7,387
				13,699,815
Metals & Mining — 0.1%
Anglo American PLC (South Africa)		7,845		175,318
ArcelorMittal (Luxembourg)		5,875		123,459
BHP Group Ltd. (Australia)		5,026		120,727
BHP Group PLC (Australia)		2,908		61,668
BlueScope Steel Ltd. (Australia)		4,181		32,167
Freeport-McMoRan, Inc.		69,388		715,390
Glencore PLC (Switzerland)*		15,764		58,640
JFE Holdings, Inc. (Japan)		700		11,077
Kobe Steel Ltd. (Japan)		3,000		20,766
Newmont Mining Corp.(a)		27,100		939,015
Nippon Steel & Sumitomo Metal Corp. (Japan)		1,100		18,869
Nucor Corp.		16,400		849,684
Rio Tinto Ltd. (Australia)		568		31,344
Rio Tinto PLC (Australia)		1,658		79,195
South32 Ltd. (Australia)		7,203		16,979
voestalpine AG (Austria)		164		4,931
				3,259,229
Multiline Retail — 0.2%
Dollar General Corp.		13,400		1,448,272
Dollar Tree, Inc.*		12,365		1,116,807
Don Quijote Holdings Co. Ltd. (Japan)		200		12,256
Kohl’s Corp.		8,300		550,622
Macy’s, Inc.		14,674		436,992
Next PLC (United Kingdom)		214		10,895
Nordstrom, Inc.(a)		6,100		284,321
Target Corp.		26,500		1,751,385
Wesfarmers Ltd. (Australia)		1,540		34,913
				5,646,463
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		11,585		167,728
Ameren Corp.		12,200		795,806
CenterPoint Energy, Inc.		24,000		677,520
CMS Energy Corp.		14,800		734,820
Consolidated Edison, Inc.		15,700		1,200,422
Dominion Energy, Inc.		32,932		2,353,321
DTE Energy Co.		9,100		1,003,730

SEE NOTES TO FINANCIAL STATEMENTS.

A7

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Multi-Utilities (continued)
National Grid PLC (United Kingdom)		13,369	$	130,193
NiSource, Inc.		17,300		438,555
Public Service Enterprise Group, Inc.		25,400		1,322,070
SCANA Corp.		7,000		334,460
Sempra Energy(a)		14,019		1,516,716
WEC Energy Group, Inc.(a)		16,313		1,129,838
				11,805,179
Oil, Gas & Consumable Fuels — 2.2%
Aker BP ASA (Norway)		160		4,062
Anadarko Petroleum Corp.		25,754		1,129,055
Apache Corp.(a)		19,314		506,993
BP PLC (United Kingdom)		19,763		125,134
Cabot Oil & Gas Corp.		21,400		478,290
Chevron Corp.		96,522		10,500,628
Cimarex Energy Co.		5,200		320,580
Concho Resources, Inc.*		10,100		1,038,179
ConocoPhillips		58,577		3,652,276
Devon Energy Corp.		23,600		531,944
Diamondback Energy, Inc.		5,800		537,660
Eni SpA (Italy)		10,299		162,673
EOG Resources, Inc.		29,200		2,546,532
Equinor ASA (Norway)		1,636		34,733
Exxon Mobil Corp.		213,299		14,544,859
Hess Corp.		12,700		514,350
HollyFrontier Corp.		8,200		419,184
JXTG Holdings, Inc. (Japan)		4,800		25,104
Kinder Morgan, Inc.		94,298		1,450,303
Lundin Petroleum AB (Sweden)		262		6,569
Marathon Oil Corp.		40,482		580,512
Marathon Petroleum Corp.(a)		33,819		1,995,659
Neste OYJ (Finland)		1,302		100,666
Newfield Exploration Co.*		9,800		143,668
Noble Energy, Inc.		24,000		450,240
Occidental Petroleum Corp.		38,500		2,363,130
ONEOK, Inc.		20,700		1,116,765
Phillips 66		21,538		1,855,499
Pioneer Natural Resources Co.		8,550		1,124,496
Repsol SA (Spain)		9,357		151,509
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		6,913		203,613
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		1,871		55,878
Santos Ltd. (Australia)		14,129		54,178
TOTAL SA (France)		2,591		137,110
Valero Energy Corp.		21,600		1,619,352
Williams Cos., Inc. (The)		60,300		1,329,615
				51,810,998
Paper & Forest Products — 0.0%
Mondi PLC (United Kingdom)		538		11,232
Stora Enso OYJ (Finland) (Class R Stock)		758		8,813
UPM-Kymmene OYJ (Finland)		735		18,746
				38,791
Personal Products — 0.1%
Coty, Inc. (Class A Stock)		18,000		118,080

COMMON STOCKS (continued)	Shares		Value
Personal Products (continued)
Estee Lauder Cos., Inc. (The) (Class A Stock)		11,300	$	1,470,130
L’Oreal SA (France)		315		72,776
Pola Orbis Holdings, Inc. (Japan)		100		2,692
Shiseido Co. Ltd. (Japan)(a)		600		37,554
Unilever NV (United Kingdom), CVA		2,318		126,074
Unilever PLC (United Kingdom)		1,882		98,719
				1,926,025
Pharmaceuticals — 2.4%
Allergan PLC		16,075		2,148,584
Astellas Pharma, Inc. (Japan)		7,500		96,060
AstraZeneca PLC (United Kingdom)		255		19,128
Bayer AG (Germany)		870		60,910
Bristol-Myers Squibb Co.		82,170		4,271,197
Eli Lilly & Co.		48,200		5,577,704
GlaxoSmithKline PLC (United Kingdom)		3,048		58,037
H. Lundbeck A/S (Denmark)		2,200		96,531
Johnson & Johnson		135,178		17,444,721
Merck & Co., Inc.		134,033		10,241,461
Mylan NV*		25,600		701,440
Nektar Therapeutics*		8,200		269,534
Novartis AG (Switzerland)		4,893		419,849
Novo Nordisk A/S (Denmark) (Class B Stock)		2,741		125,920
Perrigo Co. PLC		6,700		259,625
Pfizer, Inc.		295,270		12,888,535
Roche Holding AG (Switzerland)		1,628		405,068
Sanofi (France)		3,289		285,272
Shionogi & Co. Ltd. (Japan)		2,700		154,425
Takeda Pharmaceutical Co. Ltd. (Japan)(a)		1,000		33,906
Teva Pharmaceutical Industries Ltd. (Israel), ADR*		1,500		23,130
UCB SA (Belgium)		171		13,976
Zoetis, Inc.		24,300		2,078,622
				57,673,635
Professional Services — 0.1%
Equifax, Inc.		6,400		596,032
IHS Markit Ltd.*		17,800		853,866
Intertek Group PLC (United Kingdom)		243		14,898
Nielsen Holdings PLC		17,000		396,610
Recruit Holdings Co. Ltd. (Japan)		1,700		41,041
RELX PLC (United Kingdom)		2,940		60,643
Robert Half International, Inc.		6,600		377,520
Teleperformance (France)		779		124,773
Verisk Analytics, Inc.*(a)		8,200		894,128
Wolters Kluwer NV (Netherlands)		801		47,491
				3,407,002
Real Estate Management & Development — 0.0%
CBRE Group, Inc. (Class A Stock)*		16,200		648,648
CK Asset Holdings Ltd. (Hong Kong)		3,500		25,359
Hysan Development Co. Ltd. (Hong Kong)		2,000		9,490
Mitsui Fudosan Co. Ltd. (Japan)		1,400		30,892

SEE NOTES TO FINANCIAL STATEMENTS.

A8

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Real Estate Management & Development (continued)
Sumitomo Realty & Development Co. Ltd. (Japan)		500	$	18,286
Sun Hung Kai Properties Ltd. (Hong Kong)		2,500		35,638
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		12,500		132,198
Swire Properties Ltd. (Hong Kong)		1,600		5,615
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		17,000		101,601
				1,007,727
Road & Rail — 0.5%
CSX Corp.		41,100		2,553,543
DSV A/S (Denmark)		1,317		86,990
J.B. Hunt Transport Services, Inc.		4,300		400,072
Kansas City Southern		5,200		496,340
Kyushu Railway Co. (Japan)		200		6,765
Norfolk Southern Corp.		14,100		2,108,514
Union Pacific Corp.		37,300		5,155,979
				10,808,203
Semiconductors & Semiconductor Equipment — 1.7%
Advanced Micro Devices, Inc.*(a)		42,700		788,242
Analog Devices, Inc.		18,758		1,609,999
Applied Materials, Inc.		49,500		1,620,630
ASML Holding NV (Netherlands)		601		94,834
Broadcom, Inc.		21,780		5,538,218
Infineon Technologies AG (Germany)		8,040		160,981
Intel Corp.		232,300		10,901,839
KLA-Tencor Corp.		7,850		702,497
Lam Research Corp.		7,950		1,082,551
Maxim Integrated Products, Inc.		10,000		508,500
Microchip Technology, Inc.(a)		11,800		848,656
Micron Technology, Inc.*		58,400		1,853,032
NVIDIA Corp.		30,650		4,091,775
NXP Semiconductors NV (Netherlands)		500		36,640
Qorvo, Inc.*		6,807		413,389
QUALCOMM, Inc.		61,100		3,477,201
Skyworks Solutions, Inc.		9,000		603,180
STMicroelectronics NV (Switzerland)		929		13,345
Texas Instruments, Inc.		49,000		4,630,500
Xilinx, Inc.		12,800		1,090,176
				40,066,185
Software — 2.8%
Adobe, Inc.*		24,700		5,588,128
ANSYS, Inc.*		4,500		643,230
Autodesk, Inc.*		11,000		1,414,710
Cadence Design Systems, Inc.*		14,400		626,112
Citrix Systems, Inc.		6,500		665,990
Dassault Systemes SE (France)		202		24,043
Fortinet, Inc.*(a)		7,200		507,096
Intuit, Inc.		13,100		2,578,735
Micro Focus International PLC (United Kingdom)		2,957		52,280
Microsoft Corp.		390,300		39,642,771
Nice Ltd. (Israel)*		94		10,123
Oracle Corp.		141,300		6,379,695

COMMON STOCKS (continued)	Shares		Value
Software (continued)
Red Hat, Inc.*		9,000	$	1,580,760
salesforce.com, Inc.*		38,200		5,232,254
SAP SE (Germany)		337		33,740
Symantec Corp.		30,578		577,771
Synopsys, Inc.*		7,500		631,800
				66,189,238
Specialty Retail — 1.1%
Advance Auto Parts, Inc.		3,900		614,094
AutoZone, Inc.*		1,400		1,173,676
Best Buy Co., Inc.(a)		12,225		647,436
CarMax, Inc.*(a)		8,900		558,297
Fast Retailing Co. Ltd. (Japan)		400		204,168
Foot Locker, Inc.		6,400		340,480
Gap, Inc. (The)		9,500		244,720
Home Depot, Inc. (The)		57,650		9,905,423
Industria de Diseno Textil SA (Spain)		1,632		41,788
L Brands, Inc.		10,906		279,957
Lowe’s Cos., Inc.		40,900		3,777,524
O’Reilly Automotive, Inc.*		4,100		1,411,753
Ross Stores, Inc.		19,000		1,580,800
Tiffany & Co.(a)		5,720		460,517
TJX Cos., Inc. (The)		63,200		2,827,568
Tractor Supply Co.		6,500		542,360
Ulta Beauty, Inc.*		2,900		710,036
				25,320,597
Technology Hardware, Storage & Peripherals — 1.7%
Apple, Inc.		230,090		36,294,397
FUJIFILM Holdings Corp. (Japan)		500		19,444
Hewlett Packard Enterprise Co.		74,048		978,174
HP, Inc.		79,648		1,629,598
Konica Minolta, Inc. (Japan)		11,700		105,525
NetApp, Inc.		13,100		781,677
Seagate Technology PLC(a)		13,200		509,388
Western Digital Corp.		14,703		543,570
Xerox Corp.		10,390		205,306
				41,067,079
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		281		58,951
Burberry Group PLC (United Kingdom)		566		12,530
Hanesbrands, Inc.(a)		15,400		192,962
Hermes International (France)		43		23,917
Kering SA (France)		191		90,066
LVMH Moet Hennessy Louis Vuitton SE (France)		699		207,181
Michael Kors Holdings Ltd.*		7,600		288,192
Moncler SpA (Italy)		242		8,086
NIKE, Inc. (Class B Stock)		64,500		4,782,030
PVH Corp.		4,200		390,390
Ralph Lauren Corp.		3,000		310,380
Swatch Group AG (The) (Switzerland)		77		4,477
Tapestry, Inc.		15,000		506,250
Under Armour, Inc. (Class A Stock)*(a)		7,500		132,525
Under Armour, Inc. (Class C Stock)*(a)		9,474		153,195
VF Corp.(a)		16,400		1,169,976
				8,331,108

SEE NOTES TO FINANCIAL STATEMENTS.

A9

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Tobacco — 0.4%
Altria Group, Inc.		95,000	$	4,692,050
British American Tobacco PLC (United Kingdom)		4,430		141,664
Imperial Brands PLC (United Kingdom)		4,429		134,305
Japan Tobacco, Inc. (Japan)		1,500		35,703
Philip Morris International, Inc.		78,300		5,227,308
				10,231,030
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		684		14,304
Fastenal Co.		14,500		758,205
ITOCHU Corp. (Japan)		2,000		33,968
Marubeni Corp. (Japan)		11,800		82,679
Mitsubishi Corp. (Japan)		7,300		200,504
Mitsui & Co. Ltd. (Japan)		6,300		96,841
Sumitomo Corp. (Japan)		1,600		22,696
Toyota Tsusho Corp. (Japan)		300		8,829
United Rentals, Inc.*		4,100		420,373
W.W. Grainger, Inc.		2,300		649,428
				2,287,827
Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A		135		21,019
Water Utilities — 0.0%
American Water Works Co., Inc.(a)		9,100		826,007
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		5,400		129,054
NTT DOCOMO, Inc. (Japan)		2,000		45,031
SoftBank Group Corp. (Japan)		1,300		86,149
Vodafone Group PLC (United Kingdom)		1,322		2,588
				262,822
TOTAL COMMON STOCKS (cost $385,424,140)				1,083,244,877
EXCHANGE TRADED FUNDS — 0.3%
iShares Core S&P 500 ETF		24,800		6,239,928
iShares MSCI EAFE ETF		2,359		138,662
TOTAL EXCHANGE TRADED FUNDS (cost $6,464,775)				6,378,590
PREFERRED STOCKS — 0.1%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		75		5,361
Banks — 0.0%
Citigroup Capital XIII 8.890% (Capital Security, fixed to floating preferred)		20,000		528,600
Capital Markets — 0.1%
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)		30,000		716,400

PREFERRED STOCKS (continued)	Shares		Value
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		245	$	26,832
TOTAL PREFERRED STOCKS (cost $1,285,465)				1,277,193
	Units
RIGHTS* — 0.0%
Oil, Gas & Consumable Fuels
Repsol SA (Spain), expiring 01/09/19 (cost $4,390)		9,357		4,288

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES — 7.5%
Automobiles — 1.8%
AmeriCredit Automobile Receivables Trust,
Series2016-04, Class C
2.410%		07/08/22		800		789,839
Series2017-03, Class C
2.690%		06/19/23		750		740,994
Series2017-04, Class C
2.600%		09/18/23		1,500		1,475,120
Series2018-01, Class C
3.500%		01/18/24		1,200		1,204,263
Avis Budget Rental Car Funding AESOP LLC,
Series2015-01A, Class A, 144A
2.500%		07/20/21		1,700		1,683,829
Series2015-02A, Class A, 144A
2.630%		12/20/21		3,200		3,164,203
Series2018-01A, Class A, 144A
3.700%		09/20/24		1,300		1,317,379
Series2018-02A, Class A, 144A
4.000%		03/20/25		1,100		1,122,509
Drive Auto Receivables Trust,
Series2018-01, Class B
2.880%		02/15/22		1,300		1,298,353
Ford Credit Auto Owner Trust,
Series2017-01, Class A, 144A
2.620%		08/15/28		800		788,491
Series2017-02, Class A, 144A
2.360%		03/15/29		4,200		4,092,982
Series2018-02, Class A, 144A
3.470%		01/15/30		2,200		2,220,078
Ford Credit Floorplan Master Owner Trust,
Series2017-03, Class A
2.480%		09/15/24		3,300		3,235,405
Series2018-02, Class A
3.170%		03/15/25		9,700		9,768,371
GM Financial Consumer Automobile Receivables Trust,
Series2018-04, Class C
3.620%		06/17/24		300		305,028
OneMain Direct Auto Receivables Trust,
Series2017-01A, Class A, 144A
2.160%		10/15/20		1,447		1,442,196
Series2017-02A, Class B, 144A
2.550%		11/14/23		2,300		2,276,620

SEE NOTES TO FINANCIAL STATEMENTS.

A10

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Series2017-02A, Class C, 144A
2.820%		07/15/24		600	$	593,960
Series2018-01A, Class A, 144A
3.430%		12/16/24		3,800		3,807,361
Santander Drive Auto Receivables Trust,
Series2018-01, Class C
2.960%		03/15/24		900		895,925
Series2018-02, Class C
3.350%		07/17/23		30		30,031
Series2018-04, Class C
3.560%		07/15/24		1,500		1,511,352
						43,764,289
Collateralized Loan Obligations — 2.7%
ArrowMark Colorado Holdings (Cayman Islands),
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.716%(c)		07/15/29		500		498,922
Battalion CLO Ltd. (Cayman Islands),
Series2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.785%(c)		07/18/30		1,000		998,890
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		07/15/29		1,000		997,235
Brookside Mill CLO Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
3.269%(c)		01/17/28		1,000		990,077
Canyon Capital CLO Ltd. (Cayman Islands),
Series2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		04/15/29		2,500		2,481,426
CIFC Funding Ltd. (Cayman Islands),
Series2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%
3.627%(c)		10/17/31		7,000		6,939,082
Elevation CLO Ltd. (Cayman Islands),
Series2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%
3.995%(c)		04/18/27		1,000		1,001,589
Galaxy CLO Ltd. (Cayman Islands),
Series2018-29A, Class A, 144A, 3 Month LIBOR + 0.790%
3.406%(c)		11/15/26		1,000		992,480
Greenwood Park CLO Ltd. (Cayman Islands),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.446%(c)		04/15/31		1,000		984,832
Highbridge Loan Management Ltd. (Cayman Islands),
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.582%(c)		02/05/31		250		245,717
ICG US CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap
N/A, Floor 1.140%)
3.590%(c)		10/19/28		7,000		6,937,599
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.757%(c)		10/23/29		1,250		1,241,844
Jackson Mill CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.266%(c)		04/15/27		1,250		1,243,079
Jefferson Mill CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 3 Month LIBOR + 1.175%
3.672%(c)		10/20/31		4,250		4,194,622

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
MidOcean Credit CLO (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.589%(c)		04/21/31		3,500	$	3,456,987
Mill Creek CLO Ltd. (Cayman Islands),
Series2016-01A, Class A, 144A, 3 Month LIBOR + 1.750%
4.219%(c)		04/20/28		1,250		1,257,238
Mountain View CLO Ltd. (Cayman Islands),
Series2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.556%(c)		07/15/31		2,500		2,468,818
OZLM Ltd. (Cayman Islands),
Series2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080%
3.529%(c)		04/17/31		3,000		2,955,303
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.770%(c)		10/30/30		750		745,910
Palmer Square CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.946%(c)		05/21/29		2,000		1,991,657
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%
3.834%(c)		11/14/29		500		498,207
Sound Point CLO Ltd. (Cayman Islands),
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.349%(c)		07/20/27		1,000		992,362
Telos CLO (Cayman Islands),
Series2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%
3.749%(c)		07/17/26		2,500		2,498,778
TIAA CLO Ltd. (Cayman Islands),
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.669%(c)		07/20/31		1,750		1,735,102
TICP CLO Ltd. (Cayman Islands),
Series2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%
3.666%(c)		07/15/29		1,000		996,771
Trinitas CLO Ltd. (Cayman Islands),
Series2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.190%(c)		10/25/28		2,500		2,499,787
Series2017-06A, Class A, 144A, 3 Month LIBOR + 1.320%
3.810%(c)		07/25/29		1,000		1,000,832
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.700%(c)		01/25/31		1,750		1,737,565
Venture CLO Ltd. (Cayman Islands),
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.316%(c)		07/15/27		1,000		989,103
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.789%(c)		04/20/29		1,500		1,501,134
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.599%(c)		01/17/31		2,000		1,970,107
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.638%(c)		10/20/31		3,750		3,713,824
Zais CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.806%(c)		07/15/29		1,250		1,251,532
						64,008,411
Consumer Loans — 0.3%
OneMain Financial Issuance Trust,
Series2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
3.240%(c)		09/14/32		2,600		2,605,946

SEE NOTES TO FINANCIAL STATEMENTS.

A11

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
Oportun Funding X LLC,
Series2018-C, Class A, 144A
4.100%		10/08/24		1,100	$	1,110,522
Oportun Funding XII LLC,
Series2018-D, Class A, 144A
4.150%		12/09/24		800		808,369
SpringCastle America Funding LLC,
Series2016-AA, Class A, 144A
3.050%		04/25/29		1,280		1,267,933
Springleaf Funding Trust,
Series2015-AA, Class A, 144A
3.160%		11/15/24		1,122		1,120,288
						6,913,058
Credit Cards — 0.5%
American Express Credit Account Master Trust,
Series2017-05, Class A, 1 Month LIBOR + 0.380%
2.835%(c)		02/18/25		500		499,800
Citibank Credit Card Issuance Trust,
Series2017-A05, Class A5, 1 Month LIBOR + 0.620%
3.124%(c)		04/22/26		2,700		2,713,885
Series2018-A07, Class A7
3.960%		10/13/30		4,600		4,827,235
Discover Card Execution Note Trust,
Series2017-A04, Class A4
2.530%		10/15/26		2,800		2,734,919
Series2017-A05, Class A5, 1 Month LIBOR + 0.600%
3.055%(c)		12/15/26		1,900		1,897,101
						12,672,940
Equipment — 0.3%
MMAF Equipment Finance LLC,
Series2017-AA, Class A4, 144A
2.410%		08/16/24		2,500		2,455,826
Series2017-B, Class A4, 144A
2.410%		11/15/24		1,300		1,275,985
Series2017-B, Class A5, 144A
2.720%		06/15/40		2,100		2,049,741
Series2018-A, Class A4, 144A
3.390%		01/10/25		1,200		1,214,722
Series2018-A, Class A5, 144A
3.610%		03/10/42		500		505,943
						7,502,217
Home Equity Loans — 0.2%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
4.156%(c)		03/25/33		109		109,228
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		05/25/33		69		68,571
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
3.406%(c)		07/25/32		89		89,253
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.781%(c)		09/25/32		1,826		1,815,717

Interest Rate	Maturity Date			Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (continued)
New Residential Mortgage Loan Trust,
Series2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57			1,422	$	1,428,828
							3,511,597
Other — 0.1%
Sierra Timeshare Receivables Funding LLC,
Series2018-02A, Class A, 144A
3.500%		06/20/35			1,643		1,659,379
Residential Mortgage-Backed Securities — 0.8%
Credit-Based Asset Servicing & Securitization LLC,
Series 2005-CB06, Class A3
3.791%		07/25/35			249		247,307
CSMC Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.499%(c)		12/26/46			2,663		2,691,179
Series2018-11R, 144A, 1 Month LIBOR + 1.400%
3.774%		08/25/37^			800		800,000
Series 2018-RPL08, Class A1, 144A
4.070%		07/25/58			1,355		1,352,657
CWABS, Inc., Asset-Backed Certificates,
Series2004-01, Class M1, 1 Month LIBOR + 0.750%
3.256%(c)		03/25/34			937		938,116
Equity One Mortgage Pass-Through Trust,
Series2004-03, Class M1
4.570%		07/25/34			266		265,707
Fremont Home Loan Trust,
Series2004-02, Class M1, 1 Month LIBOR + 0.855%
3.361%(c)		07/25/34			506		502,540
Long Beach Mortgage Loan Trust,
Series2004-02, Class M1, 1 Month LIBOR + 0.795%
3.301%(c)		06/25/34			235		230,765
Mill City Mortgage Loan Trust,
Series2017-03, Class A1, 144A
2.750%(cc)		01/25/61			1,627		1,589,864
TFS (Spain),
Series2018-03, Class A1
2.900%(cc)		03/16/23	EUR		2,111		2,414,212
Towd Point Mortgage Trust,
Series2017-04, Class A1, 144A
2.750%(cc)		06/25/57			974		948,003
Series2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
3.106%(c)		02/25/57			3,090		3,073,478
Series2017-06, Class A1, 144A
2.750%(cc)		10/25/57			2,370		2,314,651
Series2018-02, Class A1, 144A
3.250%(cc)		03/25/58			229		225,674
Series2018-03, Class A1, 144A
3.750%(cc)		05/25/58			101		100,975
Series2018-05, Class A1, 144A
3.250%(cc)		07/25/58			775		761,364
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47			240		238,389
							18,694,881

SEE NOTES TO FINANCIAL STATEMENTS.

A12

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans — 0.8%
Commonbond Student Loan Trust,
Series2017-BGS, Class A1, 144A
2.680%		09/25/42		2,240	$	2,167,858
Series2018-AGS, Class A1, 144A
3.210%		02/25/44		1,545		1,537,508
Series2018-CGS, Class A1, 144A
3.870%		02/25/46		600		605,358
Series2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)
3.183%(c)		02/25/46		800		796,418
Laurel Road Prime Student Loan Trust,
Series2017-C, Class A2B, 144A
2.810%		11/25/42		1,500		1,460,428
Series2018-B, Class A2FX, 144A
3.540%		05/26/43		2,200		2,200,874
Navient Private Education Refi Loan Trust,
Series2018-A, Class A2, 144A
3.190%		02/18/42		3,300		3,251,630
Series2018-CA, Class A2, 144A
3.520%		06/16/42		1,200		1,209,320
SoFi Professional Loan Program Trust,
Series2018-B, Class A1FX, 144A
2.640%		08/25/47		1,676		1,668,203
Series2018-B, Class A2FX, 144A
3.340%		08/25/47		3,200		3,206,298
						18,103,895
TOTAL ASSET-BACKED SECURITIES (cost $177,285,501)						176,830,667
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.2%
Assurant Commercial Mortgage Trust,
Series2016-01A, Class AS, 144A
3.172%		05/15/49		3,100		3,028,918
BBCMS Mortgage Trust,
Series2018-C02, Class A4
4.047%		12/15/51		3,850		3,946,993
Benchmark Mortgage Trust,
Series2018-B03, Class A4
3.761%		04/10/51		3,600		3,626,486
CFCRE Commercial Mortgage Trust,
Series2016-C04, Class A3
3.014%		05/10/58		2,500		2,405,047
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		888		873,549
Series 2014-GC21, Class A4
3.575%		05/10/47		1,835		1,853,897
Series2016-C01, Class A3
2.944%		05/10/49		2,700		2,611,785
Series2017-P07, Class A3
3.442%		04/14/50		4,000		3,948,344
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		1,231		1,229,217

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2014-CR18, Class A4
3.550%		07/15/47		2,100	$	2,113,044
Series 2014-LC17, Class A4
3.648%		10/10/47		5,000		5,057,113
Series 2014-UBS03, Class A2
2.844%		06/10/47		1,700		1,696,712
CSAIL Commercial Mortgage Trust,
Series2015-C04, Class A3
3.544%		11/15/48		2,500		2,497,329
Series2017-C08, Class A3
3.127%		06/15/50		3,800		3,655,690
FannieMae-Aces,
Series2015-M08, Class AB2
2.829%(cc)		01/25/25		2,814		2,798,805
Series2015-M17, Class A2
2.939%(cc)		11/25/25		3,000		2,964,891
Series2016-M07, Class AB2
2.385%		09/25/26		1,800		1,706,461
Series2017-M01, Class A2
2.415%(cc)		10/25/26		1,600		1,505,930
Series2017-M04, Class A2
2.597%(cc)		12/25/26		8,600		8,180,847
Series2017-M08, Class A2
3.061%(cc)		05/25/27		5,900		5,776,791
Series2018-M04, Class A2
3.043%(cc)		03/25/28		3,075		2,989,923
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.409%(cc)		05/25/22		19,326		763,008
Series K021, Class X1, IO
1.444%(cc)		06/25/22		5,338		223,907
Series K055, Class X1, IO
1.366%(cc)		03/25/26		4,617		378,631
Series K064, Class AM
3.327%(cc)		03/25/27		4,200		4,175,050
Series K068, Class AM
3.315%		08/25/27		4,100		4,085,937
Series K069, Class A2
3.187%(cc)		09/25/27		3,500		3,466,330
Series K069, Class AM
3.248%(cc)		09/25/27		750		742,859
Series K070, Class A2
3.303%(cc)		11/25/27		5,200		5,190,525
Series K070, Class AM
3.364%(cc)		12/25/27		1,100		1,098,111
Series K072, Class A2
3.444%		12/25/27		1,400		1,412,106
Series K074, Class A2
3.600%		01/25/28		8,550		8,725,525
Series K075, Class AM
3.650%(cc)		02/25/28		2,550		2,596,389
Series K076, Class A2
3.900%		06/25/51		6,200		6,468,242
Series K076, Class AM
3.900%		06/25/51		1,825		1,892,937
Series K077, Class A2
3.850%(cc)		05/25/28		3,470		3,606,896

SEE NOTES TO FINANCIAL STATEMENTS.

A13

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K077, Class AM
3.850%(cc)		05/25/28		690	$	713,542
Series K080, Class AM
3.986%(cc)		07/25/28		5,150		5,382,042
Series K081, Class AM
3.900%(cc)		08/25/28		2,600		2,692,911
Series K086, Class A2
3.859%(cc)		11/25/28		2,500		2,597,771
Series K086, Class AM
3.919%(cc)		11/25/28		800		831,367
Series K157, Class A2
3.990%(cc)		05/25/33		3,100		3,205,760
Series K710, Class X1, IO
1.734%(cc)		05/25/19		13,858		33,663
Series K711, Class X1, IO
1.668%(cc)		07/25/19		14,009		52,532
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,630		1,629,637
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		3,000		2,947,654
Series 2015-GC34, Class A3
3.244%		10/10/48		4,800		4,717,673
Series 2016-GS03, Class A3
2.592%		10/10/49		4,200		3,938,892
Series 2016-GS04, Class A3
3.178%		11/10/49		4,000		3,885,260
JPMBB Commercial Mortgage Securities Trust,
Series2014-C25, Class A4A1
3.408%		11/15/47		1,100		1,098,982
Series2015-C27, Class A3A1
2.920%		02/15/48		5,000		4,859,615
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP06, Class A3
3.109%		07/15/50		5,581		5,540,048
JPMDB Commercial Mortgage Securities Trust,
Series2016-C02, Class A3A
2.881%		06/15/49		2,500		2,401,733
JPMorgan Chase Commercial Mortgage Securities Trust,
Series2012-CBX, Class A3
3.139%		06/15/45		224		223,672
Series 2012-LC09, Class A4
2.611%		12/15/47		716		713,948
Series2013-C10, Class A4
2.875%		12/15/47		259		257,708
Series 2013-LC11, Class A4
2.694%		04/15/46		505		493,211
LB-UBS Commercial Mortgage Trust,
Series2007-C06, Class AM
6.114%(cc)		07/15/40		59		59,086
Morgan Stanley Bank of America Merrill Lynch Trust,
Series2013-C08, Class A3
2.863%		12/15/48		1,080		1,064,922
Morgan Stanley Capital I Trust,
Series 2015-UBS08, Class A3
3.540%		12/15/48		5,000		5,000,742

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2016-UB11, Class A3
2.531%		08/15/49		6,300	$	5,872,289
UBS Commercial Mortgage Trust,
Series2017-C02, Class ASB
3.264%		08/15/50		2,500		2,494,537
Series2017-C05, Class A4
3.212%		11/15/50		5,000		4,825,736
Series2018-C09, Class A3
3.854%		03/15/51		1,800		1,819,578
Series2018-C14, Class A3
4.180%		12/15/51		2,900		3,000,048
UBS-Barclays Commercial Mortgage Trust,
Series2012-C04, Class A4
2.792%		12/10/45		1,400		1,385,956
Series2013-C05, Class A3
2.920%		03/10/46		2,763		2,737,030
Series2013-C06, Class A3
2.971%		04/10/46		1,498		1,487,230
Wells Fargo Commercial Mortgage Trust,
Series 2016-BNK01, Class XB, IO
1.339%(cc)		08/15/49		9,000		789,130
Series 2016-NXS06, Class A3
2.642%		11/15/49		4,500		4,227,728
Series2017-C38, Class A4
3.190%		07/15/50		3,300		3,180,859
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $199,075,367)						195,456,717
CORPORATE BONDS — 10.6%
Aerospace & Defense — 0.1%
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23		170		177,014
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		1,790		1,791,448
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		910		901,538
						2,870,000
Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24		2,685		2,473,137
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		290		295,849
						2,768,986
Airlines — 0.2%
American Airlines2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28		2,182		2,073,642

SEE NOTES TO FINANCIAL STATEMENTS.

A14

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Airlines (continued)
Continental Airlines2001-1Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22		13	$	14,057
Continental Airlines2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		427		438,176
Continental Airlines2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		396		401,699
Continental Airlines2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		303		299,331
Delta Air Lines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		222		239,704
Delta Air Lines2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20		79		79,034
Delta Air Lines2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20		422		424,292
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		1,300		1,291,364
						5,261,299
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.835%(c)		04/12/21		355		351,545
Gtd. Notes, 144A
3.100%		04/12/21		480		475,386
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		875		870,160
3.350%		05/04/21		1,455		1,450,587
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43		1,090		840,592
5.291%		12/08/46		950		779,932
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21		515		499,711
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43		1,065		998,270
6.600%		04/01/36		585		569,499
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.258%(c)		04/09/21		820		801,337
Gtd. Notes
3.550%		04/09/21		620		611,463
3.950%		04/13/24		1,700		1,614,507
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21		2,300		2,259,472
						12,122,461

Interest Rate	Maturity Date			Principal Amount (000)#			Value
CORPORATE BONDS (continued)
Banks — 3.1%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.545%(c)		04/12/23			400		$	392,234
Sr. Unsec’d. Notes
3.848%		04/12/23			800			777,331
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		275			279,304
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			1,520			1,496,986
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			2,275			2,275,341
3.824%(ff)		01/20/28			615			596,612
4.000%		04/01/24			745			749,129
Sub. Notes, MTN
4.000%		01/22/25			1,700			1,656,049
4.450%		03/03/26			4,790			4,735,371
Bank of America NA,
Sub. Notes
6.000%		10/15/36			805			928,913
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.896%(c)		04/13/21			400			397,604
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			570			569,714
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			610			562,261
3.684%		01/10/23			320			307,474
4.375%		01/12/26			323			306,828
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			705			679,745
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,590			1,534,350
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		945			922,556
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		640			612,928
Sr. Unsec’d. Notes
3.200%		10/21/26			670			618,536
3.700%		01/12/26			1,610	��		1,547,957
3.887%(ff)		01/10/28			560			540,349
8.125%		07/15/39			365			506,383
Sub. Notes
4.450%		09/29/27			1,485			1,431,268
4.750%		05/18/46			440			406,762
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28			980			945,411
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,240			1,196,657
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			595			580,830

SEE NOTES TO FINANCIAL STATEMENTS.

A15

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes
7.000%		04/15/20			485	$	504,929
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		1,800		1,739,286
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		560		501,200
Sr. Unsec’d. Notes
3.750%		02/25/26			1,165		1,101,678
3.814%(ff)		04/23/29			440		410,795
3.850%		01/26/27			2,625		2,469,200
5.750%		01/24/22			3,265		3,418,567
Sub. Notes
6.750%		10/01/37			1,100		1,242,212
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.240%(c)		05/18/21			1,530		1,507,296
Sr. Unsec’d. Notes
4.875%		01/14/22			1,230		1,271,407
5.100%		04/05/21			920		951,381
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.990%(c)		—	(rr)		1,435		1,415,269
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,175		1,167,656
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			270		262,094
3.964%(ff)		11/15/48			2,240		1,982,763
4.005%(ff)		04/23/29			1,360		1,333,292
4.250%		10/15/20			1,660		1,689,912
Sub. Notes
3.875%		09/10/24			3,525		3,468,514
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%(ff)		04/26/21			3,000		2,987,873
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			1,400		1,395,754
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,770		1,811,811
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			2,385		2,291,551
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		640		622,477
Sr. Unsec’d. Notes
4.375%		01/22/47			930		880,189
4.457%(ff)		04/22/39			290		280,775
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			610		608,925
3.772%(ff)		01/24/29	(a)		1,295		1,239,023
3.875%		01/27/26			550		536,454
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,030		973,869
Sub. Notes, GMTN
4.350%		09/08/26			3,050		2,964,003

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
PNC Bank NA,
Sr. Unsec’d. Notes
1.950%		03/04/19		455	$	454,207
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.910%(c)		04/30/21		1,620		1,606,418
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21		360		359,963
						73,005,626
Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
(Belgium),
Gtd. Notes, 144A
4.700%		02/01/36		1,220		1,131,425
Keurig Dr. Pepper, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21		830		828,743
						1,960,168
Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24		1,135		1,065,481
Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21		1,160		1,219,382
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44		445		360,450
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22		2,675		2,607,780
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41		5		4,989
9.400%		05/15/39		30		43,392
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55		620		522,174
5.000%		04/15/19		201		201,219
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		265		272,381
5.625%		11/15/43		295		299,655
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25		500		578,124
						6,109,546
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46		875		780,209
7.000%		10/15/37		390		484,876

SEE NOTES TO FINANCIAL STATEMENTS.

A16

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Commercial Services (continued)
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			735	$	644,963
5.875%		09/15/26			400		377,000
							2,287,048
Computers — 0.1%
Apple, Inc.,
Sr. Unsec’d. Notes
3.200%		05/13/25			2,400		2,360,341
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19			825		822,562
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			150		148,310
							3,331,213
Diversified Financial Services — 0.5%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.750%		05/15/19			600		599,955
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20			1,625		1,603,972
3.450%		04/30/21			3,215		3,213,489
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			1,300		1,309,827
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		893,761
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			465		470,787
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes
6.875%		05/02/18	(d)		700		13,650
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,850		35,150
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,380		1,381,101
U.S. Gov’t. Gtd. Notes
2.450%		07/15/24			285		281,189
3.250%		06/15/25			255		260,092
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,175		2,138,052
							12,201,025
Electric — 1.2%
Avista Corp.,
First Mortgage
4.350%		06/01/48			845		862,625

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36		530	$	639,818
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37		335		391,813
CenterPoint Energy Houston Electric LLC,
General Ref. Mtge.
6.950%		03/15/33		300		392,325
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes
5.500%		12/01/39		145		163,997
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		2,470		2,484,265
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,075		1,065,215
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		530		645,641
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		845		950,071
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		605		610,564
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		2,397		2,344,025
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		400		405,152
6.250%		10/01/39		1,375		1,433,916
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		265		287,883
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		380		461,806
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		140		163,206
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,105		2,116,862
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20		1,000		1,059,000
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		575		546,204
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		1,560		1,608,823
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19		545		549,827

SEE NOTES TO FINANCIAL STATEMENTS.

A17

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,035	$	947,433
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			980		873,362
5.000%		03/15/44			495		504,570
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,260		1,239,221
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			675		649,682
3.700%		05/01/28			850		863,460
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			515		615,585
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,010		980,858
Southern California Edison Co.,
First Ref. Mtge.
4.000%		04/01/47			350		320,861
First Ref. Mtge., Series C
3.600%		02/01/45			690		593,193
State Grid Overseas Investment 2014 Ltd. (China),
Gtd. Notes, 144A
2.750%		05/07/19			500		499,487
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		488,495
							27,759,245
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			650		640,854
Foods — 0.1%
Conagra Brands, Inc.,
Sr. Unsec’d. Notes
3.800%		10/22/21			2,470		2,470,871
Kraft Heinz Foods Co.,
Gtd. Notes
4.375%		06/01/46			360		296,578
							2,767,449
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20			275		284,948
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,270		1,337,845
							1,622,793

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43		45	$	45,261
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		2,355		2,247,246
						2,292,507
Healthcare-Products — 0.0%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24		372		359,350
Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		480		562,954
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		330		318,088
Centene Corp.,
Sr. Unsec’d. Notes
5.625%		02/15/21		750		751,875
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		435		435,505
HCA, Inc.,
Sr. Sec’d. Notes
4.500%		02/15/27		700		661,500
5.250%		04/15/25		350		348,250
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		670		661,739
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22		160		158,789
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45		340		330,589
						4,229,289
Home Builders — 0.0%
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21		1,000		990,000
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		2,010		1,964,412
Insurance — 0.3%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20		990		1,018,524
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		635		665,654

SEE NOTES TO FINANCIAL STATEMENTS.

A18

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Insurance (continued)
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42		215	$	254,971
7.000%		03/15/34		910		1,115,179
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		701		827,725
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		165		164,572
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		650		852,610
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40		100		121,582
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20		640		660,854
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		105		101,480
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,430		1,368,689
6.850%		12/16/39		122		158,626
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		315		325,930
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19		575		585,585
						8,221,981
Lodging — 0.1%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.000%		03/01/19		490		489,374
3.250%		09/15/22		805		788,351
						1,277,725
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,060		1,094,514
Media — 0.5%
21st Century Fox America, Inc.,
Gtd. Notes
6.150%		03/01/37		250		306,647
6.900%		08/15/39		35		45,997
7.625%		11/30/28		1,265		1,641,991
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24		1,225		1,160,688

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Media (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35		630	$	646,662
6.484%		10/23/45		1,000		1,027,939
Comcast Cable Holdings LLC,
Gtd. Notes
9.875%		06/15/22		1,440		1,723,139
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28		1,455		1,477,454
4.250%		10/15/30		500		505,654
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37		677		627,967
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		270		246,046
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		340		307,669
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		850		845,750
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27		585		548,907
						11,112,510
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75		315		321,637
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45		400		408,662
6.750%		04/16/40		300		331,262
						1,061,561
Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22		1,040		1,027,000
Multi-National — 0.2%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		485		483,246
2.125%		09/27/21		1,195		1,159,951
2.750%		01/06/23		385		375,822
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22		855		835,923
4.375%		02/11/20		800		812,649
						3,667,591

SEE NOTES TO FINANCIAL STATEMENTS.

A19

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas — 0.6%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		1,000	$	417,049
4.850%		03/15/21		637		652,212
6.450%		09/15/36		1,040		1,123,196
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		850		731,898
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		150		142,325
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41		225		213,346
Encana Corp. (Canada),
Sr. Unsec’d. Notes
3.900%		11/15/21		100		100,085
6.500%		02/01/38		240		260,206
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22		255		257,038
6.510%		03/07/22		440		459,470
Helmerich & Payne, Inc.,
Gtd. Notes, 144A
4.650%		03/15/25		1,555		1,585,563
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22		400		393,256
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44		595		512,513
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25		535		510,925
5.750%		02/01/29		610		564,250
6.250%		03/17/24		515		522,467
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22		330		323,235
5.500%		01/21/21		1,295		1,289,781
6.500%		06/02/41		955		790,740
8.625%		12/01/23		350		372,295
Gtd. Notes, MTN
6.750%		09/21/47		1,590		1,314,755
6.875%		08/04/26		1,000		972,000
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,000		987,712
						14,496,317
Oil & Gas Services — 0.1%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
3.000%		12/21/20		559		554,155
4.000%		12/21/25		2,170		2,141,877

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas Services (continued)
Schlumberger Investment SA,
Gtd. Notes, 144A
3.300%		09/14/21		100	$	100,242
						2,796,274
Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20		465		466,744
WestRock RKT Co.,
Gtd. Notes
4.900%		03/01/22		675		694,694
						1,161,438
Pharmaceuticals — 0.5%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		950		911,226
4.500%		05/14/35		1,595		1,475,546
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		1,770		1,679,018
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
3.452%(c)		06/25/21		805		794,277
Gtd. Notes, 144A
3.500%		06/25/21		350		347,522
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		1,870		1,880,436
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		230		220,399
5.050%		03/25/48		535		520,346
5.125%		07/20/45		440		428,300
5.300%		12/05/43		170		171,760
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		2,570		2,485,148
						10,913,978
Pipelines — 0.4%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20		473		474,774
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21		610		620,609
4.950%		06/15/28		795		777,838
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25		1,055		1,043,877
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25		1,140		1,107,171
4.875%		06/01/25		2,275		2,295,845
5.200%		03/01/47		25		23,012

SEE NOTES TO FINANCIAL STATEMENTS.

A20

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pipelines (continued)
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			130	$	145,441
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47			640		591,232
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.500%		08/15/48			80		71,220
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48			230		208,703
4.900%		01/15/45			1,100		997,335
							8,357,057
Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
4.875%		11/01/20			240		242,040
5.375%		04/15/26			725		717,032
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22			190		190,268
							1,149,340
Retail — 0.3%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.149%(c)		04/17/20			795		789,929
Sr. Unsec’d. Notes
4.000%		05/15/25			3,395		3,263,797
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,000		996,250
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22	(a)		300		296,877
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,020		938,400
							6,285,253
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,195		1,196,158
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27			1,555		1,394,998
Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			915		919,159
Microsoft Corp.,
Sr. Unsec’d. Notes
4.000%		02/12/55			360		353,534

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Software (continued)
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34		700	$	702,654
						1,975,347
Telecommunications — 0.3%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31		10		13,252
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25		3,130		2,947,373
4.500%		05/15/35		225		202,005
4.500%		03/09/48		12		10,269
4.550%		03/09/49		4		3,443
5.350%		09/01/40		113		109,776
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30		350		473,366
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20		400		410,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23		963		950,469
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.125%		08/15/46		1,900		1,676,326
4.500%		08/10/33		865		853,829
						7,650,108
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		735		906,147
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		690		816,018
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		120		132,910
						1,855,075
TOTAL CORPORATE BONDS (cost $258,409,856)						252,302,977
MUNICIPAL BONDS — 0.7%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs
4.263%		09/15/32		180		183,917
California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.263%		04/01/49		1,305		1,776,079

SEE NOTES TO FINANCIAL STATEMENTS.

A21

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
California (continued)
California Educational Facilities Authority, Stanford Univ.,
Revenue Bonds, SeriesU-7, BABs
5.000%		06/01/46		550	$	713,080
State of California,
GO BABs
7.300%		10/01/39		1,250		1,715,900
7.500%		04/01/34		350		476,956
7.550%		04/01/39		245		350,975
7.625%		03/01/40		205		291,877
						5,324,867
Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, Series2010-B, BABs
5.844%		11/01/50		565		746,540
Illinois — 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		970		1,237,972
State of Illinois,
GO, Series D, BABs
5.000%		11/01/22		2,305		2,431,130
						3,669,102
New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, Series F, BABs
7.414%		01/01/40		1,000		1,409,000
New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,100		1,313,686
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Series C, BABs
4.910%		06/01/40		415		480,213
Ohio State Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		275		302,104
						782,317
Oregon — 0.0%
State of Oregon Department of Transportation Highway,
Revenue Bonds, Series A, BABs
5.834%		11/15/34		425		528,317
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		505		619,978
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		1,100		1,432,365

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		355	$	345,575
TOTAL MUNICIPAL BONDS (cost $13,838,492)						16,355,664
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.5%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		47		46,524
Banc of America Funding Trust,
Series2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		630		623,274
Banc of America Mortgage Trust,
Series2005-A, Class 2A1
3.681%(cc)		02/25/35		141		140,321
Series2005-B, Class 2A1
3.910%(cc)		03/25/35		149		145,571
Bellemeade Re Ltd. (Bermuda),
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.206%(c)		10/25/27		462		464,396
Series2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%
4.106%(c)		04/25/28		233		233,000
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.456%(c)		08/25/28		600		598,481
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%
3.856%(c)		08/25/28		300		298,581
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%
4.106%(c)		08/25/28		300		295,270
Central Park Funding Trust,
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
3.780%(c)		11/01/23^		3,500		3,500,000
Chase Mortgage Finance Trust,
Series2007-A01, Class 1A5
4.369%(cc)		02/25/37		282		283,273
CIM Trust,
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		12/25/57		2,072		2,083,255
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		01/25/57		2,571		2,611,152
Series2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,206		1,164,079
Series2017-08, Class A1, 144A
3.000%(cc)		12/25/65		2,382		2,342,659
CSMC Trust,
Series 2018-RPL09, Class A, 144A
3.850%(cc)		09/25/57		1,949		1,972,321
Fannie Mae Connecticut Avenue Securities,
Series2016-C02, Class 1M1, 1 Month LIBOR + 2.150%
4.656%(c)		09/25/28		60		60,294
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.956%(c)		01/25/29		450		451,686

SEE NOTES TO FINANCIAL STATEMENTS.

A22

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%
3.806%(c)		03/25/29		950	$	951,049
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.756%(c)		11/25/28		589		598,250
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		07/25/29		1,711		1,718,436
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%
3.256%(c)		03/25/30		3,441		3,430,611
Gosforth Funding PLC (United Kingdom),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%
3.139%(c)		08/25/60		1,555		1,550,014
Holmes Master Issuer PLC (United Kingdom),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%
2.796%(c)		10/15/54		1,600		1,593,650
JPMorgan Mortgage Trust,
Series2007-A01, Class 4A1
4.570%(cc)		07/25/35		136		138,021
Lanark Master Issuer PLC (United Kingdom),
Series2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%
3.097%(c)		12/22/69		1,148		1,142,847
Lehman XS Trust,
Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%
2.711%(c)		08/25/46		994		974,723
LSTAR Securities Investment Ltd. (Cayman Islands),
Series2017-05, Class A, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		05/01/22		1,050		1,046,218
Series2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
4.170%(c)		11/01/22		703		702,944
LSTAR Securities Investment Trust,
Series2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
4.099%(c)		09/01/22		814		815,497
MASTR Alternative Loan Trust,
Series2004-04, Class 4A1
5.000%		04/25/19		1		744
MetLife Securitization Trust,
Series2018-01A, Class A, 144A
3.750%(cc)		03/25/57		673		678,917
New Residential Mortgage Loan Trust,
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		01/25/48		638		634,824
Oaktown Re II Ltd. (Bermuda),
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
4.056%(c)		07/25/28		300		300,364
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		09/25/48		1,000		998,072
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.232%(cc)		02/25/34		189		189,194
Washington Mutual Mortgage Pass-Through Certificates,
Series2005-01, Class 3A
5.000%		03/25/20		33		32,498
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $34,790,992)						34,811,010

Interest Rate	Maturity Date			Principal Amount (000)#		Value
SOVEREIGN BONDS — 1.2%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			2,420	$	2,311,197
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			220		217,800
4.375%		07/12/21			400		406,000
7.375%		09/18/37			450		544,275
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28			745		700,170
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20			265		272,735
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		384,668
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21			1,760		1,857,398
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25	EUR		1,200		1,462,757
4.450%		02/11/24			355		356,842
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24			750		799,577
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24	EUR		1,510		1,748,812
4.750%		01/08/26			350		354,583
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
1.500%		07/21/21			400		387,186
2.125%		11/16/20			1,200		1,184,644
3.375%		10/31/23			200		203,782
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21			600		588,589
2.125%		10/25/23			1,000		958,017
2.625%		04/20/22			1,400		1,382,506
Sr. Unsec’d. Notes, EMTN
2.125%		04/13/21			200		196,196
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes
4.000%		10/02/23			438		435,959
Sr. Unsec’d. Notes, MTN
4.750%		03/08/44			366		332,694
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25			490		485,350
4.000%		09/22/24			395		398,361
4.500%		04/16/50			340		325,550
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23			750		765,190
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23			800		809,064
5.103%		04/23/48			885		929,471

SEE NOTES TO FINANCIAL STATEMENTS.

A23

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#			Value
SOVEREIGN BONDS (continued)
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21			980		$	943,303
2.875%		03/04/23			1,285			1,235,201
4.000%		04/17/25			750			743,381
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,200			1,177,457
3.250%		06/01/23			600			604,294
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20			1,260			1,284,250
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55			560			532,566
5.100%		06/18/50			490			480,935
TOTAL SOVEREIGN BONDS (cost $28,317,962)								27,800,760
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7%
Federal Home Loan Bank
5.500%		07/15/36	(k)		850			1,092,909
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			1,009			965,279
2.500%		03/01/30			590			579,059
3.000%		10/01/28			461			462,375
3.000%		06/01/29			873			874,399
3.000%		01/01/37			263			260,489
3.000%		06/01/42			415			408,186
3.000%		10/01/42			970			953,549
3.000%		01/01/43			873			857,820
3.000%		07/01/43			2,288			2,247,552
3.500%		TBA			9,250			9,238,895
3.500%		06/01/42			418			421,238
3.500%		01/01/47			937			938,678
4.000%		TBA			15,000			15,291,504
4.000%		06/01/26			591			606,911
4.000%		09/01/26			203			208,503
4.000%		03/01/38			522			536,728
4.000%		10/01/39			681			700,170
4.000%		12/01/40			458			471,575
4.000%		10/01/41			475			488,611
4.000%		01/01/42			165			169,325
4.000%		10/01/48			9,377			9,561,430
4.000%		11/01/48			1,062			1,082,511
4.500%		02/01/19			—	(r)		36
4.500%		07/01/19			14			14,350
4.500%		07/01/20			24			24,578
4.500%		02/01/39			98			102,760
4.500%		09/01/39			168			175,959
4.500%		10/01/39			1,525			1,597,224
4.500%		12/01/39			146			152,458
4.500%		07/01/41			274			285,580
4.500%		07/01/41			1,806			1,890,529
4.500%		08/01/41			131			136,115
4.500%		08/01/41			232			240,812
4.500%		08/01/41			556			582,610
4.500%		10/01/41			152			157,374

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		12/01/47			497	$	514,857
5.000%		05/01/34			21		21,970
5.000%		05/01/34			334		354,201
5.000%		10/01/35			8		8,331
5.000%		07/01/37			513		543,576
5.000%		05/01/39			73		77,737
5.500%		12/01/33			47		49,173
5.500%		01/01/34			47		50,263
5.500%		06/01/34			81		87,823
5.500%		07/01/34			207		222,351
5.500%		05/01/37			57		61,050
5.500%		02/01/38			465		498,474
5.500%		05/01/38			51		54,468
5.500%		07/01/38			125		133,712
6.000%		03/01/32			233		252,307
6.000%		12/01/33			53		56,937
6.000%		11/01/36			58		63,052
6.000%		01/01/37			49		53,297
6.000%		05/01/37			29		32,129
6.000%		02/01/38			5		5,220
6.000%		08/01/39			73		79,804
6.750%		03/15/31	(k)		550		747,792
7.000%		05/01/31			14		14,733
7.000%		06/01/31			14		14,512
7.000%		08/01/31			115		123,299
7.000%		10/01/31			7		7,066
Federal National Mortgage Assoc.
2.000%		08/01/31			925		885,120
2.500%		01/01/28			872		860,248
2.500%		10/01/43			726		688,356
2.500%		12/01/46			1,520		1,435,344
3.000%		02/01/27			1,824		1,829,388
3.000%		08/01/30			1,220		1,218,973
3.000%		11/01/36			2,403		2,376,838
3.000%		12/01/42			1,798		1,768,315
3.000%		11/01/46			1,431		1,395,315
3.000%		03/01/47			982		957,818
3.500%		TBA			6,500		6,493,946
3.500%		02/01/33			3,444		3,487,990
3.500%		06/01/39			593		595,943
3.500%		01/01/42			4,818		4,855,732
3.500%		05/01/42			2,556		2,575,457
3.500%		07/01/42			934		941,343
3.500%		08/01/42			394		397,020
3.500%		08/01/42			1,194		1,202,863
3.500%		09/01/42			526		530,579
3.500%		09/01/42			1,952		1,967,364
3.500%		11/01/42			343		345,194
3.500%		03/01/43			2,781		2,802,544
3.500%		04/01/43			658		663,290
3.500%		04/01/43			1,006		1,013,691
3.500%		01/01/46			2,080		2,086,255
4.000%		TBA			12,500		12,742,187
4.000%		10/01/41			3,007		3,091,664
4.000%		09/01/44			2,891		2,954,152
4.000%		11/01/47			903		925,770
4.500%		07/01/33			57		59,576
4.500%		08/01/33			48		49,846

SEE NOTES TO FINANCIAL STATEMENTS.

A24

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		09/01/33		116		$	120,813
4.500%		10/01/33		10			10,792
4.500%		10/01/33		36			37,381
4.500%		10/01/33		151			156,970
4.500%		01/01/35		2			1,802
4.500%		07/01/39		998			1,045,137
4.500%		08/01/39		1,525			1,596,473
4.500%		03/01/41		524			548,476
5.000%		TBA		4,250			4,451,543
5.000%		03/01/34		271			288,143
5.000%		06/01/35		100			105,980
5.000%		07/01/35		132			139,462
5.000%		09/01/35		80			84,730
5.000%		11/01/35		103			109,400
5.000%		02/01/36		125			132,753
5.000%		05/01/36		62			66,160
5.500%		09/01/33		283			304,933
5.500%		10/01/33		88			94,417
5.500%		12/01/33		62			67,126
5.500%		01/01/34		1			1,510
5.500%		12/01/34		199			213,871
5.500%		10/01/35		726			775,542
5.500%		03/01/36		136			146,676
5.500%		05/01/36		122			130,752
5.500%		04/01/37		111			119,279
6.000%		05/01/21		31			32,015
6.000%		08/01/22		34			34,387
6.000%		04/01/33		17			18,696
6.000%		06/01/33		6			6,724
6.000%		10/01/33		317			341,336
6.000%		11/01/33		6			6,333
6.000%		11/01/33		22			23,429
6.000%		11/01/33		49			52,157
6.000%		01/01/34		314			341,979
6.000%		02/01/34		76			82,920
6.000%		03/01/34		33			35,888
6.000%		03/01/34		67			71,563
6.000%		07/01/34		183			199,142
6.000%		08/01/34		1			666
6.000%		10/01/34		3			3,672
6.000%		11/01/34		3			2,874
6.000%		11/01/34		45			48,898
6.000%		12/01/34		24			25,367
6.000%		01/01/35		80			86,756
6.000%		01/01/35		240			260,083
6.000%		02/01/35		5			4,824
6.000%		02/01/35		79			84,502
6.000%		02/01/35		277			306,361
6.000%		03/01/35		3			2,875
6.000%		04/01/35		1			1,071
6.000%		07/01/36		48			51,890
6.000%		02/01/37		83			90,700
6.000%		05/01/37		32			34,853
6.000%		06/01/37		1			901
6.000%		08/01/37		—	(r)		208
6.000%		08/01/37		18			19,991
6.000%		09/01/37		—	(r)		378
6.000%		10/01/37		38			41,247

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		05/01/38			75	$	81,734
6.000%		06/01/38			2		2,614
6.250%		05/15/29	(k)		1,245		1,596,553
6.500%		07/01/32			45		48,646
6.500%		09/01/32			2		1,825
6.500%		09/01/32			14		15,177
6.500%		09/01/32			67		73,215
6.500%		09/01/32			67		73,440
6.500%		09/01/32			94		102,533
6.500%		04/01/33			112		126,455
6.500%		11/01/33			22		24,343
6.500%		01/01/34			45		48,522
6.500%		09/01/34			73		78,008
6.500%		10/01/34			156		169,965
6.500%		09/01/36			63		70,955
6.500%		10/01/36			29		32,857
6.500%		11/01/36			22		23,752
6.500%		01/01/37			41		43,599
6.500%		01/01/37			112		121,505
6.625%		11/15/30	(k)		800		1,072,342
7.000%		02/01/32			33		35,952
7.000%		05/01/32			16		18,992
7.000%		06/01/32			20		22,244
7.000%		07/01/32			59		65,291
7.125%		01/15/30	(k)		3,195		4,397,365
Government National Mortgage Assoc.
2.500%		12/20/46			783		749,789
3.000%		12/20/44			359		355,330
3.000%		03/15/45			1,092		1,076,654
3.000%		11/20/45			1,018		1,005,603
3.000%		03/20/46			2,354		2,323,431
3.000%		07/20/46			4,351		4,291,364
3.000%		08/20/46			1,620		1,598,141
3.000%		11/20/46			820		808,510
3.000%		12/20/46			1,467		1,445,749
3.000%		01/20/47			417		410,765
3.000%		04/20/47			1,740		1,714,882
3.500%		TBA			9,500		9,558,633
3.500%		12/20/42			1,472		1,488,752
3.500%		05/20/43			452		457,198
3.500%		04/20/45			2,007		2,023,478
3.500%		07/20/46			7,595		7,648,226
4.000%		TBA			5,000		5,115,430
4.000%		06/15/40			98		101,529
4.000%		05/20/41			80		82,202
4.000%		12/20/42			733		756,953
4.000%		08/20/44			357		367,024
4.000%		11/20/45			820		845,398
4.000%		12/20/45			2,160		2,228,046
4.500%		TBA			5,500		5,691,104
4.500%		04/15/40			696		726,683
4.500%		01/20/41			569		597,141
4.500%		02/20/41			951		997,986
4.500%		03/20/41			481		504,330
4.500%		06/20/44			716		752,595
4.500%		09/20/46			675		707,713
4.500%		11/20/46			1,005		1,057,140
4.500%		03/20/47			703		734,280

SEE NOTES TO FINANCIAL STATEMENTS.

A25

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.000%		10/20/37		104		$	109,308
5.000%		04/20/45		725			766,140
5.500%		08/15/33		253			269,194
5.500%		08/15/33		283			300,871
5.500%		09/15/33		81			86,402
5.500%		12/15/33		34			36,095
5.500%		03/15/34		163			173,428
5.500%		12/15/34		362			393,109
5.500%		07/15/35		74			79,851
5.500%		04/15/36		133			142,259
6.000%		11/15/23		—	(r)		420
6.000%		05/15/32		—	(r)		257
6.000%		04/15/33		9			9,522
6.000%		12/15/33		128			137,180
6.000%		01/15/34		36			39,799
6.000%		01/15/34		60			64,631
6.000%		01/15/34		69			75,105
6.000%		06/20/34		124			134,828
6.000%		07/15/34		89			97,047
6.500%		10/15/23		1			1,097
6.500%		12/15/23		4			4,459
6.500%		01/15/24		—	(r)		156
6.500%		01/15/24		—	(r)		516
6.500%		01/15/24		1			1,479
6.500%		01/15/24		4			3,787
6.500%		01/15/24		12			12,614
6.500%		01/15/24		16			17,326
6.500%		01/15/24		17			18,403
6.500%		01/15/24		38			40,684
6.500%		01/15/24		59			63,933
6.500%		02/15/24		3			3,130
6.500%		02/15/24		5			5,797
6.500%		02/15/24		6			5,913
6.500%		02/15/24		7			7,066
6.500%		02/15/24		12			12,704
6.500%		02/15/24		13			13,764
6.500%		03/15/24		1			1,536
6.500%		03/15/24		3			3,462
6.500%		03/15/24		4			4,219
6.500%		04/15/24		—	(r)		401
6.500%		04/15/24		1			1,166
6.500%		04/15/24		1			1,590
6.500%		04/15/24		2			2,388
6.500%		04/15/24		2			2,550
6.500%		04/15/24		3			3,141
6.500%		04/15/24		7			7,783
6.500%		04/15/24		13			14,414
6.500%		05/15/24		4			4,513
6.500%		05/15/24		5			5,859
6.500%		05/15/24		22			24,194
6.500%		10/15/24		20			21,798
6.500%		11/15/28		6			6,412
6.500%		08/15/31		7			8,007
6.500%		12/15/31		11			11,760
6.500%		02/15/32		38			40,650
6.500%		06/15/32		24			25,414
6.500%		07/15/32		44			47,283
6.500%		08/15/32		6			6,095

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		08/15/32			7		$	8,057
6.500%		08/15/32			8			8,454
6.500%		08/15/32			27			29,209
6.500%		08/15/32			203			232,329
6.500%		08/15/34			26			29,035
6.500%		06/15/35			42			47,313
6.500%		09/15/36			60			68,337
8.000%		01/15/24			8			7,928
8.000%		07/15/24			—	(r)		468
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes
3.000%		06/30/25			915			910,179
Tennessee Valley Authority, Sr. Unsec’d. Notes
7.125%		05/01/30			510			702,413
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $206,688,806)								206,155,717
U.S. TREASURY OBLIGATIONS — 1.9%
U.S. Treasury Bonds
3.000%		08/15/48			1,050			1,045,037
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			5,889			5,791,455
2.375%		01/15/27			30,928			34,142,308
U.S. Treasury Notes
2.625%		12/15/21			75			75,337
2.625%		12/31/23			425			427,225
2.875%		11/30/23	(k)		300			305,226
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			2,115			1,642,704
2.241%(s)		05/15/28			1,055			812,690
2.280%(s)		02/15/29			1,055			793,415
2.519%(s)		08/15/25			680			571,375
TOTAL U.S. TREASURY OBLIGATIONS (cost $46,456,208)								45,606,772
TOTAL LONG-TERM INVESTMENTS(cost $1,358,041,954)								2,046,225,232
				Shares
SHORT-TERM INVESTMENTS — 17.7%
AFFILIATED MUTUAL FUNDS — 17.5%
PGIM Core Short-Term Bond Fund(w)					6,525,324			60,098,231
PGIM Core Ultra Short Bond Fund(w)					321,028,979			321,028,979
PGIM Institutional Money Market Fund (cost $35,066,813; includes $34,978,670 of cash collateral for securities on loan)(b)(w)					35,069,293			35,065,786
TOTAL AFFILIATED MUTUAL FUNDS(cost $416,352,928)								416,192,996
Interest Rate	Maturity Date			Principal Amount (000)#
COMMERCIAL PAPER — 0.1%
Ford Motor Credit Co. LLC
3.201%(n)		04/09/19			1,790			1,773,529
(cost $1,774,748)

SEE NOTES TO FINANCIAL STATEMENTS.

A26

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills
2.376%(n)		03/21/19	(k)		1,895	$	1,885,387
(cost $1,885,303)
OPTIONS PURCHASED*~ — 0.0%
(cost $16,598)							355,091
TOTAL SHORT-TERM INVESTMENTS (cost $420,029,577)							420,207,003
TOTAL INVESTMENTS — 104.1% (cost $1,778,071,531)							2,466,432,235
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.1)%							(96,658,697	)
NET ASSETS — 100.0%						$	2,369,773,538

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $4,254,073 and 0.2% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $34,025,598; cash collateral of $34,978,670 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment.Non-income producing security. Such securities may be post-maturity.

(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchased date.

(r) Less than $500 par.

(rr) Perpetual security with no stated maturity date.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date	Strike	Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC	11/21/19	0.13%		—		400	$	2,334
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/21/19	0.12%		—		600		3,666
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/12/21	0.11%		—		2,424		22,325
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/13/21	0.11%		—		2,357		21,724
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/16/21	0.15%		—		5,892		52,025
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/20/21	0.15%		—		11,696		112,032
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.	09/13/21	0.14%		—		11,860		116,593
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/09/21	0.21%		—		2,357		24,392
Total Options Purchased (cost $16,598)										$	355,091

Futures contracts outstanding at December 31, 2018:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
623		2 Year U.S. Treasury Notes		Mar. 2019	$	132,270,688	$	852,615
1,038		5 Year U.S. Treasury Notes		Mar. 2019		119,045,625		1,918,273
27		10 Year U.S. Ultra Treasury Notes		Mar. 2019		3,512,109		19,568
583		30 Year U.S. Ultra Treasury Bonds		Mar. 2019		93,662,594		4,805,079

SEE NOTES TO FINANCIAL STATEMENTS.

A27

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Futures contracts outstanding at December 31, 2018 (continued):

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions (continued):
7		Mini MSCI EAFE Index		Mar. 2019	$	600,600	$	(14,352	)
133		S&P 500E-Mini Index		Mar. 2019		16,659,580		(381,328	)
25		S&P 500 Index		Mar. 2019		15,657,500		(438,282	)
								6,761,573
Short Positions:
315		10 Year U.S. Treasury Notes		Mar. 2019		38,434,922		(529,860	)
387		20 Year U.S. Treasury Bonds		Mar. 2019		56,502,000		(2,501,709	)
								(3,031,569	)
							$	3,730,004

Forward foreign currency exchange contracts outstanding at December 31, 2018:

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 01/25/19	Morgan Stanley & Co. International PLC	EUR	2,497	$	2,844,660	$	2,867,310	$	—	$	(22,650	)
Expiring 01/25/19	Morgan Stanley & Co. International PLC	EUR	2,497		2,826,055		2,867,309		—		(41,254	)
				$	5,670,715	$	5,734,619	$	—	$	(63,904	)

Credit default swap agreements outstanding at December 31, 2018:

Reference Entity/ Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Value at Trade Date

Value at December 31, 2018

Unrealized Appreciation (Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

CDX.NA.IG.31.V1

12/20/28

1.000%(Q)

39,000

$

230,699

$

1,013,909

$

783,210

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may includeup-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

SEE NOTES TO FINANCIAL STATEMENTS.

A28

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Forward rate agreement outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreement^:
	79,800		01/14/19		—(3)	—(3)	$	(33,295	)	$	—	$	(33,295	)	JPMorgan Securities LLC
	46,400		01/14/19		—(4)	—(4)		(12,632	)		—		(12,632	)	Citigroup Global Markets Inc.
							$	(45,927	)	$	—	$	(45,927	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.337% upon termination.

(4) The Portfolio pays or receives payments based on CMM102 minus 7 Year CMT minus 1.395% upon termination.

Inflation swap agreement outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	7,080		12/19/23		1.900%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(44,941	)	$	(44,941	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
EUR	2,835		05/11/24		0.396%(A)	6 Month EURIBOR(1)(S)	$	21,623		$	(35,298	)	$	(56,921	)
	47,045		06/30/19		1.486%(A)	1 Day USOIS(1)(A)		(17,942	)		363,837			381,779
	9,895		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(5,200	)		74,956			80,156
	17,865		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		5,028			121,291			116,263
	28,570		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		17,379			197,610			180,231
	13,360		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		3,688			66,806			63,118
	5,500		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		62			18,872			18,810
	2,345		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		(5	)		5,336			5,341
	17,640		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			(68,592	)		(68,592	)
	570		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			(2,466	)		(2,466	)
	14,815		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		32,653			251,541			218,888
	11,300		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		35,176			163,200			128,024
	7,455		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(78,468	)		(78,468	)
	1,180		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(12,542	)		(12,542	)
	4,758		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(3,258	)		(112,344	)		(109,086	)
	2,620		07/31/25		2.802%(A)	1 Day USOIS(1)(A)		—			(78,344	)		(78,344	)
	3,685		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		2,908			(111,220	)		(114,128	)
	11,431		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		657			(348,079	)		(348,736	)
	27,645		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		216,718			602,189			385,471
	5,668		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		62,809			228,829			166,020
	1,185		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		1,502			40,484			38,982
	925		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			26,537			26,537
	3,150		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(1,997	)		63,419			65,416
	525		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			14,731			14,731
	3,417		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(7,561	)		(51,532	)		(43,971	)
	4,601		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(18,251	)		(51,897	)		(33,646	)
	145		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			4,812			4,812
							$	345,989		$	1,293,668		$	947,679

SEE NOTES TO FINANCIAL STATEMENTS.

A29

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest rate swap agreements outstanding at December 31, 2018 (continued):

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(45,927	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	—	$	7,508,409
Goldman Sachs & Co.		—		1,885,387
Total	$	—	$	9,393,796

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,064,691,664	$	18,553,213		$	—
Exchange Traded Funds		6,378,590		—			—
Preferred Stocks		1,245,000		32,193			—
Rights		4,288		—			—
Asset-Backed Securities
Automobiles		—		43,764,289			—
Collateralized Loan Obligations.		—		64,008,411			—
Consumer Loans		—		6,913,058			—
Credit Cards.		—		12,672,940			—
Equipment		—		7,502,217			—
Home Equity Loans		—		3,511,597			—
Other		—		1,659,379			—
Residential Mortgage-Backed Securities		—		17,894,881			800,000
Student Loans		—		18,103,895			—
Commercial Mortgage-Backed Securities		—		195,456,717			—
Corporate Bonds		—		252,302,977			—
Municipal Bonds		—		16,355,664			—
Residential Mortgage-Backed Securities		—		31,311,010			3,500,000
Sovereign Bonds		—		27,800,760			—
U.S. Government Agency Obligations		—		206,155,717			—
U.S. Treasury Obligations		—		47,492,159			—
Affiliated Mutual Funds		416,192,996		—			—
Commercial Paper		—		1,773,529			—
Options Purchased		—		355,091			—
Other Financial Instruments*
Futures Contracts		3,730,004		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(63,904	)		—
Centrally Cleared Credit Default Swap Agreement		—		783,210			—

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

	Level 1		Level 2			Level 3
Other Financial Instruments* (continued)
OTC Forward Rate Agreements	$	—	$	—		$	(45,927	)
Centrally Cleared Inflation Swap Agreement.		—		(44,941	)		—
Centrally Cleared Interest Rate Swap Agreements		—		947,679			—
Total	$	1,492,242,542	$	975,241,741		$	4,254,073

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

Affiliated Mutual Funds (1.5% represents investments purchased with collateral from securities on loan)	17.5	%
U.S. Government Agency Obligations	8.7
Commercial Mortgage-Backed Securities	8.2
Banks	5.7
Pharmaceuticals	2.9
Software	2.9
Collateralized Loan Obligations	2.7
Residential Mortgage-Backed Securities	2.3
Oil, Gas & Consumable Fuels	2.2
IT Services	2.2
Interactive Media & Services	2.1
Automobiles	2.0
U.S. Treasury Obligations	2.0
Technology Hardware, Storage & Peripherals	1.7
Semiconductors & Semiconductor Equipment	1.7
Internet & Direct Marketing Retail	1.6
Health Care Equipment & Supplies	1.5
Health Care Providers & Services	1.5
Insurance	1.4
Diversified Financial Services	1.4
Capital Markets	1.4
Equity Real Estate Investment Trusts (REITs)	1.3
Chemicals	1.3
Aerospace & Defense	1.2
Biotechnology	1.2
Sovereign Bonds	1.2
Electric	1.2
Specialty Retail	1.1
Media	1.1
Diversified Telecommunication Services	1.0
Beverages	1.0
Electric Utilities	0.9
Entertainment	0.9
Hotels, Restaurants & Leisure	0.8
Student Loans	0.8
Household Products	0.8
Food & Staples Retailing	0.7
Machinery	0.7
Municipal Bonds	0.7
Industrial Conglomerates	0.7
Oil & Gas	0.6
Food Products	0.5
Credit Cards	0.5
Communications Equipment	0.5
Auto Manufacturers	0.5

Multi-Utilities	0.5	%
Road & Rail	0.5
Life Sciences Tools & Services	0.5
Airlines	0.4
Tobacco	0.4
Pipelines	0.4
Textiles, Apparel & Luxury Goods	0.4
Telecommunications	0.3
Equipment	0.3
Consumer Finance	0.3
Consumer Loans	0.3
Air Freight & Logistics	0.3
Exchange Traded Funds	0.3
Retail	0.3
Multiline Retail	0.2
Energy Equipment & Services	0.2
Electrical Equipment	0.2
Electronic Equipment, Instruments & Components	0.2
Healthcare-Services	0.2
Commercial Services & Supplies	0.2
Household Durables	0.2
Multi-National	0.2
Home Equity Loans	0.2
Professional Services	0.1
Computers	0.1
Metals & Mining	0.1
Containers & Packaging	0.1
Building Products	0.1
Oil & Gas Services	0.1
Agriculture	0.1
Foods	0.1
Gas	0.1
Trading Companies & Distributors	0.1
Commercial Services	0.1
Housewares	0.1
Personal Products	0.1
Transportation	0.1
Commercial Paper	0.1
Other	0.1
Forest Products & Paper	0.1
Auto Components	0.1
Semiconductors	0.1
Lodging	0.1
Construction Materials	0.1
Savings & Loans	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A31

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Industry Classification (continued):

Construction & Engineering	0.1	%
Packaging & Containers	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Machinery-Diversified	0.0	*
Building Materials	0.0	*
Mining	0.0	*
Distributors	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Miscellaneous Manufacturing	0.0	*
Real Estate Management & Development	0.0	*
Home Builders	0.0	*
Health Care Technology	0.0	*
Water Utilities	0.0	*
Leisure Products	0.0	*
Electronics	0.0	*

Healthcare-Products	0.0	*%
Options Purchased	0.0	*
Diversified Consumer Services	0.0	*
Wireless Telecommunication Services	0.0	*
Paper & Forest Products	0.0	*
Transportation Infrastructure	0.0	*
Marine	0.0	*
	104.1
Liabilities in excess of other assets	(4.1	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker — variation margin swaps	$	783,210	*	—	$	—
Equity contracts	—		—		Due from/to broker — variation margin futures		833,962	*
Equity contracts	Unaffiliated investments		4,288		—		—
Foreign exchange contracts	—		—		Unrealized depreciation on OTC forward foreign currency exchange contracts		63,904
Interest rate contracts	Due from/to broker — variation margin futures		7,595,535	*	Due from/to broker — variation margin futures		3,031,569	*
Interest rate contracts	Due from/to broker — variation margin swaps		1,894,579	*	Due from/to broker — variation margin swaps		991,841	*
Interest rate contracts	Unaffiliated investments		355,091		—		—
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		45,927
		$	10,632,703			$	4,967,203

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A32

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	—	$	—		$	—	$	—		$	—	$	—		$	(296,252	)
Equity contracts		7,470		—			—		(1,704,478	)		—		—			—
Foreign exchange contracts		—		—			—		—			326,094		—			—
Interest rate contracts		—		(306,253	)		22,570		(8,758,987	)		—		(47,506	)		1,628,380
Total	$	7,470	$	(306,253	)	$	22,570	$	(10,463,465	)	$	326,094	$	(47,506	)	$	1,332,128

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)		Futures			Forward Currency Contracts			Forward Rate Agreements			Swaps
Credit contracts.	$	—		$	—	$	—		$	—		$	—		$	783,210
Equity contracts		(102	)		—		(1,030,190	)		—			—			—
Foreign exchange contracts		—			—		—			(21,636	)		—			—
Interest rate contracts		—			338,493		5,150,133			—			(45,927	)		425,071
Total	$	(102	)	$	338,493	$	4,119,943		$	(21,636	)	$	(45,927	)	$	1,208,281

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)
$53,517	$74,000	$446,191,477	$115,722,338

Forward Foreign Currency Exchange Contracts—Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements—Buy Protection(2)
$4,363,955	$69,640,000	$882,796,878	$15,600,000

Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$499,000	$2,408,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

SEE NOTES TO FINANCIAL STATEMENTS.

A33

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	34,025,598	$	(34,025,598	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	280,650	$	—		$	280,650		$	(260,000	)	$	20,650
Barclays Bank PLC		72,107		—			72,107			—			72,107
Citigroup Global Markets Inc.		—		(12,632	)		(12,632	)		—			(12,632	)
JPMorgan Securities LLC		—		(33,295	)		(33,295	)		—			(33,295	)
Morgan Stanley & Co. International PLC		2,334		(63,904	)		(61,570	)		—			(61,570	)
	$	355,091	$	(109,831	)	$	245,260		$	(260,000	)	$	(14,740	)

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A34

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value, including securities on loan of $34,025,598:
Unaffiliated investments (cost $1,361,718,603)	$	2,050,239,239
Affiliated investments (cost $416,352,928)		416,192,996
Cash		7,189
Foreign currency, at value (cost $250,205)		252,140
Receivable for investments sold		24,740,152
Dividends and interest receivable		6,996,500
Due from broker-variation margin futures		636,166
Tax reclaim receivable		545,717
Receivable for Portfolio shares sold		537,354
Receivable from affiliate		5,542
Prepaid expenses		19,000
Total Assets		2,500,171,995
LIABILITIES
Payable for investments purchased		92,317,525
Payable to broker for collateral for securities on loan		34,978,670
Management fee payable		1,121,307
Payable for Portfolio shares repurchased		695,999
Accrued expenses and other liabilities		430,808
Due to broker-variation margin swaps		278,450
Cash segregated from counterparty — OTC		260,000
Payable to affiliate		204,887
Unrealized depreciation on OTC forward foreign currency exchange contracts		63,904
Unrealized depreciation on OTC forward rate agreements		45,927
Affiliated transfer agent fee payable		980
Total Liabilities		130,398,457
NET ASSETS	$	2,369,773,538
Net assets were comprised of:
Partners Equity	$	2,369,773,538
Net asset value and redemption price per share, $2,369,773,538 / 89,431,845 outstanding shares of beneficial interest	$	26.50

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	30,287,310
Unaffiliated dividend income (net) (foreign withholding tax $162,068, of which $21,531 is reimbursable by an affiliate)		25,919,133
Affiliated dividend income		7,680,145
Income from securities lending, net (including affiliated income of $135,802)		140,665
Total income		64,027,253
EXPENSES
Management fee		13,944,012
Custodian and accounting fees		377,229
Shareholders’ reports		331,343
Audit fee		49,532
Trustees’ fees		35,531
Legal fees and expenses		18,194
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		83,100
Total expenses		14,849,623
NET INVESTMENT INCOME (LOSS)		49,177,630
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(3,471,841))		78,702,956
Futures transactions		(10,463,465	)
Forward rate agreement transactions		(47,506	)
Forward currency contract transactions		326,094
Options written transactions		22,570
Swap agreements transactions		1,332,128
Foreign currency transactions		(121,102	)
		69,751,675
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $2,964,744)		(183,029,395	)
Futures		4,119,943
Forward rate agreements		(45,927	)
Forward currency contracts		(21,636	)
Swap agreements		1,208,281
Foreign currencies		(3,672	)
		(177,772,406	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(108,020,731	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(58,843,101	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	49,177,630		$	44,458,968
Net realized gain (loss) on investment and foreign currency transactions		69,751,675			131,476,601
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(177,772,406	)		119,341,110
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(58,843,101	)		295,276,679
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [303,199 and 357,202 shares, respectively]		8,272,676			9,258,591
Portfolio shares repurchased [6,356,332 and 7,143,196 shares, respectively]		(174,377,090	)		(183,096,479	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(166,104,414	)		(173,837,888	)
CAPITAL CONTRIBUTIONS		55,261			—
TOTAL INCREASE (DECREASE)		(224,892,254	)		121,438,791
NET ASSETS:
Beginning of year		2,594,665,792			2,473,227,001
End of year	$	2,369,773,538		$	2,594,665,792

SEE NOTES TO FINANCIAL STATEMENTS.

A35

DIVERSIFIED BOND PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 95.2%
ASSET-BACKED SECURITIES — 28.2%
Automobiles — 0.3%
Ford Credit Floorplan Master Owner Trust A,
Series2018-04, Class A
4.060%		11/15/30		3,200	$	3,198,081
Hertz Vehicle Financing II LP,
Series2015-01A, Class A, 144A
2.730%		03/25/21		400		396,617
						3,594,698
Collateralized Loan Obligations — 19.1%
ArrowMark Colorado Holdings (Cayman Islands),
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.716%(c)		07/15/29		250		249,461
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.470%(c)		11/17/27		4,500		4,452,698
Series2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260%
3.696%(c)		07/16/29		500		495,016
Atrium (Cayman Islands),
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.299%(c)		04/22/27		8,250		8,151,380
Battalion CLO Ltd.,
Series2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070%
3.710%(c)		05/17/31		3,000		2,955,990
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		10/15/30		4,500		4,486,618
Brookside Mill CLO Ltd. (Cayman Islands),
Series2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350%
3.799%(c)		01/17/28		2,500		2,436,755
Carlyle US CLO Ltd. (Cayman Islands),
Series2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180%
3.616%(c)		01/15/30		4,000		3,964,015
Catamaran CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%
3.729%(c)		04/22/30		7,750		7,712,042
CIFC Funding Ltd. (Cayman Islands),
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980%
3.467%(c)		04/24/31		1,500		1,477,785
Series2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110%
3.579%(c)		01/22/31		3,750		3,718,197
Series2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870%
3.320%(c)		04/19/29		5,000		4,933,382
Elevation CLO Ltd. (Cayman Islands),
Series2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230%
3.666%(c)		10/15/29		7,500		7,475,120
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.220%
3.656%(c)		07/15/30		5,250		5,215,580
Flagship CLO Ltd. (Cayman Islands),
Series2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%
3.286%(c)		01/16/26		5,000		4,985,726
Greenwood Park CLO Ltd. (Cayman Islands),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.446%(c)		04/15/31		6,000		5,908,990
Greywolf CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.538%(c)		04/26/31		3,500		3,440,667

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Highbridge Loan Management Ltd. (Cayman Islands),
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.582%(c)		02/05/31		4,000	$	3,931,467
ICG US CLO Ltd. (Cayman Islands),
Series2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030%
3.520%(c)		04/25/31		2,500		2,457,929
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.757%(c)		10/23/29		1,250		1,241,844
Mariner CLO Ltd. (Cayman Islands),
Series2018-05A, Class A, 144A, 3 Month LIBOR + 1.110%
3.600%(c)		04/25/31		5,750		5,676,520
MidOcean Credit CLO (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.589%(c)		04/21/31		9,750		9,630,179
Series2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.795%(c)		02/20/31		4,000		3,948,848
Mountain View CLO LLC (Cayman Islands),
Series2017-02A, Class A, 144A, 3 Month LIBOR + 1.210%
3.646%(c)		01/16/31		4,000		3,970,176
Mountain View CLO Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250%
3.675%(c)		10/12/30		8,000		7,957,418
Series2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.556%(c)		07/15/31		6,000		5,925,163
Neuberger Berman CLO Ltd. (Cayman Islands),
Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850%
3.286%(c)		01/15/28		3,000		2,970,285
OCP CLO Ltd. (Cayman Islands),
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.696%(c)		07/15/30		750		746,489
OZLM Ltd. (Cayman Islands),
Series2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
3.749%(c)		10/20/31		2,750		2,730,401
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.770%(c)		10/30/30		1,250		1,243,183
Palmer Square CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%
3.579%(c)		01/17/31		4,000		3,955,405
Series2015-02A, Class A1AR, 144A, 3 Month LIBOR + 1.270%
3.739%(c)		07/20/30		1,000		993,441
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%
3.834%(c)		11/14/29		3,500		3,487,447
Romark CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.499%(c)		04/20/31		4,000		3,933,544
Sound Point CLO Ltd. (Cayman Islands),
Series2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070%
3.578%(c)		01/26/31		3,500		3,449,573
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.349%(c)		07/20/27		4,000		3,969,449
Series2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220%
3.689%(c)		10/20/30		5,750		5,710,882
Telos CLO Ltd. (Cayman Islands),
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%
3.689%(c)		01/17/30		3,500		3,482,088

SEE NOTES TO FINANCIAL STATEMENTS.

A36

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
TICP CLO Ltd. (Cayman Islands),
Series2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300%
3.769%(c)		07/20/27		6,000	$	5,957,816
Series2017-09A, Class A, 144A, 3 Month LIBOR + 1.140%
3.609%(c)		01/20/31		3,000		2,964,035
Trinitas CLO Ltd. (Cayman Islands),
Series2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400%
3.836%(c)		07/15/27		5,000		4,886,426
Series2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.190%(c)		10/25/28		3,250		3,249,724
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.700%(c)		01/25/31		4,000		3,971,576
Series2017-07A, Class B, 144A, 3 Month LIBOR + 1.600%
4.090%(c)		01/25/31		1,500		1,459,342
Venture CLO Ltd. (Cayman Islands),
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.316%(c)		07/15/27		5,000		4,945,515
Voya CLO Ltd. (Cayman Islands),
Series2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210%
3.646%(c)		10/15/30		7,500		7,446,356
Series2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970%
3.460%(c)		04/25/31		3,000		2,945,990
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.789%(c)		04/20/29		1,750		1,751,323
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.719%(c)		10/20/29		1,000		997,403
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.599%(c)		01/17/31		6,500		6,402,848
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.638%(c)		10/20/31		2,750		2,723,471
York CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150%
3.619%(c)		01/22/31		2,000		1,978,969
Zais CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.806%(c)		07/15/29		1,000		1,001,226
Series2018-01A, Class A, 144A, 3 Month LIBOR + 0.950%
3.386%(c)		04/15/29		8,500		8,391,946
						214,545,119
Consumer Loans — 2.1%
Lendmark Funding Trust,
Series2017-01A, Class A, 144A
2.830%		12/22/25		1,000		986,648
Series2018-02A, Class A, 144A
4.230%		04/20/27		1,400		1,424,848
OneMain Financial Issuance Trust,
Series2015-02A, Class C, 144A
4.320%		07/18/25		1,100		1,100,764
Series2016-01A, Class A, 144A
3.660%		02/20/29		2,500		2,504,539
Series2016-02A, Class A, 144A
4.100%		03/20/28		670		671,491
Series2017-01A, Class B, 144A
2.790%		09/14/32		500		490,230
Series2017-01A, Class C, 144A
3.350%		09/14/32		500		491,166

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
Series2018-01A, Class A, 144A
3.300%		03/14/29		1,030	$	1,030,997
Oportun Funding IX LLC,
Series2018-B, Class A, 144A
3.910%		07/08/24		1,200		1,199,990
Series2018-B, Class C, 144A
5.430%		07/08/24		500		501,957
Oportun Funding VI LLC,
Series2017-A, Class A, 144A
3.230%		06/08/23		1,250		1,238,706
Oportun Funding VII LLC,
Series2017-B, Class A, 144A
3.220%		10/10/23		3,000		2,970,816
Oportun Funding VIII LLC,
Series2018-A, Class A, 144A
3.610%		03/08/24		1,140		1,129,734
Oportun Funding X LLC,
Series2018-C, Class A, 144A
4.100%		10/08/24		1,400		1,413,392
Oportun Funding XII LLC,
Series2018-D, Class A, 144A
4.150%		12/09/24		1,000		1,010,461
PNMAC FMSR Issuer Trust,
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350%
4.856%(c)		04/25/23		120		120,068
PNMAC GMSR Issuer Trust,
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850%
5.356%(c)		02/25/23		740		741,590
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650%
5.156%(c)		08/25/25		1,200		1,202,507
SpringCastle America Funding LLC,
Series2016-AA, Class A, 144A
3.050%		04/25/29		2,324		2,301,063
Springleaf Funding Trust,
Series2015-AA, Class A, 144A
3.160%		11/15/24		1,306		1,304,702
						23,835,669
Credit Card — 0.3%
Citibank Credit Card Issuance Trust,
Series2018-A07, Class A7
3.960%		10/13/30		2,800		2,938,317
Home Equity Loans — 1.9%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500%
5.374%(c)		01/25/33		1,565		1,561,918
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates,
Series2001-02, Class M3, 1 Month LIBOR + 2.925%
5.431%(c)		10/25/31		242		255,440
Argent Securities, Inc. Asset-Backed Pass-Through Certificates,
Series2003-W02, Class M4
4.036%(cc)		09/25/33		2,252		2,133,444
Series2004-W06, Class M1, 1 Month LIBOR + 0.825%
3.331%(c)		05/25/34		557		551,316

SEE NOTES TO FINANCIAL STATEMENTS.

A37

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245%
3.700%(c)		06/15/33		768	$	766,612
Bear Stearns Asset-Backed Securities Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900%
3.215%(c)		03/25/34		2,231		2,223,227
Centex Home Equity Loan Trust,
Series2004-B, Class AF6
4.686%		03/25/34		333		340,466
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		08/25/35		247		247,816
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		05/25/33		515		510,850
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020%
3.526%(c)		10/25/33		383		381,971
Series 2004-OP01, Class M1, 1 Month LIBOR + 0.870%
3.376%(c)		11/25/34		3,688		3,655,606
New Century Home Equity Loan Trust,
Series2003-04, Class M1, 1 Month LIBOR + 1.125%
3.631%(c)		10/25/33		1,691		1,689,744
Series2004-04, Class M1, 1 Month LIBOR + 0.765%
3.271%(c)		02/25/35		1,909		1,885,806
New Residential Mortgage Loan Trust,
Series2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,706		1,714,593
Residential Asset Securities Trust,
Series 2004-KS01, Class AI5
5.347%		02/25/34		542		549,931
Securitized Asset-Backed Receivables LLC Trust,
Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780%
3.286%(c)		02/25/34		1,746		1,742,045
Specialty Underwriting & Residential Finance Trust,
Series 2004-BC01, Class M1, 1 Month LIBOR + 0.765%
3.271%(c)		02/25/35		1,038		1,032,827
						21,243,612
Residential Mortgage-Backed Securities — 3.2%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,
Series2004-R08, Class M1, 1 Month LIBOR + 0.960%
3.466%(c)		09/25/34		195		194,492
Argent Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780%
3.095%(c)		10/25/34		1,254		1,239,951
CSMC Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.499%(c)		12/26/46		3,256		3,289,933
Series2018-03R, Class 1A1, 144A, 1 Month LIBOR + 1.200%
3.547%(c)		12/25/46		2,384		2,345,528
Series2018-11R, 144A, 1 Month LIBOR + 1.400%^
3.774%		08/25/37		1,700		1,700,000
Series 2018-RPL08, Class A1, 144A
4.070%		07/25/58		1,540		1,537,552
Equity One Mortgage Pass-Through Trust,
Series2004-03, Class M1
4.570%		07/25/34		337		336,135

Interest Rate	Maturity Date			Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (continued)
FBR Securitization Trust,
Series2005-02, Class M1, 1 Month LIBOR + 0.720%
3.226%(c)		09/25/35			26	$	26,216
Fremont Home Loan Trust,
Series2003-B, Class M1, 1 Month LIBOR + 1.050%
3.556%(c)		12/25/33			119		116,897
GSAMP Trust,
Series 2007-HE01, Class A1, 1 Month LIBOR + 0.140%
2.646%(c)		03/25/47			1,196		1,121,654
Legacy Mortgage Asset Trust,
Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750%
4.256%(c)		01/28/70			695		705,690
Long Beach Mortgage Loan Trust,
Series2004-01, Class M1, 1 Month LIBOR + 0.750%
3.256%(c)		02/25/34			1,567		1,549,424
LSFVT,
Series2018-01, 1 Month LIBOR + 2.000%^
3.982%(c)		04/01/21			6,316		6,296,987
Merrill Lynch Mortgage Investors Trust,
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520%
3.026%(c)		06/25/35			826		823,731
Structured Asset Investment Loan Trust,
Series2004-07, Class A8, 1 Month LIBOR + 1.200%
3.706%(c)		08/25/34			1,400		1,382,570
TFS (Spain),
Series2018-03, Class A1
2.900%(cc)		03/16/23	EUR		4,341		4,963,801
Towd Point Mortgage Trust,
Series2017-04, Class A1, 144A
2.750%(cc)		06/25/57			2,420		2,354,960
Series2017-06, Class A1, 144A
2.750%(cc)		10/25/57			2,677		2,615,149
Series2018-02, Class A1, 144A
3.250%(cc)		03/25/58			431		424,268
Series2018-03, Class A1, 144A
3.750%(cc)		05/25/58			193		192,771
Series2018-05, Class A1, 144A
3.250%(cc)		07/25/58			581		571,023
Series2018-06, Class A1A, 144A
3.750%(cc)		03/25/58			2,140		2,141,389
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47			155		154,744
							36,084,865
Student Loans — 1.3%
Earnest Student Loan Program LLC,
Series2016-D, Class A1, 144A, 1 Month LIBOR + 1.400%
3.906%(c)		01/25/41			197		198,936
Laurel Road Prime Student Loan Trust,
Series2018-A, Class A, 144A
—%(p)		02/25/43			2,980		4,008,657
Series2018-C, Class A, 144A
—%(p)		08/25/43			3,761		3,820,729
Series2018-D, Class A, 144A
—%(p)		11/25/43			3,772		3,906,649

SEE NOTES TO FINANCIAL STATEMENTS.

A38

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans (continued)
SLM Student Loan Trust,
Series2004-02X, Class A6, 3 Month EURIBOR + 0.550%
0.233%(c)		07/25/39	EUR		2,100	$	2,311,698
							14,246,669
TOTAL ASSET-BACKED SECURITIES (cost $315,235,664)							316,488,949
BANK LOANS — 1.0%
Computers — 0.1%
McAfee, LLC,
Second Lien Initial Loan, 1 Month LIBOR + 8.500%,
11.010%(c)		09/29/25			458		453,750
Term B USD Loan, 1 Month LIBOR + 3.750%,
6.270%(c)		09/30/24			528		512,630
							966,380
Electric — 0.0%
Vistra Operations Co., LLC,
Term Loan,
—%(p)		08/04/23			399		382,424
Entertainment — 0.1%
Aristocrat Leisure, Ltd. (Australia),
Term Loan, 3 Month LIBOR + 1.750%,
—%(p)		10/19/24			1,350		1,287,900
Foods — 0.2%
Sigma Bidco BV (Netherlands),
Facility B4 Loan, 3 Month GBP LIBOR + 4.000%,
4.800%(c)		07/02/25	GBP		1,550		1,908,458
Healthcare-Products — 0.0%
Avantor, Inc.,
Initial B1 EURO Term loan,1-3 Month EURIBOR + 3.750%,
3.750%(c)		11/21/24	EUR		424		477,843
Internet — 0.1%
Go Daddy Operating Co., LLC,
TrancheB-1 Term Loan, 1 Month LIBOR + 2.250%,
4.770%(c)		02/15/24			997		950,585
Machinery-Diversified — 0.1%
Gardner Denver, Inc.,
Term Loan,
—%(p)		07/30/24			1,021		985,257
Packaging & Containers — 0.1%
Berry Global, Inc,
Term T Loan, 1 Month LIBOR + 1.750%,
4.140%(c)		01/06/21			1,000		974,286
Pharmaceuticals — 0.1%
Nidda Healthcare Holding AG (Germany),
Facility C GBP, 3 Month GBP LIBOR + 4.000%,
4.888%(c)		08/21/24	GBP		1,000		1,240,610
Retail — 0.2%
EG America, LLC (United Kingdom),
Second Lien Facility (USD), 3 Month LIBOR + 8.000%,^
10.810%(c)		04/20/26			1,025		1,004,500

Interest Rate	Maturity Date			Principal Amount (000)#		Value
BANK LOANS (continued)
Retail (continued)
EG Finco, Ltd. (United Kingdom),
Second Lien Term Loan, 3 Month EURIBOR + 7.750%,
8.750%(c)		04/20/26	EUR		600	$	677,139
							1,681,639
TOTAL BANK LOANS (cost $11,429,195)							10,855,382
COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.0%
Banc of America Commercial Mortgage Trust,
Series 2016-UB010, Class A3
2.903%		07/15/49			2,300		2,210,286
BANK,
Series 2017-BNK05, Class A4
3.131%		06/15/60			4,400		4,231,660
Series 2017-BNK06, Class A4
3.254%		07/15/60			3,300		3,204,238
Series 2017-BNK08, Class A3
3.229%		11/15/50			1,950		1,894,807
BBCMS Mortgage Trust,
Series2016-ETC, Class A, 144A
2.937%		08/14/36			1,170		1,116,231
Series2016-ETC, Class B, 144A
3.189%		08/14/36			510		482,116
Series2016-ETC, Class C, 144A
3.391%		08/14/36			430		406,781
Series2016-ETC, Class D, 144A
3.609%(cc)		08/14/36			1,560		1,455,144
BX Commercial Mortgage Trust,
Series2018-IND, Class F, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 1.800%)
4.255%(c)		11/15/35			299		296,184
Series2018-IND, Class G, 144A, 1 Month LIBOR + 2.050%
4.505%(c)		11/15/35			1,348		1,331,149
CD Mortgage Trust,
Series 2017-CD05, Class A3
3.171%		08/15/50			3,500		3,383,932
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47			2,001		2,022,433
Series 2016-GC37, Class A4
3.314%		04/10/49			1,600		1,579,157
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class B, 144A
2.778%(cc)		11/10/31			2,400		2,293,210
Series 2016-CLNE, Class C, 144A
2.778%(cc)		11/10/31			900		843,652
Commercial Mortgage Trust,
Series 2014-UBS04, Class A4
3.420%		08/10/47			3,200		3,204,099
Series 2014-UBS05, Class A4
3.838%		09/10/47			3,600		3,676,051
Series 2015-DC01, Class A4
3.078%		02/10/48			5,000		4,899,450
Series 2015-LC21, Class A4
3.708%		07/10/48			820		829,303

SEE NOTES TO FINANCIAL STATEMENTS.

A39

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2015-PC01, Class A5
3.902%		07/10/50		1,570	$	1,601,399
Series 2016-COR01, Class A3
2.826%		10/10/49		2,500		2,367,641
Series 2016-DC02, Class A5
3.765%		02/10/49		240		242,398
Series 2017-COR02, Class A2
3.239%		09/10/50		4,500		4,348,040
DBJPM Mortgage Trust,
Series2017-C06, Class A4
3.071%		06/10/50		2,800		2,689,588
DBWF Mortgage Trust,
Series2016-85T, Class D, 144A
3.808%(cc)		12/10/36		1,400		1,333,747
Eleven Madison Trust Mortgage Trust,
Series 2015-11MD, Class C, 144A
3.555%(cc)		09/10/35		3,000		2,926,016
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.515%(cc)		06/25/20		7,561		125,653
Series K020, Class X1, IO
1.409%(cc)		05/25/22		26,517		1,046,918
Series K021, Class X1, IO
1.444%(cc)		06/25/22		15,110		633,769
Series K025, Class X1, IO
0.853%(cc)		10/25/22		10,446		286,750
Series K027, Class X1, IO
0.780%(cc)		01/25/23		129,873		3,366,431
Series K044, Class X1, IO
0.748%(cc)		01/25/25		82,559		3,072,372
Series K053, Class X1, IO
0.890%(cc)		12/25/25		88,925		4,661,494
Series K055, Class X1, IO
1.366%(cc)		03/25/26		13,851		1,135,894
Series K710, Class X1, IO
1.734%(cc)		05/25/19		19,157		46,534
Series K711, Class X1, IO
1.668%(cc)		07/25/19		22,414		84,051
GS Mortgage Securities Corp. II,
Series 2015-GC30, Class A3
3.119%		05/10/50		3,025		2,961,903
GS Mortgage Securities Trust,
Series 2017-GS06, Class A2
3.164%		05/10/50		3,400		3,281,703
IMT Trust,
Series 2017-APTS, Class AFX, 144A
3.478%		06/15/34		510		512,695
JPMBB Commercial Mortgage Securities Trust,
Series2014-C21, Class A4
3.493%		08/15/47		3,200		3,208,118
JPMDB Commercial Mortgage Securities Trust,
Series2016-C02, Class A3A
2.881%		06/15/49		1,070		1,027,942
Series2017-C05, Class A4
3.414%		03/15/50		1,975		1,951,008
Series2017-C07, Class A4
3.147%		10/15/50		3,600		3,471,702

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series2018-AON, Class E, 144A
4.613%(cc)		07/05/31		5,875	$	5,790,329
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC09, Class A4
2.611%		12/15/47		955		951,931
Series2013-C10, Class A4
2.875%		12/15/47		372		370,456
Series 2016-JP02, Class A3
2.559%		08/15/49		2,900		2,718,665
Morgan Stanley Bank of America Merrill Lynch Trust,
Series2012-C05, Class XA, IO, 144A
1.466%(cc)		08/15/45		38,082		1,570,467
Series2013-C08, Class A3
2.863%		12/15/48		1,531		1,508,639
Series2013-C09, Class A3
2.834%		05/15/46		2,037		1,999,360
Series2013-C10, Class A3
3.967%(cc)		07/15/46		4,680		4,816,631
Series2016-C30, Class A5
2.860%		09/15/49		2,000		1,898,321
Morgan Stanley Capital I Trust,
Series2017-H01, Class A4
3.259%		06/15/50		2,750		2,672,408
Morgan Stanley Capital I, Inc.,
Series 2017-HR02, Class A3
3.330%		12/15/50		5,500		5,332,521
Shops at Crystals Trust,
Series 2016-CSTL, Class A, 144A
3.126%		07/05/36		140		134,134
UBS Commercial Mortgage Trust,
Series2017-C02, Class A3
3.225%		08/15/50		4,400		4,258,404
Series2017-C07, Class A3
3.418%		12/15/50		5,600		5,485,799
Series2018-C10, Class A3
4.048%		05/15/51		2,200		2,254,937
UBS-Barclays Commercial Mortgage Trust,
Series2013-C05, Class A3
2.920%		03/10/46		3,971		3,934,481
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC016, Class A4
3.548%		08/15/50		4,300		4,328,603
Series 2016-C032, Class A3
3.294%		01/15/59		2,250		2,218,120
Series 2016-C034, Class A3
2.834%		06/15/49		2,500		2,387,508
Series 2016-C035, Class A3
2.674%		07/15/48		4,600		4,338,211
Series 2017-C040, Class A3
3.317%		10/15/50		1,370		1,339,018
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $150,400,989)						146,052,592

SEE NOTES TO FINANCIAL STATEMENTS.

A40

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#			Value
CORPORATE BONDS — 35.5%
Aerospace & Defense — 0.5%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.500%		12/01/24			1,850		$	1,743,625
7.500%		03/15/25			1,250			1,178,125
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21			2,115			2,116,710
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			1,115			1,104,632
								6,143,092
Agriculture — 0.3%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			2,810			2,588,274
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19			895			913,051
								3,501,325
Airlines — 0.6%
American Airlines2016-1 Class AA Pass-Through Trust, Pass-Through Certificates
3.575%		07/15/29			1,660			1,629,279
Continental Airlines2001-1Class A-1 Pass-Through Trust, Pass-Through Certificates
6.703%		12/15/22			—	(r)		265
Continental Airlines2007-1 Class A Pass-Through Trust, Pass-Through Certificates
5.983%		10/19/23			1,265			1,321,083
Continental Airlines2010-1 Class A Pass-Through Trust, Pass-Through Certificates
4.750%		07/12/22			302			306,057
Delta Air Lines2007-1 Class A Pass-Through Trust, Pass-Through Certificates
6.821%		02/10/24			823			889,302
Delta Air Lines2010-2 Class A Pass-Through Trust, Pass-Through Certificates
4.950%		11/23/20			91			91,543
Delta Air Lines2011-1 Class A Pass-Through Trust, Pass-Through Certificates
5.300%		10/15/20			315			316,358
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20			1,180			1,172,161
United Airlines2007-1 Class A Pass-Through Trust, Pass-Through Certificates
6.636%		01/02/24			615			639,249
								6,365,297
Apparel — 0.2%
Hanesbrands Finance Luxembourg SCA,
Gtd. Notes, 144A
3.500%		06/15/24	EUR		575			662,760

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Apparel (continued)
PVH Corp.,
Sr. Unsec’d. Notes, 144A
3.625%		07/15/24	EUR		1,250	$	1,508,508
							2,171,268
Auto Manufacturers — 0.9%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.835%(c)		04/12/21			425		420,864
Gtd. Notes, 144A
3.100%		04/12/21			570		564,521
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20			1,030		1,024,303
3.350%		05/04/21			1,715		1,709,798
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43			1,755		1,353,430
5.291%		12/08/46			440		361,232
General Motors Co.,
Sr. Unsec’d. Notes
4.875%		10/02/23			1,350		1,353,054
6.250%		10/02/43			1,885		1,766,891
6.600%		04/01/36			210		204,436
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.258%(c)		04/09/21			610		596,116
Gtd. Notes
3.550%		04/09/21			460		453,666
							9,808,311
Auto Parts & Equipment — 0.4%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
3.500%		08/15/24	EUR		701		644,528
IHO Verwaltungs GmbH (Germany),
Sr. Sec’d. Notes, 144A, Cash coupon 3.250% or PIK 4.000%
3.250%		09/15/23	EUR		1,075		1,200,154
Sr. Sec’d. Notes, 144A, Cash coupon 3.750% or PIK N/A
3.750%		09/15/26	EUR		1,050		1,151,909
LKQ Italia Bondco SpA,
Gtd. Notes, 144A
3.875%		04/01/24	EUR		1,275		1,490,049
							4,486,640
Banks — 11.0%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.545%(c)		04/12/23			400		392,234
Sr. Unsec’d. Notes
3.848%		04/12/23			600		582,998
Bank of America Corp.,
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			5,870		5,781,123
3.593%(ff)		07/21/28			740		701,756
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			385		385,058

SEE NOTES TO FINANCIAL STATEMENTS.

A41

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
3.824%(ff)		01/20/28			1,715	$	1,663,723
4.125%		01/22/24			3,750		3,801,102
4.271%(ff)		07/23/29			910		905,729
Sub. Notes, MTN
4.000%		01/22/25			1,117		1,088,121
4.450%		03/03/26			1,735		1,715,213
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.896%(c)		04/13/21			600		596,406
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			645		644,676
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			700		645,217
3.684%		01/10/23			480		461,211
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			1,050		1,012,386
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
4.400%		08/14/28			420		409,937
Sr. Unsec’d. Notes, 144A, MTN
3.500%		03/01/23			855		828,933
BPCE SA (France),
Sr. Unsec’d. Notes, 144A, MTN
3.500%		10/23/27			300		272,573
Sub. Notes, 144A, MTN
4.500%		03/15/25			1,500		1,451,626
Citibank NA,
Sr. Unsec’d. Notes
3.050%		05/01/20			4,120		4,114,769
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,355		1,307,575
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,085		1,059,231
Sr. Unsec’d. Notes
3.200%		10/21/26			3,255		3,004,978
3.887%(ff)		01/10/28			1,710		1,649,994
8.125%		07/15/39			1,060		1,470,592
Sub. Notes
4.450%		09/29/27			2,630		2,534,838
Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, MTN
3.625%		09/09/24			1,050		1,030,249
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290%
3.766%(c)		02/04/21			1,025		996,865
Sr. Unsec’d. Notes
4.250%		02/04/21			950		936,240
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			900		868,542
Sr. Unsec’d. Notes, MTN
3.700%		05/30/24			159		144,432
Dexia Credit Local SA (France),
Gov’t. Liquid Gtd. Notes, 144A, MTN
3.250%		09/26/23			750		760,023

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Discover Bank,
Sr. Unsec’d. Notes
3.450%		07/27/26			280	$	256,759
4.250%		03/13/26			1,150		1,122,613
Sub. Notes
7.000%		04/15/20			2,005		2,087,388
Fifth Third Bank,
Sr. Unsec’d. Notes
2.375%		04/25/19			425		424,123
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		1,950		1,884,227
Sr. Unsec’d. Notes
3.272%(ff)		09/29/25			4,063		3,808,545
3.750%		02/25/26			125		118,206
3.814%(ff)		04/23/29			1,960		1,829,905
3.850%		01/26/27			1,765		1,660,243
5.750%		01/24/22			4,200		4,397,544
Sr. Unsec’d. Notes, Series D, MTN
6.000%		06/15/20			2,420		2,505,153
Sub. Notes
6.750%		10/01/37			440		496,885
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.240%(c)		05/18/21			1,785		1,758,511
Sr. Unsec’d. Notes
4.583%(ff)		06/19/29			1,000		991,238
Intesa Sanpaolo SpA (Italy),
Sr. Unsec’d. Notes, 144A
3.875%		07/14/27			630		541,912
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.990%(c)		—	(rr)		4,397		4,336,541
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,450		1,440,938
Sr. Unsec’d. Notes
2.750%		06/23/20			5,400		5,369,049
2.950%		10/01/26			1,740		1,606,939
3.200%		01/25/23			470		463,152
3.200%		06/15/26			3,020		2,844,132
3.509%(ff)		01/23/29			1,435		1,358,807
3.782%(ff)		02/01/28			965		936,745
4.005%(ff)		04/23/29			1,200		1,176,435
4.250%		10/15/20			600		610,812
Sub. Notes
4.250%		10/01/27			420		413,452
KeyCorp,
Sr. Unsec’d. Notes, MTN
5.100%		03/24/21			1,155		1,197,910
Lloyds Bank PLC (United Kingdom),
Gtd. Notes, 144A, MTN
5.800%		01/13/20			2,650		2,712,598
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		975		948,305
Sr. Unsec’d. Notes
4.375%		01/22/47			895		847,064

SEE NOTES TO FINANCIAL STATEMENTS.

A42

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
4.457%(ff)		04/22/39			280	$	271,093
5.750%		01/25/21			1,920		2,001,889
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23			1,190		1,162,564
3.750%		02/25/23			395		394,304
3.772%(ff)		01/24/29	(a)		1,875		1,793,953
5.500%		07/28/21			2,080		2,179,808
Sr. Unsec’d. Notes, MTN
3.125%		07/27/26			2,725		2,519,628
5.625%		09/23/19			2,635		2,673,995
Sub. Notes, GMTN
4.350%		09/08/26			750		728,853
PNC Financial Services Group, Inc. (The),
Sub. Notes
3.900%		04/29/24			975		966,665
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.910%(c)		04/30/21			1,920		1,903,902
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			5,215		5,214,464
Santander UK Group Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
2.875%		10/16/20			1,550		1,522,959
Sumitomo Mitsui Banking Corp. (Japan),
Bank Gtd. Notes, 3 Month LIBOR + 0.350%
2.799%(c)		01/17/20			1,820		1,818,400
Gtd. Notes
2.450%		01/10/19			625		624,913
UBS Group Funding Switzerland AG (Switzerland),
Gtd. Notes, 144A
2.859%(ff)		08/15/23			1,100		1,057,964
3.491%		05/23/23			2,970		2,896,438
							123,096,273
Beverages — 0.1%
Keurig Dr. Pepper, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21			970		968,531
Biotechnology — 0.1%
Celgene Corp.,
Sr. Unsec’d. Notes
2.250%		08/15/21			1,070		1,037,330
Building Materials — 0.3%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24			3,000		2,816,250
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24			600		552,000
							3,368,250
Chemicals — 1.4%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43			1,400		1,379,000

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (continued)
CF Industries, Inc.,
Gtd. Notes
4.950%		06/01/43		675	$	523,125
5.375%		03/15/44		700		567,000
7.125%		05/01/20		141		145,230
DowDuPont, Inc.,
Sr. Unsec’d. Notes
3.766%		11/15/20		490		494,698
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
6.000%		11/15/21		3,550		3,752,416
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		465		477,952
5.625%		11/15/43		155		157,446
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900%		06/01/43		870		831,305
5.250%		01/15/45		420		420,987
6.125%		01/15/41		450		492,791
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500%		11/14/22		1,525		1,476,139
SASOL Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24		575		573,787
Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes
3.450%		08/01/25		445		424,689
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.875%		04/01/23		3,058		3,497,983
						15,214,548
Commercial Services — 0.6%
ERAC USA Finance LLC,
Gtd. Notes, 144A
6.700%		06/01/34		920		1,092,772
7.000%		10/15/37		770		957,320
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22		1,500		1,432,500
United Rentals North America, Inc.,
Gtd. Notes
4.625%		10/15/25		700		624,750
4.875%		01/15/28		675		592,313
5.500%		07/15/25		650		612,625
5.500%		05/15/27		975		904,312
						6,216,592
Computers — 0.2%
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19		905		902,325

SEE NOTES TO FINANCIAL STATEMENTS.

A43

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Computers (continued)
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25			900	$	851,625
							1,753,950
Diversified Financial Services — 1.1%
American Express Co.,
Sr. Unsec’d. Notes
3.375%		05/17/21			3,695		3,700,875
Capital One Financial Corp.,
Sr. Unsec’d. Notes
3.450%		04/30/21			5,235		5,232,539
International Lease Finance Corp.,
Sr. Unsec’d. Notes
6.250%		05/15/19			1,400		1,412,385
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			650		658,090
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
6.875%		05/02/18	(d)		2,740		53,430
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
8.125%		07/15/23			1,250		1,218,750
							12,276,069
Electric — 1.7%
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
3.350%		07/01/23			550		550,587
Calpine Corp.,
Sr. Unsec’d. Notes
5.375%		01/15/23			396		371,250
5.750%		01/15/25	(a)		2,400		2,196,000
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series C
4.300%		12/01/56			235		218,657
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,710		2,725,651
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			2,325		2,614,100
Enel Americas SA (Chile),
Sr. Unsec’d. Notes
4.000%		10/25/26			235		218,726
Eskom Holdings SOC Ltd. (South Africa),
Gov’t. Gtd. Notes, 144A, MTN
6.350%		08/10/28			550		529,156
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,900		1,981,411
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44			400		434,541

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			1,150	$	1,340,624
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			680		645,946
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A
4.750%		07/13/21			250		258,092
Pacific Gas & Electric Co.,
Sr. Unsec’d. Notes
4.600%		06/15/43			1,950		1,608,177
South Carolina Electric & Gas Co.,
First Mortgage
4.600%		06/15/43			2,025		2,074,450
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.500%		09/01/26			1,375		1,323,437
							19,090,805
Electronics — 0.1%
Sensata Technologies BV,
Gtd. Notes, 144A
5.000%		10/01/25			1,750		1,645,000
Engineering & Construction — 0.0%
GMR Hyderabad International Airport Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250%		10/27/27			345		283,311
Entertainment — 0.0%
CPUK Finance Ltd. (United Kingdom),
Sec’d. Notes, 144A
4.250%		02/28/47	GBP		250		304,545
4.875%		02/28/47	GBP		125		148,926
							453,471
Foods — 0.4%
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,
Gtd. Notes
5.750%		03/15/25			225		196,875
General Mills, Inc.,
Sr. Unsec’d. Notes
3.200%		04/16/21			1,200		1,193,411
Ingles Markets, Inc.,
Sr. Unsec’d. Notes
5.750%		06/15/23			100		98,750
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25			2,025		1,933,875
Kraft Heinz Foods Co.,
Gtd. Notes
5.000%		07/15/35			725		680,396
							4,103,307
Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
7.300%		11/15/39			1,000		1,178,730

SEE NOTES TO FINANCIAL STATEMENTS.

A44

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date				Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Gas — 0.3%
Korea Gas Corp. (South Korea),
Sr. Unsec’d. Notes
4.250%		11/02/20				1,750	$	1,777,685
NiSource, Inc.,
Sr. Unsec’d. Notes
4.800%		02/15/44				300		290,448
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400%		06/01/43				1,050		996,282
								3,064,415
Healthcare-Products — 0.6%
Abbott Laboratories,
Sr. Unsec’d. Notes
2.900%		11/30/21				2,780		2,755,849
Becton Dickinson & Co.,
Sr. Unsec’d. Notes
3.363%		06/06/24				3,415		3,280,029
Stryker Corp.,
Sr. Unsec’d. Notes
2.125%		11/30/27		EUR		510		600,841
								6,636,719
Healthcare-Services — 1.1%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.750%		12/15/37				1,900		2,295,723
Anthem, Inc.,
Sr. Unsec’d. Notes
4.650%		01/15/43				385		373,992
CHS/Community Health Systems, Inc.,
Sec’d. Notes, 144A
8.125%		06/30/24	(a)			625		456,250
Cigna Corp.,
Gtd. Notes
4.375%		12/15/20				745		758,538
DaVita, Inc.,
Gtd. Notes
5.000%		05/01/25				500		453,750
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20				330		330,383
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25				2,325		2,266,875
5.875%		02/15/26				275		273,625
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22				240		238,183
3.250%		09/01/24				1,495		1,430,822
Select Medical Corp.,
Gtd. Notes
6.375%		06/01/21				1,225		1,221,937
Synlab Bondco PLC (United Kingdom),
Sr. Sec’d. Notes
6.250%		07/01/22		EUR		1,100		1,278,966

Interest Rate	Maturity Date				Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services (continued)
Tenet Healthcare Corp.,
Sec’d. Notes
5.125%		05/01/25	(a)			550	$	512,875
Sr. Unsec’d. Notes
6.750%		02/01/20				500		499,375
UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes
3.950%		10/15/42				220		209,722
								12,601,016
Home Builders — 0.5%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),
Gtd. Notes, 144A
6.125%		07/01/22				1,000		945,000
PulteGroup, Inc.,
Gtd. Notes
5.000%		01/15/27				975		882,375
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21				2,175		2,153,250
William Lyon Homes, Inc.,
Gtd. Notes
7.000%		08/15/22				1,650		1,633,500
								5,614,125
Home Furnishings — 0.0%
Tempur Sealy International, Inc.,
Gtd. Notes
5.500%		06/15/26				650		593,125
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26				670		654,804
Insurance — 1.1%
American International Group, Inc.,
Sr. Unsec’d. Notes
3.750%		07/10/25				2,110		2,020,217
4.500%		07/16/44				1,075		959,361
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22				500		524,137
Liberty Mutual Finance Europe DAC,
Gtd. Notes, 144A
1.750%		03/27/24		EUR		800		917,287
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		03/15/35				1,030		1,200,092
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000%		06/15/40				405		509,254
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43				350		349,091
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40				130		158,057

SEE NOTES TO FINANCIAL STATEMENTS.

A45

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Insurance (continued)
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20			850	$	877,697
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			150		144,972
Sompo International Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes
7.000%		07/15/34			1,350		1,587,025
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			2,310		2,210,958
6.850%		12/16/39			196		254,842
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			500		517,349
							12,230,339
Internet — 0.1%
Netflix, Inc.,
Sr. Unsec’d. Notes
3.625%		05/15/27	EUR		1,050		1,163,940
Iron/Steel — 0.0%
Vale Overseas Ltd. (Brazil),
Gtd. Notes
6.250%		08/10/26			270		291,600
Lodging — 0.3%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22			1,325		1,297,596
MGM Resorts International,
Gtd. Notes
6.625%		12/15/21			1,325		1,358,125
Sands China Ltd. (Macau),
Sr. Unsec’d. Notes, 144A
5.125%		08/08/25			400		396,100
Studio City Co. Ltd. (Hong Kong),
Sr. Sec’d. Notes
7.250%		11/30/21			300		305,505
							3,357,326
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC,
Gtd. Notes
4.875%		04/01/21			1,050		1,066,905
Rockwell Automation, Inc.,
Sr. Unsec’d. Notes
5.200%		01/15/98			1,100		1,086,006
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,960		2,023,818
							4,176,729
Media — 2.4%
21st Century Fox America, Inc.,
Gtd. Notes
6.900%		08/15/39			65		85,423

Interest Rate	Maturity Date				Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Media (continued)
7.625%		11/30/28				1,415	$	1,836,693
Cablevision Systems Corp.,
Sr. Unsec’d. Notes
8.000%		04/15/20				2,000		2,025,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.500%		05/01/26				3,300		3,172,125
5.875%		04/01/24				800		796,000
5.875%		05/01/27				1,000		970,000
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35				710		728,777
6.484%		10/23/45				855		878,888
6.834%		10/23/55				225		228,817
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28				1,820		1,848,087
4.250%		10/15/30				620		627,011
Cox Communications, Inc.,
Sr. Unsec’d. Notes, 144A
3.150%		08/15/24				2,800		2,693,610
CSC Holdings LLC,
Sr. Unsec’d. Notes, 144A
5.125%		12/15/21				1,425		1,396,500
7.500%		04/01/28				650		648,375
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37				1,010		936,849
Grupo Televisa SAB (Mexico),
Sr. Unsec’d. Notes
6.125%		01/31/46				495		506,200
Liberty Interactive LLC,
Sr. Unsec’d. Notes
8.250%		02/01/30	(a)			725		706,875
NBCUniversal Media LLC,
Gtd. Notes
4.450%		01/15/43				15		14,459
TCI Communications, Inc.,
Sr. Unsec’d. Notes
7.875%		02/15/26				750		911,183
TEGNA, Inc.,
Gtd. Notes, 144A
4.875%		09/15/21				475		464,313
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),
Sr. Sec’d. Notes
4.000%		01/15/25		EUR		1,100		1,298,388
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25	(a)			1,175		1,031,062
UPCB Finance IV Ltd. (Netherlands),
Sr. Sec’d. Notes, 144A
5.375%		01/15/25				1,140		1,066,037
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27				690		647,429

SEE NOTES TO FINANCIAL STATEMENTS.

A46

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Media (continued)
Ziggo BV (Netherlands),
Sr. Sec’d. Notes
3.750%		01/15/25	EUR		1,000	$	1,135,829
							26,653,930
Mining — 0.2%
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%		05/01/43			410		430,641
Goldcorp, Inc. (Canada),
Sr. Unsec’d. Notes
3.625%		06/09/21			825		822,493
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40			990		1,093,165
							2,346,299
Miscellaneous Manufacturing — 0.2%
Textron, Inc.,
Sr. Unsec’d. Notes
7.250%		10/01/19			2,350		2,421,537
Multi-National — 0.5%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19			440		438,409
2.125%		09/27/21			3,095		3,004,224
4.375%		06/15/22			500		517,475
Inter-American Development Bank (Supranational Bank),
Unsec’d. Notes
6.950%		08/01/26			1,500		1,865,398
							5,825,506
Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
5.000%		09/01/23			1,150		1,129,875
Oil & Gas — 1.9%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36			2,000		834,098
6.450%		09/15/36			945		1,020,596
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			1,000		861,057
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
3.000%		05/09/23			750		723,878
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			180		170,789
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			1,650		1,564,534
Encana Corp. (Canada),
Sr. Unsec’d. Notes
6.500%		02/01/38			200		216,839

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes
4.950%		07/19/22			390	$	393,117
Sr. Unsec’d. Notes, 144A
6.510%		03/07/22			1,665		1,738,676
Helmerich & Payne, Inc.,
Gtd. Notes, 144A
4.650%		03/15/25			1,500		1,529,482
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22			1,160		1,140,442
4.750%		04/19/27			200		194,492
Lukoil International Finance BV (Russia),
Gtd. Notes, 144A
6.125%		11/09/20			600		617,880
Petrobras Global Finance BV (Brazil),
Gtd. Notes
4.750%		01/14/25	EUR		300		357,474
5.299%		01/27/25			625		596,875
5.750%		02/01/29			725		670,625
6.125%		01/17/22			56		57,470
7.375%		01/17/27			405		416,138
Petroleos Mexicanos (Mexico),
Gtd. Notes
4.750%		02/26/29	EUR		1,000		1,047,216
4.875%		01/24/22			1,100		1,070,850
5.375%		03/13/22			405		396,698
6.375%		01/23/45			1,015		817,075
6.500%		03/13/27			1,225		1,151,500
Gtd. Notes, EMTN
2.750%		04/21/27	EUR		700		663,773
3.750%		02/21/24	EUR		400		439,877
4.875%		02/21/28	EUR		800		868,479
Gtd. Notes, MTN
6.750%		09/21/47			235		194,319
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20			1,250		1,234,640
YPF SA (Argentina),
Sr. Unsec’d. Notes, 144A
8.500%		03/23/21			380		375,250
							21,364,139
Oil & Gas Services — 0.0%
Cameron International Corp.,
Gtd. Notes
7.000%		07/15/38			450		569,213
Packaging & Containers — 0.4%
Ball Corp.,
Gtd. Notes
4.375%		12/15/23	EUR		925		1,175,149
Greif Nevada Holdings, Inc. SCS,
Gtd. Notes, 144A, MTN
7.375%		07/15/21	EUR		1,470		1,873,480

SEE NOTES TO FINANCIAL STATEMENTS.

A47

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Packaging & Containers (continued)
WestRock RKT Co.,
Gtd. Notes
4.450%		03/01/19		1,165	$	1,166,896
						4,215,525
Pharmaceuticals — 1.7%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		1,020		978,368
4.500%		05/14/35		1,715		1,586,558
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		2,040		1,935,139
Allergan Sales LLC,
Gtd. Notes, 144A
4.875%		02/15/21		1,350		1,382,775
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
6.125%		04/15/25		325		283,563
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		1,320		1,327,367
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		270		258,729
5.050%		03/25/48		655		637,059
5.125%		07/20/45		565		549,976
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		07/15/23		625		476,563
Express Scripts Holding Co.,
Gtd. Notes
4.500%		02/25/26		3,690		3,739,939
Mylan NV,
Gtd. Notes
5.250%		06/15/46		1,455		1,226,052
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
3.200%		09/23/26		3,745		3,388,932
Takeda Pharmaceutical Co. Ltd. (Japan),
Sr. Unsec’d. Notes, 144A
3.800%		11/26/20		280		281,689
4.000%		11/26/21		600		608,183
						18,660,892
Pipelines — 0.9%
Energy Transfer Operating LP,
Gtd. Notes
5.150%		03/15/45		55		47,581
5.300%		04/15/47		120		105,765
6.000%		06/15/48		125		121,727
Enterprise Products Operating LLC,
Gtd. Notes
4.900%		05/15/46		2,110		2,043,698
Fermaca Enterprises S de RL de CV (Mexico),
Sr. Sec’d. Notes, 144A
6.375%		03/30/38		392		391,791

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pipelines (continued)
Magellan Midstream Partners LP,
Sr. Unsec’d. Notes
4.200%		03/15/45		1,000	$	880,600
MPLX LP,
Sr. Unsec’d. Notes
4.500%		04/15/38		970		847,147
5.200%		03/01/47		115		105,857
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.375%		08/15/22		50		48,625
4.875%		08/15/27		225		212,062
ONEOK Partners LP,
Gtd. Notes
6.850%		10/15/37		1,250		1,405,011
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		450		415,710
Phillips 66 Partners LP,
Sr. Unsec’d. Notes
4.680%		02/15/45		1,900		1,710,990
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.450%		04/01/44		575		515,302
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.900%		01/15/45		1,200		1,088,002
						9,939,868
Real Estate Investment Trusts (REITs) — 0.1%
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22		325		325,457
Trust F/1401 (Mexico),
Sr. Unsec’d. Notes, 144A
5.250%		12/15/24		1,235		1,184,056
						1,509,513
Retail — 0.5%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.149%(c)		04/17/20		950		943,941
Sr. Unsec’d. Notes
4.200%		05/15/28		1,875		1,775,996
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22		1,600		1,594,000
6.625%		04/01/21		551		564,775
PetSmart, Inc.,
Sr. Sec’d. Notes, 144A
5.875%		06/01/25		675		487,688
Rite Aid Corp.,
Gtd. Notes, 144A
6.125%		04/01/23		375		296,250
						5,662,650

SEE NOTES TO FINANCIAL STATEMENTS.

A48

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22		1,675	$	1,676,623
Semiconductors — 0.5%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27		3,310		2,969,416
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A
4.625%		06/01/23		2,675		2,621,500
						5,590,916
Software — 0.5%
Fiserv, Inc.,
Sr. Unsec’d. Notes
3.500%		10/01/22		1,162		1,153,991
Infor Software Parent LLC/Infor Software Parent, Inc.,
Sr. Unsec’d. Notes, Cash coupon 7.125% or PIK 7.875%, 144A
7.125%		05/01/21		1,300		1,264,250
Microsoft Corp.,
Sr. Unsec’d. Notes
3.750%		02/12/45		1,540		1,489,850
4.000%		02/12/55		435		427,186
4.450%		11/03/45		275		291,676
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34		1,070		1,074,057
						5,701,010
Telecommunications — 1.0%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31		55		72,885
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25		1,905		1,793,849
4.500%		03/09/48		74		63,322
4.550%		03/09/49		499		429,537
5.250%		03/01/37		680		667,915
5.350%		09/01/40		49		47,602
Sprint Capital Corp.,
Gtd. Notes
6.900%		05/01/19		1,300		1,306,500
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25		500		500,000
T-Mobile USA, Inc.,
Gtd. Notes
6.500%		01/15/26		1,675		1,708,500
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.500%		08/10/33		990		977,215
4.522%		09/15/48		425		398,333
5.012%		04/15/49		1,000		996,402

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
Wind Tre SpA (Italy),
Sr. Sec’d. Notes, 144A
2.625%		01/20/23	EUR		675	$	697,204
3.125%		01/20/25	EUR		1,550		1,579,075
							11,238,339
Textiles — 0.0%
Mohawk Industries, Inc.,
Sr. Unsec’d. Notes
3.850%		02/01/23			294		294,404
TOTAL CORPORATE BONDS (cost $406,992,971)							398,346,477
MUNICIPAL BONDS — 1.9%
California — 0.7%
Bay Area Toll Authority,
BABs, Taxable, Revenue Bonds
6.907%		10/01/50			1,125		1,599,142
State of California,
GO BABs
7.625%		03/01/40			725		1,032,248
GO, BABs
7.300%		10/01/39			2,280		3,129,802
University of California,
BABs, Revenue Bonds
5.770%		05/15/43			1,400		1,684,494
							7,445,686
Colorado — 0.1%
Regional Transportation District,
Revenue Bonds, BABs, Series2010-B
5.844%		11/01/50			770		1,017,409
Illinois — 0.4%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40			1,380		1,761,239
State of Illinois,
GO Unlimited
5.000%		10/01/22			20		21,079
GO, Series D
5.000%		11/01/22			2,650		2,795,008
							4,577,326
New Jersey — 0.4%
New Jersey Turnpike Authority,
BABs, Revenue Bonds, Series A
7.102%		01/01/41			1,175		1,605,132
Tax. Issuer Subs., Revenue Bonds, BABs, Series F
7.414%		01/01/40			2,050		2,888,450
							4,493,582
Ohio — 0.1%
Ohio State University (The),
Revenue Bonds, Taxable, BABs, Series C
4.910%		06/01/40			695		804,212

SEE NOTES TO FINANCIAL STATEMENTS.

A49

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Ohio (continued)
Ohio State Water Development Auth. Wtr. Poll. Ctl. Rev.,
Revenue Bonds, BABs
4.879%		12/01/34		450	$	494,352
						1,298,564
Oregon — 0.1%
State of Oregon Department of Transportation,
Revenue Bonds, Taxable, BABs, Series A
5.834%		11/15/34		615		764,507
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		800		982,144
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		425		413,716
TOTAL MUNICIPAL BONDS (cost $16,766,249)						20,992,934
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 4.4%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		58		57,542
Bellemeade Re Ltd. (Bermuda),
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.206%(c)		10/25/27		545		547,572
Series2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%
4.106%(c)		04/25/28		1,113		1,112,999
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.456%(c)		08/25/28		1,050		1,047,343
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%
3.856%(c)		08/25/28		450		447,872
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%
4.106%(c)		08/25/28		450		442,905
Series2018-03A, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
3.706%(c)		10/25/27		690		689,806
Series2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850%
4.356%(c)		10/25/27		1,040		1,038,345
Central Park Funding Trust,
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A,
Floor 1.500%)^
3.780%(c)		11/01/23		5,400		5,400,000
CIM Trust,
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		12/25/57		1,446		1,453,089
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		01/25/57		1,646		1,671,690
Series2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,373		1,324,906
Series2017-08, Class A1, 144A
3.000%(cc)		12/25/65		2,817		2,770,720

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Citigroup Mortgage Loan Trust,
Series2011-12, Class 3A2, 144A
4.058%(cc)		09/25/47		618	$	581,179
Eagle RE Ltd. (Bermuda),
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.206%(c)		11/25/28		1,700		1,697,644
Fannie Mae Connecticut Avenue Securities,
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.956%(c)		01/25/29		494		495,398
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550%
7.056%(c)		10/25/24		259		282,941
Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300%
5.806%(c)		10/25/27		3,460		3,753,203
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.756%(c)		11/25/28		709		720,783
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350%
3.856%(c)		03/25/29		760		763,794
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%
3.806%(c)		04/25/29		1,740		1,753,048
GSMSC Resecuritization Trust,
Series2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140%
2.646%(c)		01/26/37		1,368		1,348,886
Series2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140%
2.646%(c)		01/26/37		1,400		1,338,398
Harborview Mortgage Loan Trust,
Series2007-04, Class 2A1, 1 Month LIBOR + 0.220%
2.690%(c)		07/19/47		1,637		1,581,401
Home Re Ltd. (Bermuda),
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.600%
4.106%(c)		10/25/28		510		510,621
IndyMac INDX Mortgage Loan Trust,
Series 2006-AR19, Class 5A2
3.939%(cc)		08/25/36		370		341,035
Lehman XS Trust,
Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%
2.711%(c)		08/25/46		1,130		1,107,810
LSTAR Securities Investment Ltd. (Cayman Islands),
Series2017-05, Class A, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		05/01/22		1,192		1,187,562
Series2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
4.170%(c)		11/01/22		796		796,670
Series2017-09, Class A, 144A, 1 Month LIBOR + 1.550%
3.899%(c)		12/01/22		283		282,200
LSTAR Securities Investment Trust,
Series2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
4.099%(c)		09/01/22		947		948,458
Series2018-02, Class A1, 144A, 1 Month LIBOR + 1.500%
4.020%(c)		04/01/23		408		407,729
MASTR Alternative Loan Trust,
Series2004-04, Class 4A1
5.000%		04/25/19		1		744
MetLife Securitization Trust,
Series2018-01A, Class A, 144A
3.750%(cc)		03/25/57		1,153		1,163,857

SEE NOTES TO FINANCIAL STATEMENTS.

A50

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
New Residential Mortgage Loan Trust,
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		01/25/48			1,641	$	1,632,403
Oaktown Re II Ltd. (Bermuda),
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
4.056%(c)		07/25/28			500		500,606
Radnor RE Ltd. (Bermuda),
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.400%
3.906%(c)		03/25/28			690		688,530
Series2018-01, Class M2, 144A, 1 Month LIBOR + 2.700%
5.206%(c)		03/25/28			360		359,619
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		09/25/48			1,220		1,217,648
Series 2018-HRP02, Class M1, 144A, 1 Month LIBOR + 0.850%
3.356%(c)		02/25/47			1,150		1,148,384
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.232%(cc)		02/25/34			530		529,743
Series2004-18, Class 3A1
4.322%(cc)		12/25/34			2,855		2,831,390
Towd Point Mortgage Funding PLC (United Kingdom),
Series2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200%
2.089%(c)		02/20/54	GBP		1,544		1,969,077
Washington Mutual Mortgage Pass-Through Certificates,
Series2005-01, Class 3A
5.000%		03/25/20			50		49,855
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $49,234,244)							49,995,405
SOVEREIGN BONDS — 6.2%
Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes
2.260%		12/31/38	EUR		300		187,944
4.625%		01/11/23			1,625		1,283,750
6.875%		04/22/21			1,775		1,603,730
7.820%		12/31/33	EUR		958		917,067
7.820%		12/31/33	EUR		634		601,465
8.280%		12/31/33			582		453,840
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333%		02/15/28			1,105		1,096,712
Gov’t. Gtd. Notes, 144A
5.333%		02/15/28			500		496,250
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			250		247,500
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes
7.500%		05/06/21			2,250		2,323,125
Sr. Unsec’d. Notes, 144A
6.000%		07/19/28			575		573,563
7.500%		05/06/21			600		619,500
Egypt Government International Bond (Egypt),
Sr. Unsec’d. Notes, 144A, MTN
4.750%		04/16/26	EUR		1,410		1,461,593

Interest Rate	Maturity Date			Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Hellenic Republic Government Bond (Greece),
Bonds
3.000%		02/24/23	EUR		1,200	$	1,366,741
3.000%		02/24/29	EUR		1,000		1,060,472
3.000%		02/24/31	EUR		620		638,783
3.000%		02/24/32	EUR		1,280		1,302,186
3.000%		02/24/34	EUR		640		627,706
3.750%		01/30/28	EUR		65		71,077
3.900%		01/30/33	EUR		1,990		2,075,803
4.200%		01/30/42	EUR		295		296,693
Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes
5.200%		07/17/34	EUR		1,500		1,712,130
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
5.375%		02/21/23			436		461,615
5.375%		03/25/24			290		310,387
5.750%		11/22/23			2,300		2,485,063
6.375%		03/29/21			2,776		2,929,624
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25	EUR		3,125		3,809,264
5.350%		02/11/49			400		412,048
Sr. Unsec’d. Notes, EMTN
2.875%		07/08/21	EUR		1,225		1,475,126
3.750%		06/14/28	EUR		500		621,354
Iraq International Bond (Iraq),
Unsec’d. Notes, 144A
5.800%		01/15/28			450		402,399
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A
3.375%		09/27/23			600		609,720
Sr. Unsec’d. Notes, 144A, MTN
2.000%		09/08/20			1,200		1,180,647
2.625%		04/20/22			1,000		987,504
Lithuania Government International Bond (Lithuania),
Sr. Unsec’d. Notes
6.625%		02/01/22			1,000		1,089,856
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25			450		445,730
Portugal Government International Bond (Portugal),
Sr. Unsec’d. Notes, EMTN
5.125%		10/15/24			12,075		12,592,051
Portugal Obrigacoes do Tesouro OT (Portugal),
Sr. Unsec’d. Notes, 144A
3.875%		02/15/30	EUR		3,070		4,181,157
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23			915		933,532
Provincia de Buenos Aires (Argentina),
Sr. Unsec’d. Notes, 144A
6.500%		02/15/23			120		96,600
9.950%		06/09/21			1,940		1,823,600
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
5.103%		04/23/48			1,040		1,092,260

SEE NOTES TO FINANCIAL STATEMENTS.

A51

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date				Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Republic of Italy Government International Bond (Italy),
Sr. Unsec’d. Notes
6.875%		09/27/23				260	$	282,589
Sr. Unsec’d. Notes, MTN
5.375%		06/15/33				730		761,547
Republic of South Africa Government International Bond (South Africa),
Sr. Unsec’d. Notes
5.875%		09/16/25				1,020		1,032,499
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, 144A, MTN
3.875%		10/29/35		EUR		945		1,052,959
Sr. Unsec’d. Notes, EMTN
3.875%		10/29/35		EUR		1,000		1,114,243
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
4.000%		04/17/25				675		669,042
Senegal Government International Bond (Senegal),
Sr. Unsec’d. Notes, 144A
4.750%		03/13/28		EUR		475		500,421
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes
2.125%		05/19/20				1,000		987,486
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22				600		588,728
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
5.625%		03/30/21				500		499,963
7.000%		06/05/20				1,510		1,539,061
Ukraine Government International Bond (Ukraine),
Sr. Unsec’d. Notes
7.750%		09/01/22				1,120		1,026,323
Sr. Unsec’d. Notes, 144A
7.750%		09/01/22				340		311,562
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55				470		446,975
TOTAL SOVEREIGN BONDS (cost $71,578,474)								69,770,565
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0%
Federal Home Loan Mortgage Corp.
5.500%		10/01/33				593		641,455
5.500%		06/01/34				9		9,334
6.000%		11/01/33				214		233,802
6.000%		05/01/34				59		63,617
6.000%		06/01/34				150		161,463
6.250%		07/15/32	(k)			830		1,108,257
6.500%		07/01/32				23		25,492
6.500%		07/01/32				30		32,323
6.500%		08/01/32				45		48,670
6.500%		08/01/32				47		50,901
6.500%		08/01/32				50		53,964
6.500%		09/01/32				41		44,823
6.500%		09/01/32				120		130,927
6.750%		03/15/31	(k)			600		815,773
Federal National Mortgage Assoc.
5.500%		02/01/33				18		19,521
5.500%		02/01/33				22		23,546

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%		03/01/33			27	$	28,375
5.500%		03/01/33			50		53,426
5.500%		03/01/33			55		59,006
5.500%		04/01/33			8		8,135
5.500%		04/01/33			34		36,933
5.500%		04/01/33			37		39,314
5.500%		04/01/33			42		45,453
5.500%		07/01/33			33		35,772
5.500%		07/01/33			40		43,263
5.500%		08/01/33			17		17,697
5.500%		02/01/34			35		37,264
5.500%		04/01/34			28		30,039
5.500%		06/01/34			39		42,104
6.000%		10/01/33			4		3,902
6.000%		10/01/33			245		265,501
6.000%		03/01/34			89		95,418
6.000%		02/01/35			228		251,810
6.000%		11/01/36			62		68,179
6.250%		05/15/29	(k)		1,090		1,397,785
6.500%		08/01/32			140		155,740
6.500%		09/01/32			111		122,024
6.500%		09/01/32			192		216,472
6.500%		10/01/32			105		114,329
6.500%		04/01/33			190		213,875
6.500%		11/01/33			5		5,410
6.625%		11/15/30	(k)		530		710,426
7.000%		05/01/32			87		95,087
7.000%		06/01/32			8		8,951
7.125%		01/15/30	(k)		785		1,080,417
Government National Mortgage Assoc.
5.500%		01/15/33			75		80,592
5.500%		02/15/33			57		62,005
5.500%		05/15/33			134		142,668
5.500%		05/15/33			190		202,227
5.500%		06/15/33			205		219,784
5.500%		09/15/33			115		123,794
5.500%		07/15/35			74		79,851
6.000%		12/15/32			139		151,799
6.000%		11/15/33			70		76,231
6.000%		01/15/34			12		13,464
6.000%		06/20/34			373		404,484
6.000%		11/15/34			528		572,123
6.500%		09/15/32			88		94,424
6.500%		09/15/32			212		229,026
6.500%		09/15/32			227		247,720
6.500%		11/15/33			167		182,090
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $11,665,325)							11,628,257
U.S. TREASURY OBLIGATIONS — 3.8%
U.S. Treasury Bonds
2.500%		05/15/46	(k)		965		870,272
2.750%		08/15/47	(k)		1,950		1,846,787
3.000%		02/15/48	(k)		1,380		1,372,615
3.000%		08/15/48	(h)		2,560		2,547,900
3.125%		05/15/48			1,174		1,196,288
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			5,640		5,546,182

SEE NOTES TO FINANCIAL STATEMENTS.

A52

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Notes
1.375%		05/31/21	(h)(k)		7,020	$	6,839,564
1.875%		04/30/22	(k)		520		510,047
2.000%		11/30/20			1,355		1,342,456
2.125%		05/15/25	(k)		260		253,012
2.250%		02/15/27	(k)		910		883,624
2.625%		07/15/21	(k)		2,350		2,358,354
2.875%		11/30/25			5,045		5,135,455
3.125%		11/15/28	(h)		7,950		8,246,262
U.S. Treasury Strips Coupon
2.783%(s)		08/15/29	(k)		1,200		889,201
2.878%(s)		05/15/31	(h)(k)		1,200		841,682
3.042%(s)		11/15/35	(k)		2,400		1,465,071
3.202%(s)		08/15/40	(k)		2,400		1,246,818
TOTAL U.S. TREASURY OBLIGATIONS (cost $42,898,521)							43,391,590
				Shares
PREFERRED STOCKS — 0.2%
Banks — 0.1%
Citigroup Capital XIII 8.890%					45,000		1,189,350
Capital Markets — 0.1%
State Street Corp. 5.350%					35,000		835,800
TOTAL PREFERRED STOCKS (cost $2,000,000)							2,025,150
TOTAL LONG-TERM INVESTMENTS (cost $1,078,201,632)							1,069,547,301
SHORT-TERM INVESTMENTS — 4.4%
AFFILIATED MUTUAL FUNDS — 4.0%
PGIM Core Short-Term Bond Fund(w)					3,926,899		36,166,743
PGIM Core Ultra Short Bond Fund(w)					3,312,505		3,312,505
PGIM Institutional Money Market Fund (cost $5,294,938; includes $5,280,830 of cash collateral for securities on loan)(b)(w)					5,295,469		5,294,940
TOTAL AFFILIATED MUTUAL FUNDS (cost $45,319,536)							44,774,188
Interest Rate	Maturity Date			Principal Amount (000)#
COMMERCIAL PAPER(n) — 0.4%
Ford Motor Credit Co. LLC
3.201%		04/09/19			4,020		3,983,010
(cost $3,985,746)

	Value
OPTIONS PURCHASED*~ — 0.0%
(cost $62,088)	$	486,594
TOTAL SHORT-TERM INVESTMENTS (cost $49,367,370)		49,243,792
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 99.6% (cost $1,127,569,002)		1,118,791,093
OPTIONS WRITTEN*~ — (0.0)%
(premiums received $291,883)		(453,510	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 99.6% (cost $1,127,277,119)		1,118,337,583
OTHER ASSETS IN EXCESS OF LIABILITIES(z) — 0.4%		4,587,812
NET ASSETS — 100.0%	$	1,122,925,395

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,279,655 and 1.3% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $5,182,650; cash collateral of $5,280,830 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment.Non-income producing security. Such securities may be post-maturity.

(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h) Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchase date.

(p) Interest rate not available as of December 31, 2018.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(rr) Perpetual security with no stated maturity date.

SEE NOTES TO FINANCIAL STATEMENTS.

A53

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date	Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC	11/21/19		0.13	%		—		3,100	$	18,088
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/21/19		0.12	%		—		4,700		28,721
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/12/21		0.11	%		—		3,026		27,869
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/13/21		0.11	%		—		2,942		27,116
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/16/21		0.15	%		—		7,356		64,952
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/20/21		0.15	%		—		14,601		139,858
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.	09/13/21		0.14	%		—		14,800		145,495
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/09/21		0.21	%		—		2,942		30,447
Total OTC Traded(cost $38,739)												$	482,546

OTC Swaptions

Description	Call/ Put		Counterparty	Expiration Date	Strike	Receive	Pay	Notional Amount (000)#		Value
CDX.NA.HY.31.V1, 12/20/23		Call	Bank of America, N.A.	03/20/19	$107.50	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		5,650	$	892
CDX.NA.HY.31.V1, 12/20/23		Call	Deutsche Bank AG	03/20/19	$107.50	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		5,550		876
CDX.NA.HY.31.V1, 12/20/23		Call	Bank of America, N.A.	03/20/19	$106.50	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		5,140		2,280
Total OTC Swaptions (cost $23,349)										$	4,048
Total Options Purchased(cost $62,088)										$	486,594

Options Written:

OTC Swaptions

Description	Call/ Put		Counterparty	Expiration Date	Strike		Receive	Pay	Notional Amount (000)#		Value
CDX.NA.HY.31.V1, 12/20/23		Put	Citibank, N.A.	01/16/19	$	94.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		10,000	$	(861	)
CDX.NA.HY.31.V1, 12/20/23		Put	BNP Paribas	01/16/19	$	97.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		5,040		(2,965	)
CDX.NA.HY.31.V1, 12/20/23		Put	BNP Paribas	01/16/19	$	101.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		5,040		(24,290	)
CDX.NA.HY.31.V1, 12/20/23		Put	Deutsche Bank AG	01/16/19	$	98.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		2,050		(1,904	)
CDX.NA.HY.31.V1, 12/20/23		Put	Goldman Sachs International	02/20/19	$	102.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		1,370		(22,504	)
CDX.NA.HY.31.V1, 12/20/23		Put	Citibank, N.A.	02/20/19	$	98.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		10,000		(53,094	)
CDX.NA.HY.31.V1, 12/20/23		Put	Bank of America, N.A.	02/20/19	$	97.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		13,640		(55,294	)
CDX.NA.HY.31.V1, 12/20/23		Put	Goldman Sachs International	03/20/19	$	99.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		3,410		(37,372	)
CDX.NA.HY.31.V1, 12/20/23		Put	Barclays Bank PLC	03/20/19	$	100.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		3,410		(46,380	)
CDX.NA.HY.31.V1, 12/20/23		Put	Deutsche Bank AG	03/20/19	$	98.00	5.00%(Q)	CDX.NA.HY. 31.V1(Q)		5,550		(49,183	)

SEE NOTES TO FINANCIAL STATEMENTS.

A54

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Options Written (continued):

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

CDX.NA.HY.31.V1, 12/20/23

Put

Bank of America, N.A.

03/20/19

$

98.00

5.00%(Q)

CDX.NA.HY. 31.V1(Q)

5,650

$

(50,069

)

iTraxx.XO.30.V1, 12/20/23

Put

Citibank, N.A.

03/20/19

4.00

%

5.00%(Q)

iTraxx.XO.30.V1(Q)

EUR

6,000

(109,594

)

Total Options Written(premiums received $291,883)

$

(453,510

)

Futures contracts outstanding at December 31, 2018:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
3,867	5 Year U.S. Treasury Notes		Mar. 2019	$	443,496,562	$	6,873,770
3,216	10 Year U.S. Treasury Notes		Mar. 2019		392,402,250		8,405,128
132	10 Year U.S. Ultra Treasury Notes		Mar. 2019		17,170,313		154,125
68	20 Year U.S. Treasury Bonds		Mar. 2019		9,928,000		459,664
614	30 Year U.S. Ultra Treasury Bonds		Mar. 2019		98,642,937		4,742,351
							20,635,038
Short Positions:
965	2 Year U.S. Treasury Notes		Mar. 2019		204,881,562		(1,370,324	)
67	5 Year Euro-Bobl		Mar. 2019		10,172,940		(25,912	)
95	10 Year Euro-Bund		Mar. 2019		17,800,731		(8,751	)
81	Euro Schatz Index		Mar. 2019		10,388,685		(4,170	)
							(1,409,157	)
						$	19,225,881

Forward foreign currency exchange contracts outstanding at December 31, 2018:

Purchase Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 01/25/19	Citibank, N.A.		EUR	489	$	560,000	$	561,279	$	1,279	$	—

Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 01/18/19	The Toronto-Dominion Bank		AUD	559	$	398,092	$	394,140	$	3,952	$	—
British Pound,
Expiring 01/25/19	Goldman Sachs International		GBP	4,935		6,411,009		6,298,200		112,809		—
Euro,
Expiring 01/25/19	Citibank, N.A.		EUR	23,669		26,952,311		27,179,412		—		(227,101	)
Expiring 01/25/19	Citibank, N.A.		EUR	23,669		26,777,136		27,179,414		—		(402,278	)
Expiring 01/25/19	Citibank, N.A.		EUR	175		199,463		200,951		—		(1,488	)
Expiring 01/25/19	JPMorgan Chase Bank, N.A.		EUR	350		400,454		401,903		—		(1,449	)
					$	61,138,465	$	61,654,020		116,761		(632,316	)
									$	118,040	$	(632,316	)

SEE NOTES TO FINANCIAL STATEMENTS.

A55

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^:
Banc of America Commercial Mortgage Trust		01/30/19		1.250%(M)		21		6.794	%	$	28	$	—	$	28		Goldman Sachs International
Banc of America Commercial Mortgage Trust		01/30/19		1.250%(M)		12		6.780	%		16		—		16		Goldman Sachs International
Bear Stearns Asset Backed Securities Trust		01/31/19		1.250%(M)		358		*			472		—		472		Goldman Sachs International
Bear Stearns Asset Backed Securities Trust		01/31/19		1.250%(M)		252		*			332		—		332		Goldman Sachs International
Bear Stearns Asset Backed Securities Trust		01/31/19		1.250%(M)		113		10.086	%		148		—		148		Goldman Sachs International
Chase Mortgage		01/31/19		1.250%(M)		429		*			561		—		561		Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		168		6.940	%		220		—		220		Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		64		*			84		—		84		Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		59		4.670	%		77		—		77		Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		13		6.780	%		17		—		17		Goldman Sachs International
Citigroup Mortgage Loan Trust		01/31/19		1.250%(M)		125		*			164		—		164		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		94		4.550	%		124		—		124		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		88		*			116		—		116		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		74		4.550	%		97		—		97		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		69		*			91		—		91		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		44		2.473	%		58		—		58		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		32		7.460	%		42		—		42		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		29		6.598	%		38		—		38		Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		22		*			29		—		29		Goldman Sachs International
Countrywide Alternative		01/31/19		1.250%(M)		237		*			310		—		310		Goldman Sachs International
Deutsche Bank Alta Mortgages		01/31/19		1.250%(M)		337		*			441		—		441		Goldman Sachs International
Deutsche Bank Alta Mortgages		01/31/19		1.250%(M)		191		*			250		—		250		Goldman Sachs International
Equity One Home		01/31/19		1.250%(M)		291		*			380		—		380		Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		511		*			668		—		668		Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		201		*			263		—		263		Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		147		*			192		—		192		Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		64		*			84		—		84		Goldman Sachs International
First Franklin Home Equity		01/31/19		1.250%(M)		120		*			157		—		157		Goldman Sachs International
First Franklin Home Equity		01/31/19		1.250%(M)		47		*			61		—		61		Goldman Sachs International
GMAC Home Equity		01/31/19		1.250%(M)		46		*			60		—		60		Goldman Sachs International
GMAC Home Equity		01/31/19		1.250%(M)		43		*			56		—		56		Goldman Sachs International
GMAC Home Equity		01/31/19		1.250%(M)		34		*			45		—		45		Goldman Sachs International
GS Mortgage Securities Trust		01/30/19		1.250%(M)		124		*			163		—		163		Goldman Sachs International
GS Mortgage Securities Trust		01/30/19		1.250%(M)		101		0.620	%		133		—		133		Goldman Sachs International
GS Mortgage Securities Trust		01/30/19		1.250%(M)		41		7.460	%		54		—		54		Goldman Sachs International
GSR Mortgage Loan Trust		01/31/19		1.250%(M)		89		*			117		—		117		Goldman Sachs International
JPMBB Commercial Mortgage Securities Trust		01/30/19		1.250%(M)		124		*			163		—		163		Goldman Sachs International
JPMBB Commercial Mortgage Securities Trust		01/30/19		1.250%(M)		97		*			127		—		127		Goldman Sachs International
JPMBB Commercial Mortgage Securities Trust		01/30/19		1.250%(M)		12		*			16		—		16		Goldman Sachs International

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018 (continued):

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^ (continued):
Lehman Home Equity		01/31/19		1.250%(M)		321		*		$	422	$	—	$	422	Goldman Sachs International
Lehman Home Equity		01/31/19		1.250%(M)		47		*			62		—		62	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		80		7.460	%		105		—		105	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		57		10.400	%		75		—		75	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		51		6.940	%		67		—		67	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		41		2.602	%		54		—		54	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		17		2.602	%		22		—		22	Goldman Sachs International
Morgan Stanley Home Equity		01/31/19		1.250%(M)		128		*			168		—		168	Goldman Sachs International
New Century Home Equity		01/31/19		1.250%(M)		334		14.903	%		440		—		440	Goldman Sachs International
New Century Home Equity		01/31/19		1.250%(M)		141		*			184		—		184	Goldman Sachs International
New Century Home Equity		01/31/19		1.250%(M)		65		*			85		—		85	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		188		*			247		—		247	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		25		*			33		—		33	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		23		6.780	%		30		—		30	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		21		*			28		—		28	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		12		4.670	%		16		—		16	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		10		6.780	%		13		—		13	Goldman Sachs International
										$	8,505	$	—	$	8,505

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)			Value at Trade Date		Value at December 31, 2018		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
General Motors Co.		06/20/19		5.000%(Q)		1,925		0.245	%	$	216,697	$	46,503	$	(170,194	)

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1):
Kingdom of Spain		06/20/23		1.000%(Q)		2,100	$	(43,375	)	$	(51,965	)	$	8,590		Bank of America, N.A.
Republic of Italy		06/20/19		1.000%(Q)		2,010		(7,822	)		(1,431	)		(6,391	)	Deutsche Bank AG
Republic of Italy		06/20/23		1.000%(Q)		980		7,357			21,923			(14,566	)	Bank of America, N.A.
Republic of Italy		06/20/28		1.000%(Q)		1,115		108,677			113,002			(4,325	)	Goldman Sachs International
United Mexican States		06/20/23		1.000%(Q)		665		11,673			4,137			7,536		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		655		11,498			10,327			1,171		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		3,862			3,885			(23	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		3,862			3,567			295		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		215		3,774			1,258			2,516		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		115		2,019			715			1,304		Citibank, N.A.
							$	101,525		$	105,418		$	(3,893	)

SEE NOTES TO FINANCIAL STATEMENTS.

A57

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018 (continued):

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)			Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2):
Arab Republic of Egypt		03/20/19		1.000%(Q)		620		2.208	%	$	(1,421	)	$	(2,414	)	$	993		Citibank, N.A.
Hellenic Republic		06/20/22		1.000%(Q)		1,020		4.046	%		(94,994	)		(176,063	)		81,069		Citibank, N.A.
Hellenic Republic		06/20/22		1.000%(Q)		260		4.046	%		(24,214	)		(46,150	)		21,936		Goldman Sachs International
Hellenic Republic		06/20/23		1.000%(Q)		660		4.380	%		(84,020	)		(64,560	)		(19,460	)	Citibank, N.A.
Hellenic Republic		06/20/24		1.000%(Q)		500		4.623	%		(79,691	)		(108,125	)		28,434		Barclays Bank PLC
Kingdom of Spain		06/20/19		1.000%(Q)		4,200		0.261	%		15,975			13,688			2,287		Morgan Stanley & Co. International PLC
Kingdom of Spain		06/20/23		1.000%(Q)		2,100		0.757	%		22,012			31,811			(9,799	)	Bank of America, N.A.
Kingdom of Spain		06/20/23		1.000%(Q)		660		0.757	%		6,918			9,538			(2,620	)	Bank of America, N.A.
Kingdom of Spain		06/20/23		1.000%(Q)		940		0.757	%		9,853			10,222			(369	)	Citibank, N.A.
Kingdom of Spain		06/20/23		1.000%(Q)		1,870		0.757	%		19,602			21,646			(2,044	)	Goldman Sachs International
Petroleos Mexicanos		06/20/23		1.000%(Q)		550		3.140	%		(46,287	)		(30,406	)		(15,881	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		545		3.140	%		(45,866	)		(36,167	)		(9,699	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		3.140	%		(15,569	)		(12,581	)		(2,988	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		3.140	%		(15,569	)		(12,353	)		(3,216	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		180		3.140	%		(15,148	)		(9,997	)		(5,151	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		90		3.140	%		(7,574	)		(4,973	)		(2,601	)	Citibank, N.A.
Republic of Italy		06/20/20		1.000%(Q)		710		1.194	%		(1,742	)		(10,229	)		8,487		Bank of America, N.A.
Republic of Italy		09/20/20		1.000%(Q)		5,650		1.305	%		(26,942	)		26,213			(53,155	)	JPMorgan Chase Bank, N.A.
Republic of Italy		06/20/21		1.000%(Q)		1,770		1.565	%		(22,961	)		(36,553	)		13,592		Goldman Sachs International
Republic of Italy		12/20/21		1.000%(Q)		2,010		1.684	%		(37,717	)		(74,681	)		36,964		Bank of America, N.A.
Republic of Italy		06/20/23		1.000%(Q)		980		1.982	%		(38,330	)		(58,974	)		20,644		Bank of America, N.A.
Republic of Italy		06/20/23		1.000%(Q)		1,770		1.982	%		(69,229	)		(83,740	)		14,511		Goldman Sachs International
Republic of Portugal		06/20/23		1.000%(Q)		570		0.889	%		4,274			501			3,773		Bank of America, N.A.
Republic of Portugal		12/20/23		1.000%(Q)		320		0.889	%		1,741			148			1,593		JPMorgan Chase Bank, N.A.
Republic of Portugal		12/20/23		1.000%(Q)		650		0.889	%		3,536			—			3,536		Morgan Stanley & Co. International PLC
										$	(543,363	)	$	(654,199	)	$	110,836

Reference Entity/Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Value at Trade Date

Value at December 31, 2018

Unrealized Appreciation (Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

CDX.NA.IG.30.V1

06/20/28

1.000%(Q)

7,863

$

75,009

$

178,288

$

103,279

Reference Entity/Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Fair Value

Upfront Premiums Paid (Received)

Unrealized Appreciation (Depreciation)

Counterparty

OTC Credit Default Swap Agreement on credit indices—Buy Protection(1):

CMBX.NA.10.AAA

11/17/59

0.500%(M)

6,000

$

65,262

$

68,926

$

(3,664

)

Deutsche Bank AG

SEE NOTES TO FINANCIAL STATEMENTS.

A58

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018 (continued):

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)		Fair Value		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on credit indices—Sell Protection(2):
CMBX.NA.6.AA		05/11/63		1.500%(M)		3,000		*	$	6,310	$	(1,485	)	$	7,795	Goldman Sachs International
CMBX.NA.6.AA		05/11/63		1.500%(M)		650		*		1,367		(2,368	)		3,735	Deutsche Bank AG
									$	7,677	$	(3,853	)	$	11,530

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may includeup-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

* When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Forward rate agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	173,800		01/14/19		—(4)	—(4)	$	(47,315	)	$	—	$	(47,315	)	Citigroup Global Markets Inc.
	132,100		01/28/19		—(3)	—(3)		(83,022	)		—		(83,022	)	Citigroup Global Markets Inc.
							$	(130,337	)	$	—	$	(130,337	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Porftolio pays or receives payments based on CMM102 minus 7 year CMT minus 1.371% upon termination.

(4) The Porftolio pays or receives payments based on CMM102 minus 7 year CMT minus 1.395% upon termination.

SEE NOTES TO FINANCIAL STATEMENTS.

A59

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Inflation swap agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	8,520		12/19/23		1.900%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(54,081	)	$	(54,081	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at December 31, 2018:

Notional Amount (000)#				Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	BRL		7,167		01/04/27	12.095%(T)	1 Day BROIS(2)(T)	$	—		$	518,404		$	518,404
	EUR		9,735		05/11/19	(0.144)%(A)	6 Month EURIBOR(1)(S)		(17,482	)		1,740			19,222
	EUR		7,065		05/11/21	0.100%(A)	6 Month EURIBOR(1)(S)		(32,493	)		(56,535	)		(24,042	)
	EUR		8,125		05/11/22	0.156%(A)	6 Month EURIBOR(1)(S)		(12,751	)		(71,556	)		(58,805	)
	EUR		4,650		05/11/23	0.650%(A)	6 Month EURIBOR(1)(S)		(41,668	)		(150,305	)		(108,637	)
	EUR		2,620		05/11/24	0.396%(A)	6 Month EURIBOR(1)(S)		15,866			(32,621	)		(48,487	)
	EUR		2,110		05/11/25	0.650%(A)	6 Month EURIBOR(1)(S)		(9,274	)		(50,697	)		(41,423	)
	EUR		3,815		05/11/26	0.750%(A)	6 Month EURIBOR(1)(S)		(5,568	)		(96,933	)		(91,365	)
	EUR		13,961		02/15/28	0.758%(A)	6 Month EURIBOR(2)(S)		(2,272	)		20,620			22,892
	EUR		5,195		05/11/28	0.750%(A)	6 Month EURIBOR(1)(S)		199,844			(34,084	)		(233,928	)
	EUR		2,640		02/15/30	1.124%(A)	6 Month EURIBOR(1)(S)		(631	)		(101,976	)		(101,345	)
	EUR		1,640		05/11/30	0.850%(A)	6 Month EURIBOR(1)(S)		60,674			5,843			(54,831	)
	EUR		2,410		05/11/33	1.000%(A)	6 Month EURIBOR(1)(S)		144,652			32,180			(112,472	)
	EUR		5		05/11/35	1.050%(A)	6 Month EURIBOR(1)(S)		357			113			(244	)
	EUR		1,240		05/11/36	1.050%(A)	6 Month EURIBOR(1)(S)		102,375			38,225			(64,150	)
	EUR		230		05/11/37	1.253%(A)	6 Month EURIBOR(1)(S)		10,208			(621	)		(10,829	)
	EUR		6,100		10/25/37	2.085%(A)	3 Month EURIBOR(2)(Q)		—			115,801			115,801
	EUR		6,100		10/25/37	2.114%(A)	6 Month EURIBOR(1)(S)		—			(119,291	)		(119,291	)
	EUR		400		05/11/39	1.350%(A)	6 Month EURIBOR(1)(S)		1,003			(5,353	)		(6,356	)
	EUR		195		05/11/42	1.350%(A)	6 Month EURIBOR(1)(S)		6,978			(1,623	)		(8,601	)
	EUR		1,140		01/26/48	1.853%(A)	3 Month EURIBOR(2)(Q)		—			27,389			27,389
	EUR		1,140		01/26/48	1.863%(A)	6 Month EURIBOR(1)(S)		—			(27,369	)		(27,369	)
	EUR		3,920		03/19/48	1.650%(A)	3 Month EURIBOR(2)(Q)		—			38,142			38,142
	EUR		3,920		03/19/48	1.658%(A)	6 Month EURIBOR(1)(S)		—			(38,407	)		(38,407	)
	GBP		1,995		05/08/21	0.716%(S)	6 Month GBP LIBOR(1)(S)		23,776			28,074			4,298
	JPY		4,844,850		12/17/20	0.015%(S)	6 Month JPY LIBOR(1)(S)		—			(2,723	)		(2,723	)
			92,210		02/15/19	1.820%(T)	1 Day USOIS(1)(T)		—			147,982			147,982
			14,618		03/31/19	1.431%(A)	1 Day USOIS(1)(A)		—			96,372			96,372
			14,825		03/31/19	1.431%(A)	1 Day USOIS(1)(A)		—			97,848			97,848
			6,015		06/30/19	1.486%(A)	1 Day USOIS(1)(A)		—			46,519			46,519
			28,605		06/30/19	1.502%(A)	1 Day USOIS(1)(A)		(13,976	)		216,687			230,663
		��	11,650		07/14/19	1.428%(A)	1 Day USOIS(1)(A)		—			99,583			99,583
			28,185		09/08/19	1.290%(A)	1 Day USOIS(1)(A)		—			299,871			299,871
			36,580		09/30/19	1.707%(A)	1 Day USOIS(1)(A)		10,331			248,354			238,023
			116,905		12/31/19	1.840%(A)	1 Day USOIS(1)(A)		328,613			808,596			479,983
			46,220		12/31/19	1.950%(A)	1 Day USOIS(1)(A)		14,346			231,120			216,774
			25,810		12/31/19	2.040%(A)	1 Day USOIS(1)(A)		281			88,560			88,279
			66,255		12/31/19	2.107%(A)	1 Day USOIS(1)(A)		7,124			150,769			143,645
			22,890		03/08/20	2.157%(A)	1 Day USOIS(1)(A)		—			32,559			32,559
			1,515		03/28/20	2.190%(A)	1 Day USOIS(1)(A)		(78	)		1,838			1,916
			16,870		03/31/20	2.295%(A)	1 Day USOIS(1)(A)		4,272			8,803			4,531
			35,490		03/31/20	2.369%(A)	1 Day USOIS(1)(A)		(7,669	)		(26,288	)		(18,619	)
			29,440		04/24/20	2.311%(A)	1 Day USOIS(1)(A)		—			(22,149	)		(22,149	)
			13,600		07/17/20	1.521%(A)	1 Day USOIS(1)(A)		—			217,020			217,020
			1,895		09/27/21	2.330%(A)	1 Day USOIS(1)(A)		(527	)		(2,106	)		(1,579	)
			5,260		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			(22,761	)		(22,761	)
			4,490		09/27/22	2.360%(A)	1 Day USOIS(1)(A)		53			(15,295	)		(15,348	)

SEE NOTES TO FINANCIAL STATEMENTS.

A60

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest rate swap agreements outstanding at December 31, 2018 (continued):

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
		6,920		02/15/24	2.115%(S)	3 Month LIBOR(1)(Q)	$	16,359		$	122,256		$	105,897
		16,137		02/15/24	2.151%(S)	3 Month LIBOR(1)(Q)		(17,628	)		255,092			272,720
		19,590		02/15/24	2.183%(S)	3 Month LIBOR(1)(Q)		(27,672	)		276,386			304,058
		3,650		05/15/24	1.808%(A)	1 Day USOIS(1)(A)		—			93,729			93,729
		11,070		08/15/24	2.168%(S)	3 Month LIBOR(1)(Q)		—			188,995			188,995
		88,455		08/15/24	2.170%(S)	3 Month LIBOR(1)(Q)		297,704			1,501,863			1,204,159
		29,940		08/15/24	2.176%(S)	3 Month LIBOR(1)(Q)		102,544			498,958			396,414
		34,400		11/15/24	2.334%(S)	3 Month LIBOR(1)(Q)		120,853			496,821			375,968
		6,025		02/28/25	2.454%(A)	1 Day USOIS(1)(A)		5,665			(64,037	)		(69,702	)
		2,040		02/28/25	3.019%(S)	3 Month LIBOR(1)(Q)		—			(64,865	)		(64,865	)
		41,999		05/31/25	2.998%(S)	3 Month LIBOR(1)(Q)		(29,049	)		(991,666	)		(962,617	)
		2,620		07/31/25	2.802%(A)	1 Day USOIS(1)(A)		—			(78,344	)		(78,344	)
		8,910		07/31/25	3.105%(S)	3 Month LIBOR(1)(Q)		7,029			(268,921	)		(275,950	)
		26,843		07/31/25	3.109%(S)	3 Month LIBOR(1)(Q)		938			(817,381	)		(818,319	)
		15,934		02/15/27	1.824%(A)	1 Day USOIS(1)(A)		211,227			643,288			432,061
		6,555		02/15/27	1.899%(A)	1 Day USOIS(1)(A)		7,830			223,946			216,116
		2,515		02/15/27	1.965%(A)	1 Day USOIS(1)(A)		—			72,153			72,153
		7,480		02/15/27	2.067%(A)	1 Day USOIS(1)(A)		(5,086	)		150,596			155,682
		5,020		05/08/27	2.309%(S)	3 Month LIBOR(1)(Q)		—			135,043			135,043
		3,295		05/15/27	1.823%(A)	1 Day USOIS(1)(A)		—			140,345			140,345
		2,095		05/15/27	2.295%(S)	3 Month LIBOR(1)(Q)		—			58,784			58,784
		7,475		08/15/28	2.579%(A)	1 Day USOIS(1)(A)		(26,868	)		(112,732	)		(85,864	)
		9,330		08/15/28	2.835%(S)	3 Month LIBOR(1)(Q)		(40,174	)		(105,237	)		(65,063	)
		3,815		03/16/38	2.987%(S)	3 Month LIBOR(2)(Q)		—			118,112			118,112
		2,905		02/15/42	1.369%(A)	1 Day USOIS(1)(A)		202			603,694			603,492
		580		11/15/43	2.659%(S)	3 Month LIBOR(1)(Q)		—			19,248			19,248
		1,835		09/27/46	1.380%(A)	1 Day USOIS(1)(A)		184			422,157			421,973
		2,865		03/16/48	2.970%(S)	3 Month LIBOR(1)(Q)		—			(99,764	)		(99,764	)
		1,100		04/09/48	2.545%(S)	3 Month LIBOR(1)(Q)		—			66,076			66,076
		1,020		05/08/48	2.627%(S)	3 Month LIBOR(1)(Q)		—			44,136			44,136
	ZAR	114,100		07/16/28	8.170%(Q)	3 Month JIBAR(2)(Q)		(5,173	)		22,213			27,386
							$	1,405,249		$	6,291,263		$	4,886,014

(1) The Portfolio pays the fixed rate and receives the floating rate. (2) The Portfolio pays the floating rate and receives the fixed rate.

Total return swap agreements outstanding at December 31, 2018:

Reference Entity	Financing Rate			Counterparty		Termination Date		Long (Short) Notional Amount(000)#	Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
OTC Total Return Swap Agreement:
IOS. FN30.450.10(M)		1 Month LIBOR	(M)		Credit Suisse International		1/12/41	2,758	$	(30,904	)	$	(8,422	)	$	(22,482	)

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate and Swap Agreements:

	Premiums Paid		Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—		$	—	$	(130,337	)
OTC Swap Agreements	$	341,507	$	(833,637	)	$	279,266	$	(178,434	)

SEE NOTES TO FINANCIAL STATEMENTS.

A61

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	500,000	$	22,417,938

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Automobiles	$	—	$	3,594,698		$	—
Collateralized Loan Obligations.		—		214,545,119			—
Consumer Loans		—		23,835,669			—
Credit Card		—		2,938,317			—
Home Equity Loans		—		21,243,612			—
Residential Mortgage-Backed Securities		—		28,087,878			7,996,987
Student Loans		—		14,246,669			—
Bank Loans		—		9,850,882			1,004,500
Commercial Mortgage-Backed Securities		—		146,052,592			—
Corporate Bonds		—		398,346,477			—
Municipal Bonds		—		20,992,934			—
Residential Mortgage-Backed Securities		—		44,595,405			5,400,000
Sovereign Bonds		—		69,770,565			—
U.S. Government Agency Obligations		—		11,628,257			—
U.S. Treasury Obligations		—		43,391,590			—
Preferred Stocks		2,025,150		—			—
Affiliated Mutual Funds		44,774,188		—			—
Commercial Paper		—		3,983,010			—
Options Purchased		—		486,594			—
Options Written		—		(453,510	)		—
Other Financial Instruments*
Futures Contracts		19,225,881		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(514,276	)		—
Centrally Cleared Credit Default Swap Agreements		—		(66,915	)		—
OTC Credit Default Swap Agreements		—		(368,899	)		8,505
OTC Forward Rate Agreements		—		—			(130,337	)
Centrally Cleared Inflation Swap Agreement		—		(54,081	)		—
Centrally Cleared Interest Rate Swap Agreements		—		4,886,014			—
OTC Total Return Swap Agreement		—		(30,904	)		—
Total	$	66,025,219	$	1,060,987,697		$	14,279,655

The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:

	Asset-Backed Securities — Residential Mortgage-Backed Securities		Bank Loans		Residential Mortgage-Backed Securities		Credit Default Swap Agreements		Forward Rate Agreements
Balance as of 12/31/17	$	1,751,539	$	—	$	5,931,898	$	30,357	$	—
Realized gain (loss)		1,601		—		—		28,085		—

SEE NOTES TO FINANCIAL STATEMENTS.

A62

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

	Asset-Backed Securities — Residential Mortgage-Backed Securities			Bank Loans		Residential Mortgage-Backed Securities			Credit Default Swap Agreements			Forward Rate Agreements
Change in unrealized appreciation (depreciation)	$	(10,339)		$	(10,250)	$	—		$	(21,852	)	$	(130,337)
Purchases/Exchanges/Issuances		8,529,450			1,014,750		5,400,000			—			—
Sales/Paydowns		(2,275,264	)		—		—			(28,085	)		—
Accrued discount/premium		—			—		—			—			—
Transfers into of Level 3		—			—		—			—			—
Transfers out of Level 3		—			—		(5,931,898	)		—			—
Balance as of 12/31/18	$	7,996,987		$	1,004,500	$	5,400,000		$	8,505		$	(130,337	)
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end	$	—		$	10,250	$	—		$	8,505		$	130,337

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:

Level 3 Securities	Fair Value as of December 31, 2018	Valuation Methodology		Unobservable Inputs
Asset-Backed Securities-Residential Mortgage-Backed Securities	$ 7,996,987		Market Approach	Single Broker Indicative Quote
Bank Loans	1,004,500		Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities	5,400,000		Market Approach	Single Broker Indicative Quote
Credit Default Swap Agreements	8,505		Market Approach	Single Broker Indicative Quote
Forward Rate Agreements	(130,337)		Model Pricing	Forward Rate Volatility & Convexity Adjustment
	$14,279,655

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:

Investments in Securities	Amount Transferred		Level Transfer		Logic
Residential Mortgage-Backed Securities	$	5,931,898		L3 to L2	Single Broker Indicative Quote to Evaluated Bid

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

Collateralized Loan Obligations	19.1	%
Commercial Mortgage-Backed Securities	13.0
Banks	11.1
Residential Mortgage-Backed Securities	7.6
Sovereign Bonds	6.2
Affiliated Mutual Funds (0.5% represents investments purchased with collateral from securities on loan)	4.0
U.S. Treasury Obligations	3.8
Media	2.4
Consumer Loans	2.1
Oil & Gas	1.9
Home Equity Loans	1.9

Municipal Bonds	1.9	%
Pharmaceuticals	1.8
Electric	1.7
Chemicals	1.4
Student Loans	1.3
Healthcare-Services	1.1
Diversified Financial Services	1.1
Insurance	1.1
U.S. Government Agency Obligations	1.0
Telecommunications	1.0
Pipelines	0.9
Auto Manufacturers	0.9

SEE NOTES TO FINANCIAL STATEMENTS.

A63

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Industry Classification (continued):

Retail	0.7	%
Healthcare-Products	0.6
Airlines	0.6
Commercial Services	0.6
Foods	0.6
Aerospace & Defense	0.5
Multi-National	0.5
Software	0.5
Home Builders	0.5
Semiconductors	0.5
Packaging & Containers	0.5
Machinery-Diversified	0.5
Auto Parts & Equipment	0.4
Commercial Paper	0.4
Automobiles	0.3
Agriculture	0.3
Building Materials	0.3
Lodging	0.3
Gas	0.3
Credit Card	0.3
Computers	0.3
Miscellaneous Manufacturing	0.2
Mining	0.2
Apparel	0.2
Internet	0.2

Entertainment	0.1	%
Savings & Loans	0.1
Electronics	0.1
Real Estate Investment Trusts (REITs)	0.1
Forest Products & Paper	0.1
Office/Business Equipment	0.1
Biotechnology	0.1
Beverages	0.1
Capital Markets	0.1
Housewares	0.1
Home Furnishings	0.0	*
Oil & Gas Services	0.0	*
Options Purchased	0.0	*
Textiles	0.0	*
Iron/Steel	0.0	*
Engineering & Construction	0.0	*
	99.6
Options Written	(0.0	)*
Other assets in excess of liabilities	0.4
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker — variation margin swaps	$	103,279	*	Due from/to broker — variation margin swaps	$	170,194	*
Credit contracts	Premiums paid for OTC swap agreements		341,507		Premiums received for OTC swap agreements		825,215
Credit contracts	Unaffiliated investments		4,048		Options written outstanding, at value		453,510
Credit contracts	Unrealized appreciation on OTC swap agreements		279,266		Unrealized depreciation on OTC swap agreements		155,952
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		118,040		Unrealized depreciation on OTC forward foreign currency exchange contracts		632,316
Interest rate contracts	Due from/to broker — variation margin futures		20,635,038	*	Due from/to broker — variation margin futures		1,409,157	*
Interest rate contracts	Due from/to broker — variation margin swaps		8,640,263	*	Due from/to broker — variation margin swaps		3,808,330	*
Interest rate contracts	—		—		Premiums received for OTC swap agreements		8,422
Interest rate contracts	Unaffiliated investments		482,546		—		—
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		130,337

SEE NOTES TO FINANCIAL STATEMENTS.

A64

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	—	$	—	Unrealized depreciation on OTC swap agreements	$	22,482
		$30,603,987			$7,615,915

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	(87,243	)	$	357,350	$	—		$	—	$	—		$	259,179
Foreign exchange contracts.		—			—		—			4,439,972		—			—
Interest rate contracts		(695,366	)		485,620		(26,300,118	)		—		(536,673	)		7,487,635
Total	$	(782,609	)	$	842,970	$	(26,300,118	)	$	4,439,972	$	(536,673	)	$	7,746,814

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)			Options Written			Futures		Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	(17,149	)	$	(295,848	)	$	—	$	—	$	—		$	231,857
Foreign exchange contracts		—			—			—		362,613		—			—
Interest rate contracts		738,266			(259,584	)		20,332,177		—		(130,337	)		(1,149,569	)
Total	$	721,117		$	(555,432	)	$	20,332,177	$	362,613	$	(130,337	)	$	(917,712	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts — Long Positions(2)	Futures Contracts — Short Positions(2)	Forward Foreign Currency Exchange Contracts  — Purchased(3)
$391,153	$144,903,533	$929,229,338	$272,585,307	$2,750,534

Forward Foreign Currency Exchange Contracts — Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements — Buy  Protection(2)
$63,868,701	$228,080,000	$1,394,747,388	$15,744,800

Credit Default Swap Agreements — Sell Protection(2)	Currency Swap Agreements(2)	Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$37,174,200	$8,677,400	$2,995,600	$19,114,513

SEE NOTES TO FINANCIAL STATEMENTS.

A65

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	5,182,650	$	(5,182,650	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)		Net Amount
Bank of America, N.A.	$	495,708	$	(328,197	)	$	167,511		$	—	$	167,511
Barclays Bank PLC		142,587		(154,505	)		(11,918	)		—		(11,918	)
BNP Paribas		—		(27,255	)		(27,255	)		—		(27,255	)
Citibank, N.A.		130,274		(1,203,318	)		(1,073,044	)		770,586		(302,458	)
Citigroup Global Markets Inc.		—		(130,337	)		(130,337	)		—		(130,337	)
Credit Suisse International		—		(30,904	)		(30,904	)		—		(30,904	)
Deutsche Bank AG		73,537		(64,941	)		8,596			—		8,596
Goldman Sachs International		313,796		(234,173	)		79,623			—		79,623
JPMorgan Chase Bank, N.A.		27,954		(54,604	)		(26,650	)		—		(26,650	)
Morgan Stanley & Co. International PLC		37,599		—			37,599			—		37,599
The Toronto-Dominion Bank		3,952		—			3,952			—		3,952
	$	1,225,407	$	(2,228,234	)	$	(1,002,827	)	$	770,586	$	(232,241	)

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A66

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value, including securities on loan of $5,182,650:
Unaffiliated investments (cost $1,082,249,466)	$	1,074,016,905
Affiliated investments (cost $45,319,536)		44,774,188
Cash		70,591
Foreign currency, at value (cost $955,926)		946,518
Cash segregated for counterparty — OTC		70,000
Dividends and interest receivable		9,873,219
Due from broker-variation margin futures		2,516,522
Receivable for investments sold		1,078,616
Receivable for Portfolio shares sold		545,571
Deposits with broker for centrally cleared/exchange-traded derivatives		500,000
Premiums paid for OTC swap agreements		341,507
Unrealized appreciation on OTC swap agreements		279,266
Unrealized appreciation on OTC forward foreign currency exchange contracts		118,040
Tax reclaim receivable		38,586
Receivable from affiliate		1,135
Prepaid expenses		8,616
Total Assets		1,135,179,280
LIABILITIES
Payable to broker for collateral for securities on loan		5,280,830
Payable for investments purchased		2,775,570
Due to broker-variation margin swaps		1,026,649
Premiums received for OTC swap agreements		833,637
Unrealized depreciation on OTC forward foreign currency exchange contracts		632,316
Options written outstanding, at value (proceeds received $291,883)		453,510
Payable for Portfolio shares repurchased		401,814
Management fee payable		379,888
Unrealized depreciation on OTC swap agreements		178,434
Accrued expenses and other liabilities		159,920
Unrealized depreciation on OTC forward rate agreements		130,337
Affiliated transfer agent fee payable		980
Total Liabilities		12,253,885
NET ASSETS	$	1,122,925,395
Net assets were comprised of:
Partners Equity	$	1,122,925,395
Net asset value and redemption price per share $1,122,925,395 / 85,586,112 outstanding shares of beneficial interest	$	13.12

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS) INCOME
Interest income (net of $7,028 foreign withholding tax of which $1,135 is reimbursable by an affiliate)	$	42,240,441
Affiliated dividend income		1,496,918
Unaffiliated dividend income		141,823
Income from securities lending, net (including affiliated income of $55,611)		65,538
Total income		43,944,720
EXPENSES
Management fee		4,527,402
Custodian and accounting fees		179,826
Shareholders’ reports		110,028
Audit fee		55,410
Trustees’ fees		20,788
Legal fees and expenses		13,856
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		35,168
Total expenses		4,953,160
NET INVESTMENT INCOME (LOSS)		38,991,560
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(1,203,003))		(1,365,890	)
Futures transactions		(26,300,118	)
Forward rate agreement transactions		(536,673	)
Forward currency contract transactions		4,439,972
Options written transactions		842,970
Swap agreements transactions		7,746,814
Foreign currency transactions		(439,991	)
		(15,612,916	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $907,952)		(45,230,713	)
Futures		20,332,177
Forward rate agreements		(130,337	)
Forward currency contracts		362,613
Options written		(555,432	)
Swap agreements		(917,712	)
Foreign currencies		(79,110	)
		(26,218,514	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(41,831,430	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,839,870	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	38,991,560		$	36,839,384
Net realized gain (loss) on investment and foreign currency transactions		(15,612,916	)		17,744,973
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(26,218,514	)		20,986,202
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,839,870	)		75,570,559
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [6,799,295 and 8,208,158 shares, respectively]		88,168,310			106,613,787
Portfolio shares repurchased [8,370,109 and 10,992,821 shares, respectively]		(108,237,839	)		(141,664,847	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(20,069,529	)		(35,051,060	)
CAPITAL CONTRIBUTIONS		736,677			—
TOTAL INCREASE (DECREASE)		(22,172,722	)		40,519,499
NET ASSETS:
Beginning of year		1,145,098,117			1,104,578,618
End of year	$	1,122,925,395		$	1,145,098,117

SEE NOTES TO FINANCIAL STATEMENTS.

A67

EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 4.8%
Boeing Co. (The)		384,958	$	124,148,955
Safran SA (France)		269,407		32,572,799
United Technologies Corp.		289,395		30,814,780
				187,536,534
Automobiles — 1.4%
Tesla, Inc.*(a)		160,620		53,454,336
Banks — 8.3%
Bank of America Corp.		2,585,371		63,703,541
BB&T Corp.		927,877		40,195,632
Citigroup, Inc.		817,694		42,569,150
JPMorgan Chase & Co.		1,411,622		137,802,540
PNC Financial Services Group, Inc. (The)		359,661		42,047,967
				326,318,830
Biotechnology — 0.7%
BioMarin Pharmaceutical, Inc.*		317,919		27,070,803
Building Products — 0.5%
Johnson Controls International PLC		634,823		18,822,502
Capital Markets — 1.5%
Goldman Sachs Group, Inc. (The)		342,458		57,207,609
Chemicals — 1.8%
DowDuPont, Inc.		389,553		20,833,294
FMC Corp.		343,464		25,402,598
Linde PLC (United Kingdom)		163,601		25,528,300
				71,764,192
Communications Equipment — 1.3%
Cisco Systems, Inc.		1,198,330		51,923,639
Consumer Finance — 1.4%
Capital One Financial Corp.		410,023		30,993,639
SLM Corp.*		2,678,543		22,258,692
				53,252,331
Diversified Telecommunication Services — 1.0%
Verizon Communications, Inc.		700,529		39,383,740
Electric Utilities — 3.4%
American Electric Power Co., Inc.		1,012,742		75,692,337
Exelon Corp.		1,245,794		56,185,309
				131,877,646
Electrical Equipment — 0.7%
Emerson Electric Co.		484,436		28,945,051
Energy Equipment & Services — 0.4%
Schlumberger Ltd.		442,893		15,979,579
Entertainment — 3.1%
Activision Blizzard, Inc.		407,589		18,981,420
Netflix, Inc.*		270,140		72,305,672
Twenty-First Century Fox, Inc. (Class A Stock)		656,338		31,582,985
				122,870,077
Equity Real Estate Investment Trusts (REITs) — 1.4%
American Tower Corp.		352,683		55,790,924

COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		183,077	$	37,294,616
Walmart, Inc.		582,642		54,273,102
				91,567,718
Food Products — 1.4%
Conagra Brands, Inc.		792,584		16,929,594
Mondelez International, Inc. (Class A Stock)		917,948		36,745,459
				53,675,053
Health Care Equipment & Supplies — 3.0%
IDEXX Laboratories, Inc.*		177,371		32,994,553
Intuitive Surgical, Inc.*		85,118		40,764,713
Zimmer Biomet Holdings, Inc.		423,021		43,875,738
				117,635,004
Health Care Providers & Services — 2.1%
Laboratory Corp. of America Holdings*		222,035		28,056,342
UnitedHealth Group, Inc.		212,156		52,852,303
				80,908,645
Hotels, Restaurants & Leisure — 1.9%
Marriott International, Inc. (Class A Stock)		371,116		40,288,353
McDonald’s Corp.		192,142		34,118,655
				74,407,008
Insurance — 2.0%
Chubb Ltd.		332,032		42,891,894
MetLife, Inc.		852,970		35,022,948
				77,914,842
Interactive Media & Services — 7.5%
Alphabet, Inc. (Class A Stock)*		90,948		95,037,022
Alphabet, Inc. (Class C Stock)*		62,665		64,896,501
Facebook, Inc. (Class A Stock)*		461,004		60,433,014
Tencent Holdings Ltd. (China)		1,842,115		73,732,777
				294,099,314
Internet & Direct Marketing Retail — 5.6%
Alibaba Group Holding Ltd. (China), ADR*(a)		471,029		64,563,945
Amazon.com, Inc.*		78,033		117,203,225
Booking Holdings, Inc.*		12,425		21,401,069
eBay, Inc.*		531,857		14,929,226
				218,097,465
IT Services — 5.4%
Adyen NV (Netherlands), 144A*(a)		37,663		20,620,551
Mastercard, Inc. (Class A Stock)		399,549		75,374,919
PayPal Holdings, Inc.*		242,729		20,411,082
Square, Inc. (Class A Stock)*		414,258		23,235,731
Visa, Inc. (Class A Stock)		553,185		72,987,229
				212,629,512
Life Sciences Tools & Services — 1.3%
Illumina, Inc.*		171,123		51,324,921

SEE NOTES TO FINANCIAL STATEMENTS.

A68

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Media — 1.6%
Comcast Corp. (Class A Stock)		1,162,724	$	39,590,752
Liberty Global PLC (United Kingdom) (Class C Stock)*		1,193,863		24,641,332
				64,232,084
Oil, Gas & Consumable Fuels — 3.5%
Anadarko Petroleum Corp.		378,589		16,597,342
Chevron Corp.		490,009		53,308,079
Noble Energy, Inc.		867,222		16,269,084
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		860,992		50,170,004
				136,344,509
Pharmaceuticals — 9.8%
Allergan PLC		209,862		28,050,155
AstraZeneca PLC (United Kingdom), ADR(a)		3,518,341		133,626,591
Bristol-Myers Squibb Co.		692,533		35,997,865
Eli Lilly & Co.		579,787		67,092,952
Merck & Co., Inc.		655,195		50,063,450
Pfizer, Inc.		1,633,315		71,294,200
				386,125,213
Road & Rail — 0.9%
Union Pacific Corp.		253,155		34,993,616
Semiconductors & Semiconductor Equipment — 2.4%
Broadcom, Inc.		142,336		36,193,198
NVIDIA Corp.		245,877		32,824,579
Texas Instruments, Inc.		267,377		25,267,127
				94,284,904
Software — 9.5%
Adobe, Inc.*		285,713		64,639,709
Microsoft Corp.		1,566,851		159,145,056
PTC, Inc.*(a)		320,744		26,589,677
salesforce.com, Inc.*		588,940		80,667,112
Workday, Inc. (Class A Stock)*		267,613		42,732,444
				373,773,998
Specialty Retail — 1.6%
Home Depot, Inc. (The)		174,926		30,055,785
Lowe’s Cos., Inc.		334,583		30,902,086
				60,957,871

COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripherals — 0.7%
Apple, Inc.		172,950	$	27,281,133
Textiles, Apparel & Luxury Goods — 2.5%
Kering SA (France)		73,014		34,429,747
NIKE, Inc. (Class B Stock)		568,610		42,156,745
Tapestry, Inc.		648,030		21,871,013
				98,457,505
TOTAL LONG-TERM INVESTMENTS (cost $2,767,553,478)				3,790,908,108
SHORT-TERM INVESTMENTS — 9.1%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		122,077,957		122,077,957
PGIM Institutional Money Market Fund (cost $233,959,995; includes $233,450,391 of cash collateral for securities on loan)(b)(w)		233,985,533		233,962,135
TOTAL SHORT-TERM INVESTMENTS (cost $356,037,952)				356,040,092
TOTAL INVESTMENTS — 105.8% (cost $3,123,591,430)				4,146,948,200
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.8)%				(225,882,687	)
NET ASSETS — 100.0%			$	3,921,065,513

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $227,798,660; cash collateral of $233,450,391 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A69

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense.	$	154,963,735	$	32,572,799	$	—
Automobiles		53,454,336		—		—
Banks		326,318,830		—		—
Biotechnology.		27,070,803		—		—
Building Products.		18,822,502		—		—
Capital Markets		57,207,609		—		—
Chemicals.		71,764,192		—		—
Communications Equipment		51,923,639		—		—
Consumer Finance		53,252,331		—		—
Diversified Telecommunication Services		39,383,740		—		—
Electric Utilities.		131,877,646		—		—
Electrical Equipment		28,945,051		—		—
Energy Equipment & Services.		15,979,579		—		—
Entertainment.		122,870,077		—		—
Equity Real Estate Investment Trusts (REITs)		55,790,924		—		—
Food & Staples Retailing		91,567,718		—		—
Food Products		53,675,053		—		—
Health Care Equipment & Supplies		117,635,004		—		—
Health Care Providers & Services		80,908,645		—		—
Hotels, Restaurants & Leisure		74,407,008		—		—
Insurance		77,914,842		—		—
Interactive Media & Services		220,366,537		73,732,777		—
Internet & Direct Marketing Retail		218,097,465		—		—
IT Services		192,008,961		20,620,551		—
Life Sciences Tools & Services		51,324,921		—		—
Media		64,232,084		—		—
Oil, Gas & Consumable Fuels		136,344,509		—		—
Pharmaceuticals		386,125,213		—		—
Road & Rail		34,993,616		—		—
Semiconductors & Semiconductor Equipment		94,284,904		—		—
Software		373,773,998		—		—
Specialty Retail		60,957,871		—		—
Technology Hardware, Storage & Peripherals		27,281,133		—		—
Textiles, Apparel & Luxury Goods		64,027,758		34,429,747		—
Affiliated Mutual Funds		356,040,092		—		—
Total	$	3,985,592,326	$	161,355,874	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

Pharmaceuticals	9.8	%
Software	9.5
Affiliated Mutual Funds (6.0% represents investments purchased with collateral from securities on loan)	9.1
Banks	8.3
Interactive Media & Services	7.5
Internet & Direct Marketing Retail	5.6
IT Services	5.4
Aerospace & Defense	4.8
Oil, Gas & Consumable Fuels	3.5
Electric Utilities	3.4
Entertainment	3.1
Health Care Equipment & Supplies	3.0
Textiles, Apparel & Luxury Goods	2.5
Semiconductors & Semiconductor Equipment	2.4
Food & Staples Retailing	2.3

Health Care Providers & Services	2.1	%
Insurance	2.0
Hotels, Restaurants & Leisure	1.9
Chemicals	1.8
Media	1.6
Specialty Retail	1.6
Capital Markets	1.5
Equity Real Estate Investment Trusts (REITs)	1.4
Food Products	1.4
Automobiles	1.4
Consumer Finance	1.4
Communications Equipment	1.3
Life Sciences Tools & Services	1.3
Diversified Telecommunication Services	1.0
Road & Rail	0.9
Electrical Equipment	0.7

SEE NOTES TO FINANCIAL STATEMENTS.

A70

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Industry Classification (continued):

Technology Hardware, Storage & Peripherals	0.7	%
Biotechnology	0.7
Building Products	0.5
Energy Equipment & Services	0.4
	105.8
Liabilities in excess of other assets	(5.8	)
	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/ (Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	227,798,660	$	(227,798,660	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A71

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value, including securities on loan of $227,798,660:
Unaffiliated investments (cost $2,767,553,478)	$	3,790,908,108
Affiliated investments (cost $356,037,952)		356,040,092
Receivable for investments sold		9,505,406
Dividends and interest receivable		2,486,706
Tax reclaim receivable		1,075,665
Receivable from affiliate		33,011
Receivable for Portfolio shares sold		6,389
Prepaid expenses		34,022
Total Assets		4,160,089,399
LIABILITIES
Payable to broker for collateral for securities on loan		233,450,391
Payable for investments purchased		2,514,521
Management fee payable.		1,537,293
Accrued expenses and other liabilities		754,448
Payable to affiliate		540,629
Payable for Portfolio shares repurchased		224,934
Affiliated transfer agent fee payable		980
Distribution fee payable		319
Administration fee payable		282
Payable to custodian		89
Total Liabilities		239,023,886
NET ASSETS	$	3,921,065,513
Net assets were comprised of:
Partners Equity	$	3,921,065,513
Class I:
Net asset value and redemption price per share, $3,919,601,870 / 79,958,033 outstanding shares of beneficial interest	$	49.02
Class II:
Net asset value and redemption price per share, $1,463,643 / 30,259 outstanding shares of beneficial interest	$	48.37

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $1,183,806, of which $30,662 is reimbursable by an affiliate)	$	61,100,406
Affiliated dividend income		2,671,102
Income from securities lending, net (including affiliated income of $954,151)		1,229,940
Total income		65,001,448
EXPENSES
Management fee		20,245,048
Distribution fee — Class II		4,570
Administration fee — Class II		2,742
Shareholders’ reports		329,728
Custodian and accounting fees		307,682
Trustees’ fees		56,989
Audit fee		32,034
Legal fees and expenses		24,230
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		79,013
Total expenses		21,092,720
NET INVESTMENT INCOME (LOSS)		43,908,728
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(12,714))		267,332,488
Foreign currency transactions		(53,849	)
		267,278,639
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $1,779)		(497,924,445	)
Foreign currencies		(10,323	)
		(497,934,768	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(230,656,129	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(186,747,401	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	43,908,728		$	36,631,169
Net realized gain (loss) on investment and foreign currency transactions		267,278,639			337,897,437
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(497,934,768	)		560,989,236
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(186,747,401	)		935,517,842
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		16,251,411			7,725,478
Portfolio shares repurchased		(329,183,650	)		(269,394,297	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(312,932,239	)		(261,668,819	)
CAPITAL CONTRIBUTIONS		3,505,159			—
TOTAL INCREASE (DECREASE)		(496,174,481	)		673,849,023
NET ASSETS:
Beginning of year		4,417,239,994			3,743,390,971
End of year	$	3,921,065,513		$	4,417,239,994

SEE NOTES TO FINANCIAL STATEMENTS.

A72

FLEXIBLE MANAGED PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

LONG-TERM INVESTMENTS — 94.5%
COMMON STOCKS — 57.1%		Shares		Value
Aerospace & Defense — 1.1%
Lockheed Martin Corp.			69,500	$	18,197,880
Meggitt PLC (United Kingdom)			1,973		11,867
MTU Aero Engines AG (Germany)			1,152		209,957
Raytheon Co.			103,700		15,902,395
Safran SA (France)			834		100,835
Thales SA (France)			267		31,244
United Technologies Corp.			69,000		7,347,120
					41,801,298
Air Freight & Logistics — 0.2%
Hub Group, Inc. (Class A Stock)*			19,200		711,744
SG Holdings Co. Ltd. (Japan)	��		900		23,327
United Parcel Service, Inc. (Class B Stock)			84,600		8,251,038
					8,986,109
Airlines — 0.7%
Delta Air Lines, Inc.			243,600		12,155,640
Deutsche Lufthansa AG (Germany)			2,570		58,391
International Consolidated Airlines Group SA (United Kingdom)			2,273		18,043
Japan Airlines Co. Ltd. (Japan)			5,900		209,095
United Continental Holdings, Inc.*			161,100		13,488,903
					25,930,072
Auto Components — 0.0%
Cie Generale des Etablissements Michelin SCA (France)			428		42,560
Denso Corp. (Japan)			1,100		48,632
Koito Manufacturing Co. Ltd. (Japan)			300		15,379
Stanley Electric Co. Ltd. (Japan)			300		8,402
Tenneco, Inc. (Class A Stock)			38,200		1,046,298
					1,161,271
Automobiles — 0.0%
Ferrari NV (Italy)			347		34,640
Fiat Chrysler Automobiles NV (United Kingdom)*			2,781		40,443
Honda Motor Co. Ltd. (Japan)			10,000		262,648
Isuzu Motors Ltd. (Japan)			1,400		19,671
Mitsubishi Motors Corp. (Japan)			2,100		11,415
Peugeot SA (France)			10,934		233,789
Suzuki Motor Corp. (Japan)			3,700		186,956
Toyota Motor Corp. (Japan)			5,900		342,504
Volkswagen AG (Germany)			91		14,545
					1,146,611
Banks — 3.6%
ABN AMRO Group NV (Netherlands), CVA, 144A			1,069		25,178
AIB Group PLC (Ireland)			2,064		8,723
Australia & New Zealand Banking Group Ltd. (Australia)			7,430		127,995
Bank LeumiLe-Israel BM (Israel)			35,384		213,681
Bank of America Corp.			1,596,550		39,338,992
Bank of Ireland Group PLC (Ireland)			36,527		203,445
Bank of Queensland Ltd. (Australia)			22,916		156,612

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
BB&T Corp.		90,400	$	3,916,128
BNP Paribas SA (France)		2,805		127,092
BOC Hong Kong Holdings Ltd. (China)		9,500		35,197
Citigroup, Inc.		466,550		24,288,593
Commonwealth Bank of Australia (Australia)		163		8,301
DBS Group Holdings Ltd. (Singapore)		4,600		79,851
DNB ASA (Norway)		2,447		39,306
Fifth Third Bancorp		101,900		2,397,707
Hang Seng Bank Ltd. (Hong Kong)		1,900		42,389
HSBC Holdings PLC (United Kingdom)		24,735		204,506
ING Groep NV (Netherlands)		9,769		105,577
JPMorgan Chase & Co.		504,694		49,268,228
KeyCorp.		135,000		1,995,300
Lloyds Banking Group PLC (United Kingdom)		215,086		142,019
Mebuki Financial Group, Inc. (Japan)		3,200		8,478
Mediobanca Banca di Credito Finanziario SpA (Italy)		24,184		205,409
Mitsubishi UFJ Financial Group, Inc. (Japan)		64,500		316,013
Mizuho Financial Group, Inc. (Japan)		60,400		93,693
Nordea Bank Abp (Finland)		7,861		66,228
Raiffeisen Bank International AG (Austria)		7,379		187,987
Resona Holdings, Inc. (Japan)		54,900		264,297
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		4,252		41,431
Societe Generale SA (France)		2,663		85,248
Sumitomo Mitsui Financial Group, Inc. (Japan)		5,300		175,812
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		600		21,940
Svenska Handelsbanken AB (Sweden) (Class A Stock)		3,819		42,660
Swedbank AB (Sweden) (Class A Stock)		385		8,620
Synovus Financial Corp.		31,200		998,088
United Overseas Bank Ltd. (Singapore)		11,700		210,777
Wells Fargo & Co.		302,300		13,929,984
				139,381,485
Beverages — 1.0%
Asahi Group Holdings Ltd. (Japan)		900		34,930
Coca-Cola European Partners PLC (United Kingdom)		5,800		265,930
Diageo PLC (United Kingdom)		497		17,718
Keurig Dr. Pepper, Inc.		253,000		6,486,920
Kirin Holdings Co. Ltd. (Japan)		11,700		244,296
PepsiCo, Inc.		287,020		31,709,970
Treasury Wine Estates Ltd. (Australia)		1,899		19,783
				38,779,547
Biotechnology — 1.7%
Alexion Pharmaceuticals, Inc.*		30,400		2,959,744
Amgen, Inc.		50,208		9,773,991
Biogen, Inc.*		57,800		17,393,176
Celgene Corp.*		233,100		14,939,379

SEE NOTES TO FINANCIAL STATEMENTS.

A73

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Biotechnology (continued)
CSL Ltd. (Australia)		110	$	14,385
Gilead Sciences, Inc.		328,350		20,538,293
				65,618,968
Building Products — 0.2%
Armstrong World Industries, Inc.		55,300		3,219,013
Daikin Industries Ltd. (Japan)		600		63,697
Kingspan Group PLC (Ireland)		386		16,588
Resideo Technologies, Inc.*		63,466		1,304,226
Universal Forest Products, Inc.		73,600		1,910,656
				6,514,180
Capital Markets — 1.3%
3i Group PLC (United Kingdom)		20,112		198,557
Affiliated Managers Group, Inc.		450		43,848
Ameriprise Financial, Inc.		115,750		12,080,827
Evercore, Inc. (Class A Stock)		20,450		1,463,402
Goldman Sachs Group, Inc. (The)		64,500		10,774,725
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		2,900		84,017
Macquarie Group Ltd. (Australia)		3,758		287,018
Morgan Stanley		436,050		17,289,382
Natixis SA (France)		2,711		12,805
Partners Group Holding AG (Switzerland)		389		236,083
SBI Holdings, Inc. (Japan)		600		11,725
State Street Corp.		130,450		8,227,482
				50,709,871
Chemicals — 0.9%
Air Liquide SA (France)		161		20,037
Arkema SA (France)		175		15,055
Asahi Kasei Corp. (Japan)		9,100		93,632
Celanese Corp.		59,700		5,371,209
Chemours Co. (The)		102,950		2,905,249
Covestro AG (Germany), 144A		3,067		152,595
Evonik Industries AG (Germany)		408		10,230
Givaudan SA (Switzerland)		23		53,362
Huntsman Corp.		339,700		6,552,813
Israel Chemicals Ltd. (Israel)		1,603		9,080
Kuraray Co. Ltd. (Japan)		1,000		14,057
LyondellBasell Industries NV (Class A Stock)		108,200		8,997,912
Mitsubishi Chemical Holdings Corp. (Japan)		31,600		238,735
Mitsubishi Gas Chemical Co., Inc. (Japan)		2,400		36,056
Mitsui Chemicals, Inc. (Japan)		600		13,531
Mosaic Co. (The)		245,000		7,156,450
Olin Corp.		50,300		1,011,533
Shin-Etsu Chemical Co. Ltd. (Japan)		900		69,627
Showa Denko KK (Japan)		300		8,911
Solvay SA (Belgium)		185		18,538
Sumitomo Chemical Co. Ltd. (Japan)		17,100		82,629
Teijin Ltd. (Japan)		700		11,183
				32,842,424

COMMON STOCKS (continued)	Shares		Value
Commercial Services & Supplies — 0.0%
Dai Nippon Printing Co. Ltd. (Japan)		600	$	12,577
Securitas AB (Sweden) (Class B Stock)		989		15,905
				28,482
Communications Equipment — 1.1%
Arista Networks, Inc.*		10,600		2,233,420
Cisco Systems, Inc.		832,400		36,067,892
CommScope Holding Co., Inc.*		119,600		1,960,244
Juniper Networks, Inc.		47,100		1,267,461
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		7,954		70,988
				41,600,005
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		642		24,918
CIMIC Group Ltd. (Australia)		2,075		63,198
Eiffage SA (France)		232		19,418
EMCOR Group, Inc.		53,900		3,217,291
HOCHTIEF AG (Germany)		1,273		172,252
Taisei Corp. (Japan)		2,600		111,144
Vinci SA (France)(a)		2,767		228,505
				3,836,726
Construction Materials — 0.0%
CRH PLC (Ireland)		2,109		56,051
HeidelbergCement AG (Germany)		378		23,232
				79,283
Consumer Finance — 0.6%
American Express Co.		40,250		3,836,630
Capital One Financial Corp.		204,800		15,480,832
Navient Corp.		150,350		1,324,583
OneMain Holdings, Inc.*		96,000		2,331,840
				22,973,885
Containers & Packaging — 0.0%
Greif, Inc. (Class A Stock)		15,450		573,350
Westrock Co.		33,700		1,272,512
				1,845,862
Distributors — 0.2%
Genuine Parts Co.		93,100		8,939,462
Diversified Financial Services — 0.6%
Berkshire Hathaway, Inc. (Class B Stock)*		103,850		21,204,093
Investor AB (Sweden) (Class B Stock)		1,144		48,681
Jefferies Financial Group, Inc.		161,000		2,794,960
ORIX Corp. (Japan)		16,500		240,308
				24,288,042
Diversified Telecommunication Services — 1.7%
AT&T, Inc.		1,016,500		29,010,910
BT Group PLC (United Kingdom)		21,515		65,507
Deutsche Telekom AG (Germany)		22,027		375,523
HKT Trust & HKT Ltd. (Hong Kong), (Class SS Stock)		22,000		31,696

SEE NOTES TO FINANCIAL STATEMENTS.

A74

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Diversified Telecommunication Services (continued)
Nippon Telegraph & Telephone Corp. (Japan)		7,400	$	301,488
Proximus SADP (Belgium)		384		10,410
Spark New Zealand Ltd. (New Zealand)		4,651		12,946
Swisscom AG (Switzerland)		66		31,745
Telecom Italia SpA (Italy), RSP		18,981		9,110
Telenor ASA (Norway)		1,867		36,316
Telia Co. AB (Sweden)		7,133		33,872
Telstra Corp. Ltd. (Australia)		10,735		21,493
Verizon Communications, Inc.		600,088		33,736,947
				63,677,963
Electric Utilities — 0.8%
Chubu Electric Power Co., Inc. (Japan)		1,600		22,766
CK Infrastructure Holdings Ltd. (Hong Kong)		1,500		11,360
CLP Holdings Ltd. (Hong Kong)		4,000		45,205
Endesa SA (Spain)		5,307		122,536
Enel SpA (Italy)		61,882		359,348
Eversource Energy		75,400		4,904,016
Exelon Corp.		409,600		18,472,960
FirstEnergy Corp.(a)		49,500		1,858,725
Kansai Electric Power Co., Inc. (The) (Japan)		8,800		132,152
Portland General Electric Co.		63,400		2,906,890
Red Electrica Corp. SA (Spain)		1,066		23,861
Terna Rete Elettrica Nazionale SpA (Italy)		3,541		20,133
				28,879,952
Electrical Equipment — 0.1%
Atkore International Group, Inc.*		84,850		1,683,424
Legrand SA (France)		656		37,119
Melrose Industries PLC (United Kingdom)		12,515		26,190
Schneider Electric SE (France)		2,880		197,878
				1,944,611
Electronic Equipment, Instruments & Components — 0.4%
Avnet, Inc.(a)		66,200		2,389,820
CDW Corp.		78,700		6,378,635
Hexagon AB (Sweden) (Class B Stock)		661		30,577
Hitachi Ltd. (Japan)		9,800		259,985
Keysight Technologies, Inc.*		14,700		912,576
Kyocera Corp. (Japan)		800		39,932
Murata Manufacturing Co. Ltd. (Japan)		800		108,599
National Instruments Corp.		35,700		1,620,066
SYNNEX Corp.		18,600		1,503,624
TDK Corp. (Japan)		300		21,026
Tech Data Corp.*		16,200		1,325,322
				14,590,162
Energy Equipment & Services — 0.1%
Archrock, Inc.		145,650		1,090,919
Superior Energy Services, Inc.*		292,900		981,215
				2,072,134

COMMON STOCKS (continued)	Shares		Value
Entertainment — 0.7%
Activision Blizzard, Inc.		227,250	$	10,583,032
Ubisoft Entertainment SA (France)*		198		16,021
Viacom, Inc. (Class B Stock)		106,450		2,735,765
Walt Disney Co. (The)		135,500		14,857,575
				28,192,393
Equity Real Estate Investment Trusts (REITs) — 1.2%
American Tower Corp.		5,200		822,588
Apple Hospitality REIT, Inc.		196,550		2,802,803
Brandywine Realty Trust		81,200		1,045,044
Brixmor Property Group, Inc.		179,750		2,640,528
CoreCivic, Inc.		134,050		2,390,112
DiamondRock Hospitality Co.		358,450		3,254,726
Empire State Realty Trust, Inc. (Class A Stock)		114,100		1,623,643
Equity Residential		21,100		1,392,811
Franklin Street Properties Corp.		70,250		437,658
GEO Group, Inc. (The)		246,250		4,851,125
Goodman Group (Australia)		33,921		253,673
Host Hotels & Resorts, Inc.		700,050		11,669,833
Klepierre SA (France)		681		21,066
Land Securities Group PLC (United Kingdom)		19,617		201,348
Link REIT (Hong Kong)		5,500		55,649
Mirvac Group (Australia)		9,114		14,381
Nippon Building Fund, Inc. (Japan)		3		18,892
Piedmont Office Realty Trust, Inc. (Class A Stock)		96,900		1,651,176
Prologis, Inc.		13,100		769,232
Ryman Hospitality Properties, Inc.		45,400		3,027,726
Spirit MTA REIT		14,870		106,023
Spirit Realty Capital, Inc.		199,450		7,030,612
Stockland (Australia)		6,024		14,916
United Urban Investment Corp. (Japan)		7		10,866
				46,106,431
Food & Staples Retailing — 0.7%
Colruyt SA (Belgium)		151		10,751
Costco Wholesale Corp.		21,800		4,440,878
ICA Gruppen AB (Sweden)		6,664		238,250
J Sainsbury PLC (United Kingdom)		39,087		132,145
Koninklijke Ahold Delhaize NV (Netherlands)		8,164		206,602
Walgreens Boots Alliance, Inc.(a)		256,900		17,553,977
Walmart, Inc.		27,300		2,542,995
WM Morrison Supermarkets PLC (United Kingdom)		48,202		131,102
				25,256,700
Food Products — 1.1%
Archer-Daniels-Midland Co.		351,250		14,390,712
Barry Callebaut AG (Switzerland)		46		71,816
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		3		18,578
J.M. Smucker Co. (The)(a)		14,650		1,369,629
Kraft Heinz Co. (The)		277,700		11,952,208
MEIJI Holdings Co. Ltd. (Japan)		200		16,329

SEE NOTES TO FINANCIAL STATEMENTS.

A75

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
Mondelez International, Inc. (Class A Stock)		124,800	$	4,995,744
Nestle SA (Switzerland)		6,361		517,316
Orkla ASA (Norway)		1,959		15,439
Tate & Lyle PLC (United Kingdom)		28,843		243,009
Tyson Foods, Inc. (Class A Stock)		139,400		7,443,960
WH Group Ltd. (Hong Kong), 144A		22,500		17,320
Wilmar International Ltd. (Singapore)		100,800		230,541
				41,282,601
Gas Utilities — 0.2%
UGI Corp.		128,500		6,855,475
Health Care Equipment & Supplies — 1.5%
Baxter International, Inc.		49,850		3,281,127
Boston Scientific Corp.*		315,550		11,151,537
ConvaTec Group PLC (United Kingdom), 144A		8,547		15,162
Danaher Corp.		210,550		21,711,916
Hoya Corp. (Japan)		2,000		120,403
IDEXX Laboratories, Inc.*		6,900		1,283,538
Intuitive Surgical, Inc.*		6,400		3,065,088
Medtronic PLC		141,100		12,834,456
Smith & Nephew PLC (United Kingdom)		4,731		88,500
Sonova Holding AG (Switzerland)		289		47,578
Straumann Holding AG (Switzerland)		18		11,396
Stryker Corp.		10,200		1,598,850
Zimmer Biomet Holdings, Inc.		19,700		2,043,284
				57,252,835
Health Care Providers & Services — 1.8%
Alfresa Holdings Corp. (Japan)		7,100		181,387
CVS Health Corp.		195,350		12,799,332
Fresenius SE & Co. KGaA (Germany)		630		30,734
HCA Healthcare, Inc.		150,050		18,673,723
Humana, Inc.		9,950		2,850,476
Medipal Holdings Corp. (Japan)		11,300		242,398
Sonic Healthcare Ltd. (Australia)		1,001		15,561
UnitedHealth Group, Inc.		132,600		33,033,312
				67,826,923
Hotels, Restaurants & Leisure — 0.6%
Accor SA (France)		576		24,784
Bloomin’ Brands, Inc.		246,450		4,408,991
Compass Group PLC (United Kingdom)		13,227		278,423
Extended Stay America, Inc., UTS		266,000		4,123,000
Genting Singapore Ltd. (Singapore)		15,100		10,817
Hilton Grand Vacations, Inc.*		107,100		2,826,369
Marriott International, Inc. (Class A Stock)		18,950		2,057,212
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		8,494
Norwegian Cruise Line Holdings Ltd.*		65,200		2,763,828
Oriental Land Co. Ltd. (Japan)		500		50,403
Paddy Power Betfair PLC (Ireland)		249		20,451
Penn National Gaming, Inc.*		6,700		126,161
Royal Caribbean Cruises Ltd.		71,100		6,952,869

COMMON STOCKS (continued)	Shares		Value
Hotels, Restaurants & Leisure (continued)
Sodexo SA (France)		231	$	23,689
TUI AG (Germany)		1,434		20,600
				23,696,091
Household Durables — 0.0%
Barratt Developments PLC (United Kingdom)		2,562		15,138
Berkeley Group Holdings PLC (United Kingdom)		5,587		247,728
Nikon Corp. (Japan)		800		11,852
Persimmon PLC (United Kingdom)		6,649		163,936
Sony Corp. (Japan)		6,300		302,542
				741,196
Household Products — 0.6%
Henkel AG & Co. KGaA (Germany)		321		31,622
Procter & Gamble Co. (The)		243,705		22,401,364
Reckitt Benckiser Group PLC (United Kingdom)		1,729		132,674
				22,565,660
Independent Power & Renewable Electricity Producers — 0.5%
AES Corp.		491,900		7,112,874
Electric Power Development Co. Ltd. (Japan)		500		11,843
NRG Energy, Inc.		278,350		11,022,660
				18,147,377
Industrial Conglomerates — 0.7%
CK Hutchison Holdings Ltd. (Hong Kong)		19,500		187,171
General Electric Co.		485,100		3,672,207
Honeywell International, Inc.		161,800		21,377,016
NWS Holdings Ltd. (Hong Kong)		4,000		8,209
Siemens AG (Germany)		223		24,956
				25,269,559
Insurance — 1.3%
Aegon NV (Netherlands)		46,139		216,432
Aflac, Inc.		56,900		2,592,364
AIA Group Ltd. (Hong Kong)		6,000		49,752
Allianz SE (Germany)		2,059		414,805
Allstate Corp. (The)(a)		169,900		14,038,837
Aviva PLC (United Kingdom)		9,961		47,764
AXA SA (France)		8,413		182,141
CNO Financial Group, Inc.		50,300		748,464
Dai-ichi Life Holdings, Inc. (Japan)		2,700		41,958
Insurance Australia Group Ltd. (Australia)		5,811		28,656
Legal & General Group PLC (United Kingdom)		91,188		269,196
Lincoln National Corp.		90,800		4,658,948
MetLife, Inc.		402,300		16,518,438
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		372		81,412
NN Group NV (Netherlands)		759		30,298
Old Republic International Corp.		7,850		161,475

SEE NOTES TO FINANCIAL STATEMENTS.

A76

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Reinsurance Group of America, Inc.		6,400	$	897,472
Suncorp Group Ltd. (Australia)		3,255		28,902
Swiss Life Holding AG (Switzerland)*		101		39,068
Tokio Marine Holdings, Inc. (Japan)		1,700		80,716
UnipolSai Assicurazioni SpA (Italy)		81,747		185,474
Unum Group		262,200		7,703,436
Zurich Insurance Group AG (Switzerland)		52		15,558
				49,031,566
Interactive Media & Services — 2.7%
Alphabet, Inc. (Class A Stock)*		21,650		22,623,384
Alphabet, Inc. (Class C Stock)*		46,732		48,396,127
Auto Trader Group PLC (United Kingdom), 144A		11,239		65,273
Facebook, Inc. (Class A Stock)*		256,550		33,631,139
				104,715,923
Internet & Direct Marketing Retail — 2.2%
Amazon.com, Inc.*		27,700		41,604,569
Booking Holdings, Inc.*		11,150		19,204,983
eBay, Inc.*		533,400		14,972,538
Expedia Group, Inc.(a)		8,400		946,260
Qurate Retail, Inc.*		454,500		8,871,840
				85,600,190
IT Services — 2.4%
Accenture PLC (Class A Stock)		71,350		10,061,063
Amadeus IT Group SA (Spain)		3,501		244,424
Automatic Data Processing, Inc.		73,550		9,643,876
Capgemini SE (France)		248		24,732
Cognizant Technology Solutions Corp. (Class A Stock)		292,350		18,558,378
DXC Technology Co.		179,100		9,522,747
International Business Machines Corp.		85,200		9,684,684
Obic Co. Ltd. (Japan)		200		15,434
Visa, Inc. (Class A Stock)		264,400		34,884,936
Wirecard AG (Germany)		1,549		238,103
				92,878,377
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		500		22,413
Vista Outdoor, Inc.*(a)		85,200		967,020
				989,433
Life Sciences Tools & Services — 1.0%
Illumina, Inc.*		59,850		17,950,810
QIAGEN NV*		620		21,229
Thermo Fisher Scientific, Inc.		86,300		19,313,077
				37,285,116
Machinery — 0.9%
Alfa Laval AB (Sweden)		751		16,147
Alstom SA (France)		393		15,904
Atlas Copco AB (Sweden) (Class B Stock)		1,705		37,351
Caterpillar, Inc.		117,900		14,981,553
CNH Industrial NV (United Kingdom)		2,556		23,362

COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
Cummins, Inc.		101,300	$	13,537,732
Daifuku Co. Ltd. (Japan)		2,100		95,575
Hitachi Construction Machinery Co. Ltd. (Japan)		300		6,996
IHI Corp. (Japan)		400		11,013
Komatsu Ltd. (Japan)		2,300		49,186
PACCAR, Inc.		33,150		1,894,191
Pentair PLC (United Kingdom)		81,700		3,086,626
Sandvik AB (Sweden)		18,506		266,439
Schindler Holding AG (Switzerland)		64		12,495
Timken Co. (The)		38,200		1,425,624
Volvo AB (Sweden) (Class B Stock)		20,027		263,150
Yangzijiang Shipbuilding Holdings Ltd. (China)		239,100		217,802
				35,941,146
Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		10		11,842
Media — 1.0%
Comcast Corp. (Class A Stock)		772,396		26,300,084
Eutelsat Communications SA (France)		2,940		58,039
Hakuhodo DY Holdings, Inc. (Japan)		700		10,005
I-CABLE Communications Ltd. (Hong Kong)*		3,065		46
News Corp. (Class A Stock)		157,500		1,787,625
Pearson PLC (United Kingdom)		21,660		259,602
RTL Group SA (Luxembourg)		111		5,942
TEGNA, Inc.		369,350		4,014,834
Tribune Media Co. (Class A Stock)		132,400		6,008,312
				38,444,489
Metals & Mining — 0.3%
Alcoa Corp.*		18,650		495,717
Alumina Ltd. (Australia)		6,301		10,190
Anglo American PLC (South Africa)		14,915		333,316
ArcelorMittal (Luxembourg)		10,215		214,661
BHP Group Ltd. (Australia)		7,966		191,347
BHP Group PLC (Australia)		5,222		110,740
BlueScope Steel Ltd. (Australia)		4,669		35,922
Glencore PLC (Switzerland)*		28,671		106,653
JFE Holdings, Inc. (Japan)		1,300		20,570
Kobe Steel Ltd. (Japan)		1,000		6,922
Nippon Steel & Sumitomo Metal Corp. (Japan)		1,900		32,592
Norsk Hydro ASA (Norway)		2,370		10,796
Rio Tinto Ltd. (Australia)		1,018		56,177
Rio Tinto PLC (Australia)		2,977		142,197
South32 Ltd. (Australia)		16,028		37,782
Steel Dynamics, Inc.		258,850		7,775,854
voestalpine AG (Austria)		371		11,155
				9,592,591
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
Ladder Capital Corp.		158,900		2,458,183
Two Harbors Investment Corp.		236,300		3,034,092
				5,492,275

SEE NOTES TO FINANCIAL STATEMENTS.

A77

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Multiline Retail — 0.7%
Don Quijote Holdings Co. Ltd. (Japan)		300	$	18,384
Kohl’s Corp.(a)		201,600		13,374,144
Macy’s, Inc.		434,150		12,928,987
Next PLC (United Kingdom)		360		18,329
Wesfarmers Ltd. (Australia)		2,737		62,049
				26,401,893
Multi-Utilities — 0.2%
AGL Energy Ltd. (Australia)		17,131		248,023
CenterPoint Energy, Inc.		165,100		4,660,773
MDU Resources Group, Inc.		125,050		2,981,192
National Grid PLC (United Kingdom)		26,885		261,819
				8,151,807
Oil, Gas & Consumable Fuels — 3.0%
Aker BP ASA (Norway)		284		7,209
BP PLC (United Kingdom)		33,082		209,466
Chevron Corp.		318,300		34,627,857
ConocoPhillips		52,650		3,282,727
Eni SpA (Italy)		11,156		176,210
Equinor ASA (Norway)		2,934		62,290
Exxon Mobil Corp.		209,066		14,256,211
JXTG Holdings, Inc. (Japan)		8,100		42,363
Kinder Morgan, Inc.		911,000		14,011,180
Lundin Petroleum AB (Sweden)		591		14,818
Marathon Oil Corp.		117,500		1,684,950
Marathon Petroleum Corp.(a)		232,600		13,725,726
Neste OYJ (Finland)		2,839		219,502
Phillips 66		169,100		14,567,965
Repsol SA (Spain)		16,848		272,803
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		11,808		347,789
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		3,044		90,909
Santos Ltd. (Australia)		46,595		178,670
TOTAL SA (France)		2,429		128,538
Valero Energy Corp.		196,800		14,754,096
Woodside Petroleum Ltd. (Australia)		1,448		31,801
World Fuel Services Corp.		84,200		1,802,722
				114,495,802
Paper & Forest Products — 0.0%
Oji Holdings Corp. (Japan)		2,200		11,277
Stora Enso OYJ (Finland) (Class R Stock)		1,395		16,219
UPM-Kymmene OYJ (Finland)		1,360		34,686
				62,182
Personal Products — 0.2%
Avon Products, Inc. (United Kingdom)*		28,200		42,864
Herbalife Nutrition Ltd.*		35,600		2,098,620
Kose Corp. (Japan)		100		15,660
L’Oreal SA (France)		555		128,224
Nu Skin Enterprises, Inc. (Class A Stock)		21,600		1,324,728
Pola Orbis Holdings, Inc. (Japan)		200		5,383
Shiseido Co. Ltd. (Japan)(a)		900		56,331
Unilever NV (United Kingdom), CVA		3,869		210,432

COMMON STOCKS (continued)	Shares		Value
Personal Products (continued)
Unilever PLC (United Kingdom)		3,035	$	159,200
USANA Health Sciences, Inc.*		23,400		2,754,882
				6,796,324
Pharmaceuticals — 3.3%
Allergan PLC		111,400		14,889,724
Astellas Pharma, Inc. (Japan)		5,100		65,321
AstraZeneca PLC (United Kingdom)		426		31,955
Bayer AG (Germany)		1,468		102,776
Bristol-Myers Squibb Co.		317,000		16,477,660
Eli Lilly & Co.		117,400		13,585,528
GlaxoSmithKline PLC (United Kingdom)		11,144		212,192
H. Lundbeck A/S (Denmark)		1,244		54,584
Ipsen SA (France)		95		12,288
Johnson & Johnson		209,448		27,029,264
Merck & Co., Inc.		430,000		32,856,300
Novartis AG (Switzerland)		7,867		675,037
Novo Nordisk A/S (Denmark) (Class B Stock)		4,553		209,162
Pfizer, Inc.		454,400		19,834,560
Roche Holding AG (Switzerland)		2,747		683,490
Sanofi (France)		5,575		483,548
Shionogi & Co. Ltd. (Japan)		4,600		263,095
Takeda Pharmaceutical Co. Ltd. (Japan)(a)		1,300		44,078
Teva Pharmaceutical Industries Ltd. (Israel), ADR*		2,400		37,008
UCB SA (Belgium)		396		32,365
				127,579,935
Professional Services — 0.2%
Insperity, Inc.		31,100		2,903,496
Intertek Group PLC (United Kingdom)		410		25,137
Korn/Ferry International		51,700		2,044,218
Recruit Holdings Co. Ltd. (Japan)		2,800		67,597
RELX PLC (United Kingdom)		5,026		103,671
Robert Half International, Inc.		55,650		3,183,180
Teleperformance (France)		1,297		207,741
Wolters Kluwer NV (Netherlands)		1,909		113,183
				8,648,223
Real Estate Management & Development — 0.4%
CapitaLand Ltd. (Singapore)		6,500		14,791
CBRE Group, Inc. (Class A Stock)*		361,750		14,484,470
CK Asset Holdings Ltd. (Hong Kong)		8,500		61,587
Henderson Land Development Co. Ltd. (Hong Kong)		400		1,991
Mitsui Fudosan Co. Ltd. (Japan)		2,300		50,751
Sumitomo Realty & Development Co. Ltd. (Japan)		900		32,914
Sun Hung Kai Properties Ltd. (Hong Kong)		4,000		57,020
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		21,000		222,092
Swire Properties Ltd. (Hong Kong)		3,800		13,337

SEE NOTES TO FINANCIAL STATEMENTS.

A78

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Real Estate Management & Development (continued)
Vonovia SE (Germany)		1,111	$	50,555
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		26,000		155,390
				15,144,898
Road & Rail — 0.9%
Aurizon Holdings Ltd. (Australia)		5,022		15,129
CSX Corp.		279,950		17,393,294
DSV A/S (Denmark)		2,516		166,186
Kyushu Railway Co. (Japan)		500		16,913
Nippon Express Co. Ltd. (Japan)		200		11,137
Norfolk Southern Corp.		112,650		16,845,681
				34,448,340
Semiconductors & Semiconductor Equipment — 1.7%
ASML Holding NV (Netherlands)		1,045		164,894
Cabot Microelectronics Corp.		8,000		762,800
Infineon Technologies AG (Germany)		13,474		269,784
Intel Corp.		800,450		37,565,118
KLA-Tencor Corp.		17,500		1,566,075
Lam Research Corp.		46,800		6,372,756
Micron Technology, Inc.*		114,500		3,633,085
NXP Semiconductors NV (Netherlands)		800		58,624
Qorvo, Inc.*		67,900		4,123,567
STMicroelectronics NV (Switzerland)		2,025		29,088
Texas Instruments, Inc.		41,450		3,917,025
Versum Materials, Inc.		68,700		1,904,364
Xilinx, Inc.		62,300		5,306,091
				65,673,271
Software — 3.9%
Adobe, Inc.*		70,150		15,870,736
Cadence Design Systems, Inc.*		92,900		4,039,292
Citrix Systems, Inc.		8,800		901,648
Dassault Systemes SE (France)		320		38,088
Intuit, Inc.		38,500		7,578,725
Micro Focus International PLC (United Kingdom)		1,656		29,278
Microsoft Corp.		887,700		90,163,689
Nice Ltd. (Israel)*		157		16,907
Oracle Corp.		517,650		23,371,898
SAP SE (Germany)		565		56,567
Synopsys, Inc.*		88,100		7,421,544
				149,488,372
Specialty Retail — 0.9%
Advance Auto Parts, Inc.		73,550		11,581,183
Asbury Automotive Group, Inc.*		37,700		2,513,082
AutoNation, Inc.*		128,700		4,594,590
Fast Retailing Co. Ltd. (Japan)		500		255,210
Foot Locker, Inc.		195,100		10,379,320
Home Depot, Inc. (The)		14,800		2,542,936
Michaels Cos., Inc. (The)*(a)		120,900		1,636,986
Penske Automotive Group, Inc.(a)		31,400		1,266,048
				34,769,355
Technology Hardware, Storage & Peripherals — 2.4%
Apple, Inc.		375,800		59,278,692

COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripherals (continued)
FUJIFILM Holdings Corp. (Japan)		1,000	$	38,889
Hewlett Packard Enterprise Co.		1,020,050		13,474,860
HP, Inc.		833,950		17,062,617
Konica Minolta, Inc. (Japan)		22,600		203,835
				90,058,893
Textiles, Apparel & Luxury Goods — 0.7%
adidas AG (Germany)		462		96,923
Burberry Group PLC (United Kingdom)		1,136		25,148
Hanesbrands, Inc.(a)		130,300		1,632,659
Hermes International (France)		155		86,211
Kering SA (France)		238		112,229
LVMH Moet Hennessy Louis Vuitton SE (France)		1,473		436,592
NIKE, Inc. (Class B Stock)		246,400		18,268,096
Puma SE (Germany)		21		10,294
Swatch Group AG (The) (Switzerland) (Registered Shares)		140		8,141
Tapestry, Inc.		212,400		7,168,500
				27,844,793
Thrifts & Mortgage Finance — 0.1%
Radian Group, Inc.		206,000		3,370,160
Tobacco — 0.4%
Altria Group, Inc.		32,750		1,617,522
British American Tobacco PLC (United Kingdom)		6,054		193,597
Imperial Brands PLC (United Kingdom)		8,396		254,601
Japan Tobacco, Inc. (Japan)		2,700		64,266
Philip Morris International, Inc.		188,400		12,577,584
				14,707,570
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,125		23,527
ITOCHU Corp. (Japan)		7,900		134,172
Marubeni Corp. (Japan)		15,000		105,101
Mitsubishi Corp. (Japan)		9,100		249,943
Mitsui & Co. Ltd. (Japan)		14,200		218,276
Sumitomo Corp. (Japan)		2,800		39,717
Toyota Tsusho Corp. (Japan)		700		20,601
WESCO International, Inc.*		83,700		4,017,600
				4,808,937
Transportation Infrastructure — 0.1%
Aena SME SA (Spain), 144A		171		26,624
Auckland International Airport Ltd. (New Zealand)		2,462		11,842
Macquarie Infrastructure Corp.(a)		129,500		4,734,520
				4,772,986
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		9,200		219,870
NTT DOCOMO, Inc. (Japan)		3,400		76,552
SoftBank Group Corp. (Japan)		2,100		139,164

SEE NOTES TO FINANCIAL STATEMENTS.

A79

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Wireless Telecommunication Services (continued)
T-Mobile US, Inc.*		13,900	$	884,179
Vodafone Group PLC (United Kingdom)		14,071		27,548
				1,347,313
TOTAL COMMON STOCKS (cost $1,941,568,512)				2,189,375,648
EXCHANGE TRADED FUND — 0.0%
iShares MSCI EAFE ETF		2,088		122,733
(cost $121,601)
PREFERRED STOCKS — 0.0%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		155		11,080
Banks — 0.0%
Citigroup Capital XIII 8.890%		22,000		581,460
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		441		48,297
TOTAL PREFERRED STOCKS (cost $615,221)				640,837
	Units
RIGHTS* — 0.0%
Oil, Gas & Consumable Fuels
Repsol SA (Spain), expiring 01/09/19 (cost $7,904)		16,848		7,721

Interest Rate	Maturity Date		Principal Amount (000)#
ASSET-BACKED SECURITIES — 6.7%
Automobiles — 1.6%
AmeriCredit Automobile Receivables Trust,
Series2016-04, Class C
2.410%		07/08/22		1,000	987,298
Series2017-03, Class C
2.690%		06/19/23		1,020	1,007,752
Series2017-04, Class C
2.600%		09/18/23		2,100	2,065,168
Series2018-01, Class C
3.500%		01/18/24		1,600	1,605,684
Avis Budget Rental Car Funding AESOP LLC,
Series2015-01A, Class A, 144A
2.500%		07/20/21		3,300	3,268,608
Series2015-02A, Class A, 144A
2.630%		12/20/21		4,000	3,955,253
Series2018-01A, Class A, 144A
3.700%		09/20/24		1,600	1,621,390
Series2018-02A, Class A, 144A
4.000%		03/20/25		1,600	1,632,741
Drive Auto Receivables Trust,
Series2018-01, Class B
2.880%		02/15/22		1,700	1,697,846

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Ford Credit Auto Owner Trust,
Series2017-01, Class A, 144A
2.620%		08/15/28		1,300	$	1,281,298
Series2017-02, Class A, 144A
2.360%		03/15/29		2,500		2,436,299
Series2018-02, Class A, 144A
3.470%		01/15/30		3,000		3,027,379
Ford Credit Floorplan Master Owner Trust,
Series2017-03, Class A
2.480%		09/15/24		4,500		4,411,916
Series2018-02, Class A
3.170%		03/15/25		13,350		13,444,098
GM Financial Consumer Automobile Receivables Trust,
Series2018-04, Class C
3.620%		06/17/24		500		508,380
OneMain Direct Auto Receivables Trust,
Series2017-01A, Class A, 144A
2.160%		10/15/20		1,955		1,948,229
Series2017-02A, Class B, 144A
2.550%		11/14/23		5,800		5,741,042
Series2017-02A, Class C, 144A
2.820%		07/15/24		1,400		1,385,906
Series2018-01A, Class A, 144A
3.430%		12/16/24		5,200		5,210,073
Santander Drive Auto Receivables Trust,
Series2018-01, Class C
2.960%		03/15/24		1,200		1,194,567
Series2018-04, Class C
3.560%		07/15/24		2,300		2,317,407
						60,748,334
Collateralized Loan Obligations — 2.6%
ArrowMark Colorado Holdings (Cayman Islands),
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.716%(c)		07/15/29		500		498,922
Battalion CLO Ltd. (Cayman Islands),
Series2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.785%(c)		07/18/30		1,500		1,498,335
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		07/15/29		1,500		1,495,853
Series2017-11A, Class X, 144A, 3 Month LIBOR + 1.000%
3.436%(c)		04/15/29		938		937,401
Brookside Mill CLO Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
3.269%(c)		01/17/28		1,500		1,485,116
Canyon Capital CLO Ltd. (Cayman Islands),
Series2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		04/15/29		3,000		2,977,711
Catamaran CLO Ltd. (Cayman Islands),
Series2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400%
3.845%(c)		10/18/26		500		499,482
CIFC Funding Ltd. (Cayman Islands),
Series2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%
3.627%(c)		10/17/31		9,750		9,665,150
Elevation CLO Ltd. (Cayman Islands),
Series2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%
3.995%(c)		04/18/27		1,000		1,001,588

SEE NOTES TO FINANCIAL STATEMENTS.

A80

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Greenwood Park CLO Ltd. (Cayman Islands),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.446%(c)		04/15/31		2,000	$	1,969,663
Greywolf CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.538%(c)		04/26/31		4,000		3,932,191
Highbridge Loan Management Ltd. (Cayman Islands),
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.582%(c)		02/05/31		250		245,717
ICG US CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)
3.590%(c)		10/19/28		10,000		9,910,856
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.757%(c)		10/23/29		1,250		1,241,844
Jefferson Mill CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 3 Month LIBOR + 1.175%
3.672%(c)		10/20/31		6,750		6,662,046
MidOcean Credit CLO (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.589%(c)		04/21/31		2,400		2,370,506
OCP CLO Ltd. (Cayman Islands),
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.696%(c)		07/15/30		1,250		1,244,149
OZLM Ltd. (Cayman Islands),
Series2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
3.749%(c)		10/20/31		7,500		7,446,547
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.770%(c)		10/30/30		1,500		1,491,820
Palmer Square CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%
3.579%(c)		01/17/31		1,500		1,483,277
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.946%(c)		05/21/29		1,750		1,742,700
Series2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100%
3.362%(c)		07/16/31		2,350		2,315,009
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280%
3.772%(c)		10/20/31		8,750		8,705,097
Romark CLO Ltd. (Cayman Islands),
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175%
3.431%(c)		07/25/31		1,000		989,925
Sound Point CLO Ltd. (Cayman Islands),
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.349%(c)		07/20/27		1,000		992,362
Telos CLO (Cayman Islands),
Series2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%
3.749%(c)		07/17/26		1,500		1,499,267
Telos CLO Ltd. (Cayman Islands),
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%
3.689%(c)		01/17/30		2,500		2,487,206
TICP CLO Ltd. (Cayman Islands),
Series2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%
3.666%(c)		07/15/29		1,250		1,245,963
Trinitas CLO Ltd. (Cayman Islands),
Series2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.190%(c)		10/25/28		3,250		3,249,724

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.700%(c)		01/25/31		2,500	$	2,482,235
Venture CLO Ltd. (Cayman Islands),
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.316%(c)		07/15/27		1,000		989,103
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.789%(c)		04/20/29		2,000		2,001,512
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.599%(c)		01/17/31		2,750		2,708,897
Series2018-01A, Class A, 144A, 3 Month LIBOR + 1.100%
3.470%(c)		07/17/31		3,500		3,450,666
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.638%(c)		10/20/31		5,750		5,694,531
Zais CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.806%(c)		07/15/29		1,750		1,752,145
						100,364,516
Consumer Loans — 0.2%
OneMain Financial Issuance Trust,
Series2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
3.240%(c)		09/14/32		3,700		3,708,462
Oportun Funding X LLC,
Series2018-C, Class A, 144A
4.100%		10/08/24		1,600		1,615,305
Oportun Funding XII LLC,
Series2018-D, Class A, 144A
4.150%		12/09/24		1,100		1,111,507
SpringCastle America Funding LLC,
Series2016-AA, Class A, 144A
3.050%		04/25/29		1,659		1,643,616
Springleaf Funding Trust,
Series2015-AA, Class A, 144A
3.160%		11/15/24		1,406		1,403,810
						9,482,700
Credit Cards — 0.4%
Citibank Credit Card Issuance Trust,
Series2017-A05, Class A5, 1 Month LIBOR + 0.620%
3.124%(c)		04/22/26		3,800		3,819,542
Series2018-A07, Class A7
3.960%		10/13/30		6,400		6,716,153
Discover Card Execution Note Trust,
Series2017-A04, Class A4
2.530%		10/15/26		4,000		3,907,027
Series2017-A05, Class A5, 1 Month LIBOR + 0.600%
3.055%(c)		12/15/26		2,600		2,596,033
						17,038,755
Equipment — 0.3%
MMAF Equipment Finance LLC,
Series2017-AA, Class A4, 144A
2.410%		08/16/24		3,500		3,438,157
Series2017-B, Class A4, 144A
2.410%		11/15/24		1,700		1,668,596

SEE NOTES TO FINANCIAL STATEMENTS.

A81

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Equipment (continued)
Series2017-B, Class A5, 144A
2.720%		06/15/40		2,800	$	2,732,988
Series2018-A, Class A4, 144A
3.390%		01/10/25		1,600		1,619,629
Series2018-A, Class A5, 144A
3.610%		03/10/42		800		809,509
						10,268,879
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
4.156%(c)		03/25/33		86		86,700
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		05/25/33		173		171,426
Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945%
3.451%(c)		06/25/34		487		484,535
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
3.406%(c)		07/25/32		82		82,207
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.781%(c)		09/25/32		2,354		2,340,241
New Residential Mortgage Loan Trust,
Series2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,965		1,975,144
						5,140,253
Other — 0.1%
Sierra Timeshare Receivables Funding LLC,
Series2018-02A, Class A, 144A
3.500%		06/20/35		2,191		2,212,505
Residential Mortgage-Backed Securities — 0.7%
Credit-Based Asset Servicing & Securitization LLC,
Series 2005-CB06, Class A3
3.791%		07/25/35		200		198,983
CSMC Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.499%(c)		12/26/46		3,607		3,644,036
Series2018-11R, 144A, 1 Month LIBOR + 1.400%
3.774%(c)		08/25/37^		1,200		1,200,000
Series 2018-RPL08, Class A1, 144A
4.070%		07/25/58		1,423		1,420,776
Equity One Mortgage Pass-Through Trust,
Series2004-03, Class M1
4.570%		07/25/34		205		204,882
Long Beach Mortgage Loan Trust,
Series2004-02, Class M1, 1 Month LIBOR + 0.795%
3.301%(c)		06/25/34		235		230,765
Mill City Mortgage Loan Trust,
Series2017-03, Class A1, 144A
2.750%(cc)		01/25/61		2,261		2,209,389
TFS (Spain),
Series2018-03, Class A1
2.900%(cc)		03/16/23		EUR 2,940		3,361,847
Towd Point Mortgage Trust,
Series2017-04, Class A1, 144A
2.750%(cc)		06/25/57		4,895		4,762,586

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (continued)
Series2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
3.106%(c)		02/25/57		4,395	$	4,371,168
Series2017-06, Class A1, 144A
2.750%(cc)		10/25/57		3,276		3,199,903
Series2018-02, Class A1, 144A
3.250%(cc)		03/25/58		412		406,214
Series2018-03, Class A1, 144A
3.750%(cc)		05/25/58		184		183,591
Series2018-05, Class A1, 144A
3.250%(cc)		07/25/58		678		666,194
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47		336		334,581
						26,394,915
Student Loans — 0.7%
Commonbond Student Loan Trust,
Series2017-BGS, Class A1, 144A
2.680%		09/25/42		3,062		2,962,739
Series2018-AGS, Class A1, 144A
3.210%		02/25/44		2,145		2,135,427
Series2018-CGS, Class A1, 144A
3.870%		02/25/46		900		908,036
Series2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)
3.183%(c)		02/25/46		1,100		1,095,075
Laurel Road Prime Student Loan Trust,
Series2017-C, Class A2B, 144A
2.810%		11/25/42		2,000		1,947,237
Series2018-B, Class A2FX, 144A
3.540%		05/26/43		3,000		3,001,192
Navient Private Education Refi Loan Trust,
Series2018-A, Class A2, 144A
3.190%		02/18/42		4,600		4,532,576
Series2018-CA, Class A2, 144A
3.520%		06/16/42		1,700		1,713,204
SoFi Professional Loan Program Trust,
Series2018-B, Class A1FX, 144A
2.640%		08/25/47		2,286		2,274,823
Series2018-B, Class A2FX, 144A
3.340%		08/25/47		4,500		4,508,857
						25,079,166
TOTAL ASSET-BACKED SECURITIES (cost $257,781,336)						256,730,023
COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.5%
Assurant Commercial Mortgage Trust,
Series2016-01A, Class AS, 144A
3.172%		05/15/49		4,000		3,908,281
BANK,
Series 2017-BNK04, Class A3
3.362%		05/15/50		6,500		6,368,643
BBCMS Mortgage Trust,
Series2018-C02, Class A4
4.047%		12/15/51		5,400		5,536,042

SEE NOTES TO FINANCIAL STATEMENTS.

A82

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Benchmark Mortgage Trust,
Series2018-B03, Class A4
3.761%		04/10/51		5,000	$	5,036,786
Series2018-B08, Class A4
3.963%		01/15/52		6,700		6,837,447
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		1,086		1,067,671
Series 2014-GC21, Class A4
3.575%		05/10/47		2,414		2,439,338
Series 2014-GC23, Class A3
3.356%		07/10/47		2,800		2,800,413
Series2016-C01, Class A3
2.944%		05/10/49		5,000		4,836,638
Series 2016-GC37, Class A3
3.050%		04/10/49		6,500		6,319,482
Series2017-P07, Class A3
3.442%		04/14/50		5,500		5,428,974
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		1,662		1,659,443
Series 2014-CR18, Class A4
3.550%		07/15/47		2,800		2,817,392
Series 2014-CR20, Class A3
3.326%		11/10/47		5,000		4,976,015
Series 2014-UBS03, Class A2
2.844%		06/10/47		2,300		2,295,552
Series 2015-CR27, Class A3
3.349%		10/10/48		6,100		6,047,146
CSAIL Commercial Mortgage Trust,
Series2015-C04, Class A3
3.544%		11/15/48		3,000		2,996,795
Series2017-C08, Class A3
3.127%		06/15/50		5,300		5,098,726
FannieMae-Aces,
Series2015-M17, Class A2
2.939%(cc)		11/25/25		3,900		3,854,359
Series2016-M07, Class AB2
2.385%		09/25/26		2,400		2,275,281
Series2017-M01, Class A2
2.415%(cc)		10/25/26		2,200		2,070,653
Series2017-M04, Class A2
2.597%(cc)		12/25/26		11,800		11,224,883
Series2017-M08, Class A2
3.061%(cc)		05/25/27		8,250		8,077,716
Series2018-M04, Class A2
3.043%(cc)		03/25/28		4,325		4,205,338
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.409%(cc)		05/25/22		23,371		922,708
Series K021, Class X1, IO
1.444%(cc)		06/25/22		6,605		277,037
Series K055, Class X1, IO
1.366%(cc)		03/25/26		13,848		1,135,691
Series K057, Class AM
2.624%		08/25/26		7,230		6,935,302

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K064, Class AM
3.327%(cc)		03/25/27		5,900	$	5,864,950
Series K068, Class AM
3.315%		08/25/27		5,600		5,580,793
Series K069, Class A2
3.187%(cc)		09/25/27		4,900		4,852,861
Series K069, Class AM
3.248%(cc)		09/25/27		1,050		1,040,003
Series K070, Class A2
3.303%(cc)		11/25/27		7,250		7,236,790
Series K070, Class AM
3.364%(cc)		12/25/27		1,525		1,522,382
Series K072, Class A2
3.444%		12/25/27		2,000		2,017,295
Series K074, Class A2
3.600%		01/25/28		11,800		12,042,245
Series K075, Class AM
3.650%(cc)		02/25/28		3,575		3,640,036
Series K076, Class A2
3.900%		06/25/51		8,600		8,972,078
Series K076, Class AM
3.900%		06/25/51		2,575		2,670,856
Series K077, Class A2
3.850%(cc)		05/25/28		4,800		4,989,367
Series K077, Class AM
3.850%(cc)		05/25/28		950		982,413
Series K080, Class AM
3.986%(cc)		07/25/28		7,050		7,367,649
Series K081, Class AM
3.900%(cc)		08/25/28		3,500		3,625,072
Series K086, Class A2
3.859%(cc)		11/25/28		5,800		6,026,829
Series K086, Class AM
3.919%(cc)		11/25/28		1,300		1,350,972
Series K157, Class A2
3.990%(cc)		05/25/33		4,200		4,343,288
Series K710, Class X1, IO
1.734%(cc)		05/25/19		16,304		39,604
Series K711, Class X1, IO
1.668%(cc)		07/25/19		16,810		63,038
Series W5FX, Class AFX
3.214%(cc)		04/25/28		2,260		2,259,496
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		4,000		3,930,205
Series 2015-GC32, Class A3
3.498%		07/10/48		5,800		5,805,823
Series 2016-GS03, Class A3
2.592%		10/10/49		5,800		5,439,423
Series 2016-GS04, Class A3
3.178%		11/10/49		5,500		5,342,233
JPMBB Commercial Mortgage Securities Trust,
Series2014-C25, Class A4A1
3.408%		11/15/47		1,400		1,398,704
Series2015-C27, Class A3A1
2.920%		02/15/48		6,000		5,831,537

SEE NOTES TO FINANCIAL STATEMENTS.

A83

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series2012-CBX, Class A3
3.139%		06/15/45		261	$	260,951
Series 2012-LC09, Class A4
2.611%		12/15/47		811		809,141
Series2013-C10, Class A4
2.875%		12/15/47		315		314,082
Series 2013-LC11, Class A4
2.694%		04/15/46		643		627,723
Morgan Stanley Bank of America Merrill Lynch Trust,
Series2013-C08, Class A3
2.863%		12/15/48		1,351		1,331,152
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class A3
2.531%		08/15/49		10,400		9,693,937
Series2018-H04, Class A3
4.043%		12/15/51		1,900		1,942,331
UBS Commercial Mortgage Trust,
Series2017-C02, Class ASB
3.264%		08/15/50		3,500		3,492,352
Series2017-C05, Class A4
3.212%		11/15/50		6,750		6,514,743
Series2018-C09, Class A3
3.854%		03/15/51		2,500		2,527,191
Series2018-C14, Class A3
4.180%		12/15/51		4,100		4,241,448
UBS-Barclays Commercial Mortgage Trust,
Series2012-C04, Class A4
2.792%		12/10/45		1,700		1,682,947
Series2013-C05, Class A3
2.920%		03/10/46		3,367		3,335,756
Series2013-C06, Class A3
2.971%		04/10/46		1,798		1,784,676
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49		8,000		7,515,962
Series2017-C38, Class A4
3.190%		07/15/50		4,600		4,433,924
Series2018-C48, Class A4
4.037%		01/15/52		7,000		7,153,932
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $294,509,354)						289,347,942
CORPORATE BONDS — 10.9%
Aerospace & Defense — 0.1%
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25		575		581,474
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23		240		249,902
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		2,480		2,482,006

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Aerospace & Defense (continued)
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		1,270	$	1,258,191
						4,571,573
Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24		3,740		3,444,892
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		325		331,554
						3,776,446
Airlines — 0.2%
American Airlines2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28		2,700		2,565,492
Continental Airlines2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		465		477,461
Continental Airlines2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		461		467,282
Continental Airlines2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		528		521,059
Delta Air Lines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		231		249,292
Delta Air Lines2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20		86		86,995
Delta Air Lines2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20		549		552,696
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		2,000		1,986,713
						6,906,990
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.835%(c)		04/12/21		495		490,183
Gtd. Notes, 144A
3.100%		04/12/21		655		648,704
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		1,205		1,198,335
3.350%		05/04/21		2,010		2,003,904
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43		1,430		1,102,795
5.291%		12/08/46		1,230		1,009,806

SEE NOTES TO FINANCIAL STATEMENTS.

A84

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Manufacturers (continued)
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			680	$	659,813
4.134%		08/04/25			390		351,305
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			1,395		1,307,593
6.600%		04/01/36			760		739,862
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.258%(c)		04/09/21			1,060		1,035,874
Gtd. Notes
3.550%		04/09/21			805		793,915
3.950%		04/13/24			2,800		2,659,188
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			4,705		4,622,094
Jaguar Land Rover Automotive PLC (United Kingdom),
Gtd. Notes, 144A
4.250%		11/15/19			715		699,806
							19,323,177
Banks — 3.6%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.545%(c)		04/12/23			800		784,467
Sr. Unsec’d. Notes
3.848%		04/12/23			1,000		971,664
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		445		451,964
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			2,875		2,831,470
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			2,510		2,510,377
3.824%(ff)		01/20/28			955		926,446
4.000%		04/01/24			975		980,404
4.125%		01/22/24			3,820		3,872,056
4.271%(ff)		07/23/29			510		507,606
Sub. Notes, MTN
4.000%		01/22/25			2,000		1,948,292
4.450%		03/03/26			8,455		8,358,573
Bank of America NA,
Sub. Notes
6.000%		10/15/36			410		473,111
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.896%(c)		04/13/21			600		596,406
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			780		779,608
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			850		783,478
3.684%		01/10/23			585		562,101
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			3,825		3,687,979

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		2,205	$	2,127,825
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,375		1,342,344
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		625		598,563
Sr. Unsec’d. Notes
3.200%		10/21/26			1,870		1,726,362
3.700%		01/12/26			8,785		8,446,462
Sub. Notes
4.450%		09/29/27			5,965		5,749,167
4.750%		05/18/46			820		758,056
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28			1,370		1,321,646
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,640		1,582,676
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			970		946,900
Sub. Notes
7.000%		04/15/20			570		593,422
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		2,215		2,140,288
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		740		662,300
Sr. Unsec’d. Notes
3.500%		01/23/25			4,100		3,886,436
3.750%		02/25/26			1,010		955,103
3.814%(ff)		04/23/29			540		504,158
3.850%		01/26/27			2,910		2,737,284
5.750%		01/24/22			5,420		5,674,926
Sub. Notes
6.750%		10/01/37			104		117,446
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.240%(c)		05/18/21			2,115		2,083,614
Sr. Unsec’d. Notes
4.875%		01/14/22			1,910		1,974,298
5.100%		04/05/21			1,025		1,059,963
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.990%(c)		—	(rr)		1,435		1,415,269
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,275		1,267,031
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			695		674,650
3.964%(ff)		11/15/48			3,250		2,876,776
4.005%(ff)		04/23/29			2,170		2,127,386
4.250%		10/15/20			2,930		2,982,797
4.452%(ff)		12/05/29			3,350		3,407,435
Sub. Notes
3.875%		09/10/24			3,775		3,714,508

SEE NOTES TO FINANCIAL STATEMENTS.

A85

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%(ff)		04/26/21			5,000	$	4,979,789
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			2,200		2,193,328
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,870		1,914,173
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			3,080		2,959,320
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		840		817,001
Sr. Unsec’d. Notes
4.375%		01/22/47			1,045		989,029
4.457%(ff)		04/22/39			325		314,661
5.750%		01/25/21			1,400		1,459,711
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			950		948,325
3.772%		01/24/29	(a)		8,775		8,395,699
3.875%		01/27/26			675		658,376
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,255		1,186,607
5.625%		09/23/19			1,415		1,435,940
Sub. Notes, GMTN
4.350%		09/08/26			3,825		3,717,151
National City Corp.,
Sub. Notes
6.875%		05/15/19			3,370		3,416,248
PNC Bank NA,
Sr. Unsec’d. Notes
1.950%		03/04/19			515		514,102
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.910%(c)		04/30/21			2,250		2,231,136
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			490		489,950
Sumitomo Mitsui Banking Corp. (Japan),
Gtd. Notes
2.450%		01/10/19			1,210		1,209,832
							136,311,471
Beverages — 0.1%
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
8.000%		11/15/39			1,285		1,628,021
8.200%		01/15/39			250		321,443
Constellation Brands, Inc.,
Gtd. Notes
4.250%		05/01/23			1,400		1,415,387
Keurig Dr. Pepper, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21			1,150		1,148,258
							4,513,109

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Building Materials — 0.1%
Owens Corning,
Sr. Unsec’d. Notes
4.200%		12/15/22		775	$	769,482
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24		1,400		1,314,250
						2,083,732
Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21		1,500		1,576,787
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44		585		473,850
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22		3,680		3,587,525
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41		45		44,902
9.400%		05/15/39		347		501,903
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55		970		816,951
5.000%		04/15/19		600		600,653
Mexichem SAB de CV (Mexico),
Gtd. Notes, 144A
4.875%		09/19/22		2,000		2,012,500
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		345		354,609
5.625%		11/15/43		430		436,785
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
3.150%		10/01/22		780		752,926
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25		460		531,874
						11,691,265
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46		975		869,376
6.700%		06/01/34		420		498,874
7.000%		10/15/37		380		472,443
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28		1,190		1,044,225
5.875%		09/15/26		485		457,113
						3,342,031
Computers — 0.1%
Apple, Inc.,
Sr. Unsec’d. Notes
3.200%		05/13/25		1,350		1,327,692

SEE NOTES TO FINANCIAL STATEMENTS.

A86

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Computers (continued)
3.450%		02/09/45			890	$	788,071
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19			1,085		1,081,794
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			225		222,465
							3,420,022
Diversified Financial Services — 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.750%		05/15/19			775		774,942
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20	(a)		2,225		2,196,208
3.450%		04/30/21			4,415		4,412,925
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			800		806,047
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		893,761
GE Capital International Funding Co. Unlimited Co.,
Gtd. Notes
2.342%		11/15/20			766		739,233
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			560		566,969
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,715		32,585
6.875%		05/02/18	(d)		700		13,650
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,915		1,916,528
U.S. Gov’t. Gtd. Notes, Series GG
2.450%		07/15/24			475		468,648
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25			330		336,589
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,700		2,654,134
							15,812,219
Electric — 1.0%
Avista Corp.,
First Mortgage
4.350%		06/01/48			1,160		1,184,196
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			550		663,962
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37			305		356,725

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
CenterPoint Energy Houston Electric LLC,
General Ref. Mtge.
6.950%		03/15/33		590	$	771,573
Comision Federal de Electricidad (Mexico),
Sr. Unsec’d. Notes, 144A
4.875%		01/15/24		245		238,875
Commonwealth Edison Co.,
First Mortgage
3.750%		08/15/47		1,610		1,475,942
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes
5.500%		12/01/39		220		248,823
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		3,210		3,228,538
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,490		1,476,438
Duke Energy Carolinas LLC,
First Mortgage
4.000%		09/30/42		570		547,626
6.050%		04/15/38		550		670,005
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		670		753,311
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		615		620,656
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		3,470		3,393,311
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		800		810,304
6.250%		10/01/39		1,425		1,486,058
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		355		385,655
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		295		358,507
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		145		169,035
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,910		2,926,399
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20		1,420		1,503,780
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		470		446,462
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		2,170		2,237,915

SEE NOTES TO FINANCIAL STATEMENTS.

A87

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19			610	$	615,403
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,580		1,446,322
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			1,360		1,212,012
5.000%		03/15/44			695		708,436
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,760		1,730,975
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			1,130		1,087,617
3.700%		05/01/28			1,280		1,300,270
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			535		639,491
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,400		1,359,605
Southern California Edison Co.,
First Ref. Mtge.
4.000%		04/01/47			580		531,712
First Ref. Mtge., Series C
3.600%		02/01/45			860		739,342
State Grid Overseas Investment 2014 Ltd. (China),
Gtd. Notes, 144A
2.750%		05/07/19			665		664,317
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		488,495
							38,478,093
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			900		887,336
Foods — 0.3%
Conagra Brands, Inc.,
Sr. Unsec’d. Notes
3.800%		10/22/21			3,440		3,441,213
General Mills, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540%
2.976%(c)		04/16/21			5,635		5,547,590
Kraft Heinz Foods Co.,
Gtd. Notes
4.375%		06/01/46			475		391,318
5.000%		07/15/35			815		764,859
Mondelez International, Inc.,
Sr. Unsec’d. Notes
3.000%		05/07/20			2,535		2,525,603
							12,670,583

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20		290	$	300,491
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41		1,595		1,680,207
						1,980,698
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43		65		65,377
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		3,285		3,134,693
						3,200,070
Healthcare-Products — 0.0%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24		474		457,882
Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		515		604,003
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		390		375,922
Centene Corp.,
Sr. Unsec’d. Notes
5.625%		02/15/21		1,125		1,127,813
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		640		640,742
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25		1,155		1,126,125
Sr. Sec’d. Notes
5.250%		04/15/25		400		398,000
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		940		928,410
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22		190		188,562
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45		445		432,683
						5,822,260
Home Builders — 0.0%
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21		1,300		1,287,000

SEE NOTES TO FINANCIAL STATEMENTS.

A88

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		1,695	$	1,656,556
Insurance — 0.2%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20		1,030		1,059,677
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		755		791,447
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42		365		432,859
7.000%		03/15/34		850		1,041,651
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		772		911,560
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		200		199,481
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		660		865,727
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40		100		121,582
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20		680		702,158
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		130		125,642
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,450		1,387,831
6.850%		12/16/39		124		161,226
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		350		362,144
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19		460		468,468
						8,631,453
Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.000%		03/01/19		580		579,259
3.250%		09/15/22		980		959,732
						1,538,991
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,260		1,301,026

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Media — 0.4%
21st Century Fox America, Inc.,
Gtd. Notes
6.150%		03/01/37		515	$	631,693
6.900%		08/15/39		90		118,278
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24		1,520		1,440,200
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
5.375%		04/01/38		1,950		1,815,495
6.384%		10/23/35		875		898,141
6.484%		10/23/45		1,386		1,424,723
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28		1,990		2,020,711
4.250%		10/15/30		680		687,689
6.400%		05/15/38		530		621,759
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37		941		872,847
Gtd. Notes, 144A
2.800%		06/15/20		1,740		1,721,553
Grupo Televisa SAB (Mexico),
Sr. Unsec’d. Notes
5.000%		05/13/45		200		174,652
NBCUniversal Media LLC,
Gtd. Notes
2.875%		01/15/23		330		323,968
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		360		328,062
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		450		407,209
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		1,040		1,034,800
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27		385		361,247
						14,883,027
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75		425		433,955
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45		530		541,477
6.750%		04/16/40		425		469,288
						1,444,720
Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22		1,205		1,189,937

SEE NOTES TO FINANCIAL STATEMENTS.

A89

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Miscellaneous Manufacturing (continued)
General Electric Co.,
Sr. Unsec’d. Notes, GMTN
6.000%		08/07/19		264	$	266,844
						1,456,781
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		645		642,668
2.125%		09/27/21		2,270		2,203,421
2.750%		01/06/23		315		307,491
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22		1,095		1,070,568
4.375%		02/11/20		1,000		1,015,811
						5,239,959
Oil & Gas — 0.5%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		2,000		834,098
4.850%		03/15/21		936		958,352
6.450%		09/15/36		1,155		1,247,395
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		1,200		1,033,268
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		210		199,254
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41		300		284,461
Encana Corp. (Canada),
Sr. Unsec’d. Notes
6.500%		08/15/34		370		391,481
6.500%		02/01/38		275		298,153
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22		350		352,797
6.510%		03/07/22		580		605,665
Helmerich & Payne, Inc.,
Gtd. Notes, 144A
4.650%		03/15/25		1,995		2,034,211
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22		550		540,727
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44		835		719,241
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25		740		706,700
5.750%		02/01/29		840		777,000
6.250%		03/17/24		710		720,295
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22		450		440,775

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
5.500%		01/21/21		2,110	$	2,101,497
6.500%		06/02/41		1,255		1,039,140
8.625%		12/01/23		350		372,296
Gtd. Notes, MTN
6.750%		09/21/47		1,540		1,273,411
6.875%		08/04/26		1,000		972,000
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,250		1,234,640
						19,136,857
Oil & Gas Services — 0.1%
Cameron International Corp.,
Gtd. Notes
4.500%		06/01/21		2,200		2,226,419
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25		2,845		2,808,130
						5,034,549
Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20		630		632,362
WestRock RKT Co.,
Gtd. Notes
4.900%		03/01/22		800		823,342
						1,455,704
Pharmaceuticals — 1.0%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		1,175		1,127,042
4.500%		05/14/35		1,910		1,766,954
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		2,190		2,077,429
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
3.452%(c)		06/25/21		1,115		1,100,148
Gtd. Notes, 144A
3.500%		06/25/21		500		496,461
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		12,785		12,856,352
CVS Health Corp.,
Sr. Unsec’d. Notes
4.300%		03/25/28		11,250		10,998,102
4.780%		03/25/38		340		325,807
5.050%		03/25/48		785		763,499
5.125%		07/20/45		610		593,780
5.300%		12/05/43		225		227,329
Mylan NV,
Gtd. Notes
5.250%		06/15/46		1,415		1,192,346

SEE NOTES TO FINANCIAL STATEMENTS.

A90

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (continued)
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		3,555	$	3,437,627
Wyeth LLC,
Gtd. Notes
6.450%		02/01/24		60		68,703
						37,031,579
Pipelines — 0.4%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20		717		719,689
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21		675		686,739
4.950%		06/15/28		1,115		1,090,931
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25		1,345		1,330,820
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25		1,430		1,388,819
4.800%		02/15/29		1,750		1,745,689
4.875%		06/01/25		3,250		3,279,778
5.200%		03/01/47		40		36,820
5.500%		02/15/49		395		384,222
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36		145		162,223
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		935		863,752
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.500%		08/15/48		120		106,830
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48		315		285,832
4.900%		01/15/45		1,000		906,668
5.100%		09/15/45		500		461,958
						13,450,770
Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26		1,050		1,038,460
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22		230		230,324
						1,268,784
Retail — 0.2%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.149%(c)		04/17/20		1,100		1,092,984
Sr. Unsec’d. Notes
4.000%		05/15/25		4,705		4,523,170

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Retail (continued)
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,450	$	1,444,563
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22	(a)		360		356,252
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,375		1,265,000
							8,681,969
Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,455		1,456,410
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27			2,125		1,906,347
Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			1,233		1,238,605
Microsoft Corp.,
Sr. Unsec’d. Notes
3.750%		02/12/45			1,210		1,170,596
4.450%		11/03/45			215		228,038
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34			920		923,488
							3,560,727
Telecommunications — 0.3%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31			4		5,301
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			3,460		3,258,119
4.500%		03/09/48			4		3,423
4.550%		03/09/49			64		55,091
5.250%		03/01/37			65		63,845
5.350%		09/01/40			82		79,661
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30			400		540,989
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20			750		768,750
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			1,375		1,357,812

SEE NOTES TO FINANCIAL STATEMENTS.

A91

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.125%		08/15/46		2,650	$	2,338,034
4.500%		08/10/33		1,205		1,189,438
						9,660,463
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		670		826,012
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		715		845,584
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		100		110,758
						1,782,354
TOTAL CORPORATE BONDS (cost $425,585,436)						417,114,983
MUNICIPAL BONDS — 0.5%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Rev., Taxable BP Settlement, Series B
4.263%		09/15/32		240		245,222
California — 0.2%
Bay Area Toll Authority,
Taxable, Revenue Bonds, BABs
6.263%		04/01/49		1,325		1,803,298
California Educational Facilities Authority, Stanford Univ.,
Revenue Bonds, SeriesU-07, BABs
5.000%		06/01/46		750		972,383
State of California,
GO BABs
7.550%		04/01/39		245		350,975
7.625%		03/01/40		215		306,115
GO, BABs
7.300%		10/01/39		1,270		1,743,354
7.500%		04/01/34		475		647,297
						5,823,422
Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, BABs, Series2010-B
5.844%		11/01/50		680		898,491
Illinois — 0.1%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,030		1,314,548
State of Illinois,
GO, Series D
5.000%		11/01/22		3,190		3,364,557
						4,679,105

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
New Jersey — 0.1%
New Jersey Turnpike Authority,
Tax. Issuer Subs., Revenue Bonds, BABs, Series F
7.414%		01/01/40		1,070	$	1,507,630
New York — 0.0%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Tax. Future, Revenue Bonds, BABs
5.767%		08/01/36		1,130		1,349,514
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Taxable, BABs, Series C
4.910%		06/01/40		455		526,499
Ohio State Water Development Auth. Wtr. Poll. Ctl. Rev.,
Revenue Bonds, BABs
4.879%		12/01/34		300		329,568
						856,067
Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, Taxable, BABs, Series A
5.834%		11/15/34		445		553,179
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		550		675,224
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		1,490		1,940,203
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		495		481,858
TOTAL MUNICIPAL BONDS (cost $16,320,074)						19,009,915
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		37		36,729
Banc of America Funding Trust,
Series2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		773		764,927
Banc of America Mortgage Trust,
Series2005-A, Class 2A1
3.681%(cc)		02/25/35		383		379,802
Series2005-B, Class 2A1
3.910%(cc)		03/25/35		124		120,339
Bellemeade Re Ltd. (Bermuda),
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.206%(c)		10/25/27		642		644,610
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.456%(c)		08/25/28		900		897,722

SEE NOTES TO FINANCIAL STATEMENTS.

A92

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%
3.856%(c)		08/25/28		300	$	298,581
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%
4.106%(c)		08/25/28		300		295,270
Central Park Funding Trust,
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A,
Floor 1.500%)
3.780%(c)		11/01/23^		4,700		4,700,000
Chase Mortgage Finance Trust,
Series2007-A01, Class 1A5
4.369%(cc)		02/25/37		291		293,390
CIM Trust,
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		12/25/57		3,142		3,158,244
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		01/25/57		3,476		3,529,891
Series2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,682		1,623,584
Series2017-08, Class A1, 144A
3.000%(cc)		12/25/65		3,300		3,245,478
CSMC Trust,
Series 2018-RPL09, Class A, 144A
3.850%(cc)		09/25/57		2,631		2,662,633
Fannie Mae Connecticut Avenue Securities,
Series2016-C02, Class 1M1, 1 Month LIBOR + 2.150%
4.656%(c)		09/25/28		78		78,277
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.956%(c)		01/25/29		588		590,106
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%
3.806%(c)		03/25/29		1,300		1,301,435
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.756%(c)		11/25/28		787		800,069
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%
3.806%(c)		04/25/29		2,050		2,065,372
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		07/25/29		2,321		2,331,096
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%
3.256%(c)		03/25/30		4,244		4,231,087
Gosforth Funding PLC (United Kingdom),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%
3.139%(c)		08/25/60		2,333		2,325,021
Holmes Master Issuer PLC (United Kingdom),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%
2.796%(c)		10/15/54		2,200		2,191,268
JPMorgan Mortgage Trust,
Series2007-A01, Class 4A1
4.570%(cc)		07/25/35		147		148,968
Lanark Master Issuer PLC (United Kingdom),
Series2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%
3.097%(c)		12/22/69		1,640		1,632,638
Lehman XS Trust,
Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%
2.711%(c)		08/25/46		1,382		1,355,240
LSTAR Securities Investment Ltd. (Cayman Islands),
Series2017-05, Class A, 144A, 1 Month LIBOR + 2.000%
4.349%(c)		05/01/22		1,464		1,459,163

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
4.170%(c)		11/01/22		983	$	984,122
LSTAR Securities Investment Trust,
Series2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
4.099%(c)		09/01/22		1,128		1,130,172
MASTR Alternative Loan Trust,
Series2004-04, Class 4A1
5.000%		04/25/19		1		744
MetLife Securitization Trust,
Series2018-01A, Class A, 144A
3.750%(cc)		03/25/57		961		969,881
New Residential Mortgage Loan Trust,
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		01/25/48		1,003		997,580
Oaktown Re II Ltd. (Bermuda),
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
4.056%(c)		07/25/28		400		400,485
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		09/25/48		1,380		1,377,340
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.232%(cc)		02/25/34		151		151,355
Washington Mutual Mortgage Pass-Through Certificates,
Series2005-01, Class 3A
5.000%		03/25/20		17		16,618
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $49,138,465)						49,189,237
SOVEREIGN BONDS — 0.9%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27		3,350		3,199,384
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24		175		173,250
4.375%		07/12/21		500		507,500
7.375%		09/18/37		625		755,937
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28		1,040		977,418
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20		400		411,675
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25		400		384,668
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21		2,280		2,406,175
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25		EUR 1,500		1,828,447
4.450%		02/11/24		505		507,620
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24		950		1,012,797

SEE NOTES TO FINANCIAL STATEMENTS.

A93

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24			EUR 2,100	$	2,432,123
4.750%		01/08/26			540		547,071
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21			800		784,786
2.125%		10/25/23			1,400		1,341,223
2.625%		04/20/22			2,000		1,975,008
Sr. Unsec’d. Notes, EMTN
2.125%		04/13/21			200		196,196
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes
4.000%		10/02/23			566		563,362
Sr. Unsec’d. Notes, MTN
4.750%		03/08/44			606		550,854
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25			600		594,306
4.000%		09/22/24			515		519,383
4.500%		04/16/50			475		454,812
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23			1,105		1,117,520
5.103%		04/23/48			1,220		1,281,305
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21			1,325		1,275,384
2.875%		03/04/23			1,785		1,715,824
4.000%		04/17/25			1,035		1,025,865
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,800		1,766,185
3.250%		06/01/23			800		805,726
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20			1,710		1,742,911
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55			770		732,278
5.100%		06/18/50			680		667,420
TOTAL SOVEREIGN BONDS (cost $34,957,785)							34,254,413
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.0%
Federal Home Loan Bank
5.500%		07/15/36	(k)		1,080		1,388,637
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			1,099		1,051,203
2.500%		03/01/30			590		579,059
3.000%		10/01/28			461		462,375
3.000%		06/01/29			1,092		1,092,999
3.000%		01/01/37			615		607,806
3.000%		01/01/43			1,164		1,143,759
3.000%		07/01/43			2,288		2,247,552
3.000%		01/01/47			8,445		8,233,087
3.500%		TBA			3,000		2,998,273
3.500%		TBA			16,500		16,480,192
3.500%		03/01/42			704		709,088

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.500%		06/01/42		418		$	421,238
3.500%		01/01/47		1,406			1,408,424
4.000%		TBA		10,500			10,704,053
4.000%		06/01/26		690			708,063
4.000%		09/01/26		342			351,330
4.000%		10/01/39		908			933,561
4.000%		12/01/40		458			471,575
4.000%		10/01/41		475			488,611
4.000%		01/01/42		177			182,574
4.000%		10/01/45		760			775,974
4.000%		07/01/48		13,533			13,799,940
4.000%		10/01/48		11,549			11,775,656
4.500%		02/01/19		—	(r)		7
4.500%		07/01/19		13			13,025
4.500%		07/01/20		24			24,619
4.500%		09/01/39		336			351,917
4.500%		10/01/39		1,942			2,032,830
4.500%		12/01/39		582			609,832
4.500%		07/01/41		287			299,626
4.500%		07/01/41		1,894			1,983,506
4.500%		08/01/41		138			142,810
4.500%		08/01/41		243			252,656
4.500%		08/01/41		584			611,263
4.500%		10/01/41		152			157,374
4.500%		10/01/46		398			412,328
4.500%		12/01/47		2,338			2,422,069
5.000%		05/01/34		26			27,800
5.000%		05/01/34		267			283,361
5.000%		08/01/35		26			27,897
5.000%		09/01/35		35			36,827
5.000%		10/01/36		41			43,029
5.000%		05/01/37		27			28,495
5.000%		07/01/37		533			565,102
5.000%		09/01/38		64			67,826
5.000%		09/01/38		67			70,565
5.000%		09/01/38		77			81,892
5.000%		02/01/39		25			26,663
5.000%		06/01/39		69			73,300
5.500%		02/01/34		35			36,931
5.500%		04/01/34		322			340,884
5.500%		06/01/34		142			153,535
5.500%		06/01/34		168			181,269
5.500%		05/01/37		57			61,050
5.500%		02/01/38		465			498,474
5.500%		05/01/38		85			90,781
5.500%		07/01/38		413			441,250
6.000%		03/01/32		233			252,307
6.000%		12/01/33		53			56,937
6.000%		07/01/36		4			4,539
6.000%		12/01/36		10			10,819
6.000%		05/01/37		15			16,539
6.000%		12/01/37		36			39,596
6.000%		01/01/38		4			4,330
6.000%		01/01/38		17			18,891
6.000%		01/01/38		379			413,298
6.000%		10/01/38		83			90,949
6.000%		08/01/39		51			55,585
6.750%		03/15/31		500			679,810

SEE NOTES TO FINANCIAL STATEMENTS.

A94

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		01/01/31		27	$	30,405
7.000%		06/01/31		31		33,509
7.000%		09/01/31		4		4,603
7.000%		10/01/31		51		57,960
7.000%		10/01/32		31		32,636
Federal National Mortgage Assoc.
2.000%		08/01/31		1,541		1,475,199
2.500%		01/01/28		1,308		1,290,372
2.500%		10/01/43		1,089		1,032,534
2.500%		12/01/46		1,967		1,857,504
3.000%		02/01/27		2,018		2,023,961
3.000%		08/01/30		1,220		1,218,973
3.000%		11/01/36		3,204		3,169,117
3.000%		12/01/42		1,392		1,368,635
3.000%		12/01/42		2,157		2,121,978
3.000%		11/01/46		398		388,046
3.000%		03/01/47		1,473		1,436,728
3.500%		TBA		3,500		3,542,041
3.500%		TBA		7,750		7,742,782
3.500%		11/01/32		502		508,889
3.500%		02/01/33		1,705		1,726,161
3.500%		06/01/39		741		744,929
3.500%		01/01/42		7,085		7,140,782
3.500%		05/01/42		3,577		3,605,351
3.500%		07/01/42		934		941,343
3.500%		08/01/42		394		397,020
3.500%		08/01/42		1,194		1,202,863
3.500%		09/01/42		1,053		1,061,159
3.500%		09/01/42		1,869		1,883,872
3.500%		11/01/42		685		690,390
3.500%		03/01/43		3,539		3,566,874
3.500%		04/01/43		658		663,290
3.500%		04/01/43		1,676		1,689,485
3.500%		07/01/43		309		310,961
3.500%		06/01/45		7,938		7,966,778
4.000%		TBA		21,500		21,916,562
4.000%		12/01/36		1,267		1,306,210
4.000%		10/01/41		3,758		3,864,580
4.000%		09/01/44		3,305		3,376,173
4.000%		06/01/47		1,951		1,989,312
4.000%		11/01/47		1,264		1,295,142
4.500%		07/01/33		57		59,576
4.500%		08/01/33		15		15,191
4.500%		09/01/33		50		52,103
4.500%		10/01/33		151		156,970
4.500%		03/01/34		40		41,979
4.500%		01/01/35		3		3,227
4.500%		07/01/39		998		1,045,137
4.500%		08/01/39		762		798,237
4.500%		09/01/39		544		569,878
4.500%		12/01/39		6		5,892
4.500%		03/01/41		1,833		1,919,665
4.500%		07/01/42		158		165,334
5.000%		TBA		5,750		6,022,676
5.000%		03/01/34		271		288,143
5.000%		04/01/35		652		692,005
5.000%		06/01/35		159		168,350
5.000%		07/01/35		117		122,656

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.000%		07/01/35			158	$	167,354
5.000%		09/01/35			88		93,203
5.000%		11/01/35			113		120,340
5.000%		02/01/36			90		95,257
5.500%		02/01/33			147		156,606
5.500%		08/01/33			210		226,498
5.500%		10/01/33			58		62,944
5.500%		12/01/33			62		67,127
5.500%		12/01/34			159		171,096
5.500%		10/01/35			653		697,988
5.500%		03/01/36			52		55,250
5.500%		04/01/36			116		124,359
5.500%		01/01/37			79		84,852
5.500%		04/01/37			42		45,385
5.500%		05/01/37			257		276,948
5.500%		08/01/37			309		333,213
6.000%		05/01/21			51		52,374
6.000%		10/01/33			272		292,574
6.000%		11/01/33			31		33,675
6.000%		11/01/33			35		37,681
6.000%		01/01/34			274		299,232
6.000%		02/01/34			122		132,901
6.000%		03/01/34			2		2,553
6.000%		03/01/34			14		15,238
6.000%		03/01/34			44		47,709
6.000%		11/01/34			40		42,435
6.000%		01/01/35			67		72,605
6.000%		01/01/35			180		195,062
6.000%		02/01/35			3		3,533
6.000%		02/01/35			112		119,794
6.000%		02/01/35			240		264,894
6.000%		04/01/35			20		22,092
6.000%		12/01/35			160		171,260
6.000%		05/01/36			42		46,007
6.000%		06/01/36			35		37,874
6.000%		02/01/37			83		90,700
6.000%		06/01/37			40		43,739
6.000%		05/01/38			219		237,209
6.250%		05/15/29	(k)		1,935		2,481,390
6.500%		09/01/32			1		1,217
6.500%		09/01/32			9		10,118
6.500%		09/01/32			14		14,977
6.500%		09/01/32			45		48,810
6.500%		09/01/32			47		51,525
6.500%		10/01/32			49		53,842
6.500%		04/01/33			74		83,162
6.500%		11/01/33			22		24,343
6.500%		01/01/34			45		48,522
6.500%		09/01/34			60		64,678
6.500%		10/01/34			104		113,310
6.500%		09/01/36			139		156,669
6.500%		10/01/36			42		47,151
6.500%		11/01/36			39		42,144
6.500%		01/01/37			41		43,599
6.500%		01/01/37			112		121,505
6.500%		09/01/37			19		21,705
6.625%		11/15/30	(k)		550		737,235
7.000%		02/01/32			33		35,952

SEE NOTES TO FINANCIAL STATEMENTS.

A95

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		05/01/32			17	$	18,992
7.000%		06/01/32			14		15,889
7.000%		07/01/32			59		65,291
7.125%		01/15/30	(k)		3,600		4,954,777
Government National Mortgage Assoc.
2.500%		12/20/46			1,076		1,030,960
3.000%		03/15/45			1,365		1,345,817
3.000%		11/20/45			1,527		1,508,090
3.000%		03/20/46			10,199		10,068,200
3.000%		07/20/46			3,987		3,932,810
3.000%		12/20/46			1,467		1,445,748
3.000%		02/20/47			2,980		2,937,045
3.500%		TBA			15,250		15,344,121
3.500%		12/20/42			2,208		2,233,128
3.500%		05/20/43			452		457,198
3.500%		03/20/45			2,034		2,050,355
3.500%		04/20/45			2,867		2,890,682
3.500%		07/20/46			10,356		10,429,399
4.000%		TBA			6,500		6,650,059
4.000%		06/15/40			201		206,960
4.000%		05/20/41			357		368,687
4.000%		12/20/42			733		756,953
4.000%		08/20/44			357		367,024
4.000%		11/20/45			2,049		2,113,495
4.000%		12/20/45			2,160		2,228,046
4.000%		11/20/46			529		545,359
4.500%		TBA			9,000		9,312,715
4.500%		04/15/40			870		908,353
4.500%		01/20/41			1,549		1,625,109
4.500%		02/20/41			987		1,035,864
4.500%		06/20/44			1,076		1,130,296
4.500%		09/20/46			675		707,713
4.500%		11/20/46			1,340		1,409,520
4.500%		03/20/47			1,406		1,468,560
5.000%		10/20/37			137		144,025
5.000%		04/20/45			958		1,012,142
5.500%		11/15/32			84		90,475
5.500%		02/15/33			67		72,850
5.500%		08/15/33			123		131,162
5.500%		08/15/33			167		177,724
5.500%		09/15/33			77		81,217
5.500%		09/15/33			86		92,729
5.500%		10/15/33			86		93,299
5.500%		12/15/33			17		18,048
5.500%		04/15/34			380		412,702
5.500%		07/15/35			74		79,851
5.500%		02/15/36			120		129,255
6.000%		02/15/33			3		3,172
6.000%		04/15/33			19		20,496
6.000%		09/15/33			22		23,409
6.000%		12/15/33			41		44,401
6.000%		12/15/33			128		137,180
6.000%		01/15/34			22		23,868
6.000%		01/15/34			36		39,799
6.000%		06/20/34			83		89,885
6.000%		07/15/34			179		194,093
6.000%		10/15/34			201		217,714
6.500%		10/15/23			1		1,097

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		12/15/23			4		$	4,459
6.500%		01/15/24			2			1,766
6.500%		01/15/24			2			2,023
6.500%		01/15/24			5			5,044
6.500%		01/15/24			16			17,326
6.500%		01/15/24			21			22,643
6.500%		01/15/24			59			63,933
6.500%		02/15/24			—	(r)		375
6.500%		02/15/24			1			689
6.500%		02/15/24			3			3,556
6.500%		02/15/24			4			3,951
6.500%		02/15/24			4			4,495
6.500%		02/15/24			9			9,510
6.500%		02/15/24			12			12,704
6.500%		02/15/24			13			13,764
6.500%		02/15/24			19			19,979
6.500%		02/15/24			31			33,189
6.500%		03/15/24			9			9,344
6.500%		04/15/24			2			2,147
6.500%		04/15/24			2			2,295
6.500%		04/15/24			2			2,550
6.500%		04/15/24			3			2,696
6.500%		04/15/24			5			4,902
6.500%		04/15/24			5			4,966
6.500%		04/15/24			13			14,414
6.500%		05/15/24			—	(r)		75
6.500%		05/15/24			14			14,712
6.500%		05/15/24			16			17,098
6.500%		10/15/24			20			21,798
6.500%		12/15/30			8			8,659
6.500%		01/15/32			23			25,432
6.500%		02/15/32			17			18,597
6.500%		07/15/32			47			50,557
6.500%		08/15/32			6			6,473
6.500%		08/15/32			8			8,933
6.500%		08/15/32			29			31,018
6.500%		08/15/32			216			246,766
6.500%		06/15/35			5			5,771
6.500%		06/15/35			42			46,343
6.500%		07/15/35			7			7,680
8.000%		01/15/24			8			7,928
8.000%		04/15/25			6			6,311
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $307,448,753)								306,833,644
U.S. TREASURY OBLIGATIONS — 1.6%
U.S. Treasury Bonds
3.000%		08/15/48			500			497,637
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			25,267			24,847,696
2.375%		01/15/27			23,317			25,739,964
U.S. Treasury Notes
2.625%		12/15/21			6,860			6,890,816
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28	(k)		615			477,666

SEE NOTES TO FINANCIAL STATEMENTS.

A96

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
2.241%(s)		05/15/28	(k)		2,553	$	1,966,633
TOTAL U.S. TREASURY OBLIGATIONS (cost $60,956,915)							60,420,412
TOTAL LONG-TERM INVESTMENTS (cost $3,389,011,356)							3,623,047,508
				Shares
SHORT-TERM INVESTMENTS — 9.0%
AFFILIATED MUTUAL FUNDS — 8.9%
PGIM Core Short-Term Bond Fund(w)					8,359,807		76,993,820
PGIM Core Ultra Short Bond Fund(w)					219,948,136		219,948,136
PGIM Institutional Money Market Fund (cost $42,949,975; includes $42,882,005 of cash collateral for securities on loan)(b)(w)					42,953,797		42,949,501
TOTAL AFFILIATED MUTUAL FUNDS (cost $343,453,901)							339,891,457
Interest Rate	Maturity Date			Principal Amount (000)#
COMMERCIAL PAPER(n) — 0.1%
Ford Motor Credit Co. LLC
3.201%		04/09/19			2,310		2,288,745
(cost $2,290,317)
U.S. TREASURY OBLIGATION(n) — 0.0%
U.S. Treasury Bills
2.376%(s)		03/21/19	(k)		150		149,239
(cost $149,232)
OPTIONS PURCHASED*~ — 0.0% (cost $23,424)							495,656
TOTAL SHORT-TERM INVESTMENTS (cost $345,916,874)							342,825,097
TOTAL INVESTMENTS — 103.5% (cost $3,734,928,230)							3,965,872,605
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.5)%							(132,345,720	)
NET ASSETS — 100.0%						$	3,833,526,885

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $5,825,877 and 0.2% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $41,999,105; cash collateral of $42,882,005 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment.Non-income producing security. Such securities may be post-maturity.

(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchased date.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(rr) Perpetual security with no stated maturity date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded

Description	Call/ Put	Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP	Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		600	$	3,501
2- Year 10 CMS Curve CAP	Call	Barclays Bank PLC		11/21/19		0.12	%		—		900		5,500
2- Year 10 CMS Curve CAP	Call	Barclays Bank PLC		07/12/21		0.11	%		—		3,379		31,120
2- Year 10 CMS Curve CAP	Call	Barclays Bank PLC		07/13/21		0.11	%		—		3,285		30,277
2- Year 10 CMS Curve CAP	Call	Bank of America, N.A.		08/16/21		0.15	%		—		8,212		72,510
2- Year 10 CMS Curve CAP	Call	Bank of America, N.A.		08/20/21		0.15	%		—		16,302		156,151

SEE NOTES TO FINANCIAL STATEMENTS.

A97

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Options Purchased (continued):

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		16,540	$	162,601
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		3,285		33,996
Total Options Purchased(cost $23,424)													$	495,656

Futures contracts outstanding at December 31, 2018:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value/ Unrealized Appreciation (Depreciation)
Long Positions:
876	2 Year U.S. Treasury Notes		Mar. 2019	$	185,985,750	$	1,139,780
1,878	5 Year U.S. Treasury Notes		Mar. 2019		215,383,125		3,051,558
109	10 Year U.S. Ultra Treasury Notes		Mar. 2019		14,178,516		104,067
851	30 Year U.S. Ultra Treasury Bonds		Mar. 2019		136,718,469		6,677,479
8	Mini MSCI EAFE Index		Mar. 2019		686,400		(16,402	)
							10,956,482
Short Positions:
830	10 Year U.S. Treasury Notes		Mar. 2019		101,272,969		(1,273,227	)
456	20 Year U.S. Treasury Bonds		Mar. 2019		66,576,000		(2,915,148	)
							(4,188,375	)
						$	6,768,107

Forward foreign currency exchange contracts outstanding at December 31, 2018:

Sale Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 01/25/19		Morgan Stanley & Co. International PLC		EUR	3,365	$	3,833,538	$	3,864,061	$	—	$	(30,523	)
Expiring 01/25/19		Morgan Stanley & Co. International PLC		EUR	3,365		3,808,466		3,864,062		—		(55,596	)
						$	7,642,004	$	7,728,123	$	—	$	(86,119	)

Credit default swap agreements outstanding at December 31, 2018:

Reference Entity/Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Value at Trade Date

Value at December 31, 2018

Unrealized Appreciation (Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

CDX.NA.IG.31.V1

12/20/28

1.000%(Q)

39,000

$

230,699

$

1,013,909

$

783,210

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

SEE NOTES TO FINANCIAL STATEMENTS.

A98

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may includeup-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Forward rate agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	135,500		01/14/19		—(3)	—(3)	$	(56,536	)	$	—	$	(56,536	)	JPMorgan Securities LLC
	64,600		01/14/19		—(4)	—(4)		(17,587	)		—		(17,587	)	Citigroup Global Markets Inc.
							$	(74,123	)	$	—	$	(74,123	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payment based on CMM102 minus 7 year CMT minus 1.337% upon termination.

(4) The Portfolio pays or receives payment based on CMM102 minus 7 year CMT minus 1.395% upon termination.

Inflation swap agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	10,920		12/19/23		1.900%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(69,315	)	$	(69,315	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR  3,905		05/11/24		0.396%(A)	6 Month EURIBOR(1)(S)	$	19,571		$	(48,620	)	$	(68,191	)
	65,090		06/30/19		1.486%(A)	1 Day USOIS(1)(A)		(23,719	)		503,393			527,112
	14,410		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(7,440	)		109,157			116,597
	23,180		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		6,555			157,377			150,822
	37,520		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		22,844			259,513			236,669
	17,170		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		4,725			85,858			81,133
	7,195		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		78			24,688			24,610
	2,555		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		(5	)		5,814			5,819
	24,360		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			(94,723	)		(94,723	)
	685		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			(2,964	)		(2,964	)
	610		05/15/24		1.808%(A)	1 Day USOIS(1)(A)		—			15,664			15,664
	20,135		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		49,779			341,869			292,090
	14,985		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		46,829			216,421			169,592
	10,320		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(108,623	)		(108,623	)
	4,710		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(50,060	)		(50,060	)
	6,432		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(4,468	)		(151,870	)		(147,402	)

SEE NOTES TO FINANCIAL STATEMENTS.

A99

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest rate swap agreements outstanding at December 31, 2018 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
	3,575		07/31/25		2.802%(A)	1 Day USOIS(1)(A)	$	—		$	(106,901	)	$	(106,901	)
	4,870		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		3,842			(146,986	)		(150,828	)
	16,149		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		1,001			(491,744	)		(492,745	)
	36,240		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		294,382			789,414			495,032
	8,033		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		90,939			324,309			233,370
	1,575		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		1,998			53,808			51,810
	1,325		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			38,013			38,013
	4,595		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(2,908	)		92,512			95,420
	1,580		05/15/27		1.823%(A)	1 Day USOIS(1)(A)		—			67,297			67,297
	655		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			18,379			18,379
	6,964		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(15,129	)		(105,026	)		(89,897	)
	11,635		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(50,614	)		(131,236	)		(80,622	)
	290		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			9,624			9,624
							$	438,260		$	1,674,357		$	1,236,097

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(74,123	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	—	$	10,345,286
Goldman Sachs & Co. LLC		—		149,239
Total	$	—	$	10,494,525

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,157,859,037	$	31,516,611	$	—
Exchange Traded Fund		122,733		—		—
Preferred Stocks		581,460		59,377		—
Rights		7,721		—		—
Asset-Backed Securities
Automobiles		—		60,748,334		—
Collateralized Loan Obligations		—		100,364,516		—
Consumer Loans		—		9,482,700		—

SEE NOTES TO FINANCIAL STATEMENTS.

A100

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

	Level 1		Level 2			Level 3
Investments in Securities (continued)
Asset-Backed Securities (continued)
Credit Cards	$	—	$	17,038,755		$	—
Equipment		—		10,268,879			—
Home Equity Loans		—		5,140,253			—
Other		—		2,212,505			—
Residential Mortgage-Backed Securities		—		25,194,915			1,200,000
Student Loans		—		25,079,166			—
Commercial Mortgage-Backed Securities		—		289,347,942			—
Corporate Bonds		—		417,114,983			—
Municipal Bonds		—		19,009,915			—
Residential Mortgage-Backed Securities		—		44,489,237			4,700,000
Sovereign Bonds		—		34,254,413			—
U.S. Government Agency Obligations		—		306,833,644			—
U.S. Treasury Obligations		—		60,569,651			—
Affiliated Mutual Funds		339,891,457		—			—
Commercial Paper		—		2,288,745			—
Options Purchased		—		495,656			—
Other Financial Instruments*
Futures Contracts		6,768,107		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(86,119	)		—
Centrally Cleared Credit Default Swap Agreement		—		783,210			—
OTC Forward Rate Agreements		—		—			(74,123	)
Centrally Cleared Inflation Swap Agreement		—		(69,315	)		—
Centrally Cleared Interest Rate Swap Agreements		—		1,236,097			—
Total	$	2,505,230,515	$	1,463,374,070		$	5,825,877

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

Affiliated Mutual Funds (1.1% represents investments purchased with collateral from securities on loan)	8.9	%
U.S. Government Agency Obligations	8.0
Commercial Mortgage-Backed Securities	7.5
Banks	7.2
Pharmaceuticals	4.3
Software	4.0
Oil, Gas & Consumable Fuels	3.0
Interactive Media & Services	2.7
Collateralized Loan Obligations	2.6
IT Services	2.4
Technology Hardware, Storage & Peripherals	2.4
Internet & Direct Marketing Retail	2.2
Residential Mortgage-Backed Securities	2.0
Health Care Providers & Services	1.8
Semiconductors & Semiconductor Equipment	1.7
Biotechnology	1.7
Diversified Telecommunication Services	1.7
Automobiles	1.6
U.S. Treasury Obligations	1.6
Insurance	1.5
Health Care Equipment & Supplies	1.5
Media	1.4
Capital Markets	1.3
Aerospace & Defense	1.2
Equity Real Estate Investment Trusts (REITs)	1.2

Chemicals	1.2	%
Beverages	1.1
Communications Equipment	1.1
Food Products	1.1
Diversified Financial Services	1.0
Electric	1.0
Life Sciences Tools & Services	1.0
Machinery	0.9
Specialty Retail	0.9
Road & Rail	0.9
Sovereign Bonds	0.9
Airlines	0.9
Electric Utilities	0.8
Entertainment	0.7
Textiles, Apparel & Luxury Goods	0.7
Multiline Retail	0.7
Industrial Conglomerates	0.7
Food & Staples Retailing	0.7
Student Loans	0.7
Hotels, Restaurants & Leisure	0.6
Consumer Finance	0.6
Household Products	0.6
Auto Manufacturers	0.5
Oil & Gas	0.5
Municipal Bonds	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A101

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Industry Classification (continued):

Independent Power & Renewable Electricity Producers	0.5	%
Credit Cards	0.4
Real Estate Management & Development	0.4
Tobacco	0.4
Electronic Equipment, Instruments & Components	0.4
Pipelines	0.4
Foods	0.3
Equipment	0.3
Telecommunications	0.3
Metals & Mining	0.3
Consumer Loans	0.2
Air Freight & Logistics	0.2
Distributors	0.2
Retail	0.2
Professional Services	0.2
Multi-Utilities	0.2
Gas Utilities	0.2
Personal Products	0.2
Building Products	0.2
Healthcare-Services	0.2
Mortgage Real Estate Investment Trusts (REITs)	0.1
Multi-National	0.1
Home Equity Loans	0.1
Oil & Gas Services	0.1
Trading Companies & Distributors	0.1
Transportation Infrastructure	0.1
Construction & Engineering	0.1
Agriculture	0.1
Computers	0.1
Thrifts & Mortgage Finance	0.1
Commercial Services	0.1
Gas	0.1
Commercial Paper	0.1
Other	0.1
Building Materials	0.1

Energy Equipment & Services	0.1	%
Forest Products & Paper	0.1
Electrical Equipment	0.1
Semiconductors	0.1
Transportation	0.1
Housewares	0.1
Containers & Packaging	0.0	*
Lodging	0.0	*
Miscellaneous Manufacturing	0.0	*
Savings & Loans	0.0	*
Packaging & Containers	0.0	*
Mining	0.0	*
Wireless Telecommunication Services	0.0	*
Machinery-Diversified	0.0	*
Home Builders	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Auto Components	0.0	*
Leisure Products	0.0	*
Electronics	0.0	*
Household Durables	0.0	*
Options Purchased	0.0	*
Healthcare-Products	0.0	*
Exchange Traded Fund	0.0	*
Construction Materials	0.0	*
Paper & Forest Products	0.0	*
Commercial Services & Supplies	0.0	*
Marine	0.0	*
	103.5
Liabilities in excess of other assets	(3.5	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker-variation margin swaps	$	783,210	*	—	$	—
Equity contracts	—		—		Due from/to broker-variation margin futures		16,402	*
Equity contracts	Unaffiliated investments		7,721		—		—
Foreign exchange contracts	—		—		Unrealized depreciation on OTC forward foreign currency exchange contracts		86,119
Interest rate contracts	Due from/to broker-variation margin futures		10,972,884	*	Due from/to broker-variation margin futures		4,188,375	*

SEE NOTES TO FINANCIAL STATEMENTS.

A102

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin swaps	$	2,629,053	*	Due from/to broker — variation margin swaps	$	1,462,271	*
Interest rate contracts	Unaffiliated investments		495,656		—		—
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		74,123
		$	14,888,524			$	5,827,290

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at  fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	—	$	—		$	—	$	—		$	—	$	—		$	(296,252	)
Equity contracts		6,097		—			—		(194,862	)		—		—			—
Foreign exchange contracts		—		—			—		—			435,275		—			—
Interest rate contracts		—		(425,724	)		31,232		(11,993,171	)		—		(77,423	)		2,108,239
Total	$	6,097	$	(425,724	)	$	31,232	$	(12,188,033	)	$	435,275	$	(77,423	)	$	1,811,987

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)		Futures			Forward Currency Contracts			Forward Rate Agreements			Swaps
Credit contracts	$	—		$	—	$	—		$	—		$	—		$	783,210
Equity contracts		(183	)		—		(28,444	)		—			—			—
Foreign exchange contracts		—			—		—			(30,113	)		—			—
Interest rate contracts		—			472,232		7,613,429			—			(74,123	)		469,667
Total	$	(183	)	$	472,232	$	7,584,985		$	(30,113	)	$	(74,123	)	$	1,252,877

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts — Long Positions(2)	Futures Contracts — Short Positions(2)
$74,516	$102,400	$566,721,911	$155,569,000

Forward Foreign Currency Exchange Contracts-Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements- Buy Protection(2)
$5,833,784	$91,340,000	$1,221,461,926	$15,600,000

SEE NOTES TO FINANCIAL STATEMENTS.

A103

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$696,000	$3,560,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	41,999,105	$	(41,999,105	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	391,262	$	—		$	391,262		$	(331,782	)	$	59,480
Barclays Bank PLC		100,893		—			100,893			—			100,893
Citigroup Global Markets Inc.		—		(17,587	)		(17,587	)		—			(17,587	)
JPMorgan Securities LLC		—		(56,536	)		(56,536	)		—			(56,536	)
Morgan Stanley & Co. International PLC		3,501		(86,119	)		(82,618	)		—			(82,618	)
	$	495,656	$	(160,242	)	$	335,414		$	(331,782	)	$	3,632

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A104

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value, including securities on loan of $41,999,105:
Unaffiliated investments (cost $3,391,474,329)	$	3,625,981,147
Affiliated investments (cost $343,453,901)		339,891,457
Foreign currency, at value (cost $261,140)		261,716
Receivable for investments sold		44,822,393
Dividends and interest receivable		11,728,905
Tax reclaim receivable		616,603
Due from broker-variation margin futures		584,774
Receivable for Portfolio shares sold		208,113
Receivable from affiliate		7,150
Prepaid expenses		31,179
Total Assets		4,024,133,437
LIABILITIES
Payable for investments purchased		144,047,475
Payable to broker for collateral for securities on loan		42,882,005
Management fee payable		1,988,219
Accrued expenses and other liabilities		465,382
Due to broker-variation margin swaps		423,842
Payable for Portfolio shares repurchased		382,598
Payable to affiliate		255,809
Unrealized depreciation on OTC forward foreign currency exchange contracts		86,119
Unrealized depreciation on OTC forward rate agreements		74,123
Affiliated transfer agent fee payable		980
Total Liabilities		190,606,552
NET ASSETS	$	3,833,526,885
Net assets were comprised of:
Partners Equity	$	3,833,526,885
Net asset value and redemption price per share, $3,833,526,885 / 133,916,432 outstanding shares of beneficial interest	$	28.63

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $160,238, of which $22,701 is reimbursable by an affiliate)	$	50,181,582
Interest income (net of $4,885 foreign withholding tax)		41,147,562
Affiliated dividend income		7,089,136
Income from securities lending, net (including affiliated income of $232,409)		237,191
Total income		98,655,471
EXPENSES
Management fee		24,944,348
Custodian and accounting fees		448,448
Shareholders’ reports		390,610
Trustees’ fees		52,693
Audit fee		46,934
Legal fees and expenses		23,192
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		129,133
Total expenses		26,046,040
NET INVESTMENT INCOME (LOSS)		72,609,431
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(4,610,670))		245,393,888
Futures transactions		(12,188,033	)
Forward rate agreement transactions		(77,423	)
Forward currency contract transactions		435,275
Options written transactions		31,232
Swap agreements transactions		1,811,987
Foreign currency transactions		303,510
		235,710,436
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $3,968,522)		(481,310,379	)
Futures		7,584,985
Forward rate agreements		(74,123	)
Forward currency contracts		(30,113	)
Swap agreements		1,252,877
Foreign currencies.		(5,625	)
		(472,582,378	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(236,871,942	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(164,262,511	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	72,609,431		$	65,564,001
Net realized gain (loss) on investment and foreign currency transactions		235,710,436			297,648,108
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(472,582,378	)		201,322,947
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(164,262,511	)		564,535,056
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [233,974 and 218,250 shares, respectively]		7,057,478			6,080,347
Portfolio shares repurchased [7,894,348 and 8,310,120 shares, respectively]		(239,041,615	)		(230,747,682	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(231,984,137	)		(224,667,335	)
CAPITAL CONTRIBUTIONS		72,588			—
TOTAL INCREASE (DECREASE)		(396,174,060	)		339,867,721
NET ASSETS:
Beginning of year		4,229,700,945			3,889,833,224
End of year	$	3,833,526,885		$	4,229,700,945

SEE NOTES TO FINANCIAL STATEMENTS.

A105

GLOBAL PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS — 96.1%	Shares		Value
Australia — 2.4%
AGL Energy Ltd.		66,200	$	958,446
Aristocrat Leisure Ltd.		110,320		1,693,366
Ausdrill Ltd.		123,200		103,384
Bendigo & Adelaide Bank Ltd.		126,100		956,695
BHP Group PLC		157,823		3,346,857
Caltex Australia Ltd.		26,000		465,526
Coca-Cola Amatil Ltd.		166,300		958,365
CSL Ltd.		29,289		3,830,185
CSR Ltd.		334,900		661,185
Fortescue Metals Group Ltd.		201,900		595,507
Harvey Norman Holdings Ltd.(a)		247,700		549,816
Inghams Group Ltd.*(a)		268,900		780,453
LendLease Group		101,800		831,696
Macquarie Group Ltd.		49,695		3,795,460
Metcash Ltd.		412,500		710,620
Mineral Resources Ltd.		64,000		697,836
Myer Holdings Ltd.*		567,600		165,318
Qantas Airways Ltd.		387,619		1,578,843
Rio Tinto Ltd.		26,000		1,434,767
				24,114,325
Austria — 0.2%
OMV AG		28,000		1,227,808
voestalpine AG		28,800		865,959
				2,093,767
Belgium — 0.4%
AGFA-Gevaert NV*		49,600		189,245
Bekaert SA		13,500		326,664
KBC Group NV		45,401		2,958,642
UCB SA		8,900		727,400
				4,201,951
Canada — 3.0%
Brookfield Asset Management, Inc. (Class A Stock)(a)		96,758		3,710,669
Canadian National Railway Co.		56,046		4,150,902
Canadian Natural Resources Ltd.		88,050		2,124,647
Canadian Pacific Railway Ltd.		6,559		1,165,010
Dollarama, Inc.		73,603		1,750,578
Magna International, Inc.		65,850		2,992,882
Rogers Communications, Inc. (Class B Stock)		63,912		3,275,186
Suncor Energy, Inc.		76,585		2,139,017
Toronto-Dominion Bank (The)		82,010		4,076,471
TransCanada Corp.		134,652		4,807,076
				30,192,438
China — 2.0%
Alibaba Group Holding Ltd., ADR*(a)		70,209		9,623,548
China Merchants Bank Co. Ltd. (Class H Stock)		902,500		3,311,924
China Resources Cement Holdings Ltd.		1,234,000		1,110,064
NetEase, Inc., ADR		11,127		2,618,962

COMMON STOCKS (continued)	Shares		Value
China (continued)
Tencent Holdings Ltd.		81,100	$	3,246,121
Xinyi Solar Holdings Ltd.		1,870,000		655,421
				20,566,040
Denmark — 0.9%
Coloplast A/S (Class B Stock)		33,692		3,133,111
Danske Bank A/S		61,200		1,215,347
DFDS A/S		11,300		455,786
Orsted A/S, 144A		57,028		3,821,596
				8,625,840
Finland — 0.2%
Nordea Bank Abp(a)		83,600		704,325
UPM-Kymmene OYJ		57,300		1,461,411
				2,165,736
France — 4.7%
Airbus SE.		37,961		3,660,261
Arkema SA		23,575		2,028,162
Atos SE		4,900		401,349
AXA SA		46,300		1,002,395
BNP Paribas SA		23,200		1,051,168
Capgemini SE		33,231		3,314,018
Cie Generale des Etablissements Michelin SCA		12,000		1,193,255
CNP Assurances		46,700		991,970
Credit Agricole SA		78,500		850,396
Engie SA		50,000		718,208
LVMH Moet Hennessy Louis Vuitton SE		13,775		4,082,857
Natixis SA		146,400		691,491
Orange SA.		101,700		1,653,683
Renault SA		12,300		770,303
Safran SA		35,945		4,345,950
Sanofi.		50,200		4,354,101
SCOR SE		12,100		546,226
Societe Generale SA		28,600		915,545
TOTAL SA		114,941		6,082,439
TOTAL SA, ADR(a)		159,400		8,317,492
Valeo SA		8,300		243,254
				47,214,523
Germany — 2.1%
Allianz SE		8,500		1,712,406
Aurubis AG		10,800		537,605
BASF SE		25,900		1,817,893
Bayerische Motoren Werke AG		14,800		1,203,906
Covestro AG, 144A		26,100		1,298,570
Daimler AG		27,600		1,456,395
Deutsche Lufthansa AG		54,200		1,231,441
Deutsche Post AG		18,500		508,119
Evonik Industries AG		36,500		915,206
Infineon Technologies AG		92,428		1,850,642
METRO AG		46,000		708,386
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		5,300		1,159,903
Rational AG		3,533		2,014,775

SEE NOTES TO FINANCIAL STATEMENTS.

A106

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Germany (continued)
Rheinmetall AG		7,300	$	648,331
SAP SE		32,771		3,280,983
Volkswagen AG		7,400		1,182,778
				21,527,339
Hong Kong — 1.1%
AIA Group Ltd.		671,400		5,567,215
Kingboard Holdings Ltd.		216,000		576,092
Lee & Man Paper Manufacturing Ltd.		1,244,000		1,047,849
PAX Global Technology Ltd.		933,000		337,939
Skyworth Digital Holdings Ltd.		1,072,000		231,722
WH Group Ltd., 144A		1,914,500		1,473,752
Wheelock & Co. Ltd.		67,000		383,220
Yue Yuen Industrial Holdings Ltd.		296,500		947,976
				10,565,765
India — 0.3%
HDFC Bank Ltd., ADR		30,654		3,175,448
Ireland — 0.4%
Kingspan Group PLC		71,995		3,093,868
Smurfit Kappa Group PLC		35,200		938,874
				4,032,742
Israel — 0.1%
Bank Hapoalim BM		91,200		576,127
Teva Pharmaceutical Industries Ltd.*		36,100		563,611
				1,139,738
Italy — 0.6%
A2A SpA		782,400		1,412,364
Astaldi SpA*(a)		33,900		20,246
Enel SpA		470,000		2,729,287
Leonardo SpA		74,400		657,013
Mediobanca Banca di Credito Finanziario SpA		87,600		744,038
				5,562,948
Japan — 6.1%
AGC, Inc.		18,100		569,896
Aisan Industry Co. Ltd.		68,400		460,076
Aisin Seiki Co. Ltd.		14,000		481,663
Daikin Industries Ltd.		24,300		2,579,738
Dowa Holdings Co. Ltd.		21,700		647,188
Enplas Corp.		11,200		276,780
Fujikura Ltd.		200,200		791,972
Hazama Ando Corp.		85,900		565,761
Hitachi Capital Corp.		28,500		599,786
Hitachi High-Technologies Corp.		17,300		540,252
Isuzu Motors Ltd.		78,200		1,098,774
ITOCHU Corp.		102,900		1,747,630
Japan Airlines Co. Ltd.		28,000		992,317
Japan Aviation Electronics Industry Ltd.		46,000		526,763
Kaneka Corp.		14,800		529,936
KDDI Corp.		117,600		2,810,519
Keihin Corp.		54,300		907,927
Keiyo Bank Ltd. (The)		76,500		490,649
Keyence Corp.		8,900		4,503,909
Konica Minolta, Inc.		87,900		792,791

COMMON STOCKS (continued)	Shares		Value
Japan (continued)
Lintec Corp.		30,000	$	643,890
Marubeni Corp.		173,200		1,213,566
Mazda Motor Corp.		56,700		583,175
Mitsubishi Gas Chemical Co., Inc.		46,900		704,587
Mitsubishi UFJ Financial Group, Inc.		248,600		1,217,996
Mitsubishi UFJ Lease & Finance Co. Ltd.		165,800		795,388
Mitsui Chemicals, Inc.		31,500		710,377
Mitsui Sugar Co. Ltd.		25,400		643,111
Mixi, Inc.		17,800		372,541
Mizuho Financial Group, Inc.		597,700		927,160
Nippon Telegraph & Telephone Corp.		69,300		2,823,394
Nishi-Nippon Financial Holdings, Inc.		48,600		419,998
Nissan Motor Co. Ltd.		161,600		1,293,703
Nisshinbo Holdings, Inc.		45,400		342,655
Nitori Holdings Co. Ltd.		20,300		2,538,644
NTN Corp.		275,500		790,077
NTT DOCOMO, Inc.		24,800		558,379
ORIX Corp.		217,500		3,167,697
Resona Holdings, Inc.		355,300		1,710,467
Sawai Pharmaceutical Co. Ltd.		9,200		439,656
Shiseido Co. Ltd.(a)		52,600		3,292,224
SKY Perfect JSAT Holdings, Inc.		151,000		643,643
Sompo Holdings, Inc.		23,100		782,491
Sumitomo Forestry Co. Ltd.		50,100		654,874
Sumitomo Heavy Industries Ltd.		30,900		919,180
Sumitomo Mitsui Financial Group, Inc.		33,900		1,124,535
Suzuki Motor Corp.		46,700		2,359,688
Teijin Ltd.		67,300		1,075,152
Toagosei Co. Ltd.		53,700		590,845
Toho Holdings Co. Ltd.		13,500		330,802
Tokyo Electron Ltd.		7,300		829,898
Towa Pharmaceutical Co. Ltd.		9,400		656,067
Toyo Tire Corp.		35,200		438,263
Toyoda Gosei Co. Ltd.		33,200		651,574
Toyota Motor Corp.		15,730		913,150
Tsubakimoto Chain Co.		17,000		555,565
Ube Industries Ltd.		30,100		609,254
Ulvac, Inc.		12,700		366,321
Yokohama Rubber Co. Ltd. (The)		45,000		842,313
				61,446,627
Liechtenstein — 0.0%
VP Bank AG.		1,765		254,328
Luxembourg — 0.1%
Tenaris SA		127,241		1,376,524
Macau — 0.3%
Galaxy Entertainment Group Ltd.		422,000		2,661,048
Netherlands — 2.5%
ABN AMRO Group NV, CVA, 144A		45,300		1,066,934
Adyen NV, 144A*		1,253		686,019
Aegon NV		95,000		445,631
BE Semiconductor Industries NV		21,100		448,334
ING Groep NV		75,400		814,871
Koninklijke Ahold Delhaize NV		95,900		2,426,893
Koninklijke Philips NV		106,904		3,789,893
NN Group NV		38,700		1,544,852
NXP Semiconductors NV(a)		81,481		5,970,928

SEE NOTES TO FINANCIAL STATEMENTS.

A107

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)		Shares		Value
Netherlands (continued)
Royal Dutch Shell PLC (Class A Stock)			119,044	$	3,514,992
Royal Dutch Shell PLC (Class B Stock)			139,400		4,163,189
Signify NV, 144A			30,400		714,549
					25,587,085
New Zealand — 0.1%
Air New Zealand Ltd.			485,600		1,010,662
Norway — 0.4%
DNB ASA			68,200		1,095,490
Equinor ASA			37,300		791,897
Leroy Seafood Group ASA			134,500		1,027,801
Salmar ASA			15,600		769,812
					3,685,000
Portugal — 0.1%
EDP - Energias de Portugal SA			154,000		538,269
Singapore — 0.1%
DBS Group Holdings Ltd.			62,300		1,081,457
South Africa — 0.2%
Bid Corp. Ltd.			76,684		1,412,355
Investec PLC			79,700		449,660
Nedbank Group Ltd.			4,316		82,321
Old Mutual Ltd.			99,200		148,573
	��
					2,092,909
Spain — 1.1%
ACS Actividades de Construccion y Servicios SA			87,175		3,383,583
Amadeus IT Group SA			53,954		3,766,828
Banco Santander SA			137,900		632,318
Distribuidora Internacional de Alimentacion SA(a)			175,100		92,555
Iberdrola SA			150,200		1,211,417
Mapfre SA			219,300		583,870
Repsol SA			73,100		1,183,637
					10,854,208
Sweden — 1.0%
Atlas Copco AB (Class A Stock)			84,019		2,004,127
Boliden AB*			35,400		770,576
Electrolux AB (Class B Stock)			37,400		792,210
Hexagon AB (Class B Stock)			59,723		2,762,765
JM AB			25,700		503,102
SKF AB (Class B Stock)			80,900		1,233,590
Swedbank AB (Class A Stock)			18,400		411,969
Volvo AB (Class B Stock)			133,200		1,750,217
					10,228,556
Switzerland — 2.8%
ALSO Holding AG*			4,300		489,381
Baloise Holding AG			9,000		1,243,330
Credit Suisse Group AG*			79,900		877,945
Geberit AG			5,967		2,328,941
Helvetia Holding AG			1,800		1,054,592
Lonza Group AG*			14,867		3,880,132
Partners Group Holding AG			4,740		2,876,697
Roche Holding AG			20,000		4,976,261

COMMON STOCKS (continued)	Shares		Value
Switzerland (continued)
Sika AG		7,208	$	917,874
Swiss Life Holding AG*		6,500		2,514,246
Swiss Re AG		20,100		1,849,630
Temenos AG*		23,707		2,861,012
UBS Group AG*		83,800		1,045,788
Zurich Insurance Group AG		4,900		1,466,003
				28,381,832
Taiwan — 0.5%
Taiwan Semiconductor Manufacturing Co. Ltd.		616,000		4,512,446
United Kingdom — 4.6%
3i Group PLC		97,100		958,625
Aviva PLC		164,200		787,362
Babcock International Group PLC		13,200		82,488
BAE Systems PLC		282,200		1,655,027
Barratt Developments PLC		109,300		645,803
Bellway PLC		25,400		815,745
Berkeley Group Holdings PLC		25,300		1,121,806
Bovis Homes Group PLC		66,300		729,257
BP PLC		355,000		2,247,761
BT Group PLC		365,300		1,112,232
Centrica PLC		387,000		666,511
Compass Group PLC		178,345		3,754,091
Crest Nicholson Holdings PLC		143,814		602,839
Debenhams PLC(a)		301,400		19,724
Experian PLC		154,329		3,749,575
GlaxoSmithKline PLC		166,000		3,160,790
Go-Ahead Group PLC (The)		34,500		674,865
Imperial Brands PLC		5,700		172,847
Inchcape PLC		66,600		469,042
International Consolidated Airlines Group SA		150,000		1,183,872
J Sainsbury PLC		384,900		1,301,267
Keller Group PLC		48,200		303,608
Kingfisher PLC		255,800		676,960
Legal & General Group PLC		494,700		1,460,405
Lloyds Banking Group PLC		1,954,100		1,290,273
London Stock Exchange Group PLC		46,247		2,398,533
Man Group PLC		291,300		493,567
Marks & Spencer Group PLC		142,500		449,198
Meggitt PLC		72,300		434,858
National Express Group PLC		154,700		738,075
Paragon Banking Group PLC		105,900		522,175
Premier Foods PLC*		357,756		151,303
QinetiQ Group PLC		214,000		782,733
Quilter PLC, 144A		91,600		138,299
RELX PLC		154,808		3,193,223
Royal Mail PLC		120,900		419,610
RPC Group PLC		42,000		350,412
Segro PLC, REIT		314,531		2,363,806
SSE PLC		51,500		710,638
St. James’s Place PLC		131,839		1,589,720
Tate & Lyle PLC		109,000		918,349
Taylor Wimpey PLC		263,400		457,795
Vesuvius PLC		81,100		524,444
				46,279,513

SEE NOTES TO FINANCIAL STATEMENTS.

A108

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
United States — 57.8%
Adobe, Inc.*		40,855	$	9,243,035
Alphabet, Inc. (Class C Stock)*		11,029		11,421,743
Amazon.com, Inc.*		9,323		14,002,866
American International Group, Inc.		98,990		3,901,196
Amphenol Corp. (Class A Stock)		109,723		8,889,757
Applied Materials, Inc.		78,550		2,571,727
AT&T, Inc.		36,750		1,048,845
Autodesk, Inc.*		66,026		8,491,604
Bank of New York Mellon Corp. (The)		93,800		4,415,166
Becton, Dickinson & Co.		9,844		2,218,050
Boeing Co. (The)		16,202		5,225,145
Booking Holdings, Inc.*		5,454		9,394,079
Brighthouse Financial, Inc.*		41,675		1,270,254
Bunge Ltd.		55,800		2,981,952
BWX Technologies, Inc.		131,880		5,041,772
Carnival Corp.		45,250		2,230,825
CF Industries Holdings, Inc.		60,600		2,636,706
Chubb Ltd.		48,750		6,297,525
Cintas Corp.		52,382		8,799,652
Cisco Systems, Inc.		171,300		7,422,429
Citigroup, Inc.		51,550		2,683,693
Comcast Corp. (Class A Stock)		109,750		3,736,987
Costco Wholesale Corp.		45,558		9,280,620
CVS Health Corp.		83,358		5,461,616
Danaher Corp.		97,463		10,050,385
DexCom, Inc.*		80,555		9,650,489
DowDuPont, Inc.		89,164		4,768,491
Duke Energy Corp.		30,400		2,623,520
Edwards Lifesciences Corp.*		52,098		7,979,851
Electronic Arts, Inc.*		114,676		9,049,083
EQT Corp.		56,917		1,075,162
Equitrans Midstream Corp.*		54,547		1,092,031
Estee Lauder Cos., Inc. (The) (Class A Stock)		70,740		9,203,274
Evergy, Inc.		64,850		3,681,534
Exxon Mobil Corp.		102,800		7,009,932
Ferguson PLC		40,148		2,572,600
Fifth Third Bancorp		202,100		4,755,413
FleetCor Technologies, Inc.*		24,237		4,501,296
Fortive Corp.		148,443		10,043,653
Fortune Brands Home & Security, Inc.		69,950		2,657,401
Franklin Resources, Inc.(a)		89,350		2,650,121
General Electric Co.		291,050		2,203,249
Genpact Ltd.		269,247		7,266,977
Gilead Sciences, Inc.		46,600		2,914,830
Hess Corp.		50,900		2,061,450
Hologic, Inc.*		71,150		2,924,265
Illinois Tool Works, Inc.		21,950		2,780,845
International Paper Co.		102,750		4,146,990
Intuit, Inc.		62,383		12,280,094
Intuitive Surgical, Inc.*		27,011		12,936,108
Johnson & Johnson		47,700		6,155,685
Johnson Controls International PLC		144,098		4,272,506
JPMorgan Chase & Co.		118,200		11,538,684
Kimberly-Clark Corp.		49,450		5,634,333
Kohl’s Corp.		21,950		1,456,163
Las Vegas Sands Corp.		36,836		1,917,314
Loews Corp.		77,434		3,524,796
Marsh & McLennan Cos., Inc.		50,080		3,993,880

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Mattel, Inc.*(a)		61,837	$	617,752
Medtronic PLC		81,421		7,406,054
Merck & Co., Inc.		100,050		7,644,820
MetLife, Inc.		94,600		3,884,276
Microsoft Corp.		197,839		20,094,507
Morgan Stanley		144,650		5,735,372
News Corp. (Class A Stock)		134,800		1,529,980
NextEra Energy, Inc.		1,600		278,112
Nielsen Holdings PLC		92,000		2,146,360
Occidental Petroleum Corp.		69,150		4,244,427
PayPal Holdings, Inc.*		148,549		12,491,485
PepsiCo, Inc.		32,150		3,551,932
Perrigo Co. PLC(a)		49,350		1,912,313
Pfizer, Inc.		210,100		9,170,865
PG&E Corp.*		84,200		1,999,750
Philip Morris International, Inc.		62,150		4,149,134
QUALCOMM, Inc.		96,850		5,511,733
Raytheon Co.		14,485		2,221,275
Roper Technologies, Inc.		42,580		11,348,422
salesforce.com, Inc.*		84,525		11,577,389
SBA Communications Corp.*		69,545		11,258,640
Sempra Energy(a)		3,250		351,618
Sherwin-Williams Co. (The)		26,876		10,574,631
Signature Bank		13,050		1,341,671
SL Green Realty Corp.		25,600		2,024,448
Southern Co. (The)		140,300		6,161,976
Southwest Airlines Co.		97,150		4,515,532
Stericycle, Inc.*		33,120		1,215,173
TE Connectivity Ltd.		30,500		2,306,715
Texas Instruments, Inc.		36,150		3,416,175
Thermo Fisher Scientific, Inc.		59,179		13,243,668
TJX Cos., Inc. (The)		186,752		8,355,284
Twenty-First Century Fox, Inc. (Class B Stock)(a)		155,100		7,410,678
Tyson Foods, Inc. (Class A Stock)		117,950		6,298,530
U.S. Bancorp		119,250		5,449,725
United Parcel Service, Inc. (Class B Stock)		33,700		3,286,761
United Technologies Corp.		15,000		1,597,200
Verizon Communications, Inc.		126,700		7,123,074
Visa, Inc. (Class A Stock)		107,869		14,232,236
Vulcan Materials Co.		7,000		691,600
Walmart, Inc.		51,000		4,750,650
Wells Fargo & Co.		229,150		10,559,232
Weyerhaeuser Co.		124,500		2,721,570
Zimmer Biomet Holdings, Inc.		12,350		1,280,942
Zoetis, Inc.		168,568		14,419,307
				582,142,643
TOTAL COMMON STOCKS (cost $810,713,140)				967,311,707
PREFERRED STOCKS — 0.6%
United States
Becton, Dickinson & Co. 6.125%		11,615		669,837
NextEra Energy, Inc. 6.123%(a)		54,098		3,118,209
Sempra Energy Series A, CVT, 6.000%		20,474		1,947,282

SEE NOTES TO FINANCIAL STATEMENTS.

A109

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

PREFERRED STOCKS (continued)	Shares		Value
United States (continued)
Sempra Energy Series B, CVT, 6.750%(a)		4,673	$	450,664
TOTAL PREFERRED STOCKS (cost $5,827,669)				6,185,992
	Units
RIGHTS* — 0.0%
Spain
Repsol SA, expiring 01/09/19 (cost $34,295)		73,100		33,502
TOTAL LONG-TERM INVESTMENTS (cost $816,575,104)				973,531,201
	Shares
SHORT-TERM INVESTMENTS — 7.2%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		29,089,153		29,089,153
PGIM Institutional Money Market Fund (cost $42,891,789; includes $42,778,066 of cash collateral for securities on loan)(b)(w)		42,895,530		42,891,241
TOTAL SHORT-TERM INVESTMENTS (cost $71,980,942)				71,980,394
TOTAL INVESTMENTS — 103.9% (cost $888,556,046)				1,045,511,595
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.9)%				(38,837,430	)
NET ASSETS — 100.0%			$	1,006,674,165

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $41,677,213; cash collateral of $42,778,066 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	24,114,325	$	—
Austria		—		2,093,767		—
Belgium		—		4,201,951		—
Canada.		30,192,438		—		—
China		12,242,510		8,323,530		—
Denmark		—		8,625,840		—
Finland		—		2,165,736		—
France		8,317,492		38,897,031		—
Germany		—		21,527,339		—
Hong Kong		—		10,565,765		—
India		3,175,448		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A110

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Ireland	$	—	$	4,032,742	$	—
Israel		—		1,139,738		—
Italy		—		5,562,948		—
Japan		—		61,446,627		—
Liechtenstein		—		254,328		—
Luxembourg		—		1,376,524		—
Macau		—		2,661,048		—
Netherlands		5,970,928		19,616,157		—
New Zealand		—		1,010,662		—
Norway		—		3,685,000		—
Portugal		—		538,269		—
Singapore		—		1,081,457		—
South Africa		—		2,092,909		—
Spain		—		10,854,208		—
Sweden		—		10,228,556		—
Switzerland		—		28,381,832		—
Taiwan		—		4,512,446		—
United Kingdom		—		46,279,513		—
United States		579,570,043		2,572,600		—
Preferred Stocks
United States		6,185,992		—		—
Rights
Spain		33,502		—		—
Affiliated Mutual Funds		71,980,394		—		—
Total	$	717,668,747	$	327,842,848	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

Affiliated Mutual Funds (4.2% represents investments purchased with collateral from securities on loan)	7.2	%
Banks	6.8
Software	6.7
Health Care Equipment & Supplies	6.2
Pharmaceuticals	5.3
Oil, Gas & Consumable Fuels	5.0
Insurance	4.9
IT Services	4.5
Capital Markets	3.4
Internet & Direct Marketing Retail	3.2
Chemicals	3.2
Electric Utilities	2.8
Semiconductors & Semiconductor Equipment	2.7
Aerospace & Defense	2.6
Machinery	2.3
Food & Staples Retailing	2.0
Electronic Equipment, Instruments & Components	1.9
Entertainment	1.9
Equity Real Estate Investment Trusts (REITs)	1.8
Life Sciences Tools & Services	1.7
Building Products	1.6
Food Products	1.6
Interactive Media & Services	1.4
Industrial Conglomerates	1.4
Diversified Telecommunication Services	1.4

Hotels, Restaurants & Leisure	1.3	%
Personal Products	1.2
Specialty Retail	1.1
Automobiles	1.0
Airlines	1.0
Commercial Services & Supplies	1.0
Metals & Mining	1.0
Professional Services	0.9
Auto Components	0.7
Communications Equipment	0.7
Biotechnology	0.7
Road & Rail	0.7
Wireless Telecommunication Services	0.7
Household Durables	0.7
Media	0.7
Multi-Utilities	0.6
Household Products	0.6
Trading Companies & Distributors	0.6
Health Care Providers & Services	0.5
Containers & Packaging	0.5
Textiles, Apparel & Luxury Goods	0.5
Beverages	0.5
Tobacco	0.4
Construction & Engineering	0.4
Diversified Financial Services	0.4
Multiline Retail	0.3

SEE NOTES TO FINANCIAL STATEMENTS.

A111

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Industry Classification (continued):

Air Freight & Logistics	0.3	%
Construction Materials	0.3
Paper & Forest Products	0.2
Electrical Equipment	0.2
Energy Equipment & Services	0.1
Real Estate Management & Development	0.1
Technology Hardware, Storage & Peripherals	0.1
Leisure Products	0.1
Consumer Finance	0.1
Thrifts & Mortgage Finance	0.1

Marine	0.1	%
Distributors	0.0	*
Health Care Technology	0.0	*
	103.9
Liabilities in excess of other assets	(3.9	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Equity contracts	Unaffiliated investments	$	33,502	—	$	—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)
Equity contracts	$	31,836

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)
Equity contracts	$	(618	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	41,677,213	$	(41,677,213	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A112

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value, including securities on loan of $41,677,213:
Unaffiliated investments (cost $816,575,104)	$	973,531,201
Affiliated investments (cost $71,980,942)		71,980,394
Cash		11,050
Foreign currency, at value (cost $938,039)		931,062
Receivable for investments sold		2,577,136
Tax reclaim receivable		1,854,270
Dividends and interest receivable		1,180,334
Receivable from affiliate		88,931
Receivable for Portfolio shares sold		55,873
Prepaid expenses		8,614
Total Assets		1,052,218,865
LIABILITIES
Payable to broker for collateral for securities on loan		42,778,066
Payable for investments purchased		908,066
Payable to affiliate		855,867
Management fee payable		627,343
Accrued expenses and other liabilities		289,000
Payable for Portfolio shares repurchased		85,378
Affiliated transfer agent fee payable		980
Total Liabilities		45,544,700
NET ASSETS	$	1,006,674,165
Net assets were comprised of:
Partners Equity	$	1,006,674,165
Net asset value and redemption price per share, $1,006,674,165 / 31,630,188 outstanding shares of beneficial interest	$	31.83

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $1,528,795, of which $136,734 is reimbursable by an affiliate)	$	23,008,306
Affiliated dividend income		615,259
Income from securities lending, net (including affiliated income of $201,682)		339,550
Total income		23,963,115
EXPENSES
Management fee		8,548,908
Custodian and accounting fees		328,412
Shareholders’ reports		110,495
Audit fee		28,800
Trustees’ fees		21,753
Legal fees and expenses		14,062
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		49,626
Total expenses		9,112,739
Less: Fee waiver and/or expense reimbursement		(280,540	)
Net expenses		8,832,199
NET INVESTMENT INCOME (LOSS)		15,130,916
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(5,596))		72,600,685
Foreign currency transactions		(74,117	)
		72,526,568
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(943))		(166,274,627	)
Foreign currencies		(117,453	)
		(166,392,080	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(93,865,512	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(78,734,596	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	15,130,916		$	14,091,738
Net realized gain (loss) on investment and foreign currency transactions		72,526,568			40,601,021
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(166,392,080	)		177,030,000
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(78,734,596	)		231,722,759
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [414,359 and 246,184 shares, respectively]		14,682,656			7,749,375
Portfolio shares repurchased [1,780,900 and 1,990,951 shares, respectively]		(62,730,947	)		(61,897,531	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(48,048,291	)		(54,148,156	)
CAPITAL CONTRIBUTIONS		520,841			—
TOTAL INCREASE (DECREASE)		(126,262,046	)		177,574,603
NET ASSETS:
Beginning of year		1,132,936,211			955,361,608
End of year	$	1,006,674,165		$	1,132,936,211

SEE NOTES TO FINANCIAL STATEMENTS.

A113

GOVERNMENT INCOME PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 98.2%
ASSET-BACKED SECURITIES — 8.1%
Collateralized Loan Obligations
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%
3.736%(c)		01/16/30		250	$	249,302
Battalion CLO Ltd. (Cayman Islands),
Series2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040%
3.489%(c)		07/17/28		500		493,104
BlueMountain CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330%
3.766%(c)		04/13/27		1,750		1,747,230
Catamaran CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%
3.729%(c)		04/22/30		2,000		1,990,204
CIFC Funding Ltd. (Cayman Islands),
Series2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.737%(c)		10/24/30		2,000		1,993,927
Flagship CLO Ltd. (Cayman Islands),
Series2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%
3.286%(c)		01/16/26		2,500		2,492,863
ICG US CLO Ltd. (Cayman Islands),
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.757%(c)		10/23/29		500		496,738
Limerock CLO LLC (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200%
3.669%(c)		10/20/26		1,300		1,300,006
OCP CLO Ltd. (Cayman Islands),
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.696%(c)		07/15/30		250		248,830
OZLM Ltd. (Cayman Islands),
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.770%(c)		10/30/30		2,000		1,989,093
Palmer Square CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.946%(c)		05/21/29		500		497,914
Regatta Funding Ltd. (Cayman Islands),
Series2017-01A, Class A, 144A, 3 Month LIBOR + 1.250%
3.699%(c)		10/17/30		1,000		994,626
Sound Point CLO Ltd. (Cayman Islands),
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250%
3.532%(c)		10/23/31		1,000		990,614
Trinitas CLO Ltd. (Cayman Islands),
Series2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.190%(c)		10/25/28		500		499,958
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.719%(c)		10/20/29		2,000		1,994,806
TOTAL ASSET-BACKED SECURITIES (cost $18,049,050)						17,979,215
COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.2%
BANK,
Series 2017-BNK05, Class A3
3.020%		06/15/60		2,800		2,739,379
Citigroup Commercial Mortgage Trust,
Series 2015-GC33, Class A3
3.515%		09/10/58		700		702,955

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Commercial Mortgage Trust,
Series 2015-CR024, Class A3
3.214%		08/10/48		1,600	$	1,598,234
Series 2015-CR025, Class A3
3.505%		08/10/48		1,000		1,000,135
Deutsche Bank Commercial Mortgage Trust,
Series2017-C06, Class A3
3.269%		06/10/50		2,800		2,768,349
FannieMae-Aces,
Series2012-M02, Class A2
2.717%		02/25/22		174		173,854
Series2015-M01, Class AB2
2.465%		09/25/24		358		353,552
Series2015-M03, Class AB2
2.625%		10/25/24		1,056		1,040,628
Series2015-M08, Class AB2
2.829%(cc)		01/25/25		1,098		1,092,217
Series2015-M10, Class A2
3.092%(cc)		04/25/27		1,600		1,570,986
Series2015-M17, Class A2
2.939%(cc)		11/25/25		1,500		1,482,446
Series2016-M11, Class A2
2.369%(cc)		07/25/26		1,200		1,126,342
Series2016-M13, Class A2
2.479%(cc)		09/25/26		2,100		1,989,488
Series2018-M14, Class A1
3.578%(cc)		08/25/28		949		980,866
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.515%(cc)		06/25/20		15,122		251,307
Series K019, Class X1, IO
1.627%(cc)		03/25/22		16,153		710,034
Series K020, Class X1, IO
1.409%(cc)		05/25/22		8,539		337,143
Series K021, Class X1, IO
1.444%(cc)		06/25/22		9,048		379,503
Series K025, Class X1, IO
0.853%(cc)		10/25/22		25,792		707,993
Series K060, Class AM
3.300%(cc)		10/25/26		1,930		1,927,460
Series K064, Class A2
3.224%		03/25/27		2,200		2,194,919
Series K064, Class AM
3.327%(cc)		03/25/27		1,100		1,093,465
Series K068, Class AM
3.315%		08/25/27		1,700		1,694,169
Series K073, Class A2
3.350%		01/25/28		2,200		2,202,932
Series K076, Class A2
3.900%		06/25/51		1,500		1,564,897
Series K076, Class AM
3.900%		06/25/51		425		440,821
Series K077, Class A2
3.850%(cc)		05/25/28		900		935,506
Series K077, Class AM
3.850%(cc)		05/25/28		180		186,141

SEE NOTES TO FINANCIAL STATEMENTS.

A114

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K078, Class AM
3.920%(cc)		06/25/28		525	$	545,533
Series K079, Class AM
3.930%		06/25/28		675		702,289
Series K080, Class AM
3.986%(cc)		07/25/28		1,900		1,985,608
Series K081, Class AM
3.900%(cc)		08/25/28		1,500		1,553,602
Series K083, Class A2
4.050%(cc)		09/25/28		625		659,163
Series K083, Class AM
4.030%(cc)		10/25/28		250		262,053
Series K084, Class AM
3.880%(cc)		10/25/28		1,300		1,346,735
Series K085, Class AM
4.060%(cc)		10/25/28		650		681,316
Series K086, Class A2
3.859%(cc)		11/25/28		1,400		1,454,752
Series K086, Class AM
3.919%(cc)		11/25/28		200		207,842
Series K151, Class A3
3.511%		04/25/30		400		397,326
Series K157, Class A2
3.990%(cc)		05/25/33		1,700		1,757,998
Series K158, Class A2
3.900%(cc)		12/25/30		700		717,907
Series K710, Class X1, IO
1.734%(cc)		05/25/19		6,929		16,832
Series K711, Class X1, IO
1.668%(cc)		07/25/19		6,404		24,014
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,100		1,099,755
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C030, Class A3
3.322%		07/15/48		1,600		1,600,613
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46		780		762,235
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $49,069,602)						49,021,294
CORPORATE BONDS — 1.4%
Diversified Financial Services
Private Export Funding Corp.,
Series BB, U.S. Gov’t. Gtd. Notes
4.300%		12/15/21		1,255		1,311,208
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21		1,655		1,656,321
TOTAL CORPORATE BONDS (cost $2,997,998)						2,967,529
MUNICIPAL BONDS — 0.2%
California — 0.1%
California Educational Facilities Authority, Stanford Univ.,
Revenue Bonds, SeriesU-07, BABs
5.000%		06/01/46		125		162,064

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		275	$	358,091
TOTAL MUNICIPAL BONDS (cost $510,337)						520,155
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%
Merrill Lynch Mortgage Investors Trust,
Series2003-E, Class A1, 1 Month LIBOR + 0.620%
3.126%(c)		10/25/28		20		19,450
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.232%(cc)		02/25/34		87		87,029
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $106,902)						106,479
U.S. GOVERNMENT AGENCY OBLIGATIONS — 44.0%
Federal Home Loan Bank
2.625%		10/01/20		720		720,937
3.000%		10/12/21		900		911,480
3.250%		11/16/28		1,025		1,042,292
Federal Home Loan Mortgage Corp.
2.000%		01/01/32		322		307,955
2.375%		02/16/21		1,730		1,723,993
2.500%		03/01/30		590		579,059
3.000%		06/01/29		437		437,200
3.000%		01/01/37		852		842,246
3.000%		06/01/45		557		545,588
3.500%		07/01/42		678		682,731
3.500%		10/01/42		1,126		1,133,956
3.500%		08/01/43		859		865,316
3.500%		10/01/45		626		628,261
4.000%		TBA		6,000		6,116,602
4.000%		06/01/26		62		63,234
4.000%		09/01/26		228		234,220
4.000%		09/01/40		421		432,793
4.000%		12/01/40		429		441,112
4.000%		12/01/40		458		471,575
4.000%		10/01/48		990		1,009,745
4.500%		09/01/39		1,513		1,583,628
5.000%		06/01/33		287		304,434
5.000%		05/01/34		297		315,199
5.500%		05/01/37		57		61,050
5.500%		02/01/38		199		213,632
5.500%		05/01/38		85		90,781
6.000%		09/01/34		73		78,482
6.000%		01/01/37		90		98,393
6.000%		09/01/38		57		62,332
6.000%		08/01/39		73		79,804
6.500%		09/01/32		32		35,288
Federal Home Loan Mortgage Corp., MTN
2.750%		06/19/23		190		191,110
3.208%(s)		12/11/25		600		487,489

SEE NOTES TO FINANCIAL STATEMENTS.

A115

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal National Mortgage Assoc.
1.000%		10/24/19		2,300		$	2,269,513
1.875%		09/24/26		400			372,180
2.000%		08/01/31		308			295,040
2.375%		01/19/23		385			382,119
2.500%		06/01/28		1,928			1,902,159
2.500%		02/01/43		206			195,591
2.500%		12/01/46		715			675,456
2.750%		06/22/21		640			643,591
2.875%		09/12/23		1,345			1,360,836
3.000%		08/01/28		982			982,854
3.000%		02/01/31		1,207			1,205,264
3.000%		11/01/36		801			792,279
3.000%		03/01/43		1,023			1,005,281
3.000%		07/01/43		916			900,626
3.000%		07/01/43		1,166			1,145,748
3.000%		11/01/46		461			449,290
3.500%		TBA		1,500			1,518,018
3.500%		TBA		4,250			4,246,042
3.500%		02/01/33		246			249,466
3.500%		06/01/39		296			297,972
3.500%		04/01/42		507			510,594
3.500%		06/01/42		866			872,267
3.500%		07/01/42		934			941,343
3.500%		06/01/45		2,089			2,096,133
3.500%		12/01/46		436			437,401
4.000%		TBA		2,500			2,548,437
4.000%		09/01/40		1,588			1,633,098
4.000%		06/01/42		1,117			1,147,847
4.000%		09/01/44		826			844,043
4.000%		10/01/46		379			386,797
4.000%		06/01/47		624			636,580
4.000%		07/01/47		700			713,370
4.000%		11/01/47		496			506,147
4.500%		05/01/40		2,065			2,163,340
5.000%		TBA		500			523,711
5.000%		12/01/31		27			28,725
5.000%		03/01/34		361			384,190
5.000%		06/01/35		159			168,350
5.000%		07/01/35		79			83,677
5.000%		05/01/36		107			113,719
5.500%		02/01/34		223			239,640
5.500%		09/01/34		261			280,834
5.500%		02/01/35		292			314,074
5.500%		06/01/35		70			74,335
5.500%		06/01/35		117			123,741
5.500%		09/01/35		41			43,486
5.500%		09/01/35		105			111,234
5.500%		10/01/35		243			261,143
5.500%		11/01/35		215			229,147
5.500%		11/01/35		375			403,953
5.500%		11/01/35		556			598,777
6.000%		05/01/21		17			17,458
6.000%		12/01/33		11			11,654
6.000%		02/01/34		122			132,903
6.000%		08/01/34		—	(r)		434
6.000%		11/01/34		1			621
6.000%		11/01/34		1			1,096

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		12/01/34		1		$	1,035
6.000%		01/01/35		22			23,821
6.000%		01/01/36		87			93,815
6.000%		05/01/38		48			51,825
6.500%		07/01/32		244			273,154
6.500%		08/01/32		79			85,705
6.500%		10/01/32		274			309,146
6.500%		10/01/37		124			138,365
6.625%		11/15/30		280			375,320
7.000%		12/01/31		1			547
7.000%		12/01/31		85			95,201
7.000%		11/01/33		11			10,872
7.000%		01/01/36		19			20,742
8.000%		10/01/23		—	(r)		193
8.000%		09/01/24		1			1,041
8.000%		11/01/24		1			1,174
8.000%		01/01/26		—	(r)		397
9.000%		02/01/25		8			9,115
9.000%		04/01/25		4			4,803
Freddie Mac Strips Coupon
3.318%(s)		09/15/23		295			257,882
3.374%(s)		09/15/24		280			237,033
Government National Mortgage Assoc.
2.500%		12/20/46		294			281,171
3.000%		03/15/45		1,638			1,614,980
3.000%		09/20/46		1,632			1,609,853
3.000%		10/20/46		408			401,986
3.000%		04/20/47		1,699			1,674,052
3.500%		TBA		1,500			1,509,258
3.500%		01/20/43		1,154			1,167,533
3.500%		04/20/43		569			575,502
3.500%		03/20/45		1,017			1,025,178
3.500%		04/20/45		859			866,048
3.500%		04/20/46		1,416			1,427,137
3.500%		07/20/46		2,189			2,204,263
4.000%		TBA		1,000			1,023,086
4.000%		06/15/40		204			210,860
4.000%		08/20/46		831			852,600
4.000%		11/20/46		529			545,359
4.500%		TBA		2,250			2,328,179
4.500%		02/20/41		571			598,792
4.500%		03/20/41		488			512,353
4.500%		06/20/44		372			391,180
4.500%		09/20/46		503			526,786
4.500%		11/20/46		1,005			1,057,140
4.500%		01/20/47		123			129,485
5.000%		07/15/33		149			157,711
5.000%		09/15/33		221			234,523
5.000%		04/15/34		82			85,382
5.500%		03/15/34		319			344,548
5.500%		03/15/36		64			68,665
6.500%		07/15/32		19			20,732
6.500%		08/15/32		2			2,670
6.500%		08/15/32		3			3,669
6.500%		08/15/32		12			12,924
6.500%		08/15/32		89			101,505
7.000%		05/15/23		5			4,921
7.000%		06/15/23		1			864

SEE NOTES TO FINANCIAL STATEMENTS.

A116

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		06/15/23			1		$	1,125
7.000%		06/15/23			4			4,184
7.000%		06/15/23			13			13,149
7.000%		07/15/23			1			604
7.000%		07/15/23			12			11,864
7.000%		08/15/23			—	(r)		417
7.000%		08/15/23			4			4,001
7.000%		08/15/23			7			7,368
7.000%		09/15/23			1			1,253
7.000%		10/15/23			3			3,031
7.000%		10/15/23			4			4,438
7.000%		11/15/23			3			3,058
7.000%		11/15/23			9			8,969
7.000%		01/15/24			51			53,461
7.000%		05/15/24			45			46,572
7.000%		08/15/28			44			49,083
7.500%		12/15/25			4			4,024
7.500%		12/15/25			28			30,300
7.500%		02/15/26			5			5,582
8.500%		09/15/24			59			62,479
8.500%		04/15/25			7			7,217
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes
3.000%		06/30/25			1,580			1,571,674
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes
3.141%(s)		05/15/23			400			354,701
3.329%(s)		05/15/25			600			497,774
5.500%		09/18/23			1,300			1,461,571
Residual Funding Corp. Strips Principal, Bonds, PO
2.194%(s)		01/15/21			100			94,781
3.168%(s)		04/15/30			2,305			1,611,079
Resolution Funding Corp. Strips Interest, Bonds, IO
3.657%(s)		04/15/30			500			350,125
Tennessee Valley Authority, Series A, Sr. Unsec’d. Notes
2.875%		02/01/27			175			173,183
Tennessee Valley Authority, Series E, Sr. Unsec’d. Notes
6.750%		11/01/25			510			627,031
Tennessee Valley Authority, Sr. Unsec’d. Notes
2.250%		03/15/20			365			363,760
5.880%		04/01/36			230			299,445
7.125%		05/01/30			530			729,959
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $97,697,651)								97,284,884
U.S. TREASURY OBLIGATIONS — 22.2%
U.S. Treasury Bonds
3.000%		08/15/48			255			253,795
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			12,980			12,764,227
U.S. Treasury Notes
1.750%		05/15/23			1,360			1,317,819
1.875%		09/30/22			1,000			978,242
2.125%		08/15/21			4,210			4,171,682
2.125%		09/30/21	(k)		8,035			7,958,730
2.125%		06/30/22			2,055			2,030,597
2.125%		02/29/24			1,615			1,584,025
2.125%		05/15/25	(k)		1,900			1,848,937
2.250%		12/31/24			665			653,363
2.250%		11/15/25			1,810			1,770,053

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
2.250%		11/15/27			1,495	$	1,444,135
2.500%		12/31/20			160		159,994
2.625%		12/15/21			1,370		1,376,154
2.625%		12/31/23			700		703,664
2.750%		11/30/20			855		858,874
2.875%		11/15/21			90		91,002
2.875%		11/30/23			485		493,450
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			550		427,181
2.384%(s)		05/15/29			565		421,195
2.404%(s)		08/15/21	(k)		1,585		1,484,699
2.499%(s)		02/15/22			835		771,841
2.783%(s)		08/15/29			500		370,501
2.878%(s)		05/15/31			500		350,701
3.042%(s)		11/15/35			1,000		610,446
3.143%(s)		08/15/27			825		651,343
3.202%(s)		08/15/40			1,000		519,507
4.138%(s)		02/15/42			3,725		1,829,545
U.S. Treasury Strips Principal, PO
2.351%(s)		05/15/43			430		204,536
2.543%(s)		02/15/45			515		232,193
2.993%(s)		11/15/43			165		77,213
3.005%(s)		11/15/44			715		325,395
3.429%(s)		08/15/43			800		377,343
TOTAL U.S. TREASURY OBLIGATIONS (cost $48,737,317)							49,112,382
TOTAL LONG-TERM INVESTMENTS (cost $217,168,857)							216,991,938
				Shares
SHORT-TERM INVESTMENTS — 10.3%
AFFILIATED MUTUAL FUNDS — 10.2%
PGIM Core Short-Term Bond Fund(w)					2,459,756		22,597,532
PGIM Core Ultra Short Bond Fund(w)					2,506		2,506
TOTAL AFFILIATED MUTUAL FUNDS (cost $23,547,949)							22,600,038
OPTIONS PURCHASED*~ — 0.1%
(cost $11,679)							186,858
TOTAL SHORT-TERM INVESTMENTS (cost $23,559,628)							22,786,896
TOTAL INVESTMENTS — 108.5% (cost $240,728,485)							239,778,834
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (8.5)%							(18,696,584	)
NET ASSETS — 100.0%						$	221,082,250

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

SEE NOTES TO FINANCIAL STATEMENTS.

A117

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $(876) and (0.0)% of net assets.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund and PGIM Core Ultra Short Bond Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date	Strike	Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC	11/21/19	0.13%		—		700	$	4,084
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/21/19	0.12%		—		1,000		6,111
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/12/21	0.11%		—		1,227		11,301
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/13/21	0.11%		—		1,193		10,996
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/16/21	0.15%		—		2,982		26,330
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/20/21	0.15%		—		5,920		56,706
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.	09/13/21	0.14%		—		6,000		58,984
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/09/21	0.21%		—		1,193		12,346
Total Options Purchased(cost $11,679)										$	186,858

Futures contracts outstanding at December 31, 2018:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
230		2 Year U.S. Treasury Notes		Mar. 2019	$	48,831,875	$	309,319
247		5 Year U.S. Treasury Notes		Mar. 2019		28,327,812		390,661
65		10 Year U.S. Ultra Treasury Bonds		Mar. 2019		8,455,078		159,262
180		30 Year U.S. Ultra Treasury Bonds		Mar. 2019		28,918,125		1,369,418
								2,228,660
Short Positions:
4		10 Year U.S. Treasury Notes		Mar. 2019		488,063		(3,068	)
220		20 Year U.S. Treasury Bonds		Mar. 2019		32,120,000		(1,431,023	)
								(1,434,091	)
							$	794,569

Forward rate agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate			Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	2,100		01/14/19		—	(3)	—(3)	$	(876	)	$	—	$	(876	)	J.P. Morgan Securities LLC

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payment based on CMM102 minus 7 year CMT minus 1.3365% upon termination.

SEE NOTES TO FINANCIAL STATEMENTS.

A118

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Inflation swap agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	3,360		12/19/23		1.900%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(21,328	)	$	(21,328	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at December 31, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	21,265		06/30/19		1.486%(A)	1 Day USOIS(1)(A)	$	(8,090	)	$	164,459		$	172,549
	4,730		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(2,550	)		35,830			38,380
	7,870		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		2,185			53,432			51,247
	11,945		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		6,414			82,620			76,206
	5,295		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		1,396			26,477			25,081
	2,750		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		31			9,436			9,405
	1,495		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		(3	)		3,402			3,405
	5,570		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			(21,659	)		(21,659	)
	17,565		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		(4,680	)		298,233			302,913
	4,670		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		14,367			67,446			53,079
	3,785		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(39,839	)		(39,839	)
	590		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(6,271	)		(6,271	)
	1,669		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(1,080	)		(39,408	)		(38,328	)
	1,305		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		1,030			(39,387	)		(40,417	)
	4,951		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		313			(150,760	)		(151,073	)
	1,920		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		70,520			41,823			(28,697	)
	2,102		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		29,738			84,863			55,125
	790		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		984			26,990			26,006
	530		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			15,205			15,205
	1,445		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(911	)		29,093			30,004
	260		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			7,295			7,295
	884		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(4,942	)		(13,332	)		(8,390	)
	3,451		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(13,709	)		(38,925	)		(25,216	)
	145		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			4,812			4,812
							$	91,013		$	601,835		$	510,822

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(876	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	—	$	2,550,984

SEE NOTES TO FINANCIAL STATEMENTS.

A119

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	17,979,215		$	—
Commercial Mortgage-Backed Securities		—		49,021,294			—
Corporate Bonds		—		2,967,529			—
Municipal Bonds		—		520,155			—
Options Purchased		—		186,858			—
Residential Mortgage-Backed Securities		—		106,479			—
U.S. Government Agency Obligations		—		97,284,884			—
U.S. Treasury Obligations		—		49,112,382			—
Affiliated Mutual Funds		22,600,038		—			—
Other Financial Instruments*
Futures Contracts		794,569		—			—
OTC Forward Rate Agreement		—		—			(876	)
Centrally Cleared Inflation Swap Agreement		—		(21,328	)		—
Centrally Cleared Interest Rate Swap Agreements		—		510,822			—
Total	$	23,394,607	$	217,668,290		$	(876	)

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

U.S. Government Agency Obligations	44.0	%
U.S. Treasury Obligations	22.2
Commercial Mortgage-Backed Securities	22.2
Affiliated Mutual Funds	10.2
Collateralized Loan Obligations	8.1
Diversified Financial Services	1.4
Municipal Bonds	0.2

Options Purchased	0.1	%
Residential Mortgage-Backed Securities	0.1
	108.5
Liabilities in excess of other assets	(8.5	)
	100.0	%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin futures	$	2,228,660	*	Due from/to broker — variation margin futures	$	1,434,091	*
Interest rate contracts	Due from/to broker — variation margin swaps		870,712	*	Due from/to broker — variation margin swaps		381,218	*
Interest rate contracts	Unaffiliated investments		186,858		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A120

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	—	$	—	Unrealized depreciation on OTC forward rate agreements	$	876
		$	3,286,230		$	1,816,185

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Swaps
Interest rate contracts	$	(133,216	)	$	10,858	$	(2,276,192	)	$	564,391

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)		Futures		Forward Rate Agreements			Swaps
Interest rate contracts	$	175,179	$	971,622	$	(876	)	$	359,598

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts — Long Positions(2)	Futures Contracts — Short Positions(2)
$27,419	$35,600	$145,049,909	$47,609,725

Forward Rate Agreements(2)	Inflation Swap Agreements(2)	Interest Rate Swap Agreements(2)
$420,000	$1,104,000	$419,927,800

(1) Cost.

(2) Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right toset-off exists, is presented in the summary below.

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)		Net Amounts of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)		Net Amount
Bank of America, N.A.	$	142,020	$	—	$	142,020	$	—	$	142,020
Barclays Bank PLC		40,754		—		40,754		—		40,754

SEE NOTES TO FINANCIAL STATEMENTS.

A121

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)		Net Amount
J.P. Morgan Securities LLC	$	—	$	(876	)	$	(876	)	$	—	$	(876	)
Morgan Stanley & Co. International PLC		4,084		—			4,084			—		4,084
	$	186,858	$	(876	)	$	185,982		$	—	$	185,982

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A122

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value:
Unaffiliated investments (cost $217,180,536)	$	217,178,796
Affiliated investments (cost $23,547,949)		22,600,038
Receivable for investments sold		6,001,228
Dividends and interest receivable		793,553
Due from broker-variation margin futures		122,221
Receivable for Portfolio shares sold		12,842
Prepaid expenses		1,883
Total Assets		246,710,561
LIABILITIES
Payable for investments purchased		24,743,901
Loan payable		471,000
Payable to custodian		108,386
Accrued expenses and other liabilities		101,285
Due to broker-variation margin swaps		98,039
Management fee payable		75,220
Payable for Portfolio shares repurchased		28,624
Affiliated transfer agent fee payable		980
Unrealized depreciation on OTC forward rate agreements		876
Total Liabilities		25,628,311
NET ASSETS	$	221,082,250
Net assets were comprised of:
Partners Equity	$	221,082,250
Net asset value and redemption price per share $221,082,250 / 17,412,654 outstanding shares of beneficial interest	$	12.70

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	5,703,489
Affiliated dividend income		727,176
Income from securities lending, net (including affiliated income of $3,351)		3,437
Total income		6,434,102
EXPENSES
Management fee		922,054
Shareholders’ reports		89,818
Custodian and accounting fees		80,704
Audit fee		35,300
Trustees’ fees		12,022
Legal fees and expenses		11,227
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		17,613
Total expenses		1,179,420
NET INVESTMENT INCOME (LOSS)		5,254,682
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(315,324))		(3,086,349	)
Futures transactions		(2,276,192	)
Options written transactions		10,858
Swap agreements transactions		564,391
		(4,787,292	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $83,454)		(859,523	)
Futures		971,622
Forward rate agreements		(876	)
Swap agreements		359,598
		470,821
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(4,316,471	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	938,211

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	5,254,682		$	4,641,829
Net realized gain (loss) on investment transactions		(4,787,292	)		916,943
Net change in unrealized appreciation (depreciation) on investments		470,821			1,875,901
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		938,211			7,434,673
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [1,165,919 and 3,422,868 shares, respectively]		14,482,217			42,250,137
Portfolio shares repurchased [3,097,890 and 2,543,772 shares, respectively]		(38,486,314	)		(31,854,985	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(24,004,097	)		10,395,152
CAPITAL CONTRIBUTIONS		246			—
TOTAL INCREASE (DECREASE)		(23,065,640	)		17,829,825
NET ASSETS:
Beginning of year		244,147,890			226,318,065
End of year	$	221,082,250		$	244,147,890

SEE NOTES TO FINANCIAL STATEMENTS.

A123

GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

Interest Rate	Maturity Date		Principal Amount (000)#		Value
REPURCHASE AGREEMENTS(m) — 16.4%
Credit Agricole Corporate & Investment Bank, 3.00%, dated 12/31/18, due 01/02/19 in the amount of $40,006,667				40,000	$	40,000,000
HSBC Securities (USA), Inc., 2.53%, dated 12/27/18, due 01/03/19 in the amount of $20,009,839				20,000		20,000,000
Merrill Lynch, 3.00%, dated 12/31/18, due 01/02/19 in the amount of $11,864,977				11,863		11,863,000
MUFG Securities (USA) LLC, 2.60%, dated 12/26/18, due 01/02/19 in the amount of $16,008,089				16,000		16,000,000
TOTAL REPURCHASE AGREEMENTS						87,863,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 65.9%
Federal Farm Credit Bank, 1 Month LIBOR + (0.100)%
2.247%(c)		04/04/19		17,000		16,999,567
Federal Farm Credit Bank, 1 Month LIBOR + (0.135)%
2.265%(c)		04/11/19		10,000		9,997,671
2.297%(c)		06/13/19		3,000		2,998,700
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)%
2.337%(c)		01/08/20		7,000		7,000,000
2.472%(c)		05/29/20		6,000		5,995,743
Federal Farm Credit Bank, 1 Month LIBOR + (0.110)%
2.345%(c)		01/15/19		7,000		7,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.065)%
2.390%(c)		12/17/19		7,000		6,999,804
Federal Farm Credit Bank, 1 Month LIBOR + (0.070)%
2.436%(c)		01/28/20		9,000		9,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.045)%
2.461%(c)		02/25/20		6,000		6,000,000
Federal Farm Credit Bank, 1 Month LIBOR + 0.160%
2.509%(c)		01/02/19		7,000		7,000,055
Federal Farm Credit Bank, 1 Month LIBOR + 0.180%
2.580%(c)		10/11/19		8,000		8,013,110
Federal Home Loan Bank, 3 Month LIBOR + (0.280)%
2.261%(c)		02/01/19		2,000		2,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.080)%
2.267%(c)		02/04/19		7,000		7,000,000
2.352%(c)		11/13/19		3,000		2,998,616
Federal Home Loan Bank
2.310%(n)		01/04/19		6,000		5,998,865
2.351%(n)		01/25/19		9,000		8,986,170
2.356%(n)		01/09/19		23,000		22,988,142
2.385%(n)		01/18/19		24,000		23,973,421
2.386%(n)		01/23/19		16,000		15,977,071
2.392%(n)		01/16/19		8,000		7,992,150
2.423%(n)		02/22/19		7,000		6,975,986
2.426%(n)		02/13/19		14,000		13,960,184
2.448%(n)		02/20/19		8,000		7,973,278
2.448%(n)		03/06/19		7,000		6,970,133
2.448%(n)		03/20/19		8,000		7,958,400
2.450%(n)		03/13/19		17,000		16,919,464
2.451%(n)		03/15/19		6,000		5,970,764
2.456%(n)		03/22/19		29,000		28,844,867

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
2.468%(n)		01/30/19		9,000	$	8,982,990
2.469%(n)		02/01/19		4,000		3,991,900
Federal Home Loan Bank, 1 Month LIBOR + (0.130)%
2.374%(c)		03/22/19		9,000		8,998,632
Federal Home Loan Bank, 1 Month LIBOR + (0.115)%
2.391%(c)		02/25/19		8,000		8,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.060)%
2.446%(c)		03/28/19		7,000		7,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.220)%
2.457%(c)		08/23/19		7,000		7,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.230)%
2.508%(c)		12/03/19		8,000		7,998,250
Federal Home Loan Mortgage Corp.
0.950%		01/30/19		6,000		5,993,951
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)%
2.287%(c)		08/08/19		6,000		6,000,000
2.355%(c)		03/18/19		4,000		4,000,000
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.225)%
2.466%(c)		08/27/19		5,000		5,000,000
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS						353,457,884
U.S. TREASURY OBLIGATIONS — 25.1%
U.S. Treasury Bills
2.147%(n)		01/10/19		7,000		6,996,334
2.227%(n)		02/07/19		6,000		5,986,606
2.364%(n)		01/08/19		16,000		15,992,755
2.366%(n)		01/31/19		7,000		6,986,437
2.367%(n)		01/15/19		18,000		17,983,691
2.379%(n)		01/22/19		16,000		15,978,160
2.423%(n)		01/29/19		27,000		26,951,009
2.428%(n)		02/05/19		16,000		15,962,884
2.440%(n)		03/21/19		7,000		6,963,256
2.515%(n)		04/04/19		8,000		7,950,152
2.558%(n)		06/27/19		7,000		6,914,268
TOTAL U.S. TREASURY OBLIGATIONS						134,665,552
TOTAL INVESTMENTS — 107.4% (amortized cost $575,986,436)						575,986,436
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)%						(39,602,248	)
NET ASSETS — 100.0%					$	536,384,188

See the Glossary for abbreviations used in the annual report.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(m) Repurchase agreements are collateralized by FHLMC (coupon rate 3.060%, maturity date 06/01/44), FNMA (coupon rate 4.500%, maturity date 08/01/48), GNMA (coupon rates3.500%-6.000%, maturity dates09/15/36-10/20/48), and U.S. Treasury Securities (coupon rates0.625%-2.875%, maturity dates04/15/23-02/15/46), with the aggregate value, including accrued interest, of $89,638,557.

(n) Rate shown reflects yield to maturity at purchased date.

SEE NOTES TO FINANCIAL STATEMENTS.

A124

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Repurchase Agreements	$	—	$	87,863,000	$	—
U.S. Government Agency Obligations		—		353,457,884		—
U.S. Treasury Obligations		—		134,665,552		—
Total	$	—	$	575,986,436	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

U.S. Government Agency Obligations	65.9	%
U.S. Treasury Obligations	25.1
Repurchase Agreements	16.4
	107.4
Liabilities in excess of other assets	(7.4	)
	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Counterparty		Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Repurchase Agreements		Credit Agricole Corporate & Investment Bank	$	40,000,000	$	(40,000,000	)	$	—
Repurchase Agreements		HSBC Securities (USA), Inc.		20,000,000		(20,000,000	)		—
Repurchase Agreements		Merrill Lynch		11,863,000		(11,863,000	)		—
Repurchase Agreements		MUFG Securities (USA) LLC		16,000,000		(16,000,000	)		—
			$	87,863,000

(1) Collateral amount disclosed by the Fund is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A125

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments, at amortized cost which approximates fair value:	$	488,123,436
Repurchase Agreements (cost $87,863,000)		87,863,000
Cash		44
Interest receivable		242,105
Receivable for Portfolio shares sold		229,541
Prepaid expenses		4,225
Total Assets		576,462,351
LIABILITIES
Payable for investments purchased		36,896,242
Payable for Portfolio shares repurchased		2,857,257
Management fee payable		138,307
Accrued expenses and other liabilities		93,396
Dividends payable		91,981
Affiliated transfer agent fee payable		980
Total Liabilities		40,078,163
NET ASSETS	$	536,384,188
Net assets were comprised of:
Partners Equity	$	536,384,188
Net asset value and redemption price per share $536,384,188 / 53,636,400 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
Interest income	$	10,432,103
EXPENSES
Management fee		1,681,228
Shareholders’ reports		98,665
Custodian and accounting fees		78,017
Audit fee		25,100
Trustees’ fees		15,348
Legal fees and expenses		11,976
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		16,558
Total expenses		1,937,575
NET INVESTMENT INCOME (LOSS)		8,494,528
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions		2,882
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	8,497,410

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	8,494,528		$	3,628,268
Net realized gain (loss) on investment transactions		2,882			8,014
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		8,497,410			3,636,282
DISTRIBUTIONS		(8,508,150	)		(3,635,165	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [40,499,240 and 39,436,094 shares, respectively]		404,992,401			394,360,938
Portfolio shares issued in reinvestment of distributions [850,815 and 363,517 shares, respectively]		8,508,150			3,635,165
Portfolio shares repurchased [43,674,368 and 56,260,374 shares, respectively]		(436,743,676	)		(562,603,761	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(23,243,125	)		(164,607,658	)
TOTAL INCREASE (DECREASE)		(23,253,865	)		(164,606,541	)
NET ASSETS:
Beginning of year		559,638,053			724,244,594
End of year	$	536,384,188		$	559,638,053

SEE NOTES TO FINANCIAL STATEMENTS.

A126

STOCK INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS as of December 31, 2018

LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS — 97.4%	Shares		Value
Aerospace & Defense — 2.4%
Arconic, Inc.		71,992	$	1,213,785
Boeing Co. (The)		90,616		29,223,660
General Dynamics Corp.		47,000		7,388,870
Harris Corp.		20,100		2,706,465
Huntington Ingalls Industries, Inc.		7,800		1,484,418
L3 Technologies, Inc.		13,300		2,309,678
Lockheed Martin Corp.		42,098		11,022,940
Northrop Grumman Corp.		29,626		7,255,408
Raytheon Co.		48,718		7,470,905
Textron, Inc.		43,450		1,998,266
TransDigm Group, Inc.*		8,400		2,856,504
United Technologies Corp.		136,767		14,562,950
				89,493,849
Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.(a)		24,100		2,026,569
Expeditors International of Washington, Inc.		30,100		2,049,509
FedEx Corp.		41,340		6,669,382
United Parcel Service, Inc. (Class B Stock)		116,700		11,381,751
				22,127,211
Airlines — 0.4%
Alaska Air Group, Inc.(a)		21,200		1,290,020
American Airlines Group, Inc.		71,600		2,299,076
Delta Air Lines, Inc.		108,100		5,394,190
Southwest Airlines Co.		88,237		4,101,256
United Continental Holdings, Inc.*		39,800		3,332,454
				16,416,996
Auto Components — 0.1%
Aptiv PLC		45,400		2,795,278
BorgWarner, Inc.		33,400		1,160,316
Goodyear Tire & Rubber Co. (The)		39,900		814,359
				4,769,953
Automobiles — 0.4%
Ford Motor Co.		658,159		5,034,916
General Motors Co.		219,200		7,332,240
Harley-Davidson, Inc.		28,400		969,008
				13,336,164
Banks — 5.5%
Bank of America Corp.		1,569,782		38,679,428
BB&T Corp.		132,300		5,731,236
Citigroup, Inc.		425,522		22,152,675
Citizens Financial Group, Inc.		83,300		2,476,509
Comerica, Inc.		28,150		1,933,623
Fifth Third Bancorp		116,249		2,735,339
Huntington Bancshares, Inc.		183,075		2,182,254
JPMorgan Chase & Co.		568,695		55,516,006
KeyCorp.		179,800		2,657,444
M&T Bank Corp.		24,700		3,535,311
People’s United Financial, Inc.		58,800		848,484
PNC Financial Services Group, Inc. (The)		79,293		9,270,145

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Regions Financial Corp.		182,012	$	2,435,321
SunTrust Banks, Inc.		79,300		3,999,892
SVB Financial Group*		8,700		1,652,304
U.S. Bancorp		259,181		11,844,572
Wells Fargo & Co.		731,476		33,706,414
Zions Bancorp NA		33,400		1,360,716
				202,717,673
Beverages — 1.9%
Brown-Forman Corp. (Class B Stock)		29,825		1,419,074
Coca-Cola Co. (The)		648,450		30,704,107
Constellation Brands, Inc. (Class A Stock)		28,500		4,583,370
Molson Coors Brewing Co. (Class B Stock)		31,500		1,769,040
Monster Beverage Corp.*		68,300		3,361,726
PepsiCo, Inc.		239,394		26,448,249
				68,285,566
Biotechnology — 2.6%
AbbVie, Inc.		257,300		23,720,487
Alexion Pharmaceuticals, Inc.*		37,700		3,670,472
Amgen, Inc.		109,584		21,332,717
Biogen, Inc.*		34,275		10,314,033
Celgene Corp.*		120,100		7,697,209
Gilead Sciences, Inc.		219,700		13,742,235
Incyte Corp.*		29,800		1,894,982
Regeneron Pharmaceuticals, Inc.*		13,130		4,904,055
Vertex Pharmaceuticals, Inc.*		43,300		7,175,243
				94,451,433
Building Products — 0.3%
A.O. Smith Corp.		24,800		1,058,960
Allegion PLC		16,533		1,317,845
Fortune Brands Home & Security, Inc.		25,100		953,549
Johnson Controls International PLC		157,415		4,667,355
Masco Corp.		52,530		1,535,977
				9,533,686
Capital Markets — 2.7%
Affiliated Managers Group, Inc.		9,530		928,603
Ameriprise Financial, Inc.		24,950		2,604,032
Bank of New York Mellon Corp. (The)		156,849		7,382,882
BlackRock, Inc.		21,080		8,280,646
Cboe Global Markets, Inc.		19,300		1,888,119
Charles Schwab Corp. (The)		203,600		8,455,508
CME Group, Inc.		59,260		11,147,991
E*TRADE Financial Corp.		45,510		1,996,979
Franklin Resources, Inc.(a)		54,300		1,610,538
Goldman Sachs Group, Inc. (The)		59,920		10,009,636
Intercontinental Exchange, Inc.		97,990		7,381,587
Invesco Ltd.		68,000		1,138,320
Moody’s Corp.		28,420		3,979,937
Morgan Stanley		226,310		8,973,191
MSCI, Inc.		14,600		2,152,478
Nasdaq, Inc.		20,100		1,639,557
Northern Trust Corp.		36,900		3,084,471
Raymond James Financial, Inc.		21,900		1,629,579

SEE NOTES TO FINANCIAL STATEMENTS.

A127

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
S&P Global, Inc.		42,680	$	7,253,039
State Street Corp.		62,775		3,959,219
T. Rowe Price Group, Inc.		41,100		3,794,352
				99,290,664
Chemicals — 2.0%
Air Products & Chemicals, Inc.		37,200		5,953,860
Albemarle Corp.(a)		19,200		1,479,744
Celanese Corp.		19,800		1,781,406
CF Industries Holdings, Inc.		39,800		1,731,698
DowDuPont, Inc.		391,468		20,935,708
Eastman Chemical Co.		24,400		1,783,884
Ecolab, Inc.		43,200		6,365,520
FMC Corp.		23,150		1,712,174
International Flavors & Fragrances, Inc.		16,340		2,193,972
Linde PLC (United Kingdom)		92,600		14,449,304
LyondellBasell Industries NV (Class A Stock)		55,100		4,582,116
Mosaic Co. (The)		59,100		1,726,311
PPG Industries, Inc.		41,600		4,252,768
Sherwin-Williams Co. (The)		14,000		5,508,440
				74,456,905
Commercial Services & Supplies — 0.4%
Cintas Corp.		14,800		2,486,252
Copart, Inc.*(a)		32,400		1,548,072
Republic Services, Inc.		38,035		2,741,943
Rollins, Inc.(a)		22,050		796,005
Waste Management, Inc.		67,630		6,018,394
				13,590,666
Communications Equipment — 1.1%
Arista Networks, Inc.*		8,500		1,790,950
Cisco Systems, Inc.		775,375		33,596,999
F5 Networks, Inc.*		10,600		1,717,518
Juniper Networks, Inc.		57,700		1,552,707
Motorola Solutions, Inc.		27,827		3,201,218
				41,859,392
Construction & Engineering — 0.1%
Fluor Corp.		23,700		763,140
Jacobs Engineering Group, Inc.		20,900		1,221,814
Quanta Services, Inc.		26,200		788,620
				2,773,574
Construction Materials — 0.1%
Martin Marietta Materials, Inc.(a)		10,800		1,856,196
Vulcan Materials Co.		22,700		2,242,760
				4,098,956
Consumer Finance — 0.7%
American Express Co.		120,300		11,466,996
Capital One Financial Corp.		82,069		6,203,595
Discover Financial Services		59,205		3,491,911
Synchrony Financial		119,530		2,804,174
				23,966,676

COMMON STOCKS (continued)	Shares		Value
Containers & Packaging — 0.3%
Avery Dennison Corp.		14,900	$	1,338,467
Ball Corp.		59,100		2,717,418
International Paper Co.		70,167		2,831,940
Packaging Corp. of America		16,100		1,343,706
Sealed Air Corp.		28,620		997,121
Westrock Co.		43,561		1,644,863
				10,873,515
Distributors — 0.1%
Genuine Parts Co.		25,325		2,431,707
LKQ Corp.*		53,200		1,262,436
				3,694,143
Diversified Consumer Services — 0.0%
H&R Block, Inc.		35,900		910,783
Diversified Financial Services — 1.9%
Berkshire Hathaway, Inc. (Class B Stock)*		329,860		67,350,815
Jefferies Financial Group, Inc.		51,700		897,512
				68,248,327
Diversified Telecommunication Services — 2.1%
AT&T, Inc.		1,230,271		35,111,934
CenturyLink, Inc.(a)		163,843		2,482,222
Verizon Communications, Inc.		700,538		39,384,246
				76,978,402
Electric Utilities — 2.0%
Alliant Energy Corp.(a)		39,700		1,677,325
American Electric Power Co., Inc.		84,040		6,281,150
Duke Energy Corp.		119,348		10,299,732
Edison International		55,400		3,145,058
Entergy Corp.		30,900		2,659,563
Evergy, Inc.		44,000		2,497,880
Eversource Energy		53,700		3,492,648
Exelon Corp.		164,473		7,417,732
FirstEnergy Corp.		79,280		2,976,964
NextEra Energy, Inc.		79,875		13,883,872
PG&E Corp.*		87,500		2,078,125
Pinnacle West Capital Corp.		19,000		1,618,800
PPL Corp.		116,100		3,289,113
Southern Co. (The)		171,700		7,541,064
Xcel Energy, Inc.		86,295		4,251,755
				73,110,781
Electrical Equipment — 0.5%
AMETEK, Inc.		39,500		2,674,150
Eaton Corp. PLC		74,261		5,098,760
Emerson Electric Co.		107,000		6,393,250
Rockwell Automation, Inc.		21,420		3,223,282
				17,389,442
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		51,200		4,148,224
Corning, Inc.		139,500		4,214,295
FLIR Systems, Inc.		24,100		1,049,314
IPG Photonics Corp.*		6,200		702,398

SEE NOTES TO FINANCIAL STATEMENTS.

A128

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components (continued)
Keysight Technologies, Inc.*		30,100	$	1,868,608
TE Connectivity Ltd.		59,900		4,530,237
				16,513,076
Energy Equipment & Services — 0.5%
Baker Hughes a GE Co.		80,148		1,723,182
Halliburton Co.		148,500		3,947,130
Helmerich & Payne, Inc.(a)		18,900		906,066
National Oilwell Varco, Inc.		64,400		1,655,080
Schlumberger Ltd.		234,898		8,475,120
TechnipFMC PLC (United Kingdom)		74,200		1,452,836
				18,159,414
Entertainment — 2.0%
Activision Blizzard, Inc.		129,200		6,016,844
Electronic Arts, Inc.*		52,200		4,119,102
Netflix, Inc.*		73,690		19,723,865
Take-Two Interactive Software, Inc.*		18,300		1,883,802
Twenty-First Century Fox, Inc. (Class A Stock)		178,700		8,599,044
Twenty-First Century Fox, Inc. (Class B Stock)		80,800		3,860,624
Viacom, Inc. (Class B Stock)		58,743		1,509,695
Walt Disney Co. (The)		251,876		27,618,204
				73,331,180
Equity Real Estate Investment Trusts (REITs) — 2.8%
Alexandria Real Estate Equities, Inc.		17,400		2,005,176
American Tower Corp.(a)		74,000		11,706,060
Apartment Investment & Management Co. (Class A Stock)		27,374		1,201,171
AvalonBay Communities, Inc.		23,418		4,075,903
Boston Properties, Inc.		26,500		2,982,575
Crown Castle International Corp.		69,300		7,528,059
Digital Realty Trust, Inc.(a)		34,900		3,718,595
Duke Realty Corp.		60,500		1,566,950
Equinix, Inc.(a)		13,355		4,708,439
Equity Residential		62,500		4,125,625
Essex Property Trust, Inc.		11,370		2,788,038
Extra Space Storage, Inc.(a)		21,400		1,936,272
Federal Realty Investment Trust(a)		12,400		1,463,696
HCP, Inc.		79,600		2,223,228
Host Hotels & Resorts, Inc.		124,626		2,077,515
Iron Mountain, Inc.(a)		47,830		1,550,170
Kimco Realty Corp.(a)		71,800		1,051,870
Macerich Co. (The)		18,400		796,352
Mid-America Apartment Communities, Inc.		19,500		1,866,150
Prologis, Inc.		105,128		6,173,116
Public Storage		25,650		5,191,817
Realty Income Corp.		47,900		3,019,616
Regency Centers Corp.		27,000		1,584,360
SBA Communications Corp.*		19,830		3,210,279
Simon Property Group, Inc.		52,461		8,812,923
SL Green Realty Corp.		15,400		1,217,832
UDR, Inc.		45,600		1,806,672
Ventas, Inc.		60,704		3,556,647
Vornado Realty Trust		29,457		1,827,218

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Welltower, Inc.		63,000	$	4,372,830
Weyerhaeuser Co.		128,930		2,818,410
				102,963,564
Food & Staples Retailing — 1.5%
Costco Wholesale Corp.		74,522		15,180,877
Kroger Co. (The)		137,400		3,778,500
Sysco Corp.		81,700		5,119,322
Walgreens Boots Alliance, Inc.		142,800		9,757,524
Walmart, Inc.		243,000		22,635,450
				56,471,673
Food Products — 1.1%
Archer-Daniels-Midland Co.		95,638		3,918,289
Campbell Soup Co.(a)		33,200		1,095,268
Conagra Brands, Inc.		78,400		1,674,624
General Mills, Inc.		100,000		3,894,000
Hershey Co. (The)		23,900		2,561,602
Hormel Foods Corp.(a)		46,300		1,976,084
J.M. Smucker Co. (The)(a)		19,600		1,832,404
Kellogg Co.(a)		42,800		2,440,028
Kraft Heinz Co. (The)		102,537		4,413,193
Lamb Weston Holdings, Inc.		23,800		1,750,728
McCormick & Co., Inc.(a)		20,400		2,840,496
Mondelez International, Inc. (Class A Stock)		249,411		9,983,922
Tyson Foods, Inc. (Class A Stock)		50,500		2,696,700
				41,077,338
Health Care Equipment & Supplies — 3.3%
Abbott Laboratories		297,425		21,512,750
ABIOMED, Inc.*		7,300		2,372,792
Align Technology, Inc.*		12,300		2,575,989
Baxter International, Inc.		84,600		5,568,372
Becton, Dickinson & Co.		45,349		10,218,037
Boston Scientific Corp.*		233,899		8,265,991
Cooper Cos., Inc. (The)		8,430		2,145,435
Danaher Corp.		104,100		10,734,792
DENTSPLY SIRONA, Inc.		39,300		1,462,353
Edwards Lifesciences Corp.*		35,750		5,475,827
Hologic, Inc.*		47,400		1,948,140
IDEXX Laboratories, Inc.*		15,000		2,790,300
Intuitive Surgical, Inc.*		19,150		9,171,318
Medtronic PLC		229,528		20,877,867
ResMed, Inc.		24,200		2,755,654
Stryker Corp.		52,600		8,245,050
Varian Medical Systems, Inc.*		15,800		1,790,298
Zimmer Biomet Holdings, Inc.		34,786		3,608,004
				121,518,969
Health Care Providers & Services — 3.1%
AmerisourceBergen Corp.		27,800		2,068,320
Anthem, Inc.		43,700		11,476,931
Cardinal Health, Inc.		53,075		2,367,145
Centene Corp.*		34,200		3,943,260
Cigna Corp.(a)		64,552		12,259,716
CVS Health Corp.		218,499		14,316,054
DaVita, Inc.*		22,500		1,157,850

SEE NOTES TO FINANCIAL STATEMENTS.

A129

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
HCA Healthcare, Inc.		46,400	$	5,774,480
Henry Schein, Inc.*(a)		26,500		2,080,780
Humana, Inc.		23,470		6,723,686
Laboratory Corp. of America Holdings*		17,400		2,198,664
McKesson Corp.		34,607		3,823,035
Quest Diagnostics, Inc.		23,300		1,940,191
UnitedHealth Group, Inc.		162,900		40,581,648
Universal Health Services, Inc. (Class B Stock)		15,100		1,760,056
WellCare Health Plans, Inc.*		8,000		1,888,720
				114,360,536
Health Care Technology — 0.1%
Cerner Corp.*		53,700		2,816,028
Hotels, Restaurants & Leisure — 1.8%
Carnival Corp.		68,900		3,396,770
Chipotle Mexican Grill, Inc.*		4,320		1,865,333
Darden Restaurants, Inc.		21,050		2,102,053
Hilton Worldwide Holdings, Inc.		48,700		3,496,660
Marriott International, Inc. (Class A Stock)		49,323		5,354,505
McDonald’s Corp.		131,410		23,334,473
MGM Resorts International		86,500		2,098,490
Norwegian Cruise Line Holdings Ltd.*		34,800		1,475,172
Royal Caribbean Cruises Ltd.		28,700		2,806,573
Starbucks Corp.		212,000		13,652,800
Wynn Resorts Ltd.		15,300		1,513,323
Yum! Brands, Inc.		54,300		4,991,256
				66,087,408
Household Durables — 0.3%
D.R. Horton, Inc.		58,300		2,020,678
Garmin Ltd.		18,800		1,190,416
Leggett & Platt, Inc.(a)		22,700		813,568
Lennar Corp. (Class A Stock)		46,400		1,816,560
Mohawk Industries, Inc.*		10,900		1,274,864
Newell Brands, Inc.(a)		76,949		1,430,482
PulteGroup, Inc.(a)		45,185		1,174,358
Whirlpool Corp.		10,967		1,172,043
.				10,892,969
Household Products — 1.6%
Church & Dwight Co., Inc.		41,500		2,729,040
Clorox Co. (The)		21,900		3,375,666
Colgate-Palmolive Co.		148,100		8,814,912
Kimberly-Clark Corp.		59,088		6,732,487
Procter & Gamble Co. (The)		421,176		38,714,498
				60,366,603
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		110,400		1,596,384
NRG Energy, Inc.		50,700		2,007,720
				3,604,104
Industrial Conglomerates — 1.4%
3M Co.		99,470		18,953,014
General Electric Co.		1,473,347		11,153,237

COMMON STOCKS (continued)	Shares		Value
Industrial Conglomerates (continued)
Honeywell International, Inc.		126,300	$	16,686,756
Roper Technologies, Inc.		17,500		4,664,100
				51,457,107
Insurance — 2.2%
Aflac, Inc.		131,900		6,009,364
Allstate Corp. (The)(a)		58,588		4,841,126
American International Group, Inc.		151,529		5,971,758
Aon PLC		41,525		6,036,074
Arthur J. Gallagher & Co.		30,700		2,262,590
Assurant, Inc		9,100		813,904
Brighthouse Financial, Inc.*		16,772		511,211
Chubb Ltd.		78,830		10,183,259
Cincinnati Financial Corp.		25,528		1,976,378
Everest Re Group Ltd.		7,000		1,524,320
Hartford Financial Services Group, Inc. (The)		61,200		2,720,340
Lincoln National Corp.		36,863		1,891,441
Loews Corp.		44,426		2,022,272
Marsh & McLennan Cos., Inc.		86,300		6,882,425
MetLife, Inc.		171,100		7,025,366
Principal Financial Group, Inc.		45,700		2,018,569
Progressive Corp. (The)		98,700		5,954,571
Torchmark Corp.		18,375		1,369,489
Travelers Cos., Inc. (The)		45,898		5,496,285
Unum Group		37,456		1,100,457
Willis Towers Watson PLC		22,500		3,416,850
				80,028,049
Interactive Media & Services — 4.5%
Alphabet, Inc. (Class A Stock)*		50,719		52,999,326
Alphabet, Inc. (Class C Stock)*		52,180		54,038,130
Facebook, Inc. (Class A Stock)*		407,720		53,448,015
TripAdvisor, Inc.*(a)		18,200		981,708
Twitter, Inc.*		117,900		3,388,446
				164,855,625
Internet & Direct Marketing Retail — 3.4%
Amazon.com, Inc.*		69,580		104,507,073
Booking Holdings, Inc.*		8,110		13,968,826
eBay, Inc.*		158,200		4,440,674
Expedia Group, Inc.(a)		20,800		2,343,120
				125,259,693
IT Services — 4.7%
Accenture PLC (Class A Stock)		108,200		15,257,282
Akamai Technologies, Inc.*		29,400		1,795,752
Alliance Data Systems Corp.		8,310		1,247,165
Automatic Data Processing, Inc.		74,660		9,789,419
Broadridge Financial Solutions, Inc.		18,700		1,799,875
Cognizant Technology Solutions Corp. (Class A Stock)		99,800		6,335,304
DXC Technology Co.		48,350		2,570,770
Fidelity National Information Services, Inc.		56,500		5,794,075
Fiserv, Inc.*		69,600		5,114,904
FleetCor Technologies, Inc.*		14,700		2,730,084
Gartner, Inc.*		15,300		1,955,952

SEE NOTES TO FINANCIAL STATEMENTS.

A130

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Global Payments, Inc.		27,100	$	2,794,823
International Business Machines Corp.		153,725		17,473,921
Jack Henry & Associates, Inc.		12,000		1,518,240
Mastercard, Inc. (Class A Stock)		154,500		29,146,425
Paychex, Inc.		53,950		3,514,842
PayPal Holdings, Inc.*		199,400		16,767,546
Total System Services, Inc.		27,993		2,275,551
VeriSign, Inc.*		17,800		2,639,562
Visa, Inc. (Class A Stock)		301,100		39,727,134
Western Union Co. (The)		77,404		1,320,512
				171,569,138
Leisure Products — 0.1%
Hasbro, Inc.(a)		19,450		1,580,313
Mattel, Inc.*(a)		57,281		572,237
				2,152,550
Life Sciences Tools & Services — 1.0%
Agilent Technologies, Inc.		54,782		3,695,594
Illumina, Inc.*		25,000		7,498,250
IQVIA Holdings, Inc.*		26,700		3,101,739
Mettler-Toledo International, Inc.*		4,320		2,443,305
PerkinElmer, Inc.		18,600		1,461,030
Thermo Fisher Scientific, Inc.		68,400		15,307,236
Waters Corp.*		13,400		2,527,910
				36,035,064
Machinery — 1.5%
Caterpillar, Inc.		101,100		12,846,777
Cummins, Inc.		25,500		3,407,820
Deere & Co.		54,750		8,167,058
Dover Corp.		25,600		1,816,320
Flowserve Corp.		22,500		855,450
Fortive Corp.		52,100		3,525,086
Illinois Tool Works, Inc.		51,675		6,546,706
Ingersoll-Rand PLC		42,200		3,849,906
PACCAR, Inc.		60,128		3,435,714
Parker-Hannifin Corp.		22,787		3,398,453
Pentair PLC (United Kingdom)		28,707		1,084,550
Snap-on, Inc.(a)		9,900		1,438,371
Stanley Black & Decker, Inc.		25,935		3,105,457
Xylem, Inc.		30,400		2,028,288
				55,505,956
Media — 1.2%
CBS Corp. (Class B Stock)		58,968		2,578,081
Charter Communications, Inc. (Class A Stock)*(a)		30,280		8,628,892
Comcast Corp. (Class A Stock)		776,092		26,425,932
Discovery, Inc. (Class A Stock)*(a)		26,300		650,662
Discovery, Inc. (Class C Stock)*		56,500		1,304,020
DISH Network Corp. (Class A Stock)*		38,600		963,842
Interpublic Group of Cos., Inc. (The)		64,462		1,329,851
News Corp. (Class A Stock)		63,625		722,144
News Corp. (Class B Stock)		19,300		222,915
Omnicom Group, Inc.(a)		38,800		2,841,712
				45,668,051

COMMON STOCKS (continued)	Shares		Value
Metals & Mining — 0.2%
Freeport-McMoRan, Inc.		233,212	$	2,404,416
Newmont Mining Corp.(a)		90,803		3,146,324
Nucor Corp.		54,400		2,818,464
				8,369,204
Multiline Retail — 0.5%
Dollar General Corp.		44,100		4,766,328
Dollar Tree, Inc.*		40,647		3,671,237
Kohl’s Corp.		28,500		1,890,690
Macy’s, Inc.		51,620		1,537,244
Nordstrom, Inc.(a)		20,000		932,200
Target Corp.		90,068		5,952,594
				18,750,293
Multi-Utilities — 1.0%
Ameren Corp.		41,500		2,707,045
CenterPoint Energy, Inc.		81,510		2,301,027
CMS Energy Corp.		47,800		2,373,270
Consolidated Edison, Inc.		52,900		4,044,734
Dominion Energy, Inc.		109,884		7,852,311
DTE Energy Co.		30,600		3,375,180
NiSource, Inc.		57,700		1,462,695
Public Service Enterprise Group, Inc.		85,900		4,471,095
SCANA Corp.		24,300		1,161,054
Sempra Energy(a)		45,454		4,917,668
WEC Energy Group, Inc.		53,876		3,731,452
				38,397,531
Oil, Gas & Consumable Fuels — 4.7%
Anadarko Petroleum Corp.		87,426		3,832,756
Apache Corp.(a)		64,550		1,694,437
Cabot Oil & Gas Corp.		78,000		1,743,300
Chevron Corp.		323,962		35,243,826
Cimarex Energy Co.		16,600		1,023,390
Concho Resources, Inc.*		32,800		3,371,512
ConocoPhillips		197,429		12,309,698
Devon Energy Corp.		84,600		1,906,884
Diamondback Energy, Inc.		23,300		2,159,910
EOG Resources, Inc.		98,200		8,564,022
Exxon Mobil Corp.		717,204		48,906,141
Hess Corp.		44,075		1,785,037
HollyFrontier Corp.		28,300		1,446,696
Kinder Morgan, Inc.		320,643		4,931,489
Marathon Oil Corp.		142,994		2,050,534
Marathon Petroleum Corp.(a)		114,487		6,755,878
Newfield Exploration Co.*		34,400		504,304
Noble Energy, Inc.		82,700		1,551,452
Occidental Petroleum Corp.		130,200		7,991,676
ONEOK, Inc.		69,940		3,773,263
Phillips 66		71,464		6,156,624
Pioneer Natural Resources Co.		29,000		3,814,080
Valero Energy Corp.		73,300		5,495,301
Williams Cos., Inc. (The)		199,200		4,392,360
				171,404,570

SEE NOTES TO FINANCIAL STATEMENTS.

A131

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Personal Products — 0.1%
Coty, Inc. (Class A Stock)		77,800	$	510,368
Estee Lauder Cos., Inc. (The) (Class A Stock)		38,100		4,956,810
				5,467,178
Pharmaceuticals — 5.1%
Allergan PLC		54,756		7,318,687
Bristol-Myers Squibb Co.		276,840		14,390,143
Eli Lilly & Co.		162,600		18,816,072
Johnson & Johnson		454,496		58,652,709
Merck & Co., Inc.		450,303		34,407,652
Mylan NV*		87,600		2,400,240
Nektar Therapeutics*		25,700		844,759
Perrigo Co. PLC		21,800		844,750
Pfizer, Inc.		993,723		43,376,009
Zoetis, Inc.		82,400		7,048,496
				188,099,517
Professional Services — 0.3%
Equifax, Inc.		20,500		1,909,165
IHS Markit Ltd.*		60,500		2,902,185
Nielsen Holdings PLC		57,100		1,332,143
Robert Half International, Inc.		21,600		1,235,520
Verisk Analytics, Inc.*		26,900		2,933,176
				10,312,189
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		51,100		2,046,044
Road & Rail — 1.0%
CSX Corp.		138,072		8,578,413
J.B. Hunt Transport Services, Inc.		14,600		1,358,384
Kansas City Southern		17,500		1,670,375
Norfolk Southern Corp.		47,700		7,133,058
Union Pacific Corp.		125,500		17,347,865
				36,088,095
Semiconductors & Semiconductor Equipment — 3.7%
Advanced Micro Devices, Inc.*(a)		139,200		2,569,632
Analog Devices, Inc.		62,823		5,392,098
Applied Materials, Inc.		167,700		5,490,498
Broadcom, Inc.		72,360		18,399,701
Intel Corp.		782,200		36,708,646
KLA-Tencor Corp.		26,900		2,407,281
Lam Research Corp.		27,100		3,690,207
Maxim Integrated Products, Inc.		44,100		2,242,485
Microchip Technology, Inc.(a)		40,000		2,876,800
Micron Technology, Inc.*		196,000		6,219,080
NVIDIA Corp.		103,050		13,757,175
Qorvo, Inc.*		21,886		1,329,137
QUALCOMM, Inc.		207,850		11,828,743
Skyworks Solutions, Inc.		31,000		2,077,620
Texas Instruments, Inc.		164,600		15,554,700
Xilinx, Inc.		43,100		3,670,827
				134,214,630
Software — 6.0%
Adobe, Inc.*		82,875		18,749,640
ANSYS, Inc.*		14,500		2,072,630

COMMON STOCKS (continued)	Shares		Value
Software (continued)
Autodesk, Inc.*		37,370	$	4,806,156
Cadence Design Systems, Inc.*		48,000		2,087,040
Citrix Systems, Inc.		22,100		2,264,366
Fortinet, Inc.*(a)		22,900		1,612,847
Intuit, Inc.		43,600		8,582,660
Microsoft Corp.		1,308,700		132,924,659
Oracle Corp.		473,395		21,373,784
Red Hat, Inc.*		30,300		5,321,892
salesforce.com, Inc.*		128,100		17,545,857
Symantec Corp.		105,211		1,987,962
Synopsys, Inc.*		25,600		2,156,544
				221,486,037
Specialty Retail — 2.3%
Advance Auto Parts, Inc.		12,560		1,977,698
AutoZone, Inc.*		4,610		3,864,747
Best Buy Co., Inc.		42,425		2,246,828
CarMax, Inc.*(a)		30,800		1,932,084
Foot Locker, Inc.		20,900		1,111,880
Gap, Inc. (The)(a)		37,187		957,937
Home Depot, Inc. (The)		193,269		33,207,480
L Brands, Inc.		39,696		1,018,996
Lowe’s Cos., Inc.		138,075		12,752,607
O’Reilly Automotive, Inc.*		13,660		4,703,548
Ross Stores, Inc.		64,600		5,374,720
Tiffany & Co.(a)		17,300		1,392,823
TJX Cos., Inc. (The)		213,800		9,565,412
Tractor Supply Co.		21,200		1,768,928
Ulta Beauty, Inc.*		10,000		2,448,400
				84,324,088
Technology Hardware, Storage & Peripherals — 3.7%
Apple, Inc.		769,715		121,414,844
Hewlett Packard Enterprise Co.		254,966		3,368,101
HP, Inc.		271,166		5,548,056
NetApp, Inc.		45,200		2,697,084
Seagate Technology PLC		45,600		1,759,704
Western Digital Corp.		50,868		1,880,590
Xerox Corp.		36,002		711,400
				137,379,779
Textiles, Apparel & Luxury Goods — 0.7%
Hanesbrands, Inc.(a)		59,300		743,029
Michael Kors Holdings Ltd.*		25,400		963,168
NIKE, Inc. (Class B Stock)		217,700		16,140,278
PVH Corp.		13,300		1,236,235
Ralph Lauren Corp.		9,500		982,870
Tapestry, Inc.		48,800		1,647,000
Under Armour, Inc. (Class A Stock)*(a)		31,200		551,304
Under Armour, Inc. (Class C Stock)*(a)		30,603		494,850
VF Corp.(a)		55,744		3,976,777
				26,735,511
Tobacco — 0.9%
Altria Group, Inc.		319,900		15,799,861
Philip Morris International, Inc.		263,600		17,597,936
				33,397,797

SEE NOTES TO FINANCIAL STATEMENTS.

A132

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

COMMON STOCKS (continued)	Shares		Value
Trading Companies & Distributors — 0.2%
Fastenal Co.		48,750	$	2,549,138
United Rentals, Inc.*		14,500		1,486,685
W.W. Grainger, Inc.		7,820		2,208,055
				6,243,878
Water Utilities — 0.1%
American Water Works Co., Inc.(a)		30,800		2,795,716
TOTAL COMMON STOCKS (cost $1,227,721,005)				3,578,580,909
EXCHANGE TRADED FUND — 0.2%
iShares Core S&P 500 ETF (cost $6,789,709)		27,000		6,793,470
TOTAL LONG-TERM INVESTMENTS (cost $1,234,510,714)				3,585,374,379
SHORT-TERM INVESTMENTS — 4.9%
AFFILIATED MUTUAL FUNDS — 4.8%
PGIM Core Ultra Short Bond Fund(w)		78,324,947		78,324,947
PGIM Institutional Money Market Fund (cost $95,422,229; includes $95,191,028 of cash collateral for securities on loan)(b)(w)		95,430,315		95,420,772
TOTAL AFFILIATED MUTUAL FUNDS (cost $173,747,176)				173,745,719

Interest Rate	Maturity Date			Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills
2.365%(n)		03/21/19	(k)		4,400		4,377,680
(cost $4,377,589)
TOTAL SHORT-TERM INVESTMENTS (cost $178,124,765)							178,123,399
TOTAL INVESTMENTS — 102.5% (cost $1,412,635,479)							3,763,497,778
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (2.5)%							(91,175,612	)
NET ASSETS — 100.0%						$	3,672,322,166

See the Glossary for abbreviations used in the annual report.

* Non-income producing security.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $92,275,392; cash collateral of $95,191,028 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. (k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchased date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Futures contracts outstanding at December 31, 2018:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
164		S&P 500 E-Mini Index		Mar. 2019	$	20,542,640	$	(541,921	)
102		S&P 500 Index		Mar. 2019		63,882,600		(2,332,858	)
							$	(2,874,779	)

SEE NOTES TO FINANCIAL STATEMENTS.

A133

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
UBS Securities LLC	$	—	$	4,377,680

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	89,493,849	$	—	$	—
Air Freight & Logistics		22,127,211		—		—
Airlines		16,416,996		—		—
Auto Components		4,769,953		—		—
Automobiles		13,336,164		—		—
Banks		202,717,673		—		—
Beverages		68,285,566		—		—
Biotechnology		94,451,433		—		—
Building Products		9,533,686		—		—
Capital Markets		99,290,664		—		—
Chemicals		74,456,905		—		—
Commercial Services & Supplies		13,590,666		—		—
Communications Equipment		41,859,392		—		—
Construction & Engineering		2,773,574		—		—
Construction Materials		4,098,956		—		—
Consumer Finance		23,966,676		—		—
Containers & Packaging		10,873,515		—		—
Distributors		3,694,143		—		—
Diversified Consumer Services		910,783		—		—
Diversified Financial Services		68,248,327		—		—
Diversified Telecommunication Services		76,978,402		—		—
Electric Utilities		73,110,781		—		—
Electrical Equipment		17,389,442		—		—
Electronic Equipment, Instruments & Components		16,513,076		—		—
Energy Equipment & Services		18,159,414		—		—
Entertainment		73,331,180		—		—
Equity Real Estate Investment Trusts (REITs)		102,963,564		—		—
Food & Staples Retailing		56,471,673		—		—
Food Products		41,077,338		—		—
Health Care Equipment & Supplies		121,518,969		—		—
Health Care Providers & Services		114,360,536		—		—
Health Care Technology		2,816,028		—		—
Hotels, Restaurants & Leisure		66,087,408		—		—
Household Durables		10,892,969		—		—
Household Products		60,366,603		—		—
Independent Power & Renewable Electricity Producers		3,604,104		—		—
Industrial Conglomerates		51,457,107		—		—
Insurance		80,028,049		—		—
Interactive Media & Services		164,855,625		—		—
Internet & Direct Marketing Retail		125,259,693		—		—
IT Services		171,569,138		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A134

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Leisure Products	$	2,152,550		$	—	$	—
Life Sciences Tools & Services		36,035,064			—		—
Machinery		55,505,956			—		—
Media		45,668,051			—		—
Metals & Mining		8,369,204			—		—
Multiline Retail		18,750,293			—		—
Multi-Utilities		38,397,531			—		—
Oil, Gas & Consumable Fuels		171,404,570			—		—
Personal Products		5,467,178			—		—
Pharmaceuticals		188,099,517			—		—
Professional Services		10,312,189			—		—
Real Estate Management & Development		2,046,044			—		—
Road & Rail		36,088,095			—		—
Semiconductors & Semiconductor Equipment		134,214,630			—		—
Software		221,486,037			—		—
Specialty Retail		84,324,088			—		—
Technology Hardware, Storage & Peripherals		137,379,779			—		—
Textiles, Apparel & Luxury Goods		26,735,511			—		—
Tobacco		33,397,797			—		—
Trading Companies & Distributors		6,243,878			—		—
Water Utilities		2,795,716			—		—
Exchange Traded Fund		6,793,470			—		—
Affiliated Mutual Funds		173,745,719			—		—
U.S. Treasury Obligation		—			4,377,680		—
Other Financial Instruments*
Futures Contracts		(2,874,779	)		—		—
Total	$	3,756,245,319		$	4,377,680	$	—

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):

Software	6.0	%
Banks	5.5
Pharmaceuticals	5.1
Affiliated Mutual Funds (2.6% represents investments purchased with collateral from securities on loan)	4.8
IT Services	4.7
Oil, Gas & Consumable Fuels	4.7
Interactive Media & Services	4.5
Technology Hardware, Storage & Peripherals	3.7
Semiconductors & Semiconductor Equipment	3.7
Internet & Direct Marketing Retail	3.4
Health Care Equipment & Supplies	3.3
Health Care Providers & Services	3.1
Equity Real Estate Investment Trusts (REITs)	2.8
Capital Markets	2.7
Biotechnology	2.6
Aerospace & Defense	2.4
Specialty Retail	2.3
Insurance	2.2
Diversified Telecommunication Services	2.1
Chemicals	2.0
Entertainment	2.0
Electric Utilities	2.0

Beverages	1.9	%
Diversified Financial Services	1.9
Hotels, Restaurants & Leisure	1.8
Household Products	1.6
Food & Staples Retailing	1.5
Machinery	1.5
Industrial Conglomerates	1.4
Media	1.2
Communications Equipment	1.1
Food Products	1.1
Multi-Utilities	1.0
Road & Rail	1.0
Life Sciences Tools & Services	1.0
Tobacco	0.9
Textiles, Apparel & Luxury Goods	0.7
Consumer Finance	0.7
Air Freight & Logistics	0.6
Multiline Retail	0.5
Energy Equipment & Services	0.5
Electrical Equipment	0.5
Electronic Equipment, Instruments & Components	0.4
Airlines	0.4
Commercial Services & Supplies	0.4

SEE NOTES TO FINANCIAL STATEMENTS.

A135

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Industry Classification (continued):

Automobiles	0.4	%
Household Durables	0.3
Containers & Packaging	0.3
Professional Services	0.3
Building Products	0.3
Metals & Mining	0.2
Exchange Traded Fund	0.2
Trading Companies & Distributors	0.2
Personal Products	0.1
Auto Components	0.1
U.S. Treasury Obligation	0.1
Construction Materials	0.1
Distributors	0.1

Independent Power & Renewable Electricity Producers	0.1	%
Health Care Technology	0.1
Water Utilities	0.1
Construction & Engineering	0.1
Leisure Products	0.1
Real Estate Management & Development	0.1
Diversified Consumer Services	0.0	*
	102.5
Liabilities in excess of other assets	(2.5	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Equity contracts	—	$	—	Due from/to broker — variation margin futures	$	2,874,779	*

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(2,902,918	)
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(3,289,607	)

For the year ended December 31, 2018, the Portfolio���s average volume of derivative activities is as follows:

Futures
Contracts —
Long
Positions(1)

$85,521,178

(1) Notional Amount in USD.

SEE NOTES TO FINANCIAL STATEMENTS.

A136

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	92,275,392	$	(92,275,392	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A137

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018

ASSETS
Investments at value, including securities on loan of $92,275,392:
Unaffiliated investments (cost $1,238,888,303)	$	3,589,752,059
Affiliated investments (cost $173,747,176)		173,745,719
Cash		22,366
Dividends receivable		4,187,307
Receivable for Portfolio shares sold		763,936
Due from broker-variation margin futures		647,040
Prepaid expenses		30,261
Total Assets		3,769,148,688
LIABILITIES
Payable to broker for collateral for securities on loan		95,191,028
Management fee payable		972,386
Accrued expenses and other liabilities		393,537
Payable for Portfolio shares repurchased		268,591
Affiliated transfer agent fee payable		980
Total Liabilities		96,826,522
NET ASSETS	$	3,672,322,166
Net assets were comprised of:
Partners Equity	$	3,672,322,166
Net asset value and redemption price per share $3,672,322,166 / 64,840,775 outstanding shares of beneficial interest	$	56.64

STATEMENT OF OPERATIONS

Year Ended December 31, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $31 foreign withholding tax)	$	76,677,918
Affiliated dividend income		1,700,280
Income from securities lending, net (including affiliated income of $306,224)		308,880
Interest income		77,253
Total income		78,764,331
EXPENSES
Management fee		12,128,447
Custodian and accounting fees		245,201
Shareholders’ reports		148,081
Trustees’ fees		52,388
Audit fee		25,100
Legal fees and expenses		22,841
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		70,380
Total expenses		12,703,121
NET INVESTMENT INCOME (LOSS)		66,061,210
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(20,810))		103,223,108
Futures transactions		(2,902,918	)
		100,320,190
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(1,457))		(336,184,102	)
Futures		(3,289,607	)
		(339,473,709	)
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(239,153,519	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(173,092,309	)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	66,061,210		$	61,230,148
Net realized gain (loss) on investment transactions		100,320,190			53,386,531
Net change in unrealized appreciation (depreciation) on investments		(339,473,709	)		589,671,144
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(173,092,309	)		704,287,823
DISTRIBUTIONS		—			(129,595,196	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [3,148,487 and 2,742,922 shares, respectively]		190,000,727			149,785,094
Portfolio shares issued in reinvestment of distributions [0 and 2,421,435 shares, respectively]		—			129,595,196
Portfolio shares repurchased [4,457,788 and 4,202,101 shares, respectively]		(272,872,840	)		(230,911,603	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(82,872,113	)		48,468,687
TOTAL INCREASE (DECREASE)		(255,964,422	)		623,161,314
NET ASSETS:
Beginning of year		3,928,286,588			3,305,125,274
End of year	$	3,672,322,166		$	3,928,286,588

SEE NOTES TO FINANCIAL STATEMENTS.

A138

GLOSSARY

SCHEDULE OF INVESTMENTS as of December 31, 2018

The following abbreviations are used in the preceding Portfolios’ descriptions:

AUD	Australian Dollar
BRL	Brazilian Real
EUR	Euro
GBP	British Pound
JPY	Japanese Yen
USD	US Dollar
ZAR	South African Rand
144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
A	Annual payment frequency for swaps
ABS	Asset-Backed Security
Aces	Alternative Credit Enhancements Securities
ADR	American Depositary Receipt
BABs	Build America Bonds
BROIS	Brazil Overnight Index Swap
CDS	Credit Default Swap
CDX	Credit Derivative Index
CLO	Collateralized Loan Obligation
CMBX	Commercial Mortgage-Backed Index
CMS	Constant Maturity Swap
CPI	Consumer Price Index
CVA	Certificate Van Aandelen (Bearer)
CVT	Convertible Security
EAFE	Europe, Australasia, Far East
EMTN	Euro Medium Term Note
ETF	Exchange Traded Fund
EURIBOR	Euro Interbank Offered Rate
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
GMAC	General Motors Acceptance Corporation
GMTN	Global Medium Term Note
GNMA	Government National Mortgage Association
GO	General Obligation
IO	Interest Only (Principal amount represents notional)
iTraxx	International Credit Derivative Index
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
M	Monthly payment frequency for swaps
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
NSA	Non-Seasonally Adjusted
OTC	Over-the-counter
PIK	Payment-in-Kind
PO	Principal Only

SEE NOTES TO FINANCIAL STATEMENTS.

A139

GLOSSARY (continued)

SCHEDULE OF INVESTMENTS as of December 31, 2018

PRFC	Preference Shares
Q	Quarterly payment frequency for swaps
REIT	Real Estate Investment Trust
REITs	Real Estate Investment Trusts
RSP	Savings Shares
S	Semiannual payment frequency for swaps
S&P	Standard & Poor
SLM	Student Loan Mortgage
STACR	Structured Agency Credit Risk
Strips	Separate Trading of Registered Interest and Principal of Securities
T	Swap payment upon termination
TBA	To Be Announced
TIPS	Treasury Inflation-Protected Securities
USAID	United States Agency for International Development
USOIS	United States Overnight Index Swap
UTS	Unit Trust Security

SEE NOTES TO FINANCIAL STATEMENTS.

A140

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 8 Portfolios listed below together with their investment objectives. Each Portfolio below is a diversified portfolio. For purposes of the 1940 Act anon-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio. Investing in anon-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of anon-diversified portfolio.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

1. Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services —Investment Companies.The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

Securities Valuation:    Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

For the fiscal reportingyear-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how each Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the

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NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments inopen-end,non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of its net assets (the Government Money Market Portfolio may invest up to 5%) in illiquid securities, including those which are restricted as to disposition under federal securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be deemed liquid by the Portfolios’ Subadviser under the guidelines adopted by the Board. However, the liquidity of a Portfolios’ investments in Rule 144A securities could be impaired if trading does not develop or declines.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

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Forward and Cross Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

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Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in value of equities, prevailing interest rates or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Bank Loans:    Certain Portfolios invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral ismarked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.

Forward Rate Agreements:    Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements:    Certain Portfolios entered into credit default, interest rate, total return and other types of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty(“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. A Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.

Inflation Swaps:    Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

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Credit Default Swaps (“CDS”):    CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency Swaps:    Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.

Total Return Swaps:    In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a Subadviser may have negotiated and entered into on behalf of a Portfolio. For multi-sleeve Portfolios, different Subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right toset-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right toset-off the amount owed with the amount owed by

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the other party, the reporting party intends toset-off and the right ofset-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold orre-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of December 31, 2018, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, forward rate agreements, written options, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Rights:    Certain Portfolios hold rights acquired either through a direct purchase or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such rights are held as long positions by the Portfolios until exercised, sold or expired. Rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind:    Certain fixed income Portfolios invest in the open market or receive pursuant to debt restructuring, securities thatpay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions:    Certain Portfolios purchase or sell securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery

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transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending:    Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.

The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Mortgage Dollar Rolls:    Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs):    Certain Portfolios invest in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on theex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential as referenced in Note 3. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

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Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on theex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

2. Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the Subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the Subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee		Effective Management Fee, Net of Waiver, if Applicable
Conservative Balanced Portfolio		0.55%		0.55%
Diversified Bond Portfolio		0.40		0.40
Equity Portfolio		0.45		0.45
Flexible Managed Portfolio		0.60		0.60
Global Portfolio		0.75		0.73	*
Government Income Portfolio		0.40		0.40
Government Money Market Portfolio		0.30		0.30
		0.30% up to $4 billion
Stock Index Portfolio		0.25% over $4 billion		0.30

* Effective December 1, 2018, the Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.032% of the average daily net assets of the Portfolio. Prior to December 1, 2018, the Manager had contractually agreed to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio.

At December 31, 2018, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:

Portfolio	Subadviser(s)
Conservative Balanced Portfolio	PFI, QMA
Diversified Bond Portfolio	PFI
Equity Portfolio	Jennison
Flexible Managed Portfolio	PFI, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
Government Money Market Portfolio	PFI
Stock Index Portfolio	QMA

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by

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PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2018, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Conservative Balanced Portfolio	$	7
Equity Portfolio		219,872
Flexible Managed Portfolio		6
Global Portfolio		31,368

PIMS, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

3. Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certainout-of-pocket expenses paid tonon-affiliates, where applicable.

The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (formerly known as Prudential Core Ultra Short Bond Fund) (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (formerly known as Prudential Institutional Money Market Fund) (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund (formerly known as Prudential Core Short-Term Bond Fund), pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2016.

The SEC Staff and other regulators continue to review the matter.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status,

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the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Portfolios’ independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Portfolios’ independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Portfolios’ independent trustees. The aggregate previously unreimbursed excess withholding tax and opportunity loss payments for each affected Portfolio are disclosed in the respective Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2018.

In addition to the above, Prudential committed to the Portfolios’ independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.

During the reporting period and in consultation with the Portfolios’ independent trustees, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax within approximately 30 days of the pay date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status. Working with its third-party consultant and a third-party consultant retained by the Portfolios’ independent trustees, Prudential has since developed a process to reimburse the affected Portfolios in a more timely manner. That process is currently being reviewed and tested by Prudential’s third-party consultant.

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.

The following amounts have been accrued or paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

	2018 Withholding Tax
Conservative Balanced Portfolio	$	21,531
Diversified Bond Portfolio		1,135
Equity Portfolio		30,662
Flexible Managed Portfolio		22,701
Global Portfolio		136,734

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The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

	2018 Payments
Conservative Balanced Portfolio	$	215,021
Equity Portfolio		542,976
Flexible Managed Portfolio		268,847
Global Portfolio		864,837

The following amounts have been paid in 2018 by Prudential for previously unreimbursed excess withholding taxes and for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

	Opportunity Loss		Unreimbursed Excess Withholding Taxes
Conservative Balanced Portfolio	$	55,261	$	—
Diversified Bond Portfolio		333,858		402,819
Equity Portfolio		2,149,284		1,355,875
Flexible Managed Portfolio		65,481		7,107
Global Portfolio		357,830		163,011
Government Income Portfolio		—		246

Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule17a-7 procedures. Rule17a-7 is an exemptive rule under the 1940 Act, that, subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the year ended December 31, 2018, no such transactions were entered into by the Portfolios.

4. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the year ended December 31, 2018, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	2,010,561,008	$	2,192,555,590
Diversified Bond Portfolio		378,375,221		346,864,790
Equity Portfolio		1,589,637,001		1,890,290,006
Flexible Managed Portfolio		5,094,319,447		5,296,111,446
Global Portfolio		313,182,698		350,104,269
Government Income Portfolio		530,010,024		543,035,973
Stock Index Portfolio		165,031,350		205,975,496

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A summary of the cost of purchases and proceeds from sales of shares of affiliated mutual funds for the year ended December 31, 2018, is presented as follows:

Conservative Balanced Portfolio

Value, Beginning of Year	Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
PGIM Core Short-Term Bond Fund*
$102,386,530	$	2,210,871	$	44,000,000	$	2,965,771		$	(3,464,941	)	$	60,098,231		6,525,324	$	2,042,068
PGIM Core Ultra Short Bond Fund*
255,703,495		591,359,702		526,034,218		—			—			321,028,979		321,028,979		5,638,077
PGIM Institutional Money Market Fund*
45,333,840		321,067,203		331,327,330		(1,027	)		(6,900	)		35,065,786		35,069,293		135,802	**
$403,423,865	$	914,637,776	$	901,361,548	$	2,964,744		$	(3,471,841	)	$	416,192,996			$	7,815,947

Diversified Bond Portfolio

Value, Beginning of Year	Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
PGIM Core Short-Term Bond Fund*
$54,598,691	$	1,160,875	$	19,300,000	$	907,543	$	(1,200,366	)	$	36,166,743		3,926,899	$	1,160,876
PGIM Core Ultra Short Bond Fund*
45,727,273		338,007,102		380,421,870		—		—			3,312,505		3,312,505		336,042
PGIM Institutional Money Market Fund*
11,557,301		113,846,229		120,106,362		409		(2,637	)		5,294,940		5,295,469		55,611	**
$111,883,265	$	453,014,206	$	519,828,232	$	907,952	$	(1,203,003	)	$	44,774,188			$	1,552,529

Equity Portfolio

Value, Beginning of Year	Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
PGIM Core Ultra Short Bond Fund*
$93,453,847	$	870,527,056	$	841,902,946	$	—	$	—		$	122,077,957		122,077,957	$	2,671,102
PGIM Institutional Money Market Fund*
281,455,354		1,987,913,324		2,035,395,608		1,779		(12,714	)		233,962,135		233,985,533		954,151	**
$374,909,201	$	2,858,440,380	$	2,877,298,554	$	1,779	$	(12,714	)	$	356,040,092			$	3,625,253

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Flexible Managed Portfolio

Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
	$133,262,040	$	2,873,540	$	58,500,000	$	3,965,036	$	(4,606,796	)	$	76,993,820		8,359,807	$	2,873,541
	PGIM Core Ultra Short Bond Fund*
	173,027,546		938,502,307		891,581,717		—		—			219,948,136		219,948,136		4,215,595
	PGIM Institutional Money Market Fund*
	78,205,811		590,951,072		626,206,994		3,486		(3,874	)		42,949,501		42,953,797		232,409	**
$	384,495,397	$	1,532,326,919	$	1,576,288,711	$	3,968,522	$	(4,610,670	)	$	339,891,457			$	7,321,545

Global Portfolio

Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$  22,911,237	$	241,579,737	$	235,401,821	$	—		$	—		$	29,089,153		29,089,153	$	615,259
	PGIM Institutional Money Market Fund*
	49,761,429		392,143,131		399,006,780		(943	)		(5,596	)		42,891,241		42,895,530		201,682	**
$	72,672,666	$	633,722,868	$	634,408,601	$	(943	)	$	(5,596	)	$	71,980,394			$	816,941

Government Income Portfolio    

Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
	$  26,643,269	$	686,343	$	4,500,000	$	83,454	$	(315,534	)	$	22,597,532		2,459,756	$	686,343
	PGIM Core Ultra Short Bond Fund*
	2,764,602		80,444,364		83,206,460		—		—			2,506		2,506		40,833
	PGIM Institutional Money Market Fund*
	958,151		21,612,210		22,570,571		—		210			—		—		3,351	**
$	30,366,022	$	102,742,917	$	110,277,031	$	83,454	$	(315,324	)	$	22,600,038			$	730,527

Stock Index Portfolio    

Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$  59,834,393	$	282,216,113	$	263,725,559	$	—		$	—		$	78,324,947		78,324,947	$	1,700,280
	PGIM Institutional Money Market Fund*
	119,913,547		628,431,624		652,902,132		(1,457	)		(20,810	)		95,420,772		95,430,315		306,224	**
$	179,747,940	$	910,647,737	$	916,627,691	$	(1,457	)	$	(20,810	)	$	173,745,719			$	2,006,504

* The Fund did not have any capital gain distributions during the reporting period.

** This amount is included in “Income from securities lending, net” on the Statement of Operations.

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5. Tax Information

All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

6. Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. Prior to October 4, 2018, the Portfolios had another SCA that provided a commitment of $900 million and the Portfolios paid an annualized commitment fee of 0.15% of the unused portion of the SCA. The interest on borrowings under the SCAs is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.

Other affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.

The following Portfolios utilized the SCA during the year ended December 31, 2018. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Average Balance Outstanding		Weighted Average Interest Rates			Number of Days Outstanding		Maximum Balance Outstanding		Balance Outstanding at December 31, 2018
Conservative Balanced Portfolio	$	15,613,000		3.25	%		3	$	15,613,000	$	—
Diversified Bond Portfolio		2,294,000		3.70			3		2,294,000		—
Flexible Managed Portfolio		7,550,706		3.17			17		24,984,000		—
Government Income Portfolio		1,235,750		3.27			16		8,587,000		471,000

7. Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts ofnon-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts ofnon-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate

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accounts. As of December 31, 2018, the Equity Portfolio has Class II shares outstanding. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

As of December 31, 2018, all of Class I shares of record of each Portfolio were owned by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”) and Prudential Insurance Company of America (“PICA”) on behalf of owners of the variable insurance products issued by each of these entities; and by other Portfolios as part of their investments.

In addition, the following number of shareholders held the following percentage of outstanding shares of a Portfolio, each holding greater than 5% of outstanding shares, on behalf of multiple beneficial owners.

	Number of Shareholders		% of Outstanding Shares		% held by an Affiliate of Prudential
Conservative Balanced Portfolio		4		96		96
Diversified Bond Portfolio		5		94		94
Equity Portfolio		4		92		92
Flexible Managed Portfolio		4		97		97
Global Portfolio		3		90		90
Government Income Portfolio		4		96		96
Government Money Market Portfolio		3		86		86
Stock Index Portfolio		5		93		93

Transactions in shares of beneficial interest of the Equity Portfolio were as follows:

Equity Portfolio

Class I:	Shares			Amount
Year ended December 31, 2018:
Portfolio shares sold		288,901		$	15,724,745
Portfolio shares repurchased		(6,033,417	)		(328,510,611	)
Capital contributions		—			3,503,826
Net increase (decrease) in shares outstanding		(5,744,516	)	$	(309,282,040	)
Year ended December 31, 2017:
Portfolio shares sold		167,133		$	7,721,540
Portfolio shares repurchased		(5,811,087	)		(268,966,449	)
Net increase (decrease) in shares outstanding		(5,643,954	)	$	(261,244,909	)
Class II:
Year ended December 31, 2018:
Portfolio shares sold		9,548		$	526,666
Portfolio shares repurchased		(12,293	)		(673,039	)
Capital contributions		—			1,333
Net increase (decrease) in shares outstanding		(2,745	)	$	(145,040	)
Year ended December 31, 2017:
Portfolio shares sold		85		$	3,938
Portfolio shares repurchased		(8,919	)		(427,848	)
Net increase (decrease) in shares outstanding		(8,834	)	$	(423,910	)

8. Risks of Investing in the Portfolios

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:

B16

Bond Obligations Risk:    The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk:    Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the Subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.

Emerging Markets Risk:    The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.

Equity and Equity-Related Securities Risks:    The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolio invests could go down. The Portfolios’ holdings can vary significantly from broad market indexes and the performance of the Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

Foreign Securities Risk:    The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which each Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of each Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Geographic Concentration Risk:    The Portfolio’s performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Interest Rate Risk:    The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the Subadviser.

Liquidity Risk:    The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.

B17

Market and Credit Risk:    Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios has unsettled or open transactions defaults.

Risks of Investing in equity REITs:    Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also includeso-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which it invests, in addition to the expenses of the Portfolio.

Risks of Investing in Treasury Inflation Protected Securities (TIPS):    The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if a Portfolios purchases TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, it may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period a Portfolio holds TIPS, the Portfolios may earn less on the security than on a conventional bond.

U.S. Government and Agency Securities Risk:    U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.

9. Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolios’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

B18

Financial Highlights

	Conservative Balanced Portfolio
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	27.17		$	24.18		$	22.54		$	22.45		$	20.63
Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.45			0.42			0.39			0.36
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.20	)		2.54			1.20			(0.30	)		1.46
Total from investment operations		(0.67	)		2.99			1.62			0.09			1.82
Capital Contributions		—	(b)(c)		—			0.02	(d)		—			—
Net Asset Value, end of year	$	26.50		$	27.17		$	24.18		$	22.54		$	22.45
Total Return(e):		(2.47	)%(f)		12.37	%		7.28	%(g)		0.40	%		8.82	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	2,369.8		$	2,594.7		$	2,473.2		$	2,554.3		$	2,574.4
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.59	%		0.58	%		0.58	%		0.58	%		0.58	%
Expenses before waivers and/or expense reimbursement		0.59	%		0.58	%		0.58	%		0.58	%		0.58	%
Net investment income (loss)		1.94	%		1.75	%		1.79	%		1.70	%		1.66	%
Portfolio turnover rate(i)		101	%		136	%		185	%		208	%		134	%
	Diversified Bond Portfolio
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	13.14		$	12.28		$	11.64		$	11.66		$	11.01
Income (Loss) From Investment Operations:
Net investment income (loss)		0.45			0.42			0.43			0.41			0.43
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.48	)		0.44			0.21			(0.43	)		0.34
Total from investment operations		(0.03	)		0.86			0.64			(0.02	)		0.77
Less Distributions:		—			—			—			—			(0.12	)
Capital Contributions		0.01	(b)		—			—	(c)(d)		—			—
Net Asset Value, end of year	$	13.12		$	13.14		$	12.28		$	11.64		$	11.66
Total Return(e):		(0.15	)%(j)		7.00	%		5.50	%(f)		(0.17	)%		7.09	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1,122.9		$	1,145.1		$	1,104.6		$	1,084.9		$	1,067.9
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.44	%		0.44	%		0.44	%		0.46	%		0.44	%
Expenses before waivers and/or expense reimbursement		0.44	%		0.44	%		0.44	%		0.46	%		0.44	%
Net investment income (loss)		3.44	%		3.28	%		3.52	%		3.48	%		3.73	%
Portfolio turnover rate(i)		51	%		71	%		49	%		81	%		50	%

(a) Calculated based on average shares outstanding during the year.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(j) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	Equity Portfolio
	Class I
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	51.52		$	40.96		$	39.47		$	38.56		$	35.81
Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.41			0.38			0.34			0.19
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(3.07	)		10.15			1.07			0.57			2.56
Total from investment operations		(2.54	)		10.56			1.45			0.91			2.75
Capital Contributions		0.04	(b)		—			0.04	(c)		—			—
Net Asset Value, end of year	$	49.02		$	51.52		$	40.96		$	39.47		$	38.56
Total Return(d)		(4.85	)%(e)		25.78	%		3.78	%(f)		2.36	%		7.68	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	3,919.6		$	4,415.6		$	3,741.7		$	3,846.2		$	4,017.6
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss)		0.98	%		0.89	%		1.01	%		0.86	%		0.52	%
Portfolio turnover rate(h)		37	%		55	%		39	%		37	%		51	%
	Equity Portfolio
	Class II
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year.	$	51.04		$	40.74		$	39.42		$	38.66		$	36.05
Income (Loss) From Investment Operations:
Net investment income (loss)		0.32			0.23			0.23			0.18			0.04
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(3.03	)		10.07			1.05			0.58			2.57
Total from investment operations		(2.71	)		10.30			1.28			0.76			2.61
Capital Contributions		0.04	(b)		—			0.04	(c)		—			—
Net Asset Value, end of year	$	48.37		$	51.04		$	40.74		$	39.42		$	38.66
Total Return(d)		(5.23	)%(e)		25.28	%		3.35	%(f)		1.97	%		7.24	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1.5		$	1.7		$	1.7		$	2.0		$	2.2
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Expenses before waivers and/or expense reimbursement		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Net investment income (loss)		0.59	%		0.50	%		0.61	%		0.46	%		0.11	%
Portfolio turnover rate(h)		37	%		55	%		39	%		37	%		51	%

(a) Calculated based on average shares outstanding during the year.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(d) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(e) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (4.93)% and (5.31)% for Class I and Class II, respectively.

(f) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively.

(g) Does not include expenses of the underlying funds in which the Portfolio invests.

(h) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	Flexible Managed Portfolio
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	29.88		$	25.99		$	23.95		$	23.71		$	21.35
Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.45			0.44			0.42			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.78	)		3.44			1.58			(0.18	)		1.99
Total from investment operations		(1.25	)		3.89			2.02			0.24			2.36
Capital Contributions		—	(b)(c)		—			0.02	(d)		—			—
Net Asset Value, end of year	$	28.63		$	29.88		$	25.99		$	23.95		$	23.71
Total Return(e):		(4.18	)%(f)		14.97	%		8.52	%(g)		1.01	%		11.05	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	3,833.5		$	4,229.7		$	3,889.8		$	3,768.8		$	3,943.8
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.63	%		0.62	%		0.63	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.63	%		0.62	%		0.63	%		0.63	%		0.63	%
Net investment income (loss)		1.75	%		1.62	%		1.78	%		1.74	%		1.66	%
Portfolio turnover rate(i)(j)		139	%		175	%		203	%		213	%		161	%
	Global Portfolio
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	34.33		$	27.50		$	26.33		$	25.72		$	24.91
Income (Loss) From Investment Operations:
Net investment income (loss)		0.47			0.42			0.34			0.34			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(2.99	)		6.41			0.81			0.27			0.44
Total from investment operations		(2.52	)		6.83			1.15			0.61			0.81
Capital Contributions		0.02	(b)		—			0.02	(d)		—			—
Net Asset Value, end of year	$	31.83		$	34.33		$	27.50		$	26.33		$	25.72
Total Return(e):		(7.28	)%(k)		24.84	%		4.44	%(l)		2.37	%		3.25	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1,006.7		$	1,132.9		$	955.4		$	965.3		$	719.2
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.77	%		0.79	%		0.80	%		0.81	%		0.81	%
Expenses before waivers and/or expense reimbursement		0.80	%		0.81	%		0.81	%		0.82	%		0.82	%
Net investment income (loss)		1.33	%		1.34	%		1.29	%		1.28	%		1.45	%
Portfolio turnover rate(i)		28	%		33	%		40	%		33	%		37	%

(a) Calculated based on average shares outstanding during the year.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown.

Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(j) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(k) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%.

(l) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	Government Income Portfolio
	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.62		$	12.26		$	12.00		$	11.92		$	11.30
Income (Loss) From Investment Operations:
Net investment income (loss)		0.28			0.23			0.20			0.18			0.21
Net realized and unrealized gain (loss) on investment transactions		(0.20	)		0.13			0.06			(0.10	)		0.45
Total from investment operations		0.08			0.36			0.26			0.08			0.66
Less Distributions:		—			—			—			—			(0.04	)
Capital Contributions		—	(b)(c)		—			—	(c)(d)		—			—
Net Asset Value, end of year.	$	12.70		$	12.62		$	12.26		$	12.00		$	11.92
Total Return(e):		0.63	%(f)		2.94	%		2.17	%(f)		0.67	%		5.86	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	221.1		$	244.1		$	226.3		$	231.8		$	339.2
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.51	%		0.53	%		0.51	%		0.48	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.51	%		0.53	%		0.51	%		0.48	%		0.47	%
Net investment income (loss)		2.28	%		1.84	%		1.60	%		1.48	%		1.73	%
Portfolio turnover rate(h)(i)		284	%		495	%		705	%		746	%		830	%

	Government Money Market Portfolio
	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		0.15			0.06			0.01			—	(c)		—	(c)
Less Distributions:		(0.15	)		(0.06	)		(0.01	)		—	(c)		—	(c)
Net Asset Value, end of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(e):		1.53	%		0.56	%		0.10	%		—	%(j)		—	%(j)
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	536.4		$	559.6		$	724.2		$	650.8		$	823.6
Ratios to average net assets:
Expenses after waivers and/or expense reimbursement		0.35	%		0.35	%		0.35	%		0.19	%		0.16	%
Expenses before waivers and/or expense reimbursement		0.35	%		0.35	%		0.35	%		0.44	%		0.44	%
Net investment income (loss)		1.52	%		0.55	%		0.09	%		0.00	%(j)		0.00	%(j)

(a) Calculated based on average shares outstanding during the year.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown.

Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Does not include expenses of the underlying funds in which the Portfolio invests.

(h) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(i) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(j) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

	Stock Index Portfolio
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	59.38		$	50.70		$	48.59		$	49.33		$	47.02
Income (Loss) From Investment Operations:
Net investment income (loss)		1.00			0.92			0.89			0.86			0.79
Net realized and unrealized gain (loss) on investment transactions		(3.74	)		9.75			4.52			(0.26	)		5.20
Total from investment operations		(2.74	)		10.67			5.41			0.60			5.99
Less Distributions:		—			(1.99	)		(3.37	)		(1.34	)		(3.68	)
Capital Contributions		—			—			0.07	(b)		—			—
Net Asset Value, end of year	$	56.64		$	59.38		$	50.70		$	48.59		$	49.33
Total Return(c):		(4.61	)%		21.46	%		11.83	%(d)		1.18	%		13.31	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	3,672.3		$	3,928.3		$	3,305.1		$	3,010.1		$	3,312.7
Ratios to average net assets(e):
Expenses after waivers and/or expense reimbursement		0.31	%		0.32	%		0.32	%		0.32	%		0.32	%
Expenses before waivers and/or expense reimbursement		0.31	%		0.32	%		0.34	%		0.37	%		0.37	%
Net investment income (loss)		1.63	%		1.69	%		1.84	%		1.74	%		1.67	%
Portfolio turnover rate(f)		4	%		4	%		5	%		9	%		5	%

(a) Calculated based on average shares outstanding during the year.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(c) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown.

Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(d) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

(e) Does not include expenses of the underlying funds in which the Portfolio invests.

(f) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE SHAREHOLDERS OF THE PORTFOLIOS AND BOARD OF TRUSTEES

THE PRUDENTIAL SERIES FUND:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of each of the portfolios listed in the Appendix (the Portfolios), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2018, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in thetwo-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years indicated therein. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2018, the results of its operations for the year then ended, changes in its net assets for each of the years in thetwo-year period then ended, and the financial highlights for each of the years indicated therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian, transfer agents, or brokers, or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more PGIM and/or Prudential Insurance investment companies since 2003.

New York, New York

February 19, 2019

D1

Appendix

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

D2

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Prudential Series Fund (the Trust) is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Trust are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Trust and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Susan Davenport Austin* Age: 51 No. of Portfolios Overseen: 108	Senior Managing Director of Brock Capital (Since 2014); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); Director (Since 2017); formerly Presiding Director (2014-2017) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015).	Since February 2011
Sherry S. Barrat* Age: 69 No. of Portfolios Overseen: 108	Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).	Since January 2013
Jessica M. Bibliowicz* Age: 59 No. of Portfolios Overseen: 108	Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Director (2013-2016) of Realogy Holdings Corp. (residential real estate services); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products).	Director (since 2006) of The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance).	Since September 2014
Kay Ryan Booth* Age: 68 No. of Portfolios Overseen: 108	Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.	Since January 2013

E1

Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Stephen M. Chipman* Age: 57 No. of Portfolios Overseen: 108	Group Managing Director International Expansion and Regional Managing Director, Americas of Vistra (Since June 2018); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP.	None.	Since January 2018
Robert F. Gunia* Age: 72 No. of Portfolios Overseen: 108	Director ICI Mutual Insurance Company (June 2016-present; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (Since May 1989) of The Asia-Pacific Fund, Inc.	Since July 2003
Thomas T. Mooney* Age: 77 Independent Chair Since July 2003 No. of Portfolios Overseen: 108	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004); formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.	Since July 2003
Thomas M. O’Brien* Age: 68 No. of Portfolios Overseen: 108	Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.	Since July 2003
Interested Trustee
Timothy S. Cronin* Age: 53 No. of Portfolios Overseen: 108	President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005).	None.	Since October 2009

* The address of each Trustee is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by PGIM Investments LLC. The Funds for which PGIM Investments LLC serves as manager include the PGIM Funds, The Prudential Variable Contract Accounts 2 and 10, PGIM Short Duration High Yield Fund, Inc., PGIM Global Short Duration High Yield Fund, Inc., PGIM ETF Trust, The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.

E2

Trust Officers1
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Edward C. Merrill, IV, CFA* Age: 34 Vice President	Vice President of Prudential Annuities (since December 2014); formerly Director of Prudential Annuities (December 2010-December 2014); formerly Manager of Prudential Annuities (August 2009-December 2010); formerly Senior Analyst of Prudential Annuities (October 2008-August 2009).	Since June 2017
Raymond A. O’Hara* Age: 63 Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of PGIM Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since June 2012
Chad A. Earnst* Age: 43 Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of PGIM Investments LLC; Chief Compliance Officer (September 2014-Present) of the PGIM Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global Short Duration High Yield Income Fund, Inc., PGIM Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006–December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since September 2014
Dino Capasso* Age: 43 Deputy Chief Compliance Officer	Vice President and Deputy Chief Compliance Officer (June 2017-Present) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC.	Since March 2018
Andrew R. French* Age: 56 Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since October 2006
Jonathan D. Shain* Age: 60 Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PGIM Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since May 2005
Claudia DiGiacomo* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PGIM Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).	Since December 2005
Kathleen DeNicholas* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).	Since May 2013
Christian J. Kelly* Age: 43 Treasurer and Principal Financial & Accounting Officer	Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007).	Since January 2019
Peter Parrella* Age: 60 Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).	Since June 2007
Lana Lomuti* Age: 51 Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since April 2014
Linda McMullin* Age: 57 Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since April 2014

E3

Trust Officers1
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Alina Srodecka, CPA* Age: 52 Assistant Treasurer	Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touche (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997).	Since June 2017
Charles H. Smith* Age: 46 Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since January 2017

* The address for each officer is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

¹ Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.

E4

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.

This report does not include separate account financials for the VCA-11 and VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) atwww.sec.gov and onVCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 will file with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters onForm N-PORT. Form N-PORT will be available on the Commission’s website atwww.sec.gov or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-PORT filings by calling (800) 458-6333.

The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

Presorted

Standard

U.S. Postage

PAID

Prudential

^©2018 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

MD.RS.011

Item 2 – Code of Ethics ––See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant800-225-1852, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Kevin J. Bannon, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2018 and December 31, 2017, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $24,407, and $24,165 respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

For the fiscal years ended December 31, 2018 and December 31, 2017: none.

(c) Tax Fees

For the fiscal years ended December 31, 2018 and December 31, 2017: none.

(d)All Other Fees

For the fiscal years ended December 31, 2018 and December 31, 2017: none.

(e) (1)Audit CommitteePre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

on

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee mustpre-approve the independent accounting firm’s engagement to render audit and/or permissiblenon-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

● a review of the nature of the professional services expected to be provided,

● a review of the safeguards put into place by the accounting firm to safeguard independence, and

● periodic meetings with the accounting firm.

Policy for Audit andNon-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related andnon-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposednon-audit services will not adversely affect the independence of the independent accountants. Such proposednon-audit services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals topre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider forpre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

Ø  Annual Fund financial statement audits

Ø  Seed audits (related to new product filings, as required)

Ø  SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

Ø Accounting consultations

Ø Fund merger support services

Ø Agreed Upon Procedure Reports

Ø Attestation Reports

Ø Other Internal Control Reports

Individual audit-related services that fall within one of these categories (except for fund merger support services) and are not presented to the Audit Committee as part of the annualpre-approval process are subject to an authorizedpre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under suchpre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject topre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated). Fees related to fund merger support services are subject to a separate authorizedpre-approval by the Audit Committee with fees determined on a per occurrence and merger complexity basis.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

Ø Tax compliance services related to the filing or amendment of the following:

◾ Federal, state and local income tax compliance; and,

◾ Sales and use tax compliance

Ø Timely RIC qualification reviews

Ø Tax distribution analysis and planning

Ø Tax authority examination services

Ø Tax appeals support services

Ø Accounting methods studies

Ø Fund merger support services

Ø Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annualpre-approval process are subject to an authorizedpre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under suchpre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject topre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated).

OtherNon-Audit Services

Certainnon-audit services that the independent accountants are legally permitted to render will be subject topre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee anypre-approval decisions made pursuant to this Policy.Non-audit services presented forpre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories ofnon-audit services:

Ø	Bookkeeping or other services related to the accounting records or financial statements of the Fund
Ø	Financial information systems design and implementation
Ø	Appraisal or valuation services, fairness opinions, orcontribution-in-kind reports
Ø	Actuarial services
Ø	Internal audit outsourcing services
Ø	Management functions or human resources
Ø	Broker or dealer, investment adviser, or investment banking services
Ø	Legal services and expert services unrelated to the audit
Ø	Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval ofNon-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certainnon-audit services provided to PGIM Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject topre-approval by the Audit Committee. The onlynon-audit services provided to these entities that will requirepre-approval are thoserelated directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annualpre-approval process will be subject topre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $30,000. Services presented forpre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will notpre-approve all services provided to PGIM Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to PGIM Investments and its affiliates.

(e) (2)Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

For the fiscal years ended December 31, 2018 and December 31, 2017: none.

(f)Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g)Non-Audit Fees

The aggregatenon-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2018 and December 31, 2017 was $0 and $0, respectively.

(h)Principal Accountant’s Independence

Not applicable as KPMG has not providednon-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant toRule 2-01(c)(7)(ii) ofRegulation S-X.

Item 5 –	Audit Committee of Listed Registrants – Not applicable.
Item 6 –	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 –	Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies – Not applicable.
Item 8 –	Portfolio Managers ofClosed-End Management Investment Companies – Not applicable.
Item 9 –	Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 –	Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 –	Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a)	(1)	Code of Ethics – Attached hereto as ExhibitEX-99.CODE-ETH
	(2)	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as ExhibitEX-99.CERT.
	(3)	Any written solicitation to purchase securities under Rule23c-1. – Not applicable.
(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as ExhibitEX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:         The Prudential Variable ContractAccount-10

By:	/s/ Andrew R. French
	Andrew R. French
	Secretary
Date:	February 20, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	February 20, 2019
By:	/s/ Christian J. Kelly
	Christian J. Kelly
	Treasurer and Principal Financial and Accounting Officer
Date:	February 20, 2019