Morgan Stanley Institutional Fund Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-03980
Morgan Stanley Institutional Fund Trust
(Exact name of registrant as specified in charter)
1221 AVENUE OF THE AMERICAS 22ND FLOOR NEW YORK, NY					10020
(Address of principal executive offices)					(Zip code)
RONALD E. ROBISON 1221 AVENUE OF THE AMERICAS 34TH FLOOR NEW YORK, NY 10020
(Name and address of agent for service)
Registrant’s telephone number, including area code:				1-800-221-6726
Date of fiscal year end:	9/30
Date of reporting period:		3/31/05

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

Item 1.  Reports to Shareholders.

The Fund’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

	2005 Semi-Annual Report
	March 31, 2005

Morgan Stanley Institutional Fund Trust

Equity Portfolios

Equity

Mid Cap Growth

U.S. Mid Cap Value

U.S. Small Cap Value

Value

2005 Semi-Annual Report

March 31, 2005

Table of Contents

Shareholder’s Letter	2
Expense Examples	3
Portfolios of Investments
Equity Portfolios:
Equity	5
Mid Cap Growth	8
U.S. Mid Cap Value	10
U.S. Small Cap Value	12
Value	14
Statements of Assets and Liabilities	17
Statements of Operations	18
Statements of Changes in Net Assets	19
Financial Highlights	21
Notes to Financial Statements	28
Trustee and Officer Information	32

This report is authorized for distribution only when preceded or accompanied by prospectuses of the Morgan Stanley Institutional Fund Trust. To receive a prospectus and/or SAI, which contains more complete information such as charges, expenses, policies for voting proxies, risk considerations, and describes in detail each of the Portfolio’s investment policies to the prospective investor, please call 1 (800) 354-8185. Please read the prospectus carefully before you invest or send money. Additionally, you can access portfolio information including performance, characteristics, and investment team commentary through Morgan Stanley Investment Management’s website: www.morganstanley.com/im.

1

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Shareholder’s Letter

Dear Shareholders:

We are pleased to present to you the Fund’s Semi-Annual Report for the six months ended March 31, 2005. Our Fund currently consists of 17 portfolios, providing investors with a broad array of equity, fixed- income, and balanced portfolios. The Fund’s portfolios, together with the portfolios of the Morgan Stanley Institutional Fund, Inc., provide investors with a means to help them meet specific investment needs and to allocate their investments among equities (e.g., value and growth; small, medium, and large capitalization), and fixed income (e.g., short, medium, and long duration; investment grade and high yield).

Sincerely,

Ronald E. Robison

Executive Vice President—
Principal Executive Officer

April 2005

2

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Expense Examples

Expense Examples

As a shareholder of the Portfolio, you incur ongoing costs, including management fees, shareholder servicing fees (in the case of Investment Class), distribution (12b-1) fees (in the case of Adviser Class);  and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the six-month period ended March 31, 2005 and held for the entire six-month period.

Actual Expenses

The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the tables 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 funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2004		March 31, 2005		October 1, 2004 — March 31, 2005
Equity Portfolio
Institutional Class
Actual	$	1,000.00	$	1,101.30	$	3.40
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.69		3.27
* Expenses are equal to Institutional Class’ annualized expense ratios of 0.65%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Mid Cap Growth Portfolio
Institutional Class
Actual	$	1,000.00	$	1,107.50	$	3.27
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.83		3.13
Adviser Class
Actual	1,000.00		1,106.00		4.58
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.59		4.39
* Expenses are equal to Institutional Class’ and Adviser Class’ annualized expense ratios of 0.62% and 0.87%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
U.S. Mid Cap Value Portfolio
Institutional Class
Actual	$	1,000.00	$	1,116.00	$	4.58
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.60		4.37
Investment Class
Actual	1,000.00		1,115.10		5.34
Hypothetical (5% average annual return before expenses)	1,000.00		1,019.88		5.10
Adviser Class
Actual	1,000.00		1,114.60		5.83
Hypothetical (5% average annual return before expenses)	1,000.00		1,019.42		5.57
* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized expense ratios of 0.86%, 1.01% and 1.11%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

3

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Expense Examples (cont’d)

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2004		March 31, 2005		October 1, 2004 — March 31, 2005
U.S. Small Cap Value Portfolio
Institutional Class
Actual	$	1,000.00	$	1,096.20	$	4.34
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.79		4.19
Adviser Class
Actual	1,000.00		1,094.50		5.64
Hypothetical (5% average annual return before expenses)	1,000.00		1,019.55		5.43
* Expenses are equal to Institutional Class’ and Adviser Class’ annualized expense ratios of 0.83% and 1.08%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Value Portfolio
Institutional Class
Actual	$	1,000.00	$	1,085.10	$	3.12
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.94		3.03
Investment Class
Actual	1,000.00		1,084.90		3.90
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.19		3.78
Adviser Class
Actual	1,000.00		1,084.00		4.42
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.69		4.28
* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized expense ratios of 0.60%, 0.75% and 0.85%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

4

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Equity Portfolio

			Value
	Shares		(000)
Common Stocks (94.8%)
Consumer Discretionary (11.8%)
Clear Channel Communications, Inc.	111,790		$	3,853
Honda Motor Co., Ltd. ADR	(c)173,980		4,356
Kohl’s Corp.	(a)56,980		2,942
Marriott International, Inc., Class A	16,520		1,104
McDonald’s Corp.	33,530		1,044
Target Corp.	31,640		1,583
Time Warner, Inc.	(a)285,110		5,004
Viacom, Inc., Class B	33,270		1,159
Walt Disney Co.	(c)127,390		3,660
			24,705
Consumer Staples (9.2%)
Altria Group, Inc.	37,210		2,433
Cadbury Schweppes plc ADR	(c)57,220		2,329
Coca-Cola Co. (The)	70,840		2,952
Kimberly-Clark Corp.	38,610		2,538
Kraft Foods, Inc., Class A	(c)47,250		1,562
Unilever N.V. (NY Shares)	44,810		3,066
Wal-Mart Stores, Inc.	84,960		4,257
			19,137
Energy (11.1%)
BP plc ADR	73,760		4,603
ConocoPhillips	32,320		3,485
Exxon Mobil Corp.	64,010		3,815
Royal Dutch Petroleum Co. (NY Shares)	76,990		4,623
Schlumberger Ltd.	55,180		3,889
Valero Energy Corp.	37,260		2,730
			23,145
Financials (20.7%)
Aegon N.V. (NY Shares)	(c)54,400		732
Bank of America Corp.	66,970		2,953
Charles Schwab Corp. (The)	161,690		1,699
Chubb Corp.	47,670		3,779
Citigroup, Inc.	104,380		4,691
Freddie Mac	58,500		3,697
Goldman Sachs Group, Inc.	7,050		775
Hartford Financial Services Group, Inc.	40,750		2,794
JPMorgan Chase & Co.	161,231		5,579
Lehman Brothers Holdings, Inc.	51,700		4,868
Merrill Lynch & Co., Inc.	76,310		4,319
PNC Financial Services Group, Inc.	26,720		1,376
Prudential Financial, Inc.	39,640		2,275
St. Paul Travelers Cos., Inc. (The)	77,674		2,853
State Street Corp.	20,650		903
			43,293
Health Care (15.3%)
Applera Corp. - Applied Biosystems Group (Tracking Stock)	21,170		418
Bausch & Lomb, Inc.	37,680		2,762
Bristol-Myers Squibb Co.	240,450		6,122
Chiron Corp.	(a)(c)46,470		1,629
CIGNA Corp.	35,930		3,209
Eli Lilly & Co.	49,050		2,556
GlaxoSmithKline plc ADR	(c)38,050		$	1,747
Roche Holding AG ADR	76,440		4,111
Sanofi-Aventis ADR	57,700		2,443
Schering-Plough Corp.	218,320		3,962
Wyeth	69,730		2,941
			31,900
Industrials (8.0%)
Equifax, Inc.	53,660		1,647
General Electric Co.	130,460		4,704
Ingersoll-Rand Co., Ltd., Class A	21,890		1,744
Norfolk Southern Corp.	76,500		2,834
Northrop Grumman Corp.	41,790		2,256
Parker Hannifin Corp.	22,880		1,394
Raytheon Co.	54,700		2,117
			16,696
Information Technology (4.9%)
Accenture Ltd., Class A	(a)14,920		360
Hewlett-Packard Co.	78,080		1,713
Intel Corp.	71,200		1,654
International Business Machines Corp.	16,610		1,518
Micron Technology, Inc.	(a)118,190		1,222
Motorola, Inc.	114,160		1,709
Symantec Corp.	(a)96,720		2,063
			10,239
Materials (5.7%)
Bayer AG ADR	178,330		5,901
Dow Chemical Co. (The)	57,300		2,856
Lanxess	(a)16,819		347
Newmont Mining Corp.	68,940		2,913
			12,017
Telecommunication Services (4.0%)
France Telecom S.A. ADR	62,800		1,876
Nextel Communications, Inc., Class A	(a)50,640		1,439
Sprint Corp.	62,680		1,426
Verizon Communications, Inc.	99,640		3,537
			8,278
Utilities (4.1%)
American Electric Power Co., Inc.	50,010		1,703
Consolidated Edison, Inc.	26,570		1,121
Entergy Corp.	32,870		2,323
Exelon Corp.	37,030		1,699
FirstEnergy Corp.	42,110		1,766
			8,612
Total Common Stocks (Cost $178,515)			198,022
	Face
	Amount
	(000)
Short-Term Investments (11.2%)
Short-Term Debt Securities held as Collateral on Loaned Securities (5.8%)
Abbey National Treasury Services,
2.64%, 1/13/06	$	(h)181	181
ASAP Funding Ltd., 2.77%, 4/25/05	146		146
Banco Bilbao Viz Argentaria, N.Y., 2.81%, 5/16/05	122		122

The accompanying notes are an integral part of the financial statements.

5

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Equity Portfolio

	Face
	Amount		Value
	(000)		(000)
Short-Term Debt Securities held as Collateral on Loaned Securities (cont’d)
Bank of America Corp., 2.71%, 5/6/05	$	121	$	121
Bank of New York,
2.74%, 4/4/06	(h)122		122
2.83%, 10/28/05	(h)399		399
Bear Stearns,
2.93%, 4/15/05	(h)219		219
2.96%, 12/5/05	(h)107		107
Beta Finance, Inc.,
2.71%, 4/19/05	65		65
2.81%, 5/4/05	(h)122		122
2.90%, 6/10/05	72		72
Calyon, N.Y., 2.89%, 2/27/06	(h)97		97
CC USA, Inc.,
2.83%, 11/28/05	(h)146		146
2.91%, 6/8/05	242		242
2.92%, 10/28/05	(h)117		117
CIC, N.Y., 2.78%, 2/13/06	(h)365		365
CIT Group Holdings, 2.72%, 7/29/05	(h)153		153
Citigroup, Inc., 2.90%, 9/1/05	(h)117		117
Compass Securitization,
2.86%, 5/25/05	169		169
2.97%, 6/15/05	97		97
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	268		268
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	549		549
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)162		162
Eni Coordination Center, 2.89%, 8/29/05	(h)122		122
Eurohypo AG, N.Y., 2.90%, 5/18/05	244		244
Galaxy Funding, Inc., 2.97%, 6/13/05	121		121
Giro Multi-Funding Corp., 3.00%, 6/15/05	242		242
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)122		122
HBOS Treasury Services plc, N.Y.,
2.73%, 4/28/05	339		339
International Lease Finance Corp.,
3.04%, 9/22/05	(h)188		188
Internationale Nederlanden U.S. Funding,
2.88%, 6/3/05	158		158
K2 (USA) LLC,
2.78%, 2/15/06	(h)112		112
2.83%, 10/24/05-3/22/06	(h)453		453
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)365		365
2.86%, 2/27/06	(h)146		146
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)341		341
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	97		97
Nationwide Building Society,
2.77%, 1/13/06	(h)195		195
3.12%, 3/31/06	(h)283		283
Pfizer, Inc., 2.71%, 5/1/06	(h)244		244
Procter & Gamble Co., 2.93%, 5/1/06	(h)100		100
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)244		244
Scaldis Capital LLC, 2.69%, 4/7/05	121		121
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)244		244
2.84%, 3/22/06	(h)243		243
SLM Corp., 2.85%, 5/1/06	(h)244		244
Svenska Handelsbank N.Y., 2.82%, 5/10/05	$	(h)244	$	244
Tango Finance Corp., 2.83%, 3/22/06	(h)205		205
UBS Securities LLC, 2.89%, 4/1/05	1,876		1,876
Washington Mutual Bank FA,
2.81%, 5/3/05	244		244
2.82%, 5/2/05	122		122
Westdeutsche Landesbank N.Y., 2.74%, 8/9/05	(h)122		122
Yorktown Capital LLC, 2.81%, 4/19/05	243		243
			12,182
	Shares
Investment Company held as Collateral on Loaned Securities (0.0%)
JPMorgan Securities Lending Collateral Investment Fund	82,832		83
	Face
	Amount
	(000)
Repurchase Agreement (5.4%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $11,204	$	(f)11,203	11,203
Total Short-Term Investments (Cost $23,468)			23,468
Total Investments (106.0%) (Cost $201,983) — Including $12,086 of Securities Loaned			221,490
Liabilites in Excess of Other Assets (-6.0%)			(12,625		)
Net Assets (100%)			$	208,865

(a)	Non-income producing security
(c)	All or a portion of security on loan at March 31, 2005.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(h)	Variable/Floating Rate Security — interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.
(k)	Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)
ADR	American Depositary Receipt

The accompanying notes are an integral part of the financial statements.

6

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Equity Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry, as a percentage of total investments.

The accompanying notes are an integral part of the financial statements.

7

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Mid Cap Growth Portfolio

		Value
	Shares	(000)
Common Stocks (98.0%)
Auto & Transportation (2.3%)
C.H. Robinson Worldwide, Inc.	365,577	$	18,838
Expeditors International of Washington, Inc.	248,200	13,291
		32,129
Consumer Discretionary (38.4%)
Activision, Inc.	(a)671,733	9,942
Amazon.com, Inc.	(a)194,500	6,665
Career Education Corp.	(a)190,300	6,520
Cheesecake Factory (The)	(a)325,150	11,527
Chico’s FAS, Inc.	(a)580,546	16,406
ChoicePoint, Inc.	(a)438,761	17,599
Coach, Inc.	(a)245,820	13,921
Corporate Executive Board Co.	575,500	36,803
DreamWorks Animation SKG, Inc., Class A	(a)196,000	7,979
Electronic Arts, Inc.	(a)160,900	8,331
Fastenal Co.	111,700	6,178
Getty Images, Inc.	(a)398,800	28,359
Harman International Industries, Inc.	72,300	6,396
International Game Technology	888,204	23,679
International Speedway Corp., Class A	129,700	7,036
Iron Mountain, Inc.	(a)230,237	6,640
ITT Educational Services, Inc.	(a)132,574	6,430
Kerzner International Ltd.	(a)110,100	6,741
Lamar Advertising Co., Class A	(a)495,100	19,948
Laureate Education, Inc.	(a)298,000	12,751
Monster Worldwide, Inc.	(a)231,600	6,496
Overstock.com, Inc.	(a)118,800	5,107
P.F. Chang’s China Bistro, Inc.	(a)375,790	22,472
Penn National Gaming, Inc.	(a)688,800	20,237
Petsmart, Inc.	504,420	14,502
Pixar	(a)78,000	7,609
Royal Caribbean Cruises Ltd.	747,094	33,388
SCP Pool Corp.	450,500	14,353
Sears Holdings Corp.	(a)144,700	19,270
Sonic Corp.	(a)322,250	10,763
Station Casinos, Inc.	642,500	43,401
Strayer Education, Inc.	174,800	19,808
Univision Communications, Inc., Class A	(a)480,375	13,302
Urban Outfitters, Inc.	(a)319,000	15,302
Wynn Resorts Ltd.	(a)304,305	20,614
		526,475
Consumer Staples (0.5%)
Whole Foods Market, Inc.	68,600	7,006
Diversified (0.5%)
St. Joe Co. (The)	98,400	6,622
Financial Services (9.7%)
Ameritrade Holding Corp.	(a)601,500	6,141
Assurant, Inc.	318,315	10,727
Brascan Corp., Class A	572,626	21,617
Calamos Asset Management, Inc., Class A	576,400	15,517
Chicago Mercantile Exchange Holdings, Inc.	99,150	19,238
Interactive Data Corp.	(a)326,000	6,765
Legg Mason, Inc.	260,250	20,336
Moody’s Corp.	155,700	12,590
White Mountains Insurance Group Ltd.	32,562	$	19,814
		132,745
Health Care (13.4%)
Bard (C.R.), Inc.	153,700	10,464
Cooper Cos., Inc. (The)	212,500	15,491
Dade Behring Holdings, Inc.	(a)317,300	18,699
Gen-Probe, Inc.	(a)444,400	19,802
Genzyme Corp.	(a)246,000	14,081
IDEXX Laboratories, Inc.	(a)119,200	6,456
Inamed Corp.	(a)327,800	22,907
Kinetic Concepts, Inc.	(a)256,614	15,307
Patterson Cos., Inc.	(a)465,200	23,237
Stericycle, Inc.	(a)438,825	19,396
VCA Antech, Inc.	(a)869,800	17,596
		183,436
Materials & Processing (5.2%)
Cameco Corp.	539,200	23,854
Mohawk Industries, Inc.	(a)112,500	9,484
Plum Creek Timber Co., Inc. REIT	282,900	10,100
Rinker Group Ltd. ADR	250,800	21,014
Sealed Air Corp.	(a)132,077	6,860
		71,312
Miscellaneous (0.7%)
Monsanto Co.	141,740	9,142
Other Energy (5.9%)
Peabody Energy Corp.	276,000	12,796
Questar Corp.	252,000	14,931
Ultra Petroleum Corp.	(a)815,690	41,437
XTO Energy, Inc.	352,533	11,577
		80,741
Producer Durables (2.4%)
Fisher Scientific International, Inc.	(a)168,424	9,587
Graco, Inc.	186,800	7,539
NVR, Inc.	(a)9,350	7,340
Rockwell Collins, Inc.	177,500	8,447
		32,913
Technology (16.6%)
Adobe Systems, Inc.	315,202	21,172
Akamai Technologies, Inc.	(a)649,100	8,263
Apple Computer, Inc.	(a)332,400	13,851
Autodesk, Inc.	318,200	9,470
Cognizant Technology Solutions Corp., Class A	(a)323,600	14,950
Crown Castle International Corp.	(a)1,448,047	23,256
Dolby Laboratories, Inc., Class A	(a)442,518	10,399
Flir Systems, Inc.	(a)212,000	6,424
Global Payments, Inc.	220,100	14,194
Juniper Networks, Inc.	(a)378,200	8,343
Marvell Technology Group Ltd.	(a)576,604	22,107
Mercury Interactive Corp.	(a)278,536	13,197
Network Appliance, Inc.	(a)409,100	11,316
Red Hat, Inc.	(a)941,000	10,266
Salesforce.com, Inc.	(a)876,000	13,131
Shanda Interactive Entertainment Ltd. ADR	(a)398,100	12,023

The accompanying notes are an integral part of the financial statements.

8

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Mid Cap Growth Portfolio

			Value
	Shares		(000)
Technology (cont’d)
Tessera Technologies, Inc.	(a)360,600		$	15,589
			227,951
Utilities (2.4%)
NII Holdings, Inc.	(a)394,660		22,693
NTL, Inc.	(a)148,741		9,470
			32,163
Total Common Stocks (Cost $1,152,173)			1,342,635
	Face
	Amount
	(000)
Short-Term Investment (2.3%)
Repurchase Agreement (2.3%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $31,061 (Cost $31,059)	$	(f)31,059	31,059
Total Investments (100.3%) (Cost $1,183,232)			1,373,694
Liabilities in Excess of Other Assets (-0.3%)			(3,859		)
Net Assets (100%)			$	1,369,835

(a)	Non-income producing security
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
ADR	American Depositary Receipt
REIT	Real Estate Investment Trust

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry, as a percentage of total investments.

* Industries which do not appear in the top 10 industries and industries which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

9

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

U.S. Mid Cap Value Portfolio

			Value
	Shares		(000)
Common Stocks (94.5%)
Consumer Discretionary (16.9%)
Dollar General Corp.	202,150		$	4,429
Linens ‘N Things, Inc.	(a)200,140		4,969
Newell Rubbermaid, Inc.	205,530		4,509
Office Depot, Inc.	(a)219,140		4,861
Scholastic Corp.	(a)169,850		6,266
Valassis Communications, Inc.	(a)191,490		6,695
			31,729
Consumer Staples (2.5%)
Tyson Foods, Inc., Class A	284,700		4,749
Energy (7.8%)
Amerada Hess Corp.	30,950		2,977
Cooper Cameron Corp.	(a)85,610		4,898
Transocean, Inc.	(a)77,650		3,996
Valero Energy Corp.	38,080		2,790
			14,661
Financials (18.9%)
A.G. Edwards, Inc.	105,020		4,705
ACE Ltd.	97,720		4,033
Conseco, Inc.	(a)232,810		4,754
Horace Mann Educators Corp.	126,320		2,241
Macerich Co. (The) REIT	56,910		3,032
Northern Trust Corp.	110,870		4,816
PMI Group, Inc. (The)	145,230		5,520
Sovereign Bancorp, Inc.	285,410		6,325
			35,426
Health Care (10.6%)
Applera Corp. - Applied Biosystems Group (Tracking Stock)	303,250		5,986
Bausch & Lomb, Inc.	56,620		4,150
IMS Health, Inc.	143,110		3,491
Mylan Laboratories, Inc.	69,200		1,226
Watson Pharmaceuticals, Inc.	(a)166,050		5,103
			19,956
Industrials (18.4%)
Fluor Corp.	101,480		5,625
Goodrich Corp.	117,240		4,489
Hubbell, Inc., Class B	139,390		7,123
Manpower, Inc.	113,810		4,953
Pall Corp.	138,730		3,762
Southwest Airlines Co.	418,790		5,964
York International Corp.	67,800		2,656
			34,572
Information Technology (5.7%)
BISYS Group, Inc. (The)	(a)228,890		3,589
Sabre Holdings Corp., Class A	142,110		3,109
Tech Data Corp.	(a)108,120		4,007
			10,705
Materials (4.2%)
International Flavors & Fragrances, Inc.	9,630		380
Lyondell Chemical Co.	134,480		3,755
Sealed Air Corp.	(a)70,900		$	3,683
			7,818
Telecommunication Services (2.2%)
CenturyTel, Inc.	124,710		4,096
Utilities (7.3%)
Constellation Energy Group, Inc.	100,500		5,196
Edison International	124,820		4,333
Wisconsin Energy Corp.	118,810		4,218
			13,747
Total Common Stocks (Cost $150,627)			177,459
	Face
	Amount
	(000)
Short-Term Investment (3.9%)
Repurchase Agreement (3.9%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $7,287 ($7,286)	$	(f)7,286	7,286
Total Investments (98.4%) (Cost $157,913)			184,745
Other Assets in Excess of Liabilities (1.6%)			2,977
Net Assets (100%)			$	187,722

(a)	Non-income producing security
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
REIT	Real Estate Investment Trust

The accompanying notes are an integral part of the financial statements.

10

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Mid Cap Value Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry, as a percentage of total investments.

* Industries which do not appear in the top 10 industries and industries which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

11

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

U.S. Small Cap Value Portfolio

		Value
	Shares	(000)
Common Stocks (98.5%)
Basic Resources (7.4%)
Albany International Corp., Class A	135,800	$	4,194
Apex Silver Mines Ltd.	(a)144,100	2,308
Cytec Industries, Inc.	106,200	5,761
Hercules, Inc.	(a)207,035	2,998
Reliance Steel & Aluminum Co.	102,200	4,089
Rock-Tenn Co., Class A	213,500	2,840
Schulman (A.), Inc.	189,600	3,303
		25,493
Consumer Durables (1.7%)
General Cable Corp.	(a)197,300	2,381
LoJack Corp.	(a)248,000	3,415
		5,796
Consumer Services (6.9%)
Aztar Corp.	(a)11,900	340
Banta Corp.	84,000	3,595
Cenveo, Inc.	(a)16,900	95
Intrawest Corp.	299,800	5,735
Jackson Hewitt Tax Service, Inc.	126,500	2,646
MoneyGram International, Inc.	208,500	3,939
Nexstar Broadcasting Group, Inc., Class A	(a)82,740	583
R.H. Donnelley Corp.	(a)56,800	3,300
Saga Communications, Inc., Class A	(a)9,217	149
Sinclair Broadcast Group, Inc., Class A	420,800	3,379
		23,761
Energy (7.6%)
Denbury Resources, Inc.	(a)203,100	7,155
Remington Oil & Gas Corp.	(a)147,500	4,649
St. Mary Land & Exploration Co.	69,180	3,462
Superior Energy Services, Inc.	(a)299,300	5,148
Universal Compression Holdings, Inc.	(a)146,120	5,534
		25,948
Financial Services (21.4%)
Alabama National Bancorporation	26,900	1,665
Anthracite Capital, Inc. REIT	342,900	3,820
Central Pacific Financial Corp.	105,200	3,540
Collegiate Funding Services LLC	(a)200,800	3,128
Conseco, Inc.	(a)214,800	4,386
First Niagara Financial Group, Inc.	218,900	2,892
Heritage Property Investment Trust REIT	80,400	2,386
Independent Bank Corp.	82,299	2,368
Integra Bank Corp.	131,400	2,909
Kilroy Realty Corp. REIT	25,700	1,051
Max Re Capital Ltd.	150,340	3,538
MB Financial, Inc.	63,100	2,417
MeriStar Hospitality Corp. REIT	(a)359,100	2,514
NYMAGIC, Inc.	80,900	1,917
Parkway Properties, Inc. REIT	41,488	1,937
PFF Bancorp, Inc.	61,150	1,688
Platinum Underwriters Holdings Ltd.	143,400	4,259
ProAssurance Corp.	(a)155,151	6,128
Provident Bancorp, Inc.	171,200	2,096
Provident Bankshares Corp.	85,800	2,828
R&G Financial Corp., Class B	64,450	$	2,009
Reinsurance Group of America, Inc.	114,200	4,863
Triad Guaranty, Inc.	(a)85,600	4,503
United America Indemnity Ltd., Class A	(a)233,430	4,398
		73,240
Food & Tobacco (3.0%)
Corn Products International, Inc.	106,900	2,778
Delta & Pine Land Co.	110,600	2,986
Ralcorp Holdings, Inc.	92,600	4,385
		10,149
Health Care (5.9%)
Apria Healthcare Group, Inc.	(a)354,100	11,367
Bio-Rad Laboratories, Inc., Class A	(a)89,600	4,364
Icon plc ADR	(a)86,195	3,234
KV Pharmaceutical Co., Class A	(a)61,200	1,420
		20,385
Heavy Industry & Transportation (21.5%)
Acuity Brands, Inc.	198,060	5,348
Briggs & Stratton Corp.	65,300	2,378
CIRCOR International, Inc.	153,300	3,779
Diana Shipping, Inc.	(a)120,598	1,995
DRS Technologies, Inc.	(a)217,600	9,248
Geo Group, Inc. (The)	(a)141,400	4,041
Gevity HR, Inc.	91,300	1,746
Laidlaw International, Inc.	(a)324,700	6,754
Moog, Inc., Class A	(a)76,200	3,444
Overnite Corp.	149,500	4,782
Pacer International, Inc.	(a)244,700	5,846
School Specialty, Inc.	(a)151,200	5,921
TBC Corp.	(a)260,000	7,244
Terex Corp.	(a)118,720	5,140
Watts Water Technologies, Inc., Class A	179,500	5,853
		73,519
Retail (8.3%)
AFC Enterprises, Inc.	(a)365,600	9,327
Central Garden & Pet Co.	(a)153,314	6,724
Denny’s Corp.	(a)909,800	4,322
Linens ‘N Things, Inc.	(a)34,500	857
New York & Co., Inc.	(a)133,200	2,673
Stage Stores, Inc.	(a)124,700	4,787
		28,690
Technology (10.5%)
Adtran, Inc.	90,300	1,593
Belden CDT, Inc.	192,450	4,274
CCC Information Services Group	(a)166,739	3,810
Creo, Inc.	(a)243,600	3,912
EMS Technologies, Inc.	(a)115,700	1,573
Hummingbird Ltd.	(a)125,625	3,014
Intergraph Corp.	(a)112,800	3,250
Lipman Electronic Engineering Ltd.	(a)86,800	2,495
MAXIMUS, Inc.	155,000	5,191
Methode Electonics, Inc.	188,400	2,281

The accompanying notes are an integral part of the financial statements.

12

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Small Cap Value Portfolio

			Value
	Shares		(000)
Technology (cont’d)
MSC.Software Corp.	(a)402,600		$	4,459
			35,852
Utilities (4.3%)
AGL Resources, Inc.	148,800		5,198
PNM Resources, Inc.	229,650		6,127
Premiere Global Services, Inc.	(a)22,606		256
UGI Corp.	68,900		3,129
			14,710
Total Common Stocks (Cost $273,781)			337,543
	Face
	Amount
	(000)
Short-Term Investment (1.8%)
Repurchase Agreement (1.8%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $6,142 (Cost $6,142)	$	(f)6,142	6,142
Total Investments (100.3%) (Cost $279,923)			343,685
Liabilities in Excess of Other Assets (-0.3%)			(964		)
Net Assets (100%)			$	342,721

(a)	Non-income producing security
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
ADR	American Depositary Receipt
REIT	Real Estate Investment Trust

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry, as a percentage of total investments.

* Industries which do not appear in the top 10 industries and industries which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

13

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Value Portfolio

		Value
	Shares	(000)
Common Stocks (97.0%)
Consumer Discretionary (10.6%)
Clear Channel Communications, Inc.	988,200	$	34,063
Eastman Kodak Co.	(c)306,500	9,976
Federated Department Stores, Inc.	115,900	7,376
Jones Apparel Group, Inc.	374,900	12,555
Liberty Media Corp., Class A	(a)2,315,700	24,014
Mattel, Inc.	542,100	11,574
May Department Stores Co. (The)	201,800	7,471
Time Warner, Inc.	(a)1,080,900	18,970
Viacom, Inc., Class B	217,100	7,562
Walt Disney Co.	1,174,900	33,755
		167,316
Consumer Staples (11.4%)
Altria Group, Inc.	549,300	35,919
Coca-Cola Co. (The)	484,800	20,201
CVS Corp.	276,300	14,539
Kimberly-Clark Corp.	580,100	38,130
Kraft Foods, Inc., Class A	(c)722,300	23,872
Unilever N.V. (NY Shares)	453,800	31,049
Wal-Mart Stores, Inc.	339,300	17,002
		180,712
Energy (6.5%)
ConocoPhillips	82,600	8,908
GlobalSantaFe Corp.	249,600	9,245
Halliburton Co.	958,200	41,442
Petroleo Brasileiro S.A. (Preference) ADR	116,700	4,489
Petroleo Brasileiro S.A. ADR	(c)199,500	8,814
Schlumberger Ltd.	82,200	5,794
Total S.A. ADR	189,000	22,157
Transocean, Inc.	(a)48,200	2,480
		103,329
Financials (22.7%)
AMBAC Financial Group, Inc.	79,600	5,950
American International Group, Inc.	142,900	7,918
Assurant, Inc.	(c)128,500	4,330
Bank of America Corp.	999,300	44,069
Bank of New York Co., Inc. (The)	366,000	10,632
Berkshire Hathaway, Inc., Class B	(a)(c)500	1,428
Capital One Financial Corp.	29,600	2,213
Chubb Corp.	381,800	30,265
Citigroup, Inc.	916,500	41,188
Fannie Mae	115,500	6,289
Freddie Mac	1,017,400	64,300
Genworth Financial, Inc.	268,400	7,386
Hartford Financial Services Group, Inc.	55,100	3,778
JPMorgan Chase & Co.	353,400	12,228
Lehman Brothers Holdings, Inc.	70,500	6,638
Merrill Lynch & Co., Inc.	184,000	10,414
Metlife, Inc.	190,000	7,429
PNC Financial Services Group, Inc.	425,200	21,889
St. Paul Travelers Cos., Inc. (The)	191,415	7,031
SunTrust Banks, Inc.	41,600	2,998
Torchmark Corp.	300,300	15,676
Wachovia Corp.	178,800	9,103
Wells Fargo & Co.	591,700	$	35,384
		358,536
Health Care (15.7%)
AmerisourceBergen Corp.	(c)245,200	14,048
Bristol-Myers Squibb Co.	2,450,200	62,382
GlaxoSmithKline plc ADR	(c)1,583,600	72,719
Pfizer, Inc.	935,300	24,570
Roche Holding AG ADR	475,300	25,561
Sanofi-Aventis ADR	(c)212,700	9,006
Schering-Plough Corp.	1,115,100	20,239
Wyeth	459,800	19,394
		247,919
Industrials (0.3%)
Southwest Airlines Co.	336,600	4,793
Information Technology (4.7%)
Affiliated Computer Services, Inc., Class A	(a)220,600	11,745
Check Point Software Technologies Ltd.	(a)(c)98,100	2,133
Cisco Systems, Inc.	(a)268,800	4,809
First Data Corp.	180,800	7,107
Flextronics International Ltd.	(a)(c)332,200	4,000
Hewlett-Packard Co.	569,200	12,488
Intel Corp.	33,200	771
International Business Machines Corp.	33,100	3,024
Jabil Circuit, Inc.	(a)85,900	2,450
Lexmark International, Inc., Class A	(a)52,600	4,206
Microsoft Corp.	205,700	4,972
Nokia Oyj ADR	(a)(c)274,400	4,234
Novellus Systems, Inc.	(a)39,000	1,042
SunGard Data Systems, Inc.	(a)263,300	9,084
Telefonaktiebolaget LM Ericsson ADR	(a)(c)85,700	2,417
		74,482
Materials (12.9%)
Alcoa, Inc.	1,037,200	31,521
Dow Chemical Co. (The)	260,400	12,981
E.I. du Pont de Nemours & Co.	775,800	39,752
Georgia-Pacific Corp.	1,187,810	42,155
International Paper Co.	1,827,000	67,215
Neenah Paper, Inc.	(c)14,809	498
Rohm & Haas Co.	228,100	10,949
		205,071
Telecommunication Services (8.1%)
Amdocs Ltd.	(a)67,000	1,903
SBC Communications, Inc.	1,943,300	46,037
Sprint Corp.	(c)1,298,200	29,534
Verizon Communications, Inc.	1,424,200	50,559
		128,033
Utilities (4.1%)
American Electric Power Co., Inc.	360,900	12,292
Constellation Energy Group, Inc.	271,900	14,057
Dominion Resources, Inc.	189,000	14,067
FirstEnergy Corp.	366,000	15,354
Public Service Enterprise Group, Inc.	159,300	8,665
		64,435

The accompanying notes are an integral part of the financial statements.

14

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Value Portfolio

			Value
			(000)
Total Common Stocks (Cost $1,376,334)			$	1,534,626
	Face
	Amount
	(000)
Short-Term Investments (8.4%)
Short-Term Debt Securities held as Collateral on Loaned Securities (5.5%)
Abbey National Treasury Services,	$	(h)1,281	1,281
2.64%, 1/13/06
ASAP Funding Ltd., 2.77%, 4/25/05	1,032		1,032
Banco Bilbao Viz Argentaria, N.Y., 2.81%, 5/16/05	863		863
Bank of America Corp., 2.71%, 5/6/05	857		857
Bank of New York,
2.74%, 4/4/06	(h)863		863
2.83%, 10/28/05	(h)2,830		2,830
Bear Stearns,
2.93%, 4/15/05	(h)1,554		1,554
2.96%, 12/5/05	(h)760		760
Beta Finance, Inc.,
2.71%, 4/19/05	464		464
2.81%, 5/4/05	(h)864		864
2.90%, 6/10/05	514		514
Calyon, N.Y., 2.89%, 2/27/06	(h)690		690
CC USA, Inc.,
2.83%, 11/28/05	(h)1,037		1,037
2.91%, 6/8/05	1,713		1,713
2.92%, 10/28/05	(h)829		829
CIC, N.Y., 2.78%, 2/13/06	(h)2,588		2,588
CIT Group Holdings, 2.72%, 7/29/05	(h)1,086		1,086
Citigroup, Inc., 2.90%, 9/1/05	(h)829		829
Compass Securitization,
2.86%, 5/25/05	1,200		1,200
2.97%, 6/15/05	685		685
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	1,898		1,898
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	3,886		3,886
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)1,150		1,150
Eni Coordination Center, 2.89%, 8/29/05	(h)863		863
Eurohypo AG, N.Y., 2.90%, 5/18/05	1,726		1,726
Galaxy Funding, Inc., 2.97%, 6/13/05	857		857
Giro Multi-Funding Corp., 3.00%, 6/15/05	1,714		1,714
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)863		863
HBOS Treasury Services plc, N.Y.,	2,405		2,405
2.73%, 4/28/05
International Lease Finance Corp.,	(h)1,330		1,330
3.04%, 9/22/05
Internationale Nederlanden U.S. Funding,	1,116		1,116
2.88%, 6/3/05
K2 (USA) LLC,
2.78%, 2/15/06	(h)794		794
2.83%, 10/24/05-3/22/06	(h)3,209		3,209
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)2,588		2,588
2.86%, 2/27/06	(h)1,036		1,036
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)2,416		2,416
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	690		690
Nationwide Building Society,
2.77%, 1/13/06	$	(h)1,381	$	1,381
3.12%, 3/31/06	(h)2,002		2,002
Pfizer, Inc., 2.71%, 5/1/06	(h)1,726		1,726
Procter & Gamble Co., 2.93%, 5/1/06	(h)708		708
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)1,726		1,726
Scaldis Capital LLC, 2.69%, 4/7/05	861		861
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)1,726		1,726
2.84%, 3/22/06	(h)1,726		1,726
SLM Corp., 2.85%, 5/1/06	(h)1,726		1,726
Svenska Handelsbank N.Y., 2.82%, 5/10/05	(h)1,726		1,726
Tango Finance Corp., 2.83%, 3/22/06	(h)1,450		1,450
UBS Securities LLC, 2.89%, 4/1/05	13,289		13,289
Washington Mutual Bank FA,
2.81%, 5/3/05	1,726		1,726
2.82%, 5/2/05	863		863
Westdeutsche Landesbank N.Y.,
2.74%, 8/9/05	(h)863		863
Yorktown Capital LLC, 2.81%, 4/19/05	1,722		1,722
			86,301
	Shares
Investment Company held as Collateral on Loaned Securities (0.0%)
JPMorgan Securities Lending Collateral Investment Fund	586,791		587
	Face
	Amount
	(000)
Repurchase Agreement (2.9%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $45,342	$	(f)45,338	45,338
Total Short-Term Investments (Cost $132,226)			132,226
Total Investments (105.4%) (Cost $1,508,560) — Including $85,878 of Securities Loaned			1,666,852
Liabilities in Excess of Other Assets (-5.4%)			(85,315		)
Net Assets (100%)			$	1,581,537

(a)	Non-income producing security
(c)	All or a portion of security on loan at March 31, 2005.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(h)	Variable/Floating Rate Security — interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.

The accompanying notes are an integral part of the financial statements.

15

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Value Portfolio

(k)	Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)
ADR	American Depositary Receipt

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry, as a percentage of total investments.

*Industries which do not appear in the top 10 industries and industries which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

16

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Assets and Liabilities

	Equity Portfolio (000)			Mid Cap Growth Portfolio (000)			U.S. Mid Cap Value Portfolio (000)			U.S. Small Cap Value Portfolio (000)		Value Portfolio (000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	201,983		$	1,183,232		$	157,913		$	279,923	$	1,508,560
Investments in Securities of Unaffiliated Issuers, at Value:(1)	221,490			1,373,694			184,745			343,685		1,666,852
Cash	1			1			2			#—		#—
Receivable for Portfolio Shares Sold	169			2,407			362			381		1,342
Receivable for Investments Sold	1,319			7,259			3,082			1,320		—
Dividends Receivable	369			137			273			292		3,273
Interest Receivable	1			2			1			#—		4
Other Assets	5			33			7			31		33
Total Assets	223,354			1,383,533			188,472			345,709		1,671,504
Liabilities:
Collateral on Securities Loaned, at Value	12,265			—			—			—		86,888
Bank Overdraft Payable	—			—			—			19		—
Payable for Investments Purchased	1,803			9,058			—			1,902		—
Payable for Portfolio Shares Redeemed	109			2,513			245			365		688
Payable for Investment Advisory Fees	247			1,692			396			578		1,838
Payable for Administration Fees	17			100			17			27		113
Payable for Custodian Fees	11			26			10			17		29
Payable for Trustees’ Fees and Expenses	9			33			25			21		25
Payable for Distribution Fees — Adviser Class	#—			164			11			5		258
Payable for Shareholder Servicing Fees — Investment Class	—			—			1			—		7
Other Liabilities	28			112			45			54		121
Total Liabilities	14,489			13,698			750			2,988		89,967
Net Assets	$	208,865		$	1,369,835		$	187,722		$	342,721	$	1,581,537
Net Assets Consist Of:
Paid-in Capital	$	276,579		$	2,195,418		$	378,034		$	268,556	$	1,398,290
Undistributed (Distributions in Excess of) Net Investment Income	756			(1,808		)	634			1,373		6,854
Accumulated Net Realized Gain (Loss)	(87,977		)	(1,014,237		)	(217,778		)	9,030		18,101
Unrealized Appreciation (Depreciation) on:
Investments	19,507			190,462			26,832			63,762		158,292
Net Assets	$	208,865		$	1,369,835		$	187,722		$	342,721	$	1,581,537
INSTITUTIONAL CLASS:
Net Assets	$	208,865		$	611,233		$	131,594		$	317,675	$	312,062
Shares Outstanding(unlimited number of shares authorized, no par value) (not in 000’s)	18,458,873			29,801,109			5,602,697			14,227,557		17,637,332
Net Asset Value, Offering and Redemption Price Per Share	$	11.32		$	20.51		$	23.49		$	22.33	$	17.69
INVESTMENT CLASS:
Net Assets	$	—		$	—		$	5,829		$	—	$	53,972
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	—			—			249,317			—		3,046,329
Net Asset Value, Offering and Redemption Price Per Share	$	—		$	—		$	23.38		$	—	$	17.72
ADVISER CLASS:*
Net Assets	$	—		$	758,602		$	50,299		$	25,046	$	1,215,503
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	—			37,853,241			2,152,351			1,125,782		68,785,588
Net Asset Value, Offering and Redemption Price Per Share	$	—		$	20.04		$	23.37		$	22.25	$	17.67
(1) Including:
Securities on Loan, at Value:	12,086			—			—			—		85,878

#Amount is less than $500.

*On January 3, 2005, the Adviser Class of the Equity Portfolio was fully liquidated. However, this class is still active.

The accompanying notes are an integral part of the financial statements.

17

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2005

	Equity Portfolio (000)		Mid Cap Growth Portfolio (000)			U.S. Mid Cap Value Portfolio (000)			U.S. Small Cap Value Portfolio (000)		Value Portfolio (000)
Investment Income†:
Dividends	$	2,076	$	3,228		$	1,836		$	2,637	$	17,527
Interest	114		270			145			104		782
Total Investment Income	2,190		3,498			1,981			2,741		18,309
Expenses:
Investment Advisory Fees (Note B)	486		3,475			957			1,294		3,542
Administration Fees (Note C)	78		541			99			143		567
Custodian Fees (Note E)	17		39			15			23		46
Shareholder Reporting Fees	11		107			1			29		78
Professional Fees	19		61			24			29		64
Shareholder Servicing Fees — Investment Class Shares (Note D)	—		—			6			—		36
Distribution Fees — Adviser Class Shares (Note D)	—		957			63			30		1,385
Tranfer Agency Fees (Note F)	4		12			10			6		9
Trustees’ Fees and Expenses	2		13			5			5		12
Other Expenses	29		73			31			44		60
Total Expenses	646		5,278			1,211			1,603		5,799
Expense Offset (Note E)	#—		#—			#—			#—		—
Net Expenses	646		5,278			1,211			1,603		5,799
Net Investment Income (Loss)	1,544		(1,780		)	770			1,138		12,510
Realized Gain (Loss):
Investments Sold	11,284		92,617			36,826			9,984		86,401
Futures Contracts	—		—			344			—		—
Net Realized Gain (Loss)	11,284		92,617			37,170			9,984		86,401
Change in Unrealized Appreciation (Depreciation):
Investments	5,566		52,900			(5,185		)	26,977		12,011
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	16,850		145,517			31,985			36,961		98,412
Net Increase (Decrease) in Net Assets Resulting from Operations	$	18,394	$	143,737		$	32,755		$	38,099	$	110,922

†Net of $2, $33, $6, $4, and $0, withholding tax for the Equity, Mid Cap Growth, U.S. Mid Cap Value, U.S. Small Cap Value and Value Portfolios, respectively.

#Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

18

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	Equity Portfolio						Mid Cap Growth Portfolio
	Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)			Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	1,544		$	2,327		$	(1,780	)	$	(4,432	)
Net Realized Gain (Loss)	11,284			18,041			92,617			218,935
Net Change in Unrealized Appreciation (Depreciation)	5,566			5,957			52,900			(4		)
Net Increase (Decrease) in Net Assets Resulting from Operations	18,394			26,325			143,737			214,499
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(1,545		)	(2,001		)	—			—
Adviser Class:**
Net Investment Income	#—			(4		)	—			—
Total Distributions	(1,545		)	(2,005		)	—			—
Capital Share Transactions:(1)
Institutional Class:
Subscribed	29,056			46,331			94,616			250,613
Distributions Reinvested	1,537			1,987			—			—
Redeemed	(21,084		)	(40,435		)	(139,015		)	(326,076		)
Adviser Class:**
Subscribed	—			71			94,183			215,285
Distributions Reinvested	#—			4			—			—
Redeemed	(6		)	(880		)	(141,223		)	(128,115		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	9,503			7,078			(91,439		)	11,707
Total Increase (Decrease) in Net Assets	26,352			31,398			52,298			226,206
Net Assets:
Beginning of Period	182,513			151,115			1,317,537			1,091,331
End of Period	$	208,865		$	182,513		$	1,369,835		$	1,317,537
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	756		$	757		$	(1,808	)	$	—
Accumulated Net Investment Loss Included in End of Period Net Assets	—			—			—			(28		)
(1)Capital Share Transactions:
Institutional Class:
Shares Subscribed	2,622			4,613			4,691			14,307
Shares Issued on Distributions Reinvested	141			201			—			—
Shares Redeemed	(1,922		)	(4,095		)	(6,714		)	(18,775		)
Net Increase (Decrease) in Institutional Class Shares Outstanding	841			719			(2,023		)	(4,468		)
Adviser Class:**
Shares Subscribed	—			7			4,768			12,502
Shares Issued on Distributions Reinvested	—			—			—			—
Shares Redeemed	(1		)	(84		)	(7,091		)	(7,465		)
Net Increase (Decrease) in Adviser Class Shares Outstanding	(1		)	(77		)	(2,323		)	5,037

#      Amount is less than $500.

**   On January 3, 2005, the Adviser Class of the Equity Portfolio was fully liquidated. However, this class is still active.

The accompanying notes are an integral part of the financial statements.

19

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	U.S. Mid Cap Value Portfolio						U.S. Small Cap Value Portfolio						Value Portfolio
	Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)			Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)			Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	770		$	2,023		$	1,138		$	837		$	12,510		$	18,670
Net Realized Gain (Loss)	37,170			120,265			9,984			161,445			86,401			206,865
Net Change in Unrealized Appreciation (Depreciation)	(5,185		)	(50,029		)	26,977			(47,131		)	12,011			(4,617		)
Net Increase (Decrease) in Net Assets Resulting from Operations	32,755			72,259			38,099			115,151			110,922			220,918
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(932		)	(873		)	(168		)	(821		)	(2,476		)	(5,881		)
Net Realized Gain	—			—			(33,120		)	—			—			—
Investment Class:
Net Investment Income	(13		)	(12		)	—			—			(345		)	(475		)
Adviser Class:
Net Investment Income	(56		)	(10		)	—			—			(7,694		)	(11,043		)
Net Realized Gain	—			—			(2,115		)	—			—			—
Total Distributions	(1,001		)	(895		)	(35,403		)	(821		)	(10,515		)	(17,399		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	24,643			106,789			13,177			151,827			45,013			76,613
Issued on Portfolio Merger	—			—			—			57,922			—			—
Distributions Reinvested	908			852			30,907			738			2,180			5,517
Redeemed	(166,092		)	(359,368		)	(111,972		)	(464,461		)	(31,792		)	(234,798		)
Investment Class:
Subscribed	696			2,884			—			—			14,094			19,094
Distributions Reinvested	13			12			—			—			344			474
Redeemed	(4,643		)	(9,077		)	—			—			(2,604		)	(12,518		)
Adviser Class:
Subscribed	5,918			22,406			3,277			25,773			229,309			321,821
Distributions Reinvested	55			11			2,115			—			7,688			11,032
Redeemed	(16,450		)	(64,465		)	(2,907		)	(81,712		)	(40,520		)	(145,371		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	(154,952		)	(299,956		)	(65,403		)	(309,913		)	223,712			41,864
Total Increase (Decrease) in Net Assets	(123,198		)	(228,592		)	(62,707		)	(195,583		)	324,119			245,383
Net Assets:
Beginning of Period	310,920			539,512			405,428			601,011			1,257,418			1,012,035
End of Period	$	187,722		$	310,920		$	342,721		$	405,428		$	1,581,537		$	1,257,418
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	634		$	865		$	1,373		$	403		$	6,854		$	4,859
(1)    Capital Share Transactions:
Institutional Class:
Shares Subscribed	1,085			5,283			579			7,252			2,581			4,857
Shares Issued on Portfolio Merger	—			—			—			2,741			—			—
Shares Issued on Distributions Reinvested	39			42			1,381			36			126			364
Shares Redeemed	(7,197		)	(18,097		)	(4,933		)	(22,333		)	(1,827		)	(15,131		)
Net Increase (Decrease) in Institutional Class Shares Outstanding	(6,073		)	(12,772		)	(2,973		)	(12,304		)	880			(9,910		)
Investment Class:
Shares Subscribed	30			141			—			—			822			1,214
Shares Issued on Distributions Reinvested	1			1			—			—			20			31
Shares Redeemed	(205		)	(443		)	—			—			(149		)	(809		)
Net Increase (Decrease) in Investment Class Shares Outstanding	(174		)	(301		)	—			—			693			436
Adviser Class:
Shares Subscribed	262			1,117			144			1,258			13,265			20,409
Shares Issued on Distributions Reinvested	2			1			95			—			445			719
Shares Redeemed	(748		)	(3,201		)	(128		)	(3,789		)	(2,360		)	(9,379		)
Net Increase (Decrease) in Adviser Class Shares Outstanding	(484		)	(2,083		)	111			(2,531		)	11,350			11,749

The accompanying notes are an integral part of the financial statements.

20

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Equity Portfolio

	Institutional Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.36		$	8.90		$	7.18		$	9.75		$	17.28		$	19.82
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.09		†	0.14		†	0.11		†	0.08		†	0.09		†	0.05		†
Net Realized and Unrealized Gain (Loss) on Investments	0.99			1.44			1.72			(2.57		)	(4.78		)	3.53
Total from Investment Operations	1.08			1.58			1.83			(2.49		)	(4.69		)	3.58
Distributions from and/or in Excess of:
Net Investment Income	(0.12		)	(0.12		)	(0.11		)	(0.08		)	(0.09		)	(0.05		)
Net Realized Gain	—			—			—			—			(2.75		)	(6.07		)
Total Distributions	(0.12		)	(0.12		)	(0.11		)	(0.08		)	(2.84		)	(6.12		)
Net Asset Value, End of Period	$	11.32		$	10.36		$	8.90		$	7.18		$	9.75		$	17.28
Total Return	10.13		%‡	17.83		%	25.78		%	(25.71		)%	(30.58		)%	19.83		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	208,865		$	182,508		$	150,432		$	171,698		$	403,062		$	615,078
Ratio of Expenses to Average Net Assets (1)	0.65		%*	0.66		%	0.63		%	0.66		%	0.62		%	0.61		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.55		%*	1.38		%	1.35		%	0.78		%	0.71		%	0.27		%
Portfolio Turnover Rate	34		%‡	113		%	59		%	93		%	160		%	211		%
(1)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.65		%*	0.66		%	0.62		%	0.66		%	0.62		%	0.61		%
	Adviser Class
	**Period Ended January 3, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.33		$	8.88		$	7.17		$	9.71		$	17.24		$	19.79
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.04		†	0.10†			0.09†			0.05†			0.06†			0.01†
Net Realized and Unrealized Gain (Loss) on Investments	1.03			1.45			1.71			(2.55		)	(4.78		)	3.53
Total from Investment Operations	1.07			1.55			1.80			(2.50		)	(4.72		)	3.54
Distributions from and/or in Excess of:
Net Investment Income	(0.07		)	(0.10		)	(0.09		)	(0.04		)	(0.06		)	(0.02		)
Net Realized Gain	—			—			—			—			(2.75		)	(6.07		)
Total Distributions	(0.07		)	(0.10		)	(0.09		)	(0.04		)	(2.81		)	(6.09		)
Net Asset Value, End of Period	$	11.33		$	10.33		$	8.88		$	7.17		$	9.71		$	17.24
Total Return	9.10		%‡	17.49		%	25.35		%	(25.83		)%	(30.81		)%	19.58		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	5		$	5		$	683		$	601		$	1,063		$	5,039
Ratio of Expenses to Average Net Assets (2)	1.62		%*	0.91		%	0.88		%	0.91		%	0.86		%	0.86		%
Ratio of Net Investment Income (Loss) to Average Net Assets	2.50		%*	1.13		%	1.10		%	0.53		%	0.48		%	0.04		%
Portfolio Turnover Rate	34		%‡	113		%	59		%	93		%	160		%	211		%
(2)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	1.61		%*	0.91		%	0.87		%	0.91		%	0.86		%	0.86		%

†Per share amount is based on average shares outstanding.

‡Not Annualized

*Annualized

**On January 3, 2005, the Adviser Class was fully liquidated, however, this Class is still active.

The accompanying notes are an integral part of the financial statements.

21

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Mid Cap Growth Portfolio

	Institutional Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	18.52		$	15.42		$	11.65		$	14.80		$	35.15		$	25.77
Income (Loss) from Investment Operations
Net Investment Income (Loss)	(0.01		)†	(0.04		)†	(0.05		)†	(0.05		)†	(0.05		)	(0.06		)
Net Realized and Unrealized Gain (Loss) on Investments	2.00			3.14			3.82			(3.10		)	(16.44		)	13.71
Total from Investment Operations	1.99			3.10			3.77			(3.15		)	(16.49		)	13.65
Distributions from and/or in Excess of:
Net Realized Gain	—			—			—			—			(3.86		)	(4.27		)
Net Asset Value, End of Period	$	20.51		$	18.52		$	15.42		$	11.65		$	14.80		$	35.15
Total Return	10.75		%‡	20.10		%	32.36		%	(21.28		)%	(50.80		)%	56.60		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	611,233		$	589,479		$	559,760		$	438,778		$	1,063,186		$	2,109,750
Ratio of Expenses to Average Net Assets (1)	0.62		%*	0.63		%	0.64		%	0.65		%	0.61		%	0.62		%
Ratio of Net Investment Income (Loss) to Average Net Assets	(0.12		)%*	(0.23		)%	(0.37		)%	(0.35		)%	(0.25		)%	(0.21		)%
Portfolio Turnover Rate	50		%‡	147		%	180		%	221		%	145		%	169		%
(1)Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.62		%*	0.63		%	0.63		%	0.64		%	0.60		%	0.61		%
	Adviser Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	18.12		$	15.13		$	11.45		$	14.59		$	34.79		$	25.59
Income (Loss) from Investment Operations
Net Investment Income (Loss)	(0.04		)†	(0.08		)†	(0.08		)†	(0.09		)†	(0.10		)	(0.09		)
Net Realized and Unrealized Gain (Loss) on Investments	1.96			3.07			3.76			(3.05		)	(16.24		)	13.56
Total from Investment Operations	1.92			2.99			3.68			(3.14		)	(16.34		)	13.47
Distributions from and/or in Excess of:
Net Realized Gain	—			—			—			—			(3.86		)	(4.27		)
Net Asset Value, End of Period	$	20.04		$	18.12		$	15.13		$	11.45		$	14.59		$	34.79
Total Return	10.60		%‡	19.76		%	32.14		%	(21.52		)%	(50.91		)%	56.24		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	758,602		$	728,058		$	531,571		$	386,206		$	656,786		$	979,694
Ratio of Expenses to Average Net Assets (2)	0.87		%*	0.88		%	0.89		%	0.90		%	0.86		%	0.87		%
Ratio of Net Investment Income (Loss) to Average Net Assets	(0.37		)%*	(0.48		)%	(0.62		)%	(0.60		)%	(0.50		)%	(0.46		)%
Portfolio Turnover Rate	50		%‡	147		%	180		%	221		%	145		%	169		%
(2)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.87		%*	0.88		%	0.88		%	0.89		%	0.85		%	0.86		%

†Per share amount is based on average shares outstanding.

‡Not Annualized

*Annualized

The accompanying notes are an integral part of the financial statements.

22

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

U.S. Mid Cap Value Portfolio

	Institutional Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	21.13		$	18.07		$	13.50		$	16.91		$	25.07		$	21.88
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.07		†	0.12		†	0.02		†	(0.01		)†	0.05		†	0.06		†
Net Realized and Unrealized Gain (Loss) on Investments	2.38			2.99			4.55			(3.38		)	(4.91		)	5.78
Total from Investment Operations	2.45			3.11			4.57			(3.39		)	(4.86		)	5.84
Distributions from and/or in Excess of:
Net Investment Income	(0.09		)	(0.05		)	—			(0.02		)	(0.08		)	(0.08		)
Net Realized Gain	—			—			—			—			(3.22		)	(2.57		)
Total Distributions	(0.09		)	(0.05		)	—			(0.02		)	(3.30		)	(2.65		)
Net Asset Value, End of Period	23.49			$	21.13		$	18.07		$	13.50		$	16.91		$	25.07
Total Return	11.60		%‡	17.23		%	33.85		%	(20.09		)%	(21.23		)%	29.48		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	131,594			$	246,694		$	441,775		$	672,507		$	1,096,021		$	1,374,275
Ratio of Expenses to Average Net Assets (1)	0.86		%*	0.90		%	0.88		%	0.89		%	0.86		%	0.87		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.63		%*	0.57		%	0.13		%	(0.05		)%	0.22		%	0.28		%
Portfolio Turnover Rate	37		%‡	146		%	138		%	145		%	176		%	226		%
(1)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.86		%*	0.90		%	0.87		%	0.89		%	0.85		%	0.85		%
	Investment Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	21.00		$	17.95		$	13.43		$	16.83		$	24.97		$	21.80
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.05		†	0.08		†	(0.01		)†	(0.03		)†	0.01		†	0.03		†
Net Realized and Unrealized Gain (Loss) on Investments	2.37			2.99			4.53			(3.37		)	(4.88		)	5.75
Total from Investment Operations	2.42			3.07			4.52			(3.40		)	(4.87		)	5.78
Distributions from and/or in Excess of:
Net Investment Income	(0.04		)	(0.02		)	—			—			(0.05		)	(0.04		)
Net Realized Gain	—			—			—			—			(3.22		)	(2.57		)
Total Distributions	(0.04		)	(0.02		)	—			—			(3.27		)	(2.61		)
Net Asset Value, End of Period	$	23.38		$	21.00		$	17.95		$	13.43		$	16.83		$	24.97
Total Return	11.51		%‡	17.09		%	33.66		%	(20.20		)%	(21.36		)%	29.25		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	5,829		$	8,886		$	13,004		$	33,100		$	46,063		$	29,593
Ratio of Expenses to Average Net Assets (2)	1.01		%*	1.05		%	1.03		%	1.04		%	1.01		%	1.02		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.48		%*	0.42		%	(0.02		)%	(0.20		)%	0.05		%	0.14		%
Portfolio Turnover Rate	37		%‡	146		%	138		%	145		%	176		%	226		%
(2)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	1.01		%*	1.05		%	1.02		%	1.04		%	1.00		%	1.00		%

†      Per share amount is based on average shares outstanding.

‡      Not Annualized

*      Annualized

The accompanying notes are an integral part of the financial statements.

23

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

U.S. Mid Cap Value Portfolio

	Adviser Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	20.99		$	17.95		$	13.44		$	16.87		$	25.02		$	21.86
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.04		†	0.07		†	(0.02		)†	(0.05		)†	(0.01		)†	0.01		†
Net Realized and Unrealized Gain (Loss) on Investments	2.36			2.97			4.53			(3.38		)	(4.88		)	5.76
Total from Investment Operations	2.40			3.04			4.51			(3.43		)	(4.89		)	5.77
Distributions from and/or in Excess of:
Net Investment Income	(0.02		)	(0.00		)#	—			—			(0.04		)	(0.04		)
Net Realized Gain	—			—			—			—			(3.22		)	(2.57		)
Total Distributions	(0.02		)	(0.00		)#	—			—			(3.26		)	(2.61		)
Net Asset Value, End of Period	$	23.37		$	20.99		$	17.95		$	13.44		$	16.87		$	25.02
Total Return	11.46		%‡	16.95		%	33.56		%	(20.33		)%	(21.40		)%	29.12		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	50,299		$	55,340		$	84,733		$	99,553		$	105,479		$	98,588
Ratio of Expenses to Average Net Assets (1)	1.11		%*	1.15		%	1.13		%	1.14		%	1.11		%	1.12		%
Ratio of Net Investment Income (Loss) to Average Net
Assets	0.38		%*	0.32		%	(0.12		)%	(0.30		)%	(0.03		)%	0.03		%
Portfolio Turnover Rate	37		%‡	146		%	138		%	145		%	176		%	226		%
(1)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	1.11		%*	1.15		%	1.12		%	1.14		%	1.10		%	1.10		%

†      Per share amount is based on average shares outstanding.

‡      Not Annualized

#      Amount is less than $0.005 per share.

*      Annualized

The accompanying notes are an integral part of the financial statements.

24

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

U.S. Small Cap Value Portfolio

	Institutional Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	22.26		$	18.19		$	14.04		$	15.16		$	21.18		$	18.62
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.07		†	0.04		†	0.03		†	0.06		†	0.10		†	0.09		†
Net Realized and Unrealized Gain (Loss) on Investments	2.08			4.06			4.18			(1.10		)	(4.35		)	4.01
Total from Investment Operations	2.15			4.10			4.21			(1.04		)	(4.25		)	4.10
Distributions from and/or in Excess of:
Net Investment Income	(0.01		)	(0.03		)	(0.06		)	(0.05		)	(0.07		)	(0.14		)
Net Realized Gain	(2.07		)	—			—			(0.03		)	(1.70		)	(1.40		)
Total Distributions	(2.08		)	(0.03		)	(0.06		)	(0.08		)	(1.77		)	(1.54		)
Net Asset Value, End of Period	$	22.33		$	22.26		$	18.19		$	14.04		$	15.16		$	21.18
Total Return	9.62		%‡	22.57		%	30.09		%	(6.97		)%	(21.25		)%	23.11		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	317,675		$	382,898		$	536,620		$	588,803		$	1,017,346		$	1,269,171
Ratio of Expenses to Average Net Assets (1)	0.83		%*	0.90		%	0.89		%	0.89		%	0.86		%	0.86		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.62		%*	0.18		%	0.21		%	0.35		%	0.52		%	0.43		%
Portfolio Turnover Rate	33		%‡	104		%	159		%	118		%	157		%	193		%
(1)Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.83		%*	0.90		%	0.89		%	0.89		%	0.86		%	0.85		%
	Adviser Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	22.20		$	18.16		$	14.01		$	15.13		$	21.15		$	18.62
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.04		†	(0.02		)†	(0.01		)†	0.02		†	0.05		†	0.04		†
Net Realized and Unrealized Gain (Loss) on Investments	2.08			4.06			4.18			(1.11		)	(4.34		)	4.02
Total from Investment Operations	2.12			4.04			4.17			(1.09		)	(4.29		)	4.06
Distributions from and/or in Excess of:
Net Investment Income	—			—			(0.02		)	(0.00		)#	(0.03		)	(0.13		)
Net Realized Gain	(2.07		)	—			—			(0.03		)	(1.70		)	(1.40		)
Total Distributions	(2.07		)	—			(0.02		)	(0.03		)	(1.73		)	(1.53		)
Net Asset Value, End of Period	22.25			$	22.20		$	18.16		$	14.01		$	15.13		$	21.15
Total Return	9.45		%‡	22.30		%	29.76		%	(7.22		)%	(21.46		)%	22.83		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	25,046		$	22,530		$	64,391		$	51,964		$	55,259		$	47,708
Ratio of Expenses to Average Net Assets (2)	1.08		%*	1.15		%	1.14		%	1.14		%	1.11		%	1.11		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.34		%*	(0.07		)%	(0.04		)%	0.10		%	0.26		%	0.18		%
Portfolio Turnover Rate	33		%‡	104		%	159		%	118		%	157		%	193		%
(2)Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	1.08		%*	1.15		%	1.14		%	1.14		%	1.11		%	1.10		%

†      Per share amount is based on average shares outstanding.

‡      Not Annualized

#      Amount is less than $0.005 per share.

*      Annualized

The accompanying notes are an integral part of the financial statements.

25

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Value Portfolio

	Institutional Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	16.44		$	13.64		$	10.65		$	13.80		$	12.86		$	13.59
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.17		†	0.27		†	0.19		†	0.16		†	0.19		†	0.16		†
Net Realized and Unrealized Gain (Loss) on Investments	1.23			2.79			2.99			(3.14		)	0.93			0.95
Total from Investment Operations	1.40			3.06			3.18			(2.98		)	1.12			1.11
Distributions from and/or in Excess of:
Net Investment Income	(0.15		)	(0.26		)	(0.19		)	(0.17		)	(0.18		)	(0.18		)
Net Realized Gain	—			—			—			—			—			(1.66		)
Total Distributions	(0.15		)	(0.26		)	(0.19		)	(0.17		)	(0.18		)	(1.84		)
Net Asset Value, End of Period	$	17.69		$	16.44		$	13.64		$	10.65		$	13.80		$	12.86
Total Return	8.51		%‡	22.56		%	30.19		%	(21.93		)%	8.68		%	9.67		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	312,062		$	275,494		$	363,636		$	456,996		$	656,007		$	690,859
Ratio of Expenses to Average Net Assets (1)	0.60		%*	0.63		%	0.63		%	0.64		%	0.62		%	0.61		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.91		%*	1.75		%	1.57		%	1.09		%	1.26		%	1.32		%
Portfolio Turnover Rate	25		%‡	95		%	65		%	42		%	38		%	50		%
(1)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.60		%*	0.63		%	0.62		%	0.64		%	0.61		%	0.60		%
	Investment Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	16.46		$	13.65		$	10.65		$	13.80		$	12.86		$	13.58
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.15		†	0.25		†	0.17		†	0.14		†	0.16		†	0.15		†
Net Realized and Unrealized Gain (Loss) on Investments	1.24			2.79			3.00			(3.15		)	0.93			0.94
Total from Investment Operations	1.39			3.04			3.17			(3.01		)	1.09			1.09
Distributions from and/or in Excess of:
Net Investment Income	(0.13		)	(0.23		)	(0.17		)	(0.14		)	(0.15		)	(0.15		)
Net Realized Gain	—			—			—			—			—			(1.66		)
Total Distributions	(0.13		)	(0.23		)	(0.17		)	(0.14		)	(0.15		)	(1.81		)
Net Asset Value, End of Period	$	17.72		$	16.46		$	13.65		$	10.65		$	13.80		$	12.86
Total Return	8.49		%‡	22.37		%	30.06		%	(22.06		)%	8.46		%	9.50		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	53,972		$	38,742		$	26,169		$	19,440		$	19,552		$	4,069
Ratio of Expenses to Average Net Assets (2)	0.75		%*	0.78		%	0.78		%	0.79		%	0.77		%	0.76		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.78		%*	1.60		%	1.42		%	0.94		%	1.08		%	1.19		%
Portfolio Turnover Rate	25		%‡	95		%	65		%	42		%	38		%	50		%
(2)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.75		%*	0.78		%	0.77		%	0.79		%	0.76		%	0.75		%

† Per share amount is based on average shares outstanding.

‡ Not Annualized

* Annualized

The accompanying notes are an integral part of the financial statements.

26

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Value Portfolio

	Adviser Class
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30,
Selected Per Share Data and Ratios				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	16.42		$	13.62		$	10.63		$	13.78		$	12.83		$	13.57
Income (Loss) from Investment Operations
Net Investment Income (Loss)	0.14		†	0.23		†	0.16		†	0.12		†	0.15		†	0.13		†
Net Realized and Unrealized Gain (Loss) on Investments	1.24			2.79			2.99			(3.14		)	0.94			0.94
Total from Investment Operations	1.38			3.02			3.15			(3.02		)	1.09			1.07
Distributions from and/or in Excess of:
Net Investment Income	(0.13		)	(0.22		)	(0.16		)	(0.13		)	(0.14		)	(0.15		)
Net Realized Gain	—			—			—			—			—			(1.66		)
Total Distributions	(0.13		)	(0.22		)	(0.16		)	(0.13		)	(0.14		)	(1.81		)
Net Asset Value, End of Period	$	17.67		$	16.42		$	13.62		$	10.63		$	13.78		$	12.83
Total Return	8.40		%‡	22.28		%	29.87		%	(22.17		)%	8.49		%	9.31		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,215,503		$	943,182		$	622,230		$	534,668		$	805,799		$	301,497
Ratio of Expenses to Average Net Assets (1)	0.85		%*	0.88		%	0.88		%	0.89		%	0.87		%	0.86		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.66		%*	1.50		%	1.32		%	0.84		%	0.99		%	1.05		%
Portfolio Turnover Rate	25		%‡	95		%	65		%	42		%	38		%	50		%
(1)  Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets including Expense Offsets	0.85		%*	0.88		%	0.87		%	0.89		%	0.86		%	0.85		%

†      Per share amount is based on average shares outstanding.

‡      Not Annualized

*      Annualized

The accompanying notes are an integral part of the financial statements.

27

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements

Morgan Stanley Institutional Fund Trust (“MSIFT” or the “Fund”) is registered under the Investment Company Act of 1940 as an open-end investment company. The Fund is comprised of seventeen active portfolios. The accompanying financial statements and financial highlights are those of the Equity, Mid Cap Growth, U.S. Mid Cap Value, U.S. Small Cap Value, and Value Portfolios, all of which are considered diversified funds for purposes of the 1940 Act (each referred to as a “Portfolio”). The financial statements of the remaining portfolios are presented separately.

The Fund offers up to three different classes of shares for certain Portfolios - Institutional Class shares, Investment Class shares and Adviser Class shares. Each class of shares has identical voting rights (except shareholders of a Class have exclusive voting rights regarding any matter relating solely to that Class of shares), dividend, liquidation and other rights, except each class bears different distribution or service fees as described in Note D. The U.S. Small Cap Value Portfolio is authorized to issue unlimited shares per class but is currently closed to new accounts.

A. Significant Accounting Policies. The following significant accounting policies are in conformity with U.S. generally accepted accounting principles for investment companies. Such policies are consistently followed by the Fund in the preparation of its financial statements. U.S. generally accepted accounting principles may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

1. Security Valuation:  Equity securities listed on a U.S. exchange are valued at the latest quoted sales price on the valuation date. Equity securities listed or traded on NASDAQ, for which market quotations are available, are valued at the NASDAQ Official Closing Price. Securities listed on a foreign exchange are valued at their closing price. Unlisted securities and listed securities not traded on the valuation date for which market quotations are readily available are valued at the mean between the current bid and asked prices obtained from reputable brokers.  Debt securities purchased with remaining maturities of 60 days or less are valued at amortized cost, if it approximates value.

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board of Trustees, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

2. Repurchase Agreements: Each Portfolio may enter into repurchase agreements under which a Portfolio lends excess cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In connection with transactions in repurchase agreements, a bank as custodian for the Fund takes possession of the underlying securities which are held as collateral, with a market value at least equal to the amount of the repurchase transaction, including principal and accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to determine the adequacy of the collateral. In the event of default on the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.

Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Portfolios may transfer their uninvested cash balances into a joint trading account with other Portfolios of the Fund which invests in one or more repurchase agreements. Any such joint repurchase agreement is covered by the same collateral requirements discussed above.

3. Foreign Currency Translation and Foreign Currency Exchange Contracts: The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the bid prices of such currencies against U.S. dollars quoted by a bank. Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on a Portfolio’s books and the U.S. dollar equivalent of amounts actually received or paid.

A foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. Each Portfolio (except the Mid Cap Growth Portfolio) may enter into foreign currency exchange contracts to protect securities and related receivables and payables against future changes in foreign exchange rates.

28

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

Fluctuations in the value of such contracts are recorded as unrealized appreciation or depreciation; realized gains or losses, which are disclosed in the Statements of Operations, include net gains or losses on contracts which have been terminated by settlements. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contract, if any, at the date of default. Risks may also arise from unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

The Portfolios do not 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 the securities held at period end. 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 securities sold during the period. Accordingly, the components of realized and unrealized foreign currency gains (losses) representing foreign exchange changes on investments is included in the reported net realized and unrealized gains (losses) on investment transactions and balances. Changes in currency exchange rates will affect the value of and investment income from such securities and currency.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibly lower level of governmental supervision, relative currency valuation fluctuation, regulation of foreign securities markets and the possibility of political or economic instability.

4. Other: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold.

Interest income is recognized on the accrual basis. Discounts and premiums on securities purchased are amortized over their respective lives. Most expenses of the Fund can be directly attributed to a particular Portfolio. Expenses which cannot be directly attributed are apportioned among the Portfolios on the basis of their relative net assets. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses are allocated to each class of shares based upon their relative net assets.

B. Investment Advisory Fees. Under the terms of an Investment Advisory Agreement, each Portfolio has agreed to pay Morgan Stanley Investment Management Inc. (“MSIM”, formerly Morgan Stanley Investments LP, or the “Adviser”), a wholly-owned subsidiary of Morgan Stanley, for investment advisory services performed at a fee calculated by applying a quarterly rate based on an annual percentage rate to each Portfolio’s average daily net assets for the quarter. Effective November 1, 2004, the investment advisory fees of certain Portfolios were reduced as reflected in the following table.

		Annual
		Investment
	Annual	Advisory Fee
	Investment	Prior to
	Advisory	November 1,
Portfolio	Fee	2004
Equity	0.500% first $150 million	0.500	%
	0.450% next $100 million
	0.400% next $100 million
	0.350% over $350 million
Mid Cap Growth	0.500%	0.500	%
U.S. Mid Cap Value	0.720% first $1 billion	0.750	%
	0.650% over $1 billion
U.S. Small Cap Value	0.670% first $500 million	0.750	%
	0.645% next $500 million
	0.620% over $1 billion
Value	0.500% first $1 billion	0.500	%
	0.450% next $1 billion
	0.400% next $1 billion
	0.350% over $3 billion

C. Administration Fees.  MSIM (the “Administrator”) serves as Administrator to the Fund Pursuant to an Amended and Restated Administration Agreement dated November 1, 2004. Under its Amended and Restated Administration Agreement with the Fund, MSIM receives an annual fee, accrued daily and payable monthly, of 0.08% of each Portfolio’s average daily net assets. Administration cost, (including out-of-pocket expenses incurred in the ordinary course of providing services under the agreement, which were previously borne by the Fund), except pricing services and extraordinary expenses, will now be covered under the Administration Fee. Transfer Agency expenses will no longer be paid by MSIM, but will be borne by the Fund. J.P. Morgan Investor Services Co. (“JPMIS”), a corporate affiliate of JPMorgan Chase Bank, provides fund accounting and other services pursuant to a sub-administration agreement with MSIM and receives compensation for these services.

Prior to November 1, 2004, MSIM served as Administrator to the Fund pursuant to an Administration Agreement. Under the agreement, MSIM received an annual fee, accrued daily and payable monthly, of 0.08% of each Portfolio’s average daily net assets, plus reimbursement of out-of-pocket expenses.

D. Distribution and Shareholder Servicing Fees.  Morgan Stanley Distribution, Inc. (“MSDI” or the “Distributor”), a wholly owned subsidiary of the Adviser, is the distributor for the Fund. MSDI is a limited-purpose broker/dealer whose only function is to distribute open-end mutual fund shares.

29

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

The Distributor provides all classes of shares in each Portfolio with distribution services, and receives fees in connection with these services, pursuant to separate Distribution and Shareholder Servicing Plans (the “Plans”) in accordance with Rule 12b-1 under the Investment Company Act of 1940.

Under the Plans, the Distributor is entitled to distribution fees and shareholder servicing fees for Adviser Class and Investment Class shares, respectively. The distribution fee is an asset-based fee to support distribution efforts and/or servicing of accounts. The Adviser Class of shares pays a distribution fee of 0.25% of average net assets of the class for such services under the 12b-1 plan adopted by the Fund. The Investment Class of shares pays a shareholder servicing fee of 0.15% of average net assets of the class. The shareholder servicing fee is used to support the expenses associated with servicing and maintaining accounts. Both fees are paid directly to MSDI. The distribution fee may be retained by MSDI if an Adviser Class shareholder invests directly through MSDI. Usually the fees are paid by MSDI to external organizations such as 401(k) alliance sponsors, discount brokers and bank trust departments who distribute MSIFT Portfolios to the public.

E. Custodian Fees. JPMorgan Chase Bank serves as custodian for the Fund in accordance with a custodian agreement. The Custodian holds cash, securities, and other assets of the Fund as required by the 1940 Act.

The Portfolios have entered into an arrangement with their custodian whereby credits realized on uninvested cash balances were used to offset a portion of each applicable Portfolio’s expenses. These custodian credits are shown as “expense offset” on the Statements of Operations.

F. Transfer Agency Fees.  JPMIS, a corporate affiliate of JPMorgan Chase Bank serves as Transfer Agent to the Fund pursuant to a Transfer Agency Agreement.  Prior to November 1, 2004, the Transfer Agency expenses were borne by MSIM.

G. Portfolio Investment Activity.

1. Purchases and Sales of Securities. For the six months ended March 31, 2005, purchases and sales of investment securities other than temporary cash investments and long-term U.S. government securities were:

Portfolio	Purchases		Sales
	(000)		(000)
Equity	$	70,654	$	64,746
Mid Cap Growth	680,205		790,806
U.S. Mid Cap Value	92,669		251,200
U.S. Small Cap Value	121,195		218,462
Value	574,789		345,864

For the six months ended March 31, 2005, there were no purchases or sales of long-term U.S. government securities.

2. Transactions with Affiliates. During the six months ended March 31, 2005, the following Portfolios paid brokerage commissions to Morgan Stanley & Co., an affiliated broker/ dealer.

	Broker
Portfolio	Commissions
	(000)
Equity	$	4
Mid Cap Growth	35
U.S. Mid Cap Value	14
U.S. Small Cap Value	26
Value	20

H. Securities Lending. Certain Portfolios may lend investment securities to qualified financial institutions, such as broker-dealers, to earn additional income. Any increase or decrease in the fair value of the securities loaned that might occur and any interest earned or dividends declared on those securities during the term of the loan would remain in the Portfolio.  Portfolios that lend securities receive cash or securities as collateral in an amount equal to or exceeding 100% of the current fair value of the loaned securities. The collateral is marked to market daily, by the securities lending agent, to ensure that a minimum of 100% collateral coverage is maintained. 

Based on pre-established guidelines, the securities lending agent invests any cash collateral that is received in high-quality short-term investments. Securities lending income is generated from the earnings on the invested collateral and borrowing fees, less any rebates owed to the borrowers and compensation to the lending agent, and is included in the Portfolios’ Statements of Operations in interest income. Risks in securities lending transactions are that a borrower may not provide additional collateral when required or return the securities when due, and that the value of the short-term investments will be less than the amount of cash collateral plus any rebate that is required to be returned to the borrower. The value of loaned securities and related collateral outstanding at March 31, 2005 are as follows:

	Value of
	Loaned		Value of
Portfolio	Securities		Collateral
	(000)		(000)
Equity	$	12,086	$	12,265
Value	85,878		86,888

For the six months ended March 31, 2005, the following Portfolios had income from securities lending (after rebates to borrowers and fee paid to securities lending agent):

	Net Interest
	Earned by
Portfolio	Portfolio
	(000)
Equity	$	10
Value	78

30

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

I. Federal Income Taxes. It is each Portfolio’s intention to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements. Dividend income and distributions to shareholders are recorded on the ex-dividend date.

Dividends from net investment income, if any, are declared and paid quarterly for the Equity and Value Portfolios. The Mid Cap Growth, U.S. Mid Cap Value, and U.S. Small Cap Value Portfolios dividends are declared and paid annually. Net realized capital gains, if any, are distributed at least annually.

The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2004 and 2003 were as follows:

	2004 Distributions		2003 Distributions
	Paid From:		Paid From:
	Ordinary		Ordinary
Portfolio	Income		Income
	(000)		(000)
Equity	$	2,005	$	2,546
U.S. Mid Cap Value	895		—
U.S. Small Cap Value	821		2,339
Value	17,399		14,121

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. The book/tax differences are either considered temporary or permanent in nature.

Temporary differences are generally due to differing book and tax treatments in the timing of the recognition of gains or losses on securities and futures, including Post October Losses. Permanent differences are generally due to REIT adjustments, net operating losses, litigation payments and distribution reclasses. Permanent book and tax basis differences may result in reclassifications to undistributed (distributions in excess of) net investment income (or accumulated net investment loss), accumulated net realized gain (loss) and paid-in capital.

At September 30, 2004, the components of distributable earnings on a tax basis were as follows:

	Undistributed		Undistributed
	Ordinary		Long-Term
Portfolio	Income		Capital Gain
	(000)		(000)
Equity	$	757	$	—
U.S. Mid Cap Value	888		—
U.S. Small Cap Value	168		35,185
Value	4,859		—

At March 31, 2005, cost, unrealized appreciation, unrealized depreciation and net unrealized appreciation (depreciation) of securities for Federal income tax purposes were:

								Net
								Appreciation
Portfolio	Cost		Appreciation		Depreciation			(Depreciation)
	(000)		(000)		(000)			(000)
Equity	$	201,983	$	23,912	$	(4,405	)	$	19,507
Mid Cap Growth	1,183,232		219,753		(29,291		)	190,462
U.S. Mid Cap Value	157,913		30,300		(3,468		)	26,832
U.S. Small Cap Value	279,923		68,626		(4,864		)	63,762
Value	1,508,560		181,164		(22,872		)	158,292

At September 30, 2004, the following Portfolios had available for Federal income tax purposes unused capital losses, which will expire on the indicated dates:

	Expiration Date
	September 30,
	(000)
Portfolio	2009		2010		2011		2012		Total
Equity	$	—	$	65,772	$	32,106	$	—	$	97,878
Mid Cap Growth	—		800,247		303,325		—		1,103,572
U.S. Mid Cap Value	—		96,135		157,636		—		253,771
Value	—		—		61,040		—		61,040

During the fiscal year ended September 30, 2004, the following Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of approximately:

	Capital Loss
	Carryforward
Portfolio	Utilized
	(000)
Equity	$	14,850
Mid Cap Growth	216,782
U.S. Mid Cap Value	7,254
U.S. Small Cap Value	118,524
Value	114,768

J. Contractual Obligations: The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

K. Other.  At March 31, 2005, certain Portfolios had otherwise unaffiliated record owners of 10% or greater. Investment activities of these shareholders could have a material impact on these Portfolios. These Portfolios and the aggregate percentage of such owners was as follows:

	Percentage
	of Ownership
	Institutional		Investment		Adviser
Portfolio	Class		Class		Class
Equity	64.1	%	—	%	—	%
Mid Cap Growth	61.1		—		82.3
U.S. Mid Cap Value	57.5		98.4		71.1
U.S. Small Cap Value	87.2		—		68.6
Value	42.6		100.0		98.7

31

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Trustee and Officer Information

Trustees

Michael Bozic

Edwin J. Garn

Wayne E. Hedien

James F. Higgins

Dr. Manuel H. Johnson

Joseph J. Kearns

Michael Nugent

Fergus Reid

Investment Adviser and Administrator

Morgan Stanley Investment Management Inc.

1221 Avenue of the Americas

New York, NY 10020

Distributor

Morgan Stanley Distribution, Inc.

One Tower Bridge

100 Front Street, Suite 1100

West Conshohocken, PA 19428-2899

Custodian

JPMorgan Chase Bank

270 Park Avenue

New York, NY 10017

Legal Counsel

Clifford Chance US LLP

31 West 52^nd Street

New York, NY 10019

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116-5072

Officers

Charles A. Fiumefreddo

Chairman and Director of the Board

Mitchell M. Merin

President

Ronald E. Robison

Executive Vice President and Principal Executive Officer

Barry Fink

Vice President

Joseph J. McAlinden

Vice President

Stefanie V. Chang

Vice President

Amy R. Doberman

Vice President

Carsten Otto

Chief Compliance Officer

James W. Garrett

Treasurer and Chief Financial Officer

Michael J. Leary

Assistant Treasurer

Mary E. Mullin

Secretary

Reporting to Shareholders

Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semi-annual and annual reports within 60 days of the end of the fund’s second and fourth fiscal quarters by filing the schedule electronically with the Securities and Exchange Commission (SEC). The semi-annual reports are filed on Form N-CSRS and the annual reports are filed on Form N-CSR. Morgan Stanley also delivers the semi-annual and annual reports to fund shareholders and makes these reports available on its public website, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund’s first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public website. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC’s website, http://www.sec.gov. You may also review and copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at 1(800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.

Proxy Voting Policies and Procedures and Proxy Voting Record

A copy of (1) the Fund’s policies and procedures with respect to the voting of proxies relating to the Fund’s portfolio securities; and (2) how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling 1(800) 354-8185 or by visiting our website at www.morganstanley.com/im.  This information is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

This report is authorized for distribution only when preceded or accompanied by the prospectus of the Morgan Stanley Institutional Fund Trust which describes in detail each Investment Portfolio’s investment policies, risks, fees and expenses. Please read the prospectus carefully before you invest or send money. For additional information, including information regarding the investments comprising the Portfolio, please visit our website at www.morganstanley.com/im or call 1(800) 354-8185.

32

Printed in U.S.A.

This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Morgan Stanley Investment Management Inc.

1221 Avenue of the Americas

New York, NY 10020

Investment Adviser: (610) 940-5000 • MSIF Trust (800) 354-8185

© 2005 Morgan Stanley

934-EQAR-0505

	2005 Semi-Annual Report
	March 31, 2005

Morgan Stanley Institutional Fund Trust

Advisory Portfolios

Advisory Foreign Fixed Income

Advisory Foreign Fixed Income II

Advisory Mortgage

2005 Semi-Annual Report

March 31, 2005

Table of Contents
Shareholder’s Letter	2
Expense Examples	3
Advisory Portfolios:
Advisory Foreign Fixed Income	4
Advisory Foreign Fixed Income II	6
Advisory Mortgage	8
Statements of Assets and Liabilities	12
Statements of Operations	13
Statements of Changes in Net Assets	14
Statement of Cash Flows	15
Financial Highlights	16
Notes to Financial Statements	19
Trustee and Officer Information	26

This report is authorized for distribution only when preceded or accompanied by prospectuses of the Morgan Stanley Institutional Fund Trust. To receive a prospectus and/or SAI, which contains more complete information such as investment objectives, charges, expenses, policies for voting proxies, risk considerations, and describes in detail each of the Portfolio’s investment policies to the prospective investor, please call 1 (800) 354-8185. Please read the prospectus carefully before you invest or send money. Additionally, you can access portfolio information including performance, characteristics, and investment team commentary through Morgan Stanley Investment Management’s website: www.morganstanley.com\im.

1

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Shareholder’s Letter

Dear Shareholders:

We are pleased to present to you the Fund’s Semi-Annual Report for the six months ended March 31, 2005. Our Fund currently consists of 17 portfolios, providing investors with a broad array of equity, fixed- income, and balanced portfolios. The Fund’s portfolios, together with the portfolios of the Morgan Stanley Institutional Fund, Inc., provide investors with a means to help them meet specific investment needs and to allocate their investments among equities (e.g., value and growth; small, medium, and large capitalization), and fixed income (e.g., short, medium, and long duration; investment grade and high yield).

Sincerely,

Ronald E. Robison

Executive Vice President—

Principal Executive Officer

April 2005

2

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Expense Examples

Expense Examples

As a shareholder of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the six-month period ended March 31, 2005 and held for the entire six-month period.

Actual Expenses

The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the tables 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 funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2004		March 31, 2005		October 1, 2004 — March 31, 2005
Advisory Foreign Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,018.50	$	0.75
Hypothetical (5% average annual return before expenses)	1,000.00		1,024.18		0.76
* Expenses are equal to Institutional Class’ annualized expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Advisory Foreign Fixed Income II Portfolio
Institutional Class
Actual	$	1,000.00	$	1,019.10	$	0.76
Hypothetical (5% average annual return before expenses)	1,000.00		1,024.18		0.76
* Expenses are equal to Institutional Class’ annualized expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Advisory Mortgage Portfolio
Institutional Class
Actual	$	1,000.00	$	1,019.40	$	0.40
Hypothetical (5% average annual return before expenses)	1,000.00		1,024.53		0.40
* Expenses are equal to Institutional Class’ annualized expense ratio of 0.08%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

3

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Advisory Foreign Fixed Income Portfolio

	Face
	Amount			Value
	(000)			(000)
Fixed Income Securities (40.8%)
Austria (0.4%)
Republic of Austria
5.88%, 7/15/06	EUR		325	$	440
Belgium (2.4%)
Kingdom of Belgium
4.75%, 9/28/06	1,875			2,513
Denmark (0.4%)
Kingdom of Denmark
5.00%, 8/15/05	DKK		2,500	439
France (28.0%)
France Telecom S.A.
7.00%, 12/23/09	EUR		3,450	5,166
Government of France B.T.A.N.
5.00%, 7/12/05	18,500			24,158
				29,324
Italy (4.9%)
Telecom Italia Finance N.V.
5.88%, 1/24/08	3,685			5,137
Netherlands (4.7%)
Netherlands Government
3.00%, 7/15/06	3,750			4,901
Total Fixed Income Securities (Cost $38,647)				42,754
Short-Term Investments (55.6%)
Discount Notes (43.8%)
Federal Home Loan Mortgage Corporation
2.68%, 4/12/05	$	5,200		5,195
2.58%, 5/11/05	5,100			5,085
2.61%, 4/5/05	5,100			5,098
2.62%, 4/13/05-5/6/05	10,200			10,082
2.73%, 5/2/05	5,200			5,188
Federal National Mortgage Association
2.58%, 5/11/05	5,200			5,185
2.64%, 5/18/05	5,000			4,983
2.71%, 5/16/05	5,100			5,082
				45,898
Repurchase Agreement (11.8%)
J.P. Morgan Securities, Inc., 2.78%,
dated 3/31/05, due 4/1/05,
repurchase price $12,419	(f)12,418			12,418
Total Short-Term Investments (Cost $58,317)				58,316
Total Investments (96.4%) (Cost $96,964)				101,070
Other Assets in Excess of Liabilities (3.6%)				3,797
Net Assets (100%)				$	104,867

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

DKKDanish Krone

EUREuro

Foreign Currency Exchange Contract Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

									Net
Currency					In				Unrealized
to					Exchange				Appreciation
Deliver		Value		Settlement	For		Value		(Depreciation)
(000)		(000)		Date	(000)		(000)		(000)
DKK	2,000	$	348	5/24/05	USD	356	$	356	$	8
EUR	3,010	3,903		4/26/05	USD	3,933	3,933		30
EUR	13,754	17,835		4/26/05	USD	17,963	17,963		128
EUR	16,700	21,655		4/26/05	USD	22,083	22,083		428
		$	43,741				$	44,335	$	594

USD — U.S. Dollar

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
					Unrealized
	Number				Appreciation
	of	Value		Expiration	(Depreciation)
	Contracts	(000)		Date	(000)
Long:
Euro—Schatz 2 yr. (Germany)	329	$	45,228	Jun-05	$	42

The accompanying notes are an integral part of the financial statements.

4

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont'd)

Advisory Foreign Fixed Income Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by country, as a percentage of total investments.

*Countries which do not appear in the top 10 countries and countries which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

5

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Advisory Foreign Fixed Income ll Portfolio

	Face
	Amount			Value
	(000)			(000)
Fixed Income Securities (42.6%)
Austria (1.4%)
Republic of Austria
5.88%, 7/15/06	EUR		275	$	372
Belgium (3.3%)
Kingdom of Belgium
4.75%, 9/28/06	625			838
France (28.0%)
France Telecom S.A.
7.00%, 12/23/09	880			1,318
Government of France B.T.A.N.
5.00%, 7/12/05	4,500			5,876
				7,194
Italy (5.1%)
Telecom Italia Finance N.V.
5.88%, 1/24/08	940			1,310
Netherlands (4.8%)
Netherlands Government
3.00%, 7/15/06	950			1,242
Total Fixed Income Securities (Cost $9,971)				10,956
Short-Term Investments (53.5%)
Discount Notes (39.9%)
Federal Home Loan Bank
2.58%, 5/11/05	$	1,200		1,196
2.62%, 4/13/05	1,300			1,299
2.62%, 5/6/05	1,300			1,297
Federal Home Loan Mortgage Corporation
2.61%, 4/5/05	1,300			1,300
2.73%, 5/2/05	1,300			1,297
Federal National Mortgage Association
2.58%, 5/11/05	1,300			1,296
2.64%, 5/18/05	1,300			1,295
2.71%, 5/16/05	1,300			1,295
				10,275
Repurchase Agreement (13.6%)
J.P. Morgan Securities, Inc., 2.78%,
dated 3/31/05, due 4/1/05,
repurchase price $3,505	(f)3,505			3,505
Total Short-Term Investments (Cost $13,781)				13,780
Total Investments (96.1%) (Cost $23,752)				24,736
Other Assets in Excess of Liabilities (3.9%)				1,002
Net Assets (100%)				$	25,738

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

EUREuro

The Portfolio had the following foreign currency exchange contract(s) open at period end:

									Net
Currency					In				Unrealized
to					Exchange				Appreciation
Deliver		Value		Settlement	For		Value		(Depreciation)
(000)		(000)		Date	(000)		(000)		(000)
EUR	4,056	$	5,259	4/26/05	USD	5,363	$	5,363	$	104
EUR	655	849		4/26/05	USD	855	855		6
EUR	3,948	5,119		4/26/05	USD	5,156	5,156		37
		$	11,227				$	11,374	$	147

USD — U.S. Dollar

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
					Unrealized
	Number				Appreciation
	of	Value		Expiration	(Depreciation)
	Contracts	(000)		Date	(000)
Long:
Euro—Schatz 2 yr. (Germany)	84	$	11,548	Jun-05	$	11

The accompanying notes are an integral part of the financial statements.

6

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Advisory Foreign Fixed Income ll Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by country, as a percentage of total investments.

*Countries which do not appear in the top 10 countries and countries which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

7

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Advisory Mortgage Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (107.7%)
Agency Adjustable Rate Mortgages (1.9%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
3.375%, 5/20/24 - 2/20/28	$	43,511	$	44,209
3.75%, 7/20/25 - 9/20/27	7,522		7,622
4.125%, 10/20/25 - 12/20/27	10,219		10,405
4.75%, 8/20/25	413		418
			62,654
Agency Fixed Rate Mortgages (52.2%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
7.00%, 10/26/29	1		1
8.00%, 3/1/07 - 9/1/08	49		51
8.25%, 10/1/06 - 7/1/08	27		28
8.75%, 4/1/08	14		15
9.00%, 10/1/16	59		64
9.50%, 10/1/16 - 3/1/20	1,744		1,928
10.00%, 1/1/09 - 12/1/20	4,278		4,745
10.25%, 1/1/09 - 12/1/11	23		25
10.50%, 11/1/08 - 12/1/20	2,332		2,586
11.00%, 2/1/11 - 9/1/20	1,151		1,263
11.25%, 6/1/10 - 12/1/15	15		16
11.50%, 1/1/07 - 9/1/19	823		908
11.75%, 3/1/11 - 4/1/15	57		64
12.00%, 10/1/09 - 7/1/20	804		891
12.50%, 10/1/09 - 6/1/15	112		124
13.00%, 9/1/10 - 11/1/13	7		8
13.50%, 2/1/10	3		4
Gold Pools:
6.00%, 10/1/28 - 12/1/28	770		791
6.50%, 5/1/21 - 11/1/33	9,606		9,987
7.00%, 12/1/26 - 11/1/32	35,076		36,972
7.50%, 2/1/23 - 1/1/34	70,685		75,726
8.00%, 5/1/20 - 12/1/31	33,055		35,585
8.50%, 10/1/10 - 7/1/31	80,075		87,271
9.00%, 10/1/17 - 1/1/31	6,679		7,346
9.50%, 11/1/16 - 12/1/22	2,353		2,601
10.00%, 6/1/17 - 4/1/25	1,784		1,981
10.50%, 7/1/19 - 3/1/21	594		670
11.00%, 7/1/17 - 9/1/20	537		590
11.50%, 1/1/16 - 6/1/20	264		292
12.00%, 6/1/20	707		781
12.50%, 7/1/19	16		18
April TBA
5.00%, 4/1/20	(i)94,500		94,529
5.50%, 4/1/20	(i)173,300		176,820
6.00%, 4/1/35	(i)91,900		94,054
Federal National Mortgage Association,
Conventional Pools:
3.793%, 6/1/34	90		90
4.50%, 8/1/18	516		505
5.50%, 3/1/17	572		584
6.00%, 4/1/13 - 1/1/29	880		907
6.50%, 1/1/24 - 11/1/34	250,491		260,497
7.00%, 1/1/08 - 2/1/33	$	10,884	$	11,494
7.50%, 10/1/12 - 8/1/33	138,523		148,260
8.00%, 3/1/07 - 4/1/33	118,209		127,298
8.50%, 10/1/05 - 5/1/32	102,894		112,083
9.00%, 6/1/18 - 4/1/26	2,314		2,526
9.50%, 7/1/16 - 4/1/30	12,531		13,861
10.00%, 9/1/10 - 9/1/26	11,674		13,084
10.50%, 5/1/06 - 6/1/27	3,766		4,230
10.75%, 10/1/11	30		33
11.00%, 10/1/13 - 7/1/25	985		1,088
11.50%, 2/1/11 - 8/1/25	1,588		1,761
12.00%, 9/1/10 - 8/1/20	811		899
12.50%, 1/1/10 - 9/1/15	825		926
April TBA
5.00%, 4/1/20	(i)37,850		37,826
6.00%, 4/1/35	(i)23,950		24,481
7.50%, 4/1/35	(i)5,500		5,878
May TBA
4.50%, 5/1/20	(i)123,650		120,675
5.00%, 5/1/20	(i)49,350		49,211
Government National Mortgage Association,
Various Pools:
5.50%, 12/15/32	153		155
6.50%, 10/15/10	36		37
7.00%, 7/15/31	333		353
8.50%, 7/15/08 - 3/15/20	2,949		3,217
9.00%, 11/15/16 - 11/15/24	17,699		19,356
9.50%, 7/15/09 - 10/15/24	41,212		45,608
10.00%, 11/15/09 - 2/15/26	60,781		68,500
10.50%, 6/15/12 - 4/15/25	12,885		14,625
11.00%, 12/15/09 - 4/15/21	18,289		20,288
11.50%, 3/15/10 - 11/15/19	1,162		1,301
12.00%, 11/15/12 - 5/15/16	2,330		2,612
12.50%, 5/15/10 - 4/15/19	146		164
13.00%, 1/15/11 - 10/15/13	52		59
13.50%, 5/15/10 - 5/15/13	67		77
			1,753,284
Asset Backed Corporates (1.0%)
American Express Credit Account Master Trust
2.92%, 9/15/09 - 12/15/09	(h)4,600		4,611
2.95%, 9/15/08	(h)1,200		1,202
Asset Backed Funding Certificates
2.98%, 6/25/22	(h)419		419
3.04%, 6/25/25	(h)462		463
BA Master Credit Card Trust
2.93%, 6/15/08	(h)1,800		1,803
Bank One Issuance Trust
2.86%, 2/17/09	(h)1,800		1,802
Bear Stearns Asset Backed Securities, Inc.
3.05%, 9/25/34	(h)781		782
Capital Auto Receivables Asset Trust
1.44%, 2/15/07	520		516
2.64%, 3/17/08	270		268
2.89%, 1/15/08	(h)800		801

The accompanying notes are an integral part of the financial statements.

8

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Advisory Mortgage Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Chase Funding Mortgage Loan
2.96%, 11/25/18	$	(h)312	$	312
Citibank Credit Card Issuance Trust
4.40%, 5/15/07	400		401
6.90%, 10/15/07	805		820
Fleet Credit Card Master Trust II
2.75%, 4/15/08	350		349
Ford Credit Auto Owner Trust
3.79%, 9/15/06	303		304
GE Capital Credit Card Master Note Trust
2.85%, 9/15/10	(h)900		901
GE Dealer Floorplan Master Note Trust
2.90%, 7/20/08	(h)850		850
Harley-Davidson Motorcycle Trust
3.09%, 6/15/10	216		214
J.P. Morgan Chase Commercial Mortgage Securities Corp.
2.99%, 4/16/19	(e)(h)943		944
Long Beach Mortgage Loan Trust
2.99%, 1/25/14	(h)1,237		1,237
MBNA Credit Card Master Note Trust
2.92%, 8/17/09	(h)1,800		1,805
2.95%, 2/16/10	(h)1,300		1,305
MBNA Master Credit Card Trust USA
6.90%, 1/15/08	340		345
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)898		899
3.03%, 8/25/34	(h)394		395
Nissan Auto Receivables Owner Trust
4.60%, 9/17/07	193		194
Residential Asset Securities Corp.
3.01%, 10/25/22	(h)863		864
3.02%, 7/25/21	(h)332		332
SLM Student Loan Trust
2.72%, 10/25/12 - 4/25/13	(h)3,400		3,401
2.74%, 1/25/13	(h)900		902
Structured Asset Investment Loan Trust
2.95%, 4/25/34	(h)614		614
Volkswagen Auto Lease Trust
2.36%, 12/20/05	23		23
Wachovia Auto Owner Trust
2.40%, 5/21/07	900		896
Wells Fargo Home Equity Trust
3.02%, 2/25/18	(h)452		453
William Street Funding Corp.
2.993%, 4/23/06	(e)(h)700		701
			32,128
Collateralized Mortgage Obligations -— Agency Collateral Series (2.6%)
Federal Home Loan Mortgage Corporation
6.00%, 10/15/27	144		144
Inv Fl IO
3.188%, 3/15/24	68,140		2,426
5.19%, 6/15/28 - 3/15/32	11,491		577
5.367%, 12/15/23	4,549		405
5.59%, 12/15/27	$	5,863	$	158
5.69%, 9/15/30	4,696		397
33.188%, 11/15/07	83		21
Inv Fl IO PAC
6.788%, 3/15/08	530		29
7.067%, 2/15/08	935		41
Inv Fl IO REMIC
4.69%, 8/15/30	186		10
IO
5.00%, 6/15/17	594		71
5.50%, 1/15/29 - 8/15/30	28,812		2,838
6.00%, 5/1/31	2,480		435
6.50%, 4/1/28 - 5/15/33	3,717		704
7.00%, 8/15/30 - 3/1/32	10,413		2,067
7.50%, 4/1/28 - 8/15/30	5,254		1,043
8.00%, 10/15/12 - 6/1/31	17,275		3,634
IO PAC
1.00%, 2/15/27	9,023		221
6.00%, 4/15/32	733		96
7.00%, 9/15/27	107		18
IO REMIC
10.00%, 5/1/20 - 6/1/20	169		27
PAC
8.55%, 1/15/21	66		66
9.60%, 4/15/20	199		199
9.90%, 10/15/19	1,075		1,076
10.00%, 5/15/20 - 6/15/20	1,063		1,063
REMIC
3.312%, 9/15/07	387		387
REMIC PAC
9.50%, 4/15/20	225		225
Federal National Mortgage Association
3.275%, 12/25/08	1,008		1,011
6.52%, 7/25/08	201		208
7.00%, 9/25/32	15,832		16,517
Inv Fl IO
3.55%, 7/25/34	60,885		2,387
4.72%, 2/17/31	471		36
5.156%, 7/18/27	1,799		107
5.25%, 12/25/29	240		9
5.35%, 10/25/28	7,677		442
5.65%, 7/25/30 - 8/25/30	5,589		376
5.666%, 11/18/30	3,147		270
5.716%, 10/18/30	728		48
5.75%, 10/25/29	1,652		88
6.067%, 10/25/07	1,457		51
Inv Fl IO REMIC
46.392%, 9/25/20	284		522
57.375%, 9/25/22	420		469
IO
5.00%, 9/25/11 - 2/25/15	3,016		98
5.15%, 12/25/27	473		9
5.50%, 3/25/17 - 5/25/27	6,440		385
6.00%, 8/25/32 - 5/25/33	4,589		737
6.50%, 7/1/31 - 5/25/33	42,256		8,199

The accompanying notes are an integral part of the financial statements.

9

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Advisory Mortgage Portfolio

	Face
	Amount		Value
	(000)		(000)
Collateralized Mortgage Obligations — Agency Collateral Series (cont’d)
7.00%, 3/1/32 - 5/25/33	$	37,655	$	7,493
7.50%, 4/1/27 - 1/1/32	3,502		656
8.00%, 2/1/23 - 8/1/31	54,637		11,534
8.50%, 10/1/24 - 10/1/25	8,892		1,244
9.00%, 11/1/26	4,758		935
9.50%, 9/1/18	1		@—
461.72%, 12/25/21	1		4
809.00%, 6/25/21	@—		2
IO PAC
8.00%, 9/18/27	14,369		2,913
1,009.00%, 9/25/20	@—		10
1,158.07%, 7/25/21	@—		8
IO REMIC PAC
8.00%, 8/18/27	2,232		445
PAC
8.50%, 9/25/20	107		115
8.75%, 11/25/19	13		14
Government National Mortgage Association
Inv Fl IO
5.125%, 9/16/27	148		11
5.18%, 4/16/29	26,448		1,730
5.30%, 5/20/31	5,778		444
5.73%, 12/16/29	1,488		142
5.78%, 8/16/29	29,656		2,584
Inv Fl IO PAC
5.58%, 5/16/26	33		@—
Kidder Peabody Mortgage Assets Trust, IO
9.50%, 4/22/18	25		6
Lehman Structured Securities Corp., IO
7.00%, 10/26/29	(e)77,064		7,321
Washington Mutual, Inc.
2.947%, 10/25/44	(h)765		772
			88,730
Federal Agency (1.7%)
Federal Home Loan Mortgage Corporation
5.125%, 11/7/13	58,650		58,700
Mortgages — Other (0.1%)
American Express Co.
9.625%, 12/1/12	(d)105		105
American Housing Trust
9.125%, 4/25/21	495		495
9.553%, 9/25/20	1,233		1,231
California Federal Savings & Loan Association
8.80%, 1/1/14	(d)5		5
First Federal Savings & Loan Association
8.75%, 6/1/06	(d)19		19
Gemsco Mortgage Pass Through Certficate
8.701%, 11/25/10	(d)60		60
Household Bank
8.239%, 12/1/08	(d)6		6
Ryland Acceptance Corp. IV
6.65%, 7/1/11	1,001		1,001
			2,922
U.S. Treasury Securities (48.2%)
U.S. Treasury Strips
IO
4.78%, 5/15/16	$	10,000	$	5,913
4.82%, 2/15/17	65,000		36,927
4.91%, 8/15/18	49,250		25,746
4.94%, 2/15/19	75,000		38,112
4.95%, 5/15/19	153,300		76,850
4.96%, 8/15/19	125,000		61,815
4.97%, 11/15/19 - 2/15/21	364,300		168,915
4.99%, 2/15/20 - 5/15/20	660,010		315,653
5.00%, 8/15/20	68,300		31,968
5.02%, 5/15/21	745,570		335,225
5.03%, 11/15/21 - 8/15/22	363,975		157,117
5.05%, 11/15/22 - 2/15/23	100,900		41,708
5.06%, 11/15/23	65,000		25,632
PO
5/15/21 - 11/15/21	658,450		295,397
			1,616,978
Total Fixed Income Securities (Cost $3,589,616)			3,615,396
	Shares
Preferred Stock (1.6%)
Mortgages — Other (1.6%)
Home Ownership Funding Corp.
13.331% (Cost $52,692)	(e)153,475		54,475
	Face
	Amount
	(000)
Short-Term Investments (8.4%)
Discount Notes (5.0%)
American Express Credit Corp.
2.83%, 5/6/05	$	35,000	34,903
Barclays US Funding Corp.
2.86%, 5/23/05	20,000		19,917
Rabobank USA Finance Corp.
2.76%, 4/1/05	50,000		49,993
USAA Capital Corp.
2.75%, 4/13/05	44,000		43,953
2.76%, 4/1/05	18,990		18,989
			167,755
Repurchase Agreement (3.3%)
J.P. Morgan Securities, Inc., 2.78%,
dated 3/31/05, due 4/1/05,
repurchase price $112,175	(f)112,166		112,166
U.S. Treasury Securities (0.1%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)2,500		2,480
Total Short-Term Investments (Cost $282,418)			282,401
Total Investments (117.7%) (Cost $3,924,726)			3,952,272
Liabilities in Excess of Other Assets (-17.7%)			(593,946		)
Net Assets (100%)			$	3,358,326

The accompanying notes are an integral part of the financial statements.

10

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Advisory Mortgage Portfolio

(d)Security was valued at fair value — At March 31, 2005, the Portfolio held $189,000 of fair valued securities, representing less than 0.05% of net assets.

(e)144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50% due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

(h)Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.

(i)Security is subject to delayed delivery.

(j)A portion of the security was pledged to cover margin requirements for futures contracts.

@Value/Face Amount is less than $500.

Inv FlInverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.

IOInterest Only

PACPlanned Amortization Class

POPrincipal Only

REMICReal Estate Mortgage Investment Conduit

TBATo be announced

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
					Unrealized
	Number				Appreciation
	of	Value		Expiration	(Depreciation)
	Contracts	(000)		Date	(000)
Long:
U.S. Treasury 2 yr. Note	542	$	112,135	Jun-05	$	(625	)
U.S. Treasury 5 yr. Note	961	102,917		Jun-05	(955		)
U.S. Treasury Long Bond	1,110	123,626		Jun-05	(2,166		)
Short:
U.S. Treasury 10 yr. Note	751	82,058		Jun-05	911
					$	(2,835	)

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by investment type, as a percentage of total investments.

*Investment types which do not appear in the top 10 investment types and investment types which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

11

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Assets and Liabilities

	Advisory			Advisory
	Foreign			Foreign
	Fixed			Fixed			Advisory
	Income			Income II			Mortgage
	Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	96,964		$	23,752		$	3,924,726
Investments in Securities of Unaffiliated Issuers, at Value:(1)	101,070			24,736			3,952,272
Cash	1			1			6,788
Receivable for Delayed Delivery Commitments	—			—			169,360
Due from Broker	2,041			541			86,240
Receivable for Investments Sold	—			—			16,460
Unrealized Appreciation on Foreign Currency Exchange Contracts	594			147			—
Unrealized Appreciation on Swap Agreements	—			—			14,444
Foreign Withholding Tax Reclaim Receivable	—			19			—
Interest Receivable	1,195			306			11,212
Due from Adviser	—			8			277
Other Assets	2			1			93
Total Assets	104,903			25,759			4,257,146
Liabilities:
Payable for Delayed Delivery Commitments	—			—			772,998
Interest Payable for Swap Agreements	—			—			90,435
Unrealized Depreciation on Swap Agreements	—			—			34,772
Payable for Administration Fees	10			4			240
Payable for Custodian Fees	5			2			69
Payable for Trustees’ Fees and Expenses	3			#—			155
Other Liabilities	18			15			151
Total Liabilities	36			21			898,820
Net Assets	$	104,867		$	25,738		$	3,358,326
Net Assets Consist Of:
Paid-in Capital	$	102,923		$	25,203		$	3,698,115
Undistributed (Distributions in Excess of) Net Investment Income	(1,668		)	(333		)	(898		)
Accumulated Net Realized Gain (Loss)	(1,140		)	(282		)	(343,274		)
Unrealized Appreciation (Depreciation) on:
Investments	4,106			984			27,546
Foreign Currency Exchange Contracts and Translations	604			155			—
Futures Contracts	42			11			(2,835		)
Swap Agreements	—			—			(20,328		)
Net Assets	$	104,867		$	25,738		$	3,358,326
INSTITUTIONAL CLASS:
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	31,450,881			2,170,357			338,686,319
Net Asset Value, Offering and Redemption Price Per Share	$	3.33		$	11.86		$	9.92
(1)  Including:
Repurchase Agreements, at Value:	$	12,418		$	3,505		$	112,166

#Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

12

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2005

	Advisory			Advisory
	Foreign			Foreign
	Fixed			Fixed			Advisory
	Income			Income II			Mortgage
	Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)
Investment Income:
Dividends	$	—		$	—		$	2,034
Interest	1,332			329			74,527
Total Investment Income	1,332			329			76,561
Expenses:
Investment Advisory Fees (Note B)	193			48			6,784
Administration Fees (Note C)	40			10			1,368
Custodian Fees (Note E)	7			4			109
Professional Fees	15			11			183
Transfer Agency Fees (Note F)	2			1			2
Trustees’ Fees and Expenses	1			#—			44
Other Expenses	12			11			116
Total Expenses	270			85			8,606
Waiver of Investment Advisory Fees (Note B)	(193		)	(48		)	(6,784		)
Expenses Reimbursed by Adviser (Note B)	—			(18		)	(367		)
Expense Offset (Note E)	#—			#—			(8		)
Net Expenses	77			19			1,447
Net Investment Income	1,255			310			75,114
Realized Gain (Loss):
Investments Sold	469			107			10,989
Foreign Currency Transactions	(1,794		)	(435		)	—
Futures Contracts	188			45			(456		)
Swap Agreements	—			—			(3,309		)
Net Realized Gain (Loss)	(1,137		)	(283		)	7,224
Change in Unrealized Appreciation (Depreciation):
Investments	532			139			(2,446		)
Foreign Currency Exchange Contracts and Translations	1,255			310			—
Futures Contracts	37			10			(1,116		)
Swap Agreements	—			—			(11,281		)
Net Change in Unrealized Appreciation (Depreciation)	1,824			459			(14,843		)
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	687			176			(7,619		)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	1,942		$	486		$	67,495
# Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

13

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	Advisory Foreign						Advisory Foreign
	Fixed Income						Fixed Income II						Advisory Mortgage
	Portfolio						Portfolio						Portfolio
	Six Months Ended			Year Ended			Six Months Ended			Year Ended			Six Months Ended			Year Ended
	March 31,			September			March 31,			September			March 31,			September
	2005			30,			2005			30,			2005			30,
	(unaudited)			2004			(unaudited)			2004			(unaudited)			2004
	(000)			(000)			(000)			(000)			(000)			(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	1,255		$	2,479		$	310		$	480		$	75,114		$	115,234
Net Realized Gain (Loss)	(1,137		)	(4,203		)	(283		)	(860		)	7,224			(79,505		)
Net Change in Unrealized Appreciation (Depreciation)	1,824			4,418			459			934			(14,843		)	154,665
Net Increase (Decrease) in Net Assets Resulting from Operations	1,942			2,694			486			554			67,495			190,394
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(2,186		)	(960		)	(439		)	(139		)	(108,615		)	(239,329		)
Net Realized Gain	(15		)	(19		)	—			(3		)	—			—
Total Distributions	(2,201		)	(979		)	(439		)	(142		)	(108,615		)	(239,329		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	5,078			3,130			3,830			1,291			231,860			420,450
Distributions Reinvested	1,858			858			413			134			90,455			201,461
Redeemed	(3,020		)	(62,158		)	(4,223		)	(3,040		)	(683,396		)	(2,528,971		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	3,916			(58,170		)	20			(1,615		)	(361,081		)	(1,907,060		)
Total Increase (Decrease) in Net Assets	3,657			(56,455		)	67			(1,203		)	(402,201		)	(1,955,995		)
Net Assets:
Beginning of Period	101,210			157,665			25,671			26,874			3,760,527			5,716,522
End of Period	$	104,867		$	101,210		$	25,738		$	25,671		$	3,358,326		$	3,760,527
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	(1,668	)	$	(737	)	$	(333	)	$	(204	)	$	(898	)	$	32,603
(1)    Capital Share Transactions:
Institutional Class:
Shares Subscribed	1,498			950			322			110			23,279			41,833
Shares Issued on Distributions Reinvested	562			263			35			12			9,105			20,092
Shares Redeemed	(896		)	(18,835		)	(356		)	(264		)	(68,530		)	(252,323		)
Net Increase (Decrease) in Institutional Class Shares Outstanding	1,164			(17,622		)	1			(142		)	(36,146		)	(190,398		)

The accompanying notes are an integral part of the financial statements.

14

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statement of Cash Flows

For the Six Months Ended March 31, 2005

	Advisory
	Mortgage
	Portfolio
	(000)
Cash Flows From Operating Activities:
Proceeds from Sales and Maturities of Investments	$	1,548,767
Purchases of Investments	(318,798		)
Proceeds from Sales of Forward Commitments	5,368,909
Purchases of Forward Commitments	(6,241,700		)
Net (Increase) Decrease in Short-Term Investments	22,735
Net Realized Gain (Loss) on Futures Contracts	(456		)
Net Realized Gain (Loss) on Swap Agreements	(3,309		)
Net Investment Income	75,114
Adjustments to Reconcile Net Investment Income to Net Cash Provided by Operating Activities:
Net (Increase) Decrease in Receivables Related to Operations	2,670
Net Increase (Decrease) in Payables Related to Operations	23,201
Accretion/Amortization of Discounts and Premiums	(649		)
Net Cash Provided by Operating Activities	476,484
Cash Flows from Financing Activities:
Proceeds from Portfolio Shares Sold	231,860
Payment on Portfolio Shares Redeemed	(683,396		)
Cash Dividends and Distributions Paid	(18,160		)
Net Cash Used in Financing Activities	(469,696		)
Net Increase (Decrease) in Cash	6,788
Cash at Beginning of Period	—
Cash at End of Period	$	6,788

The accompanying notes are an integral part of the financial statements.

15

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Advisory Foreign Fixed Income Portfolio

	Institutional Class
	Six Months Ended
Selected Per Share Data and Ratios	March 31, 2005 (unaudited)			Year Ended September 30,
				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	3.34		$	3.29		$	4.17		$	3.97		$	3.71		$	3.85
Income (Loss) from Investment Operations:
Net Investment Income	0.04		†	0.06		†	0.06		†	0.18		†	0.19		†	0.18		†
Net Realized and Unrealized Gain (Loss) on Investments	0.02			0.01			0.01			0.19			0.21			0.03
Total from Investment Operations	0.06			0.07			0.07			0.37			0.40			0.21
Distributions from and/or in Excess of:
Net Investment Income	(0.07		)	(0.02		)	(0.34		)	(0.17		)	(0.14		)	(0.35		)
Net Realized Gain	(0.00		)#	(0.00		)#	(0.61		)	—			—			—
Total Distributions	(0.07		)	(0.02		)	(0.95		)	(0.17		)	(0.14		)	(0.35		)
Net Asset Value, End of Period	$	3.33		$	3.34		$	3.29		$	4.17		$	3.97		$	3.71
Total Return	1.85		%‡	2.15		%	1.88		%	9.73		%	11.12		%	5.86		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	104,867		$	101,210		$	157,665		$	8,713		$	215,557		$	9,052
Ratio of Expenses to Average Net Assets (1)	0.15		%*	0.15		%	0.22		%	0.15		%	0.14		%	0.16		%
Ratio of Net Investment Income to Average Net Assets (1)	2.43		%*	1.91		%	1.86		%	4.51		%	5.02		%	4.87		%
Portfolio Turnover Rate	3		%‡	10		%	13		%	54		%	10		%	0		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.52		%*	0.53		%	0.54		%	0.49		%	0.50		%	0.72		%
Net Investment Income to Average Net Assets	2.06		%*	1.53		%	1.47		%	4.14		%	4.65		%	4.30		%
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.15		%*	0.15		%	0.15		%	0.12		%	0.13		%	0.15		%

†Per share amount is based on average shares outstanding.

‡Not Annualized

#Amount is less than $0.005 per share.

*Annualized

The accompanying notes are an integral part of the financial statements.

16

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Advisory Foreign Fixed Income II Portfolio

	Institutional Class
	Six Months															Period from
	Ended															June 20,
	March 31,															2000** to
	2005			Year Ended September 30,												September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.84		$	11.63		$	11.60		$	10.92		$	10.18		$	10.00
Income from Investment Operations:
Net Investment Income	0.14		†	0.22		†	0.24		†	0.48		†	0.50		†	0.14		†
Net Realized and Unrealized Gain (Loss) on Investments	0.08			0.05			(0.01		)	0.79			0.51			0.04
Total from Investment Operations	0.22			0.27			0.23			1.27			1.01			0.18
Distributions from and/or in Excess of:
Net Investment Income	(0.20		)	(0.06		)	(0.20		)	(0.59		)	(0.27		)	—
Net Realized Gain	—			(0.00		)#	—			—			—			—
Total Distributions	(0.20		)	(0.06		)	(0.20		)	(0.59		)	(0.27		)	—
Net Asset Value, End of Period	$	11.86		$	11.84		$	11.63		$	11.60		$	10.92		$	10.18
Total Return	1.91		%‡	2.35		%	1.96		%	12.07		%	10.13		%	1.80		%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	25,738		$	25,671		$	26,874		$	2,181		$	58,010		$	1,806
Ratio of Expenses to Average Net Assets (1)	0.15		%*	0.15		%	0.22		%	0.16		%	0.16		%	0.15		%*
Ratio of Net Investment Income to Average Net Assets (1)	2.40		%*	1.92		%	2.08		%	4.51		%	4.80		%	5.09		%*
Portfolio Turnover Rate	8		%‡	11		%	50		%	59		%	4		%	0		%‡
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.66		%*	0.62		%	1.23		%	0.57		%	0.58		%	3.17		%*
Net Investment Income to Average Net Assets	1.89		%*	1.45		%	1.00		%	4.09		%	4.37		%	2.07		%*
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.15		%*	0.15		%	0.15		%	0.15		%	0.15		%	0.15		%*

†Per share amount is based on average shares outstanding.

‡Not Annualized

*Annualized

**Commencement of Operations

#Amount is less than $0.005.

The accompanying notes are an integral part of the financial statements.

17

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Advisory Mortgage Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005				Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)				2004						2003				2002			2001			2000
Net Asset Value, Beginning of Period	$	10.03			$	10.11					$	10.74			$	10.63		$	10.00		$	10.03
Income (Loss) from Investment Operations:
Net Investment Income	0.21		†		0.25				†		0.25			†	0.46			0.62			0.72
Net Realized and Unrealized Gain (Loss) on Investments	(0.02		)		0.17						0.20				0.41			0.66			(0.08		)
Total from Investment Operations	0.19				0.42				��		0.45				0.87			1.28			0.64
Distributions from and/or in Excess of:
Net Investment Income	(0.30		)		(0.50				)		(0.51			)	(0.76		)	(0.65		)	(0.67		)
Net Realized Gain	—				—						(0.57			)	—			—			—
Total Distributions	(0.30		)		(0.50				)		(1.08			)	(0.76		)	(0.65		)	(0.67		)
Net Asset Value, End of Period	$	9.92			$		10.03				$		10.11		$	10.74		$	10.63		$	10.00
Total Return	1.94		%‡		4.30				%		4.42			%	8.49		%	13.30		%	6.76		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,358,326			$	3,760,527					$	5,716,522			$	7,034,400		$	7,963,569		$	7,019,170
Ratio of Expenses to Average Net Assets (1)	0.08		%*		0.08				%		0.08			%	0.09		%	0.09		%	0.09		%
Ratio of Net Investment Income to Average Net Assets (1)	4.15		%*		2.51				%		2.43			%	4.24		%	6.01		%	7.19		%
Portfolio Turnover Rate	124		%‡^		512				%^		120			%	112		%	134		%	49		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.48		%*	0.49				%		0.49				%	0.48		%	0.47		%	0.46		%
Net Investment Income to Average Net Assets	3.75		%*	2.10				%		2.02				%	3.84		%	5.62		%	6.81		%
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.08		%*	0.08				%		0.08				%	0.08		%	0.08		%	0.08		%

†Per share amount is based on average shares outstanding.

‡Not Annualized

*Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of the portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio’s current year turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case in the past years. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

18

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements

Morgan Stanley Institutional Fund Trust (“MSIFT” or the “Fund”) is registered under the Investment Company Act of 1940 as an open-end investment company. The Fund is comprised of seventeen active portfolios. The accompanying financial statements and financial highlights are those of the Advisory Foreign Fixed Income, Advisory Foreign Fixed Income II and Advisory Mortgage Portfolios (each referred to as a “Portfolio”) only. For the purposes of the 1940 Act, the Advisory Foreign Fixed Income and Advisory Foreign Fixed Income II Portfolios are considered non-diversified funds; the Advisory Mortgage Portfolio is considered a diversified fund. The financial statements of the remaining portfolios are presented separately.

A. Significant Accounting Policies. The following significant accounting policies are in conformity with U.S. generally accepted accounting principles for investment companies. Such policies are consistently followed by the Fund in the preparation of its financial statements. U.S. generally accepted accounting principles may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

1.Security Valuation:  Bonds and other fixed income securities may be valued according to the broadest and most representative market. In addition, bonds and other fixed income securities may be valued on the basis of prices provided by a pricing service. The prices provided by a pricing service take into account broker dealer market price quotations for institutional size trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific security. Debt securities purchased with remaining maturities of 60 days or less are valued at amortized cost, if it approximates market value. Equity securities listed on a U.S. exchange are valued at the latest quoted sales price on the valuation date. Equity securities listed or traded on NASDAQ, for which market quotations are available, are valued at the NASDAQ Official Closing Price. Securities listed on a foreign exchange are valued at their closing price. Unlisted and listed equity securities not traded on the valuation date, for which market quotations are readily available, are valued at the mean between the current bid and asked prices obtained from reputable brokers.

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board of Trustees, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

Most foreign markets close before the New York Stock Exchange (NYSE). Occasionally, developments that could affect the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If these developments are expected to materially affect the value of the securities, the valuations may be adjusted to reflect the estimated fair value as of the close of the NYSE, as determined in good faith under procedures established by the Board of Trustees.

2.Repurchase Agreements: Each Portfolio may enter into repurchase agreements under which a Portfolio lends excess cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In connection with transactions in repurchase agreements, a bank as custodian for the Fund takes possession of the underlying securities which are held as collateral, with a market value at least equal to the amount of the repurchase transaction, including principal and accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to determine the adequacy of the collateral. In the event of default on the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.

Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Portfolios may transfer their uninvested cash balances into a joint trading account with other Portfolios of the Fund which invests in one or more repurchase agreements. Any such joint repurchase agreement is covered by the same collateral requirements discussed above.

3.Futures: Financial futures contracts (secured by cash and securities deposited with brokers as “initial margin”) are valued based upon their quoted daily settlement prices; changes in initial settlement value (represented by cash paid to or received from brokers as “variation margin”) are accounted for as unrealized appreciation (depreciation). When futures contracts are closed, the difference between the opening

19

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

value at the date of purchase and the value at closing is recorded as realized gain or loss in the Statements of Operations. “Due from (to) Broker” includes initial margin and variation margin, as stated in the Statement of Assets & Liabilities.

Futures contracts may be used by each Portfolio in order to hedge against unfavorable changes in the value of securities or to attempt to realize profits from the value of the related securities.

Futures contracts involve market risk that may exceed the amounts recognized in the Statement of Assets & Liabilities. Risks arise from the possible movements in the prices of securities relating to these instruments. The change in value of futures contracts primarily corresponds with the value of their related securities, but may not precisely correlate with the change in value of such securities. In addition, there is the risk that a Portfolio may not be able to enter into a closing transaction because of an illiquid secondary market.

4. Securities Sold Short: Each Portfolio may sell securities short. A short sale is a transaction in which the Portfolio sells securities it may or may not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Portfolio is obligated to replace the borrowed securities at their market price at the time of replacement. The Portfolio may have to pay a premium to borrow the securities as well as pay any dividends or interest payable on the securities until they are replaced. The Portfolio’s obligation to replace the securities borrowed in connection with a short sale will generally be secured by collateral deposited with the broker that consists of cash, U.S. government securities or other liquid high grade debt obligations. In addition, the Portfolio will either place in a segregated account with its custodian or denote on its custody records an amount of cash, U.S. government securities or other liquid high grade debt obligations equal to the difference, if any, between (1) the market value of the securities sold at the time they were sold short and (2) any cash, U.S. government securities or other liquid high grade debt obligations deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). Short sales by the Portfolios involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.

5.Swap Agreements: Each Portfolio may enter into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another instrument. Cash collateral for swap agreements, if applicable, is deposited with the broker serving as counterparty to the agreement, and is included in “Due from (to) Broker” on the Statement of Assets & Liabilities. The following summarizes swaps entered into by the Advisory Mortgage Portfolio:

Credit Default Swaps: Credit default swaps involve commitments to pay a fixed rate in exchange for payment if a credit event affecting a third party (the referenced company) occurs. Credit events may include a failure to pay interest, bankruptcy, or restructuring. Net periodic interest payments to be received or paid are accrued daily and are recorded in the Statements of Operations as an adjustment to interest income. Credit default swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations.

Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. Net periodic interest payments to be received or paid are accrued daily and are recorded in the Statements of Operations as an adjustment to interest income. In a zero-coupon interest rate swap, payments only occur at maturity, at which time one counterparty pays the total compounded fixed rate over the life of the swap and the other pays the total compounded floating rate that would have been earned had a series of LIBOR investments been rolled over through the life of the swap. Interest rate swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations.

Total Return Swaps: Total return swaps involve commitments to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty, respectively. Total return swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations. Periodic payments received or made at the end of each measurement period, but prior to termination, are recorded as realized gains or losses in the Statements of Operations.

Realized gains or losses on maturity or termination of swaps are presented in the Statements of Operations. Because there is no organized market for these swap agreements, the unrealized gain/loss reported in the Statement of Assets & Liabilities may differ from that which would be realized in the event the Portfolio terminated its position in the agreement. Risks may arise upon entering into these agreements from

20

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

the potential inability of the counterparties to meet the terms of the agreements and are generally limited to the amount of net interest payments to be received, if any, at the date of default.

6.Structured Investments: Each Portfolio may invest in structured investments whose values are linked either directly or inversely to changes in foreign currencies, interest rates, commodities, indices, or other underlying instruments. A Portfolio uses these securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that might be difficult to invest in through conventional securities. Structured investments may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.

7.Delayed Delivery Commitments: Each Portfolio may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Liquid securities or cash is designated in an amount at least equal to these commitments. Securities held for this purpose cannot be sold while this strategy is outstanding, unless replaced with other assets. As a result, there is a possibility that as designated assets reach certain levels, a Portfolio may lose some flexibility in managing its investments, responding to shareholder redemption requests, or meeting other current obligations. Such transactions may give rise to a form of leverage. This can cause a Portfolio to be more volatile than if it had not been leveraged, as leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s portfolio securities.

8.Foreign Currency Translation and Foreign Currency Exchange Contracts: The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the bid prices of such currencies against U.S. dollars quoted by a bank. Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on a Portfolio’s books and the U.S. dollar equivalent of amounts actually received or paid.

A foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. Each Portfolio may enter into foreign currency exchange contracts to protect securities and related receivables and payables against future changes in foreign exchange rates. Fluctuations in the value of such contracts are recorded as unrealized appreciation or depreciation; realized gains or losses, which are disclosed in the Statements of Operations, include net gains or losses on contracts which have been terminated by settlements. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contract, if any, at the date of default. Risks may also arise from unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

The Advisory Foreign Fixed Income and Advisory Foreign Fixed Income II Portfolios’ net assets include foreign denominated securities and currency. The net assets of these Portfolios are presented at the foreign exchange rates and market values at the close of the period. The Portfolios do not 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 the securities held at period end. 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 securities sold during the period. Accordingly, the component of realized and unrealized foreign currency gains (losses) representing foreign exchange changes on investments is included in the reported net realized and unrealized gains (losses) on investment transactions and balances. Changes in currency exchange rates will affect the value of and investment income from such securities and currency.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibly lower level of governmental supervision, relative currency valuation fluctuation and regulation of foreign securities markets and the possibility of political or economic instability. .

9.Other: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold.

Discounts and premiums on securities purchased are accreted/amortized over their respective lives. Most expenses of the Fund can be directly attributed to a particular Portfolio. Expenses which cannot be directly attributed are apportioned among the Portfolios on the basis of their relative net assets.

B. Investment Advisory Fees. Under the terms of an Investment Advisory Agreement, each Portfolio pays Morgan Stanley Investment Management Inc. (“MSIM”, formerly Morgan

21

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Stanley Investments LP, or “the Adviser”), a wholly-owned subsidiary of Morgan Stanley, for investment advisory services performed at a fee calculated by applying a quarterly rate based on an annual percentage rate of 0.375% of the Portfolio’s average daily net assets for the quarter.

The Adviser has voluntarily agreed to reduce the fees payable to it and, if necessary, reimburse the Portfolios if annual operating expenses exceed 0.15%, 0.15% and 0.08% of average daily net assets of the Advisory Foreign Fixed Income, Advisory Foreign Fixed Income II and Advisory Mortgage Portfolios, respectively.

Morgan Stanley Investment Management Limited (“MSIM Limited”) serves as Sub-Adviser to the Advisory Foreign Fixed Income Portfolio and the Advisory Foreign Fixed Income II Portfolio. MSIM Limited is a wholly-owned subsidiary of Morgan Stanley. Under an Investment Sub-Advisory Agreement with the Adviser, MSIM Limited, subject to the control and supervision of the Fund, its officers, Trustees and the Adviser, and in accordance with the investment objectives, policies and restrictions of these Portfolios, makes certain day-to-day investment decisions for these Portfolios and places certain of the Portfolios’ purchase and sales orders. The Adviser pays MSIM Limited on a monthly basis a portion of the net advisory fees the Adviser receives from these Portfolios.

C. Administration Fees.  MSIM (the “Administrator”) serves as Administrator to the Fund Pursuant to an Amended and Restated Administration Agreement dated November 1, 2004. Under its Amended and Restated Administration Agreement with the Fund, MSIM receives an annual fee, accrued daily and payable monthly, of 0.08% of each Portfolio’s average daily net assets. Administration cost, (including out-of-pocket expenses incurred in the ordinary course of providing services under the agreement, which were previously borne by the Fund), except pricing services and extraordinary expenses, will now be covered under the Administration Fee. Transfer Agency expenses will no longer be paid by MSIM, but will be borne by the Fund. J.P. Morgan Investor Services Co. (“JPMIS”), a corporate affiliate of JPMorgan Chase Bank, provides fund accounting and other services pursuant to a sub-administration agreement with MSIM and receives compensation for these services.

Prior to November 1, 2004, MSIM served as Administrator to the Fund pursuant to an Administration Agreement. Under the agreement, MSIM received an annual fee, accrued daily and payable monthly, of 0.08% of each Portfolio’s average daily net assets, plus reimbursement of out-of-pocket expenses.

D. Distribution Fees.  Morgan Stanley Distribution, Inc. (“MSDI” or the “Distributor”), a wholly owned subsidiary of the Adviser, is the distributor for the Fund. MSDI is a limited-purpose broker/dealer whose only function is to distribute open-end mutual fund shares.

E. Custodian Fees.  JPMorgan Chase Bank serves as custodian for the Fund in accordance with a custodian agreement. The Custodian holds cash, securities, and other assets of the Fund as required by the 1940 Act.

The Portfolios have entered into an arrangement with their custodian whereby credits realized on uninvested cash balances were used to offset a portion of each applicable Portfolio’s expenses. These custodian credits are shown as “expense offset” on the Statements of Operations.

F. Transfer Agency Fees. JPMIS, a corporate affiliate of JPMorgan Chase Bank serves as Transfer Agent to the Fund pursuant to a Transfer Agency Agreement.  Prior to November 1, 2004, the Transfer Agency expenses were borne by MSIM.

G. Portfolio Investment Activity.

1.Purchases and Sales of Securities.  For the six months ended March 31, 2005, purchases and sales of investment securities other than temporary cash investments and long-term U.S. government securities were:

	Purchases		Sales
Portfolio	(000)		(000)
Advisory Foreign Fixed Income	$	1,475	$	11,314
Advisory Foreign Fixed Income II	948		2,837
Advisory Mortgage	5,252,568		6,490,027

For the six months ended March 31, 2005, purchases and sales of long-term U.S. government securities were:

	Purchases		Sales
Portfolio	(000)		(000)
Advisory Mortgage	$	10,920	$	—

22

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

2.Swap Agreements.  At March 31, 2005, the Advisory Mortgage Portfolio had the following open Swap Agreements:

							Net Unrealized
	Termination	Notional Amount					Appreciation (Depreciation)
Counterparty	Date	(000)		Type	Pay	Receive	(000)
Bank of America	4/27/05	$	116,300	TRS	3 month LIBOR	Index Return(1)	$	(2,041	)
	5/25/05	69,100		TRS	3 month LIBOR	Index Return(1)	(1,136		)
	2/15/22	26,000		ZCS	at maturity	compounded 3 month LIBOR	89
Citigroup	5/15/19	73,000		ZCS	at maturity	compounded 3 month LIBOR less 7.125 bps	(655		)
	5/15/19	30,000		ZCS	at maturity	compounded 3 month LIBOR less 4.2 bps	(170		)
	11/15/19	39,150		ZCS	at maturity	compounded 3 month LIBOR less 7.9 bps	(629		)
	2/15/20	25,875		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	389
	2/15/20	25,875		ZCS	at maturity	compounded 3 month LIBOR less 2.75 bps	374
	2/15/20	92,000		ZCS	at maturity	compounded 3 month LIBOR less 4.14 bps	763
	2/15/20	142,850		ZCS	at maturity	compounded 3 month LIBOR less 4.882 bps	886
	5/15/20	65,750		ZCS	at maturity	compounded 3 month LIBOR less 9.75 bps	1,168
	5/15/20	74,550		ZCS	at maturity	compounded 3 month LIBOR less 6.0 bps	(95		)
	5/15/20	73,725		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	(69		)
	8/15/20	18,300		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(188		)
	8/15/20	50,000		ZCS	at maturity	compounded 3 month LIBOR less 6.25 bps	(272		)
	2/15/21	35,000		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(698		)
	5/15/21	39,800		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(959		)
	5/15/21	39,800		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(908		)
	5/15/21	15,500		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(414		)
	5/15/21	47,200		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(1,259		)
	5/15/21	33,000		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(910		)
	5/15/21	30,410		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(759		)
	5/15/21	36,300		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(1,026		)
	5/15/21	119,875		ZCS	at maturity	compounded 3 month LIBOR less 3.75 bps	(627		)
	5/15/21	63,800		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(33		)
	5/15/21	63,900		ZCS	at maturity	compounded 3 month LIBOR less 3.0 bps	1,944
	5/15/21	27,250		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	1,097
	11/15/21	63,800		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(541		)
	11/15/21	26,275		ZCS	at maturity	compounded 3 month LIBOR less 3.7 bps	(302		)
	11/15/21	63,800		ZCS	at maturity	compounded 3 month LIBOR less 4.25 bps	(559		)
	2/15/22	29,100		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	314
	8/15/22	85,000		ZCS	at maturity	compounded 3 month LIBOR less 7.0 bps	(2,503		)
	8/15/22	19,750		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	256
	2/15/23	27,000		ZCS	at maturity	compounded 3 month LIBOR less 11.5 bps	165
	2/15/23	10,000		ZCS	at maturity	compounded 3 month LIBOR less 12.0 bps	(112		)
Credit Suisse First Boston	5/15/16	10,000		ZCS	at maturity	compounded 3 month LIBOR	88
	2/15/17	65,000		ZCS	at maturity	compounded 3 month LIBOR	1,770
	8/15/18	49,250		ZCS	at maturity	compounded 3 month LIBOR	(1,164		)
	2/15/19	75,000		ZCS	at maturity	compounded 3 month LIBOR	760
	5/15/19	45,300		ZCS	at maturity	compounded 3 month LIBOR	327
	8/15/19	62,000		ZCS	at maturity	compounded 3 month LIBOR	(1,577		)
	8/15/19	63,000		ZCS	at maturity	compounded 3 month LIBOR	(1,468		)
	11/15/19	49,250		ZCS	at maturity	compounded 3 month LIBOR	(1,356		)
	2/15/21	125,600		ZCS	at maturity	compounded 3 month LIBOR	(3,563		)
	5/15/21	289,000		ZCS	at maturity	compounded 3 month LIBOR	(3,365		)
	5/15/21	199,125		ZCS	at maturity	compounded 3 month LIBOR	(1,592		)
	5/15/21	199,500		ZCS	at maturity	compounded 3 month LIBOR	(67		)
	5/15/21	63,900		ZCS	at maturity	compounded 3 month LIBOR	849
	11/15/23	65,000		ZCS	at maturity	compounded 3 month LIBOR	512
Goldman Sachs	2/15/20	30,410		ZCS	at maturity	compounded 3 month LIBOR	(712		)
	2/15/20	66,500		ZCS	at maturity	compounded 3 month LIBOR	456
	2/15/20	29,500		ZCS	at maturity	compounded 3 month LIBOR	201
	5/15/20	32,975		ZCS	at maturity	compounded 3 month LIBOR	443

23

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
	Termination	Notional Amount					Appreciation (Depreciation)
Counterparty	Date	(000)		Type	Pay	Receive	(000)
Goldman Sachs	2/15/21	$	40,350	ZCS	at maturity	compounded 3 month LIBOR	$	(1,234	)
	2/15/21	27,850		ZCS	at maturity	compounded 3 month LIBOR	(127		)
	2/15/21	47,100		ZCS	at maturity	compounded 3 month LIBOR	(371		)
	11/15/21	56,100		ZCS	at maturity	compounded 3 month LIBOR	(34		)
	11/15/21	111,650		ZCS	at maturity	compounded 3 month LIBOR	(993		)
	8/15/22	18,300		ZCS	at maturity	compounded 3 month LIBOR	(283		)
	11/15/22	63,900		ZCS	at maturity	compounded 3 month LIBOR	1,592
							$	(20,328	)

(1) Receive if positive (pay if negative), the total rate of return on the Banc of America Securities LLC AAA 10-year Commercial Mortgage-Backed Securities Daily Index.

bps— basis points

TRS— Total Return Swap

ZCS— Zero Coupon Interest Rate Swap

H. Federal Income Taxes: It is each Portfolio’s intention to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Dividends from net investment income, if any, are declared and paid quarterly for the Advisory Foreign Fixed Income and Advisory Foreign Fixed Income II Portfolios and monthly for the Advisory Mortgage Portfolio. Net realized capital gains, if any, are distributed at least annually.

The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2004 and 2003 were as follows:

	2004 Distributions				2003 Distributions
	Paid From:				Paid From:
	Ordinary		Long-Term		Ordinary		Long-Term
	Income		Capital Gain		Income		Capital Gain
Portfolio	(000)		(000)		(000)		(000)
Advisory Foreign Fixed Income	$	979	$	—	$	1,929	$	81
Advisory Foreign Fixed Income II	142		—		67		—
Advisory Mortgage	239,329		—		655,237		66,092

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. The book/tax differences are either considered temporary or permanent in nature.

Temporary differences are generally due to differing book and tax treatments in the timing of the recognition of gains or losses on securities, forwards and futures, including Post-October Losses.  Permanent differences are generally due to swap transactions, paydown adjustments and foreign currency transactions.

Permanent book and tax basis differences may result in reclassifications to undistributed (distributions in excess of) net investment income, accumulated net realized net gain (loss) and paid-in capital.

At September 30, 2004, the components of distributable earnings on a tax basis were as follows:

	Undistributed
	Ordinary Income
Portfolio	(000)
Advisory Foreign Fixed Income	$	1,233
Advisory Foreign Fixed Income II	209
Advisory Mortgage	38,531

At March 31, 2005, cost, unrealized appreciation, unrealized depreciation and net unrealized appreciation (depreciation) of securities for Federal income tax purposes were:

								Net
								Appreciation
	Cost		Appreciation		Depreciation			(Depreciation)
Portfolio	(000)		(000)		(000)			(000)
Advisory Foreign Fixed Income	$	96,964	$	4,108	$	(2	)	$	4,106
Advisory Foreign Fixed Income II	23,752		984		—			984
Advisory Mortgage	3,924,726		155,977		(128,431		)	27,546

At September 30, 2004, the Advisory Mortgage Portfolio had available for Federal income tax purposes unused capital losses of approximately $18,149,000 and $104,610,000, which will expire on September 30, 2011 and September 30, 2012, respectively.

To the extent that capital loss carryover is used to offset any future capital gains realized during the carryover period as

24

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

provided by U.S. Federal income tax regulations, no capital gains tax liability will be incurred by a portfolio for gains realized and not distributed.  To the extent that capital gains are offset, such gains will not be distributed to the shareholders.

Under current tax law, certain capital and net foreign exchange losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended September 30, 2004, the Advisory Mortgage Portfolio elected to defer capital losses occurring between November 1, 2003 and September 30, 2004 up to approximately $62,679,000.

I. Contractual Obligations: The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

J. Other.  At March 31, 2005, the Advisory Foreign Fixed Income, Advisory Foreign Fixed Income II and Advisory Mortgage Portfolios each had otherwise unaffiliated record owners of 10% or greater. Investment activities of these shareholders could have a material impact on the Portfolios. The aggregate percentage of such owners was 36.9%, 64.5% and 14.4%, respectively.

25

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Trustee and Officer Information

Trustees

Michael Bozic

Edwin J. Garn

Wayne E. Hedien

James F. Higgins

Dr. Manuel H. Johnson

Joseph J. Kearns

Michael Nugent

Fergus Reid

Investment Adviser and Administrator

Morgan Stanley Investment Management Inc.

1221 Avenue of the Americas

New York, NY 10020

Distributor

Morgan Stanley Distribution, Inc.

One Tower Bridge

100 Front Street, Suite 1100

West Conshohocken, PA 19428-2899

Custodian

JPMorgan Chase Bank

270 Park Avenue

New York, NY 10017

Legal Counsel

Clifford Chance US LLP

31 West 52^nd Street

New York, NY 10019

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116-5072

Officers

Charles A. Fiumefreddo

Chairman and Director of the Board

Mitchell M. Merin

President

Ronald E. Robison

Executive Vice President and Principal Executive Officer

Barry Fink

Vice President

Joseph J. McAlinden

Vice President

Stefanie V. Chang

Vice President

Amy R. Doberman

Vice President

Carsten Otto

Chief Compliance Officer

James W. Garrett

Treasurer and Chief Financial Officer

Michael J. Leary

Assistant Treasurer

Mary E. Mullin

Secretary

Reporting to Shareholders

Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semi-annual and annual reports within 60 days of the end of the fund’s second and fourth fiscal quarters by filing the schedule electronically with the Securities and Exchange Commission (SEC). The semi-annual reports are filed on Form N-CSRS and the annual reports are filed on Form N-CSR. Morgan Stanley also delivers the semi-annual and annual reports to fund shareholders and makes these reports available on its public website, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund’s first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public website. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC’s website, http://www.sec.gov. You may also review and copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at 1(800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.

Proxy Voting Policies and Procedures and Proxy Voting Record

A copy of (1) the Fund’s policies and procedures with respect to the voting of proxies relating to the Fund’s portfolio securities; and (2) how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling 1(800) 354-8185 or by visiting our website at www.morganstanley.com/im.  This information is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

This report is authorized for distribution only when preceded or accompanied by the prospectus of the Morgan Stanley Institutional Fund Trust which describes in detail each Investment Portfolio’s investment policies, risks, fees and expenses. Please read the prospectus carefully before you invest or send money. For additional information, including information regarding the investments comprising the Portfolio, please visit our website at www.morganstanley.com/im or call 1(800) 354-8185.

26

Printed in U.S.A.

This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Morgan Stanley Investment Management Inc.

1221 Avenue of the Americas

New York, NY 10020

Investment Adviser : (610) 940-5000 • MSIF Trust (800) 354-8185

© 2004 Morgan Stanley

931-ADVAR-0505

2005 Semi-Annual Report

March 31, 2005

Morgan Stanley Institutional Fund Trust

Fixed Income Portfolios

Core Plus Fixed Income

Investment Grade Fixed Income

U.S. Core Fixed Income

High Yield

Intermediate Duration

International Fixed Income

Limited Duration

Municipal

Balanced Portfolio

Balanced

2005 Semi-Annual Report

March 31, 2005

Table of Contents

Shareholder’s Letter

Expense Examples

Fixed Income Portfolios:

Core Plus Fixed Income

Investment Grade Fixed Income

U.S. Core Fixed Income

High Yield

Intermediate Duration

International Fixed Income

Limited Duration

Municipal

Balanced Portfolio:

Balanced

Statements of Assets and Liabilities

Statements of Operations

Statements of Changes in Net Assets

Statements of Cash Flows

Financial Highlights

Notes to Financial Statements

Trustee and Officer Information

This report is authorized for distribution only when preceded or accompanied by prospectuses of the Morgan Stanley Institutional Fund Trust. To receive a prospectus and/or SAI, which contains more complete information such as investment objectives, charges, expenses, policies for voting proxies, risk considerations, and describes in detail each of the Portfolio’s investment policies to the prospective investor, please call 1 (800) 354-8185. Please read the prospectus carefully before you invest or send money. Additionally, you can access portfolio information including performance, characteristics, and investment team commentary through Morgan Stanley Investment Management’s website: www.morganstanley.com\im.

1

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Shareholder’s Letter

Dear Shareholders:

We are pleased to present to you the Fund’s Semi-Annual Report for the six months ended March 31, 2005. Our Fund currently consists of 17 portfolios, providing investors with a broad array of equity, fixed-income, and balanced portfolios. The Fund’s portfolios, together with the portfolios of the Morgan Stanley Institutional Fund, Inc., provide investors with a means to help them meet specific investment needs and to allocate their investments among equities (e.g., value and growth; small, medium, and large capitalization), and fixed income (e.g., short, medium, and long duration; investment grade and high yield).

Sincerely,

Ronald E. Robison

Executive Vice President and Principal Executive Officer

April 2005

2

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Expense Examples

Expense Examples

As a shareholder of the Portfolio, you incur ongoing costs, including management fees, shareholder servicing fees (in the case of Investment Class), distribution (12b-1) fees (in the case of Adviser Class); and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the six-month period ended March 31, 2005 and held for the entire six-month period.

Actual Expenses

The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the tables 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 funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2004		March 31, 2005		October 1, 2004 — March 31, 2005
Core Plus Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,014.70	$	2.33
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.62		2.34
Investment Class
Actual	1,000.00		1,014.00		3.08
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.87		3.10
Adviser Class
Actual	1,000.00		1,013.40		3.58
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.38		3.59
* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized expense ratios of 0.46%, 0.61% and 0.71%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Investment Grade Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,014.90	$	2.56
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.93		2.57
Adviser Class
Actual	1,000.00		1,015.00		3.31
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.65		3.32
* Expenses are equal to Institutional Class’ and Adviser Class’ annualized expense ratios of 0.51% and 0.66%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
U.S. Core Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,014.60	$	2.51
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.44		2.52
Adviser Class
Actual	1,000.00		1,012.40		3.76
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.19		3.78
* Expenses are equal to Institutional Class’ and Adviser Class’ annualized expense ratios of 0.50% and 0.75%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

3

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Expense Examples (cont’d)

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2004		March 31, 2005		October 1, 2004 — March 31, 2005
High Yield Portfolio
Institutional Class
Actual	$	1,000.00	$	1,013.70	$	3.12
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.83		3.13
Investment Class
Actual	1,000.00		1,012.80		3.85
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.10		3.87
Adviser Class
Actual	1,000.00		1,012.40		4.36
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.60		4.38
* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized expense ratios of 0.62%, 0.77% and 0.87%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Intermediate Duration Portfolio
Institutional Class
Actual	$	1,000.00	$	1,001.00	$	2.61
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.33		2.63
Investment Class
Actual	1,000.00		1,000.40		3.34
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.59		3.38
* Expenses are equal to Institutional Class’ and Investment Class’ annualized expense ratios of 0.52% and 0.67%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
International Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,061.40	$	2.93
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.09		2.87
* Expenses are equal to Institutional Class’ annualized expense ratio of 0.57% multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Limited Duration Portfolio
Institutional Class
Actual	$	1,000.00	$	1,000.80	$	2.13
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.80		2.15
* Expenses are equal to Institutional Class’ annualized expense ratio of 0.43% multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Municipal Portfolio
Institutional Class
Actual	$	1,000.00	$	1,003.60	$	2.50
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.44		2.52
* Expenses are equal to Institutional Class’ annualized expense ratio of 0.50% multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Balanced Portfolio
Institutional Class
Actual	$	1,000.00	$	1,050.10	$	3.26
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.75		3.21
Investment Class
Actual	1,000.00		1,049.40		4.02
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.01		3.97
Adviser Class
Actual	1,000.00		1,048.60		4.55
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.49		4.49
* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized expense ratios of 0.64%, 0.79% and 0.89%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

4

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Core Plus Fixed Income Portfolio

	Face Amount		Value
	(000)		(000)
Fixed Income Securities (107.4%)
Agency Adjustable Rate Mortgages (1.0%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
3.375%, 1/20/25-1/20/28	$	19,274	$	19,603
3.75%, 7/20/25-9/20/27	2,409		2,439
4.125%, 10/20/25-12/20/27	3,492		3,554
			25,596
Agency Fixed Rate Mortgages (25.6%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
10.00%, 2/1/10-11/1/20	2,161		2,424
10.50%, 8/1/09-10/1/20	751		829
11.00%, 12/1/10-9/1/20	658		720
11.25%, 10/1/11-12/1/15	276		304
11.50%, 1/1/11-12/1/15	14		15
11.75%, 12/1/17-4/1/19	33		35
12.00%, 10/1/09-2/1/15	34		38
13.00%, 6/1/19	12		13
14.00%, 8/1/14	1		1
14.75%, 3/1/10	3		4
Gold Pools:
6.00%, 5/15/35	24,300		24,809
6.50%, 3/1/16-8/1/33	3,825		3,981
7.00%, 2/1/28-7/1/32	4,338		4,574
7.50%, 8/1/17-10/1/32	24,490		26,232
8.00%, 11/1/25-12/1/31	6,861		7,385
8.50%, 3/1/09-8/1/31	15,301		16,675
9.00%, 7/1/17	998		1,087
9.50%, 1/1/21-12/1/22	1,086		1,198
10.00%, 6/1/17-3/1/21	810		918
10.50%, 11/1/15-4/1/21	496		547
April TBA
5.00%, 4/1/20	(i)38,950		38,962
5.50%, 4/1/20	(i)70,250		71,677
6.00%, 4/1/35	(i)21,500		22,004
Federal National Mortgage Association,
Conventional Pools:
6.50%, 11/1/23-9/1/34	86,682		90,184
7.00%, 2/1/17-11/1/32	20,452		21,594
7.50%, 11/1/22-10/1/32	48,157		51,541
8.00%, 3/1/07-10/1/32	46,571		50,142
8.50%, 11/1/08-5/1/32	41,025		44,702
9.00%, 12/1/08-1/1/22	3,210		3,446
9.50%, 11/1/13-4/1/30	9,830		10,821
10.00%, 9/1/10-10/1/25	1,504		1,680
10.50%, 5/1/12-7/1/25	1,521		1,714
11.00%, 7/1/20-11/1/20	285		315
11.50%, 1/1/13-2/1/20	407		455
12.00%, 11/1/15	406		452
12.50%, 9/1/15-2/1/16	83		93
April TBA
5.00%, 4/1/20	(i)17,600		17,589
7.50%, 4/1/35	(i)2,600		2,779
May TBA
4.50%, 5/1/20	$	(i)50,000	$	48,797
5.00%, 5/1/20	(i)16,625		16,578
Government National Mortgage Association,
Various Pools:
9.00%, 12/15/21-11/15/24	3,486		3,827
9.50%, 8/15/09-12/15/19	3,380		3,735
10.00%, 11/15/09-1/15/26	23,064		26,005
10.50%, 12/15/14-4/15/25	2,503		2,843
11.00%, 12/15/09-2/15/25	6,630		7,364
11.50%, 4/15/13-4/20/19	147		165
12.00%, 3/15/11-11/15/19	2,933		3,293
12.50%, 6/15/10-12/15/13	15		17
			634,563
Asset Backed Corporates (18.9%)
American Express Credit Account Master Trust
2.92%, 11/16/09-12/15/09	(h)34,375		34,455
Asset Backed Funding Certificates
2.98%, 6/25/22	(h)4,847		4,850
Bear Stearns Asset Backed Securities, Inc.
3.05%, 9/25/34	(h)14,523		14,542
Capital Auto Receivables Asset Trust
2.89%, 1/15/08	(h)9,000		9,013
3.35%, 2/15/08	7,725		7,630
Carrington Mortgage Loan Trust
2.98%, 1/25/35	(h)14,075		14,084
Centex Home Equity
2.92%, 3/25/35	(h)10,500		10,500
Citibank Credit Card Issuance Trust
6.875%, 11/16/09	17,930		19,091
GE Capital Credit Card Master Note Trust
2.85%, 9/15/10	(h)10,700		10,709
GE Dealer Floorplan Master Note Trust
2.90%, 7/20/08	(h)10,050		10,055
GMAC Mortgage Corp. Loan Trust
2.96%, 3/25/35	(h)11,000		11,013
GSAMP Trust
2.97%, 2/25/35	(h)8,035		8,042
2.99%, 12/25/34	(h)13,623		13,637
Harley-Davidson Motorcycle Trust
2.18%, 1/15/09	8,341		8,273
Honda Auto Receivables Owner Trust
2.52%, 2/15/07	15,464		15,427
Hyundai Auto Receivables Trust
1.56%, 9/15/06	4,380		4,372
JP Morgan Chase Commercial Mortgage Securities Corp.
2.99%, 4/16/19	(e)(h)11,663		11,680
Long Beach Mortgage Loan Trust
2.93%, 4/25/35	(h)17,000		17,000
2.99%, 2/25/35	(h)13,793		13,803
MBNA Credit Card Master Note Trust
2.95%, 2/16/10	(h)15,975		16,031

The accompanying notes are an integral part of the financial statements.

5

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
MBNA Master Credit Card Trust USA
5.90%, 8/15/11	$	19,110	$	20,117
7.80%, 10/15/12	17,475		20,056
Merrill Lynch Mortgage Investors, Inc.
2.95%, 9/25/35	(h)13,046		13,056
3.03%, 7/25/35	(h)6,152		6,157
3.05%, 8/25/35	(h)2,172		2,173
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)12,464		12,472
3.03%, 8/25/34	(h)5,270		5,274
Residential Asset Mortgage Products, Inc.
2.96%, 1/25/35	(h)9,121		9,129
Residential Asset Securities Corp.
3.02%, 7/25/21	(h)3,956		3,959
Residential Funding Mortgage Securities II
3.00%, 2/25/13	(h)2,703		2,705
Saxon Asset Securities Trust
2.96%, 5/25/35	(h)8,085		8,091
SLM Student Loan Trust
2.72%, 10/25/12	(h)18,050		18,058
2.74%, 1/25/13	(h)9,300		9,315
Specialty Underwriting & Residential Finance
2.856%, 12/25/35	(h)11,750		11,750
Structured Asset Investment Loan Trust
2.95%, 4/25/34	(h)4,873		4,876
2.97%, 3/25/35	(h)11,843		11,851
Terwin Mortgage Trust
3.24%, 11/25/35	(h)12,028		12,075
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	3,025		3,020
USAA Auto Owner Trust
2.41%, 2/15/07	5,300		5,286
Wachovia Auto Owner Trust
2.40%, 5/21/07	9,100		9,061
2.49%, 4/20/07	11,362		11,338
Wells Fargo Home Equity Trust
3.02%, 2/25/18	(h)3,011		3,014
World Omni Auto Receivables Trust
2.58%, 7/12/07	9,402		9,375
			466,415
Collateralized Mortgage Obligations — Agency Collateral Series (0.9%)
Federal Home Loan Mortgage Corporation
Inv Fl IO
33.188%, 11/15/07	174		44
Inv Fl IO PAC
6.788%, 3/15/08	1,075		58
7.067%, 2/15/08	2,023		90
Inv Fl IO REMIC
4.69%, 8/15/30	489		27
IO
6.00%, 5/1/31	12,674		2,222
7.50%, 12/1/29	$	816	$	159
8.00%, 1/1/28-6/1/31	5,834		1,243
Federal National Mortgage Association
3.471%, 11/25/33	688		687
Inv Fl IO
3.55%, 7/25/34	17,724		695
5.35%, 10/25/28	15,410		888
5.65%, 7/25/30	8,894		637
5.716%, 10/18/30	4,735		312
5.933%, 10/25/07	3,185		112
Inv Fl IO REMIC
46.392%, 9/25/20	95		176
57.375%, 9/25/22	160		178
IO
5.15%, 12/25/27	2,664		50
6.00%, 8/25/32	2,324		302
6.50%, 9/1/29-5/25/33	34,434		6,458
7.00%, 3/1/32	10,954		2,299
8.00%, 4/1/24-8/1/31	19,506		4,143
8.50%, 10/1/25	533		74
9.00%, 11/1/26	877		172
IO PAC
8.00%, 9/18/27	2,912		590
Government National Mortgage Association
Inv Fl IO
5.33%, 5/16/31	13,437		1,037
5.38%, 8/16/31	5,232		380
5.78%, 8/16/29	685		60
Inv Fl IO PAC
5.58%, 5/16/26	426		2
Kidder Peabody Mortgage Assets Trust, IO
9.50%, 4/22/18	6		1
			23,096
Federal Agency (1.1%)
Federal Home Loan Mortgage Corporation
5.125%, 11/7/13	25,900		25,922
Finance (5.5%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)8,450		9,090
American General Finance Corp.
4.625%, 5/15/09-9/1/10	(c)2,375		2,367
AXA Financial, Inc.
6.50%, 4/1/08	5,405		5,722
CIT Group, Inc.
3.65%, 11/23/07	(c)2,335		2,287
Citigroup, Inc.
5.625%, 8/27/12	4,585		4,757
6.00%, 2/21/12	(c)4,165		4,440
Countrywide Home Loans, Inc.
3.25%, 5/21/08	5,000		4,790
EOP Operating LP
4.75%, 3/15/14	665		625
7.50%, 4/19/29	2,515		2,881

The accompanying notes are an integral part of the financial statements.

6

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
Farmers Insurance Exchange
8.625%, 5/1/24	$	(e)6,970	$	8,453
General Electric Capital Corp.
4.25%, 12/1/10	2,115		2,067
6.75%, 3/15/32	(c)4,335		5,021
Goldman Sachs Group, Inc.
6.875%, 1/15/11	8,195		8,949
Household Finance Corp.
5.875%, 2/1/09	9,750		10,154
6.40%, 6/17/08	760		802
JPMorgan Chase & Co.
6.00%, 2/15/09	7,595		7,957
6.625%, 3/15/12	1,410		1,544
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	6,200		6,103
Mantis Reef Ltd.
4.692%, 11/14/08	(e)4,615		4,565
Marsh & McClennan Cos., Inc.
5.875%, 8/1/33	6,090		5,567
MBNA America Bank
7.125%, 11/15/12	1,240		1,383
MBNA Corp.
6.125%, 3/1/13	4,355		4,601
Nationwide Building Society
4.25%, 2/1/10	(e)2,895		2,836
Prudential Holdings LLC
7.245%, 12/18/23	(c)(e)1,915		2,253
Reckson Operating Partnership LP
5.15%, 1/15/11	2,740		2,734
Rouse Co. (The)
3.625%, 3/15/09	1,480		1,386
5.375%, 11/26/13	(c)760		728
SLM Corp.
4.00%, 1/15/10	(c)3,560		3,457
Two-Rock Pass Through Trust
3.714%, 12/31/49	(e)(h)2,175		2,171
Washington Mutual, Inc.
8.25%, 4/1/10	4,610		5,235
World Financial Properties
6.91%, 9/1/13	(e)1,410		1,513
6.95%, 9/1/13	(e)8,637		9,269
			135,707
Industrials (10.8%)
Abitibi-Consolidated, Inc.
8.55%, 8/1/10	(c)2,870		2,927
8.85%, 8/1/30	6,298		5,936
Aetna, Inc.
7.875%, 3/1/11	6,000		6,901
Altria Group, Inc.
7.00%, 11/4/13	1,700		1,827
7.75%, 1/15/27	(c)3,645		4,172
Amerada Hess Corp.
7.875%, 10/1/29	5,060		6,066
AT&T Corp.
9.75%, 11/15/31	$	2,285	$	2,799
AutoNation, Inc.
9.00%, 8/1/08	1,135		1,254
Bowater Canada Finance Corp.
7.95%, 11/15/11	(c)6,800		7,089
Burlington Northern and Santa Fe Railway Co.
4.575%, 1/15/21	1,995		1,942
Caterpillar Financial Services Corp.
2.92%, 8/20/07	(c)(h)4,400		4,403
3.625%, 11/15/07	1,060		1,043
Clear Channel Communications, Inc.
7.65%, 9/15/10	2,000		2,192
Clorox Co.
3.125%, 12/14/07	(e)(h)4,180		4,188
Comcast Corp.
5.30%, 1/15/14	(c)7,845		7,773
Consumers Energy Co.
4.00%, 5/15/10	1,400		1,340
4.80%, 2/17/09	2,000		2,003
5.375%, 4/15/13	955		963
Continental Airlines, Inc.
6.648%, 9/15/17	(c)6,887		6,541
7.461%, 4/1/15	1,337		1,257
COX Communications, Inc.
4.625%, 1/15/10	(e)2,930		2,850
CSX Corp.
2.75%, 2/15/06	1,540		1,523
9.00%, 8/15/06	1,590		1,688
DaimlerChrysler N.A. Holding Corp.
7.30%, 1/15/12	695		759
8.50%, 1/18/31	(c)2,270		2,747
Deutsche Telekom International Finance BV
8.75%, 6/15/30	3,850		5,050
Echostar DBS Corp.
6.375%, 10/1/11	(c)3,435		3,383
FedEx Corp.
2.65%, 4/1/07	2,565		2,487
Fisher Scientific International, Inc.
6.75%, 8/15/14	(e)2,295		2,341
FMC Corp.
10.25%, 11/1/09	1,055		1,182
Ford Motor Co.
6.625%, 10/1/28	995		837
Ford Motor Credit Co.
7.25%, 10/25/11	605		598
7.375%, 10/28/09	5,480		5,509
France Telecom S.A.
7.00%, 12/23/09	1,860		2,785
7.25%, 1/28/13	1,890		2,978
General Motors Acceptance Corp.
4.50%, 7/15/06	(c)1,120		1,093
6.875%, 9/15/11	15,675		14,201
8.00%, 11/1/31	2,170		1,894

The accompanying notes are an integral part of the financial statements.

7

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
General Motors Corp.
8.375%, 7/15/33	$	(c)6,635	$	5,692
Glencore Nickel Property Ltd.
9.00%, 12/1/14	(d)18,080		2
HCA, Inc.
7.19%, 11/15/15	2,900		3,022
7.875%, 2/1/11	1,935		2,103
9.00%, 12/15/14	1,995		2,329
Health Net, Inc.
9.875%, 4/15/11	5,075		6,049
Historic TW, Inc.
6.625%, 5/15/29	5,770		6,081
Hutchison Whampoa International Ltd.
5.45%, 11/24/10	(c)(e)1,445		1,466
6.50%, 2/13/13	(e)3,100		3,278
Hyatt Equities LLC
6.875%, 6/15/07	(e)3,265		3,374
ICI Wilmington, Inc.
4.375%, 12/1/08	1,985		1,962
Interpublic Group of Companies, Inc.
5.40%, 11/15/09	(c)2,730		2,628
Iron Mountain, Inc.
6.625%, 1/1/16	(c)1,350		1,239
7.75%, 1/15/15	(c)2,006		1,991
Kerr-McGee Corp.
5.875%, 9/15/06	1,315		1,337
Kraft Foods, Inc.
5.625%, 11/1/11	1,915		1,990
MGM Mirage
6.75%, 9/1/12	2,010		2,035
8.50%, 9/15/10	(c)4,525		4,977
Miller Brewing Co.
4.25%, 8/15/08	(e)3,415		3,384
Mohawk Industries, Inc.
7.20%, 4/15/12	(c)2,020		2,252
New Cingular Wireless Services, Inc.
8.75%, 3/1/31	1,985		2,627
News America Holdings
7.75%, 2/1/24	3,156		3,678
News America, Inc.
7.28%, 6/30/28	2,150		2,401
Norfolk Southern Corp.
7.35%, 5/15/07	1,010		1,071
Northrop Grumman Corp.
4.079%, 11/16/06	2,390		2,388
Panhandle Eastern Pipe Line Co.
2.75%, 3/15/07	775		751
Pemex Project Funding Master Trust
8.625%, 2/1/22	9,675		11,017
9.125%, 10/13/10	(c)3,250		3,762
Plains Exploration & Production Co.
7.125%, 6/15/14	(c)745		782
Raytheon Co.
8.30%, 3/1/10	$	2,000	$	2,299
Rogers Wireless Communications, Inc.
7.25%, 12/15/12	735		753
Sappi Papier Holding AG
6.75%, 6/15/12	(e)2,355		2,558
Sealed Air Corp.
5.625%, 7/15/13	(e)3,335		3,379
Smithfield Foods, Inc.
8.00%, 10/15/09	(c)4,255		4,532
Sprint Capital Corp.
8.375%, 3/15/12	2,345		2,744
8.75%, 3/15/32	805		1,048
Starwood Hotels & Resorts Worldwide, Inc.
7.375%, 5/1/07	1,735		1,800
7.875%, 5/1/12	(c)2,760		3,029
Systems 2001 Asset Trust LLC
6.664%, 9/15/13	(e)5,886		6,384
Telecom Italia Finance N.V.
5.875%, 1/24/08	1,840		2,565
7.25%, 4/24/12	1,330		2,068
Tenet Healthcare Corp.
6.875%, 11/15/31	(c)1,715		1,381
7.375%, 2/1/13	(c)1,360		1,289
Time Warner, Inc.
7.625%, 4/15/31	700		825
Union Pacific Corp.
5.214%, 9/30/14	(e)955		947
6.65%, 1/15/11	1,300		1,412
6.79%, 11/9/07	990		1,048
Verizon New England, Inc.
6.50%, 9/15/11	2,100		2,251
WellPoint, Inc.
3.75%, 12/14/07	(e)1,010		992
6.80%, 8/1/12	1,450		1,610
Weyerhaeuser Co.
6.00%, 8/1/06	(c)1,293		1,326
WPP Finance UK Corp.
5.875%, 6/15/14	(c)(e)2,670		2,766
Xerox Corp.
6.875%, 8/15/11	1,890		1,935
7.125%, 6/15/10	(c)3,315		3,443
			266,573
Mortgages — Other (0.8%)
American Express Co.
9.625%, 12/1/12	(d)31		31
American Housing Trust
9.125%, 4/25/21	229		229
9.553%, 9/25/20	48		48
Countrywide Alternative Loan Trust
3.04%, 7/25/34	(h)2,751		2,754
Federal Home Loan Mortgage Corporation PAC
9.50%, 4/15/20	5		5

The accompanying notes are an integral part of the financial statements.

8

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages — Other (cont’d)
Federal National Mortgage Association
7.00%, 9/25/32	$	7,168	$	7,478
First Federal Savings & Loan Association
8.75%, 6/1/06	(d)3		3
Household Bank
8.239%, 12/1/08	(d)7		7
Pelican Homestead Savings Association
9.214%, 10/1/07	(d)65		65
Ryland Acceptance Corp. IV
6.65%, 7/1/11	872		871
Thornburg Mortgage Securities Trust
3.00%, 6/25/44	(h)4,642		4,641
Washington Mutual, Inc.
2.948%, 7/25/44	(h)4,359		4,370
			20,502
Sovereign (0.6%)
Russian Federation
5.00%, 3/31/30	(c)(e)(g)6,000		6,195
United Mexican States
8.00%, 9/24/22	(c)1,350		1,536
8.375%, 1/14/11	6,805		7,761
			15,492
U.S. Treasury Securities (39.6%)
U.S. Treasury Bonds
5.50%, 8/15/28	(c)10,000		10,866
6.125%, 8/15/29	(c)60,550		71,338
6.375%, 8/15/27	(c)10,650		12,799
8.125%, 8/15/19	(c)48,250		64,928
U.S. Treasury Notes
3.125%, 5/15/07	(c)16,250		16,026
3.50%, 11/15/06	(c)32,000		31,910
3.875%, 2/15/13	(c)4,250		4,104
4.25%, 8/15/13	(c)74,450		73,441
U.S. Treasury Strips
IO
4.78%, 5/15/16	(c)25,000		14,783
4.82%, 2/15/17	(c)24,500		13,918
4.91%, 8/15/18	(c)11,500		6,012
4.94%, 2/15/19	(c)51,950		26,399
4.95%, 5/15/19	(c)10,200		5,113
4.96%, 8/15/19	(c)108,850		53,829
4.97%, 11/15/19-2/15/21	(c)81,250		37,571
4.99%, 2/15/20-5/15/20	(c)366,100		174,742
5.00%, 8/15/20-5/15/22	(c)131,300		57,615
5.02%, 5/15/21	(c)194,440		87,425
5.03%, 11/15/21-8/15/22	(c)138,875		60,021
5.05%, 11/15/22-2/15/23	(c)54,850		22,613
5.06%, 11/15/23	(c)23,500		9,267
PO
5/15/21-2/15/27	(c)310,975		126,167
			980,887
Utilities (2.6%)
Arizona Public Service Co.
5.80%, 6/30/14	$	(c)3,435	$	3,605
6.75%, 11/15/06	1,195		1,240
CC Funding Trust I
6.90%, 2/16/07	715		747
CenterPoint Energy Resources Corp.
7.75%, 2/15/11	2,075		2,356
Cincinnati Gas & Electric Co.
5.70%, 9/15/12	2,270		2,358
Consolidated Natural Gas Co.
5.00%, 12/1/14	1,600		1,567
6.25%, 11/1/11	3,800		4,076
Detroit Edison Co.
4.80%, 2/15/15	(e)3,670		3,566
6.125%, 10/1/10	90		96
Entergy Gulf States, Inc.
3.31%, 12/1/09	(h)1,935		1,944
3.60%, 6/1/08	1,655		1,607
Exelon Corp.
6.75%, 5/1/11	2,170		2,364
Monongahela Power Co.
5.00%, 10/1/06	2,220		2,244
Nevada Power Co.
9.00%, 8/15/13	(c)2,180		2,458
NiSource Finance Corp.
3.43%, 11/23/09	(c)(h)1,925		1,938
7.625%, 11/15/05	2,720		2,783
Northwest Pipeline Corp.
8.125%, 3/1/10	(c)725		779
Ohio Edison Co.
5.45%, 5/1/15	4,390		4,400
Pacific Gas & Electric Co.
6.05%, 3/1/34	3,400		3,503
PSEG Energy Holdings LLC
7.75%, 4/16/07	1,485		1,533
8.625%, 2/15/08	(c)2,480		2,629
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294%, 3/15/14	(c)(e)4,155		4,794
Reliant Energy, Inc.
6.75%, 12/15/14	(c)2,485		2,330
Sempra Energy
4.621%, 5/17/07	710		713
Southern California Edison Co.
5.00%, 1/15/14	585		581
Texas Eastern Transmission LP
7.00%, 7/15/32	2,240		2,580
Texas-New Mexico Power Co.
6.25%, 1/15/09	2,025		2,111
TXU Corp.
6.375%, 6/15/06	1,505		1,540
TXU Energy Co. LLC
7.00%, 3/15/13	(c)1,050		1,151

The accompanying notes are an integral part of the financial statements.

9

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Wisconsin Electric Power Co.
3.50%, 12/1/07	$	550	$	539
			64,132
Total Fixed Income Securities (Cost $2,654,143)			2,658,885
	Shares
Preferred Stock (0.9%)
Mortgages — Other (0.9%)
Home Ownership Funding Corp.
13.331% (Cost $21,801)	(e)64,625		22,938
	Face
	Amount
	(000)
Short-Term Investments (20.2%)
Short-Term Debt Securities held as Collateral on Loaned Securities (18.2%)
Abbey National Treasury Services,
2.64%, 1/13/06	$	(h)6,669	6,669
ASAP Funding Ltd., 2.77%, 4/25/05	5,371		5,371
Banco Bilbao Viz Argentaria, N.Y.,
2.81%, 5/16/05	4,495		4,495
Bank of America Corp., 2.71%, 5/6/05	4,463		4,463
Bank of New York,
2.74%, 4/4/06	(h)4,492		4,492
2.83%, 10/28/05	(h)14,730		14,730
Bear Stearns,
2.93%, 4/15/05	(h)8,089		8,089
2.96%, 12/5/05	(h)3,956		3,956
Beta Finance, Inc.,
2.71%, 4/19/05	2,416		2,416
2.81%, 5/4/05	(h)4,496		4,496
2.90%, 6/10/05	2,675		2,675
Calyon, N.Y., 2.89%, 2/27/06	(h)3,591		3,591
CC USA, Inc.,
2.83%, 11/28/05	(h)5,401		5,401
2.91%, 6/8/05	8,918		8,918
2.92%, 10/28/05	(h)4,316		4,316
CIC, N.Y., 2.78%, 2/13/06	(h)13,474		13,474
CIT Group Holdings, 2.72%, 7/29/05	(h)5,654		5,654
Citigroup, Inc., 2.90%, 9/1/05	(h)4,313		4,313
Compass Securitization,
2.86%, 5/25/05	6,245		6,245
2.97%, 6/15/05	3,567		3,567
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	9,882		9,882
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	20,231		20,231
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)5,984		5,984
Eni Coordination Center, 2.89%, 8/29/05	(h)4,492		4,492
Eurohypo AG, N.Y., 2.90%, 5/18/05	8,984		8,984
Galaxy Funding, Inc., 2.97%, 6/13/05	4,459		4,459
Giro Multi-Funding Corp., 3.00%, 6/15/05	8,920		8,920
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)4,492		4,492
HBOS Treasury Services plc, N.Y.,
2.73%, 4/28/05	12,522		12,522
International Lease Finance Corp.,
3.04%, 9/22/05	(h)6,921		6,921
Internationale Nederlanden U.S. Funding,
2.88%, 6/3/05	$	5,812	$	5,812
K2 (USA) LLC,
2.78%, 2/15/06	(h)4,134		4,134
2.83%, 10/24/05-3/22/06	(h)16,707		16,707
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)13,474		13,474
2.86%, 2/27/06	(h)5,392		5,392
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)12,578		12,578
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	3,594		3,594
Nationwide Building Society,
2.77%, 1/13/06	(h)7,192		7,192
3.12%, 3/31/06	(h)10,421		10,421
Pfizer, Inc., 2.71%, 5/1/06	(h)8,984		8,984
Procter & Gamble Co., 2.93%, 5/1/06	(h)3,683		3,683
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)8,983		8,983
Scaldis Capital LLC, 2.69%, 4/7/05	4,482		4,482
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)8,984		8,984
2.84%, 3/22/06	(h)8,983		8,983
SLM Corp., 2.85%, 5/1/06	(h)8,984		8,984
Svenska Handelsbank N.Y., 2.82%, 5/10/05	(h)8,983		8,983
Tango Finance Corp., 2.83%, 3/22/06	(h)7,547		7,547
UBS Securities LLC, 2.89%, 4/1/05	69,177		69,177
Washington Mutual Bank FA,
2.81%, 5/3/05	8,984		8,984
2.82%, 5/2/05	4,492		4,492
Westdeutsche Landesbank N.Y., 2.74%, 8/9/05	(h)4,491		4,491
Yorktown Capital LLC, 2.81%, 4/19/05	8,964		8,964
			449,243
	Shares
Investment Company held as Collateral on Loaned Securities (0.1%)
JPMorgan Securities Lending Collateral
Investment Fund	3,054,567		3,055
	Face
	Amount
	(000)
Repurchase Agreement (1.8%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $45,329	$	(f)45,325	45,325
U.S. Treasury Securities (0.1%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)1,000		992
Total Short-Term Investments (Cost $498,615)			498,615
Total Investments (128.5%) (Cost $3,174,559) — Including $620,597 of Securities Loaned			3,180,438
Liabilities in Excess of Other Assets (-28.5%)			(704,642		)
Net Assets (100%)			$	2,475,796

(c)All or a portion of security on loan at March 31, 2005.

(d)Security was valued at fair value — At March 31, 2005, the Portfolio held $108,000 of fair valued securities, representing less than 0.05% of net assets.

(e)144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

The accompanying notes are an integral part of the financial statements.

10

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

(g)Step Bond — Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2005. Maturity date disclosed is the ultimate maturity date.

(h)Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.

(i)Security is subject to delayed delivery.

(j)All or a portion of the security was pledged to cover margin requirements for futures contracts.

(k)Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)

Inv FlInverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.

IOInterest Only

PACPlanned Amortization Class

POPrincipal Only

REMICReal Estate Mortgage Investment Conduit

TBATo be announced

Foreign Currency Exchange Contract Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

Currency to Deliver		Value		Settlement Date	In Exchange For		Value		Net Unrealized Appreciation (Depreciation)
(000)		(000)			(000)		(000)		(000)
EUR	2,441	$	3,165	4/26/05	USD	3,189	$	3,189	$	24
EUR	4,211	5,461		4/26/05	USD	5,500	5,500		39
EUR	1,669	2,164		4/26/05	USD	2,181	2,181		17
USD	385	385		4/26/05	EUR	295	383		(2		)
		$	11,175				$	11,253	$	78

EUR — Euro

USD — U.S. Dollar

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
	Number				Unrealized
	of			Expiration	Appreciation
	Contracts	Value		Date	(Depreciation)
		(000)			(000)
Long:
U.S. Treasury 10 yr. Note	315	$	34,419	Jun-05	$	16
U.S. Treasury Long Bond	1,214	135,209		Jun-05	(2,091		)
Short:
U.S. Treasury 2 yr. Note	1,885	389,989		Jun-05	2,059
U.S. Treasury 5 yr. Note	1,171	125,407		Jun-05	911
					$	895

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry and/or investment type, as a percentage of total investments.

*Industries and/or investment types which do not appear in the top 10 industries and/or investment types, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

11

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (110.3%)
Agency Adjustable Rate Mortgages (0.9%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
3.375%, 2/20/25-2/20/28	$	3,611	$	3,670
3.75%, 7/20/25	72		72
4.125%, 11/20/25-12/20/27	854		870
			4,612
Agency Fixed Rate Mortgages (23.2%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
8.25%, 10/1/06	1		1
10.00%, 9/1/17-11/1/20	88		96
10.25%, 7/1/09	20		22
11.00%, 1/1/16	35		37
11.25%, 12/1/14	43		48
13.00%, 9/1/10	1		1
Gold Pools:
6.00%, 2/1/32-4/1/32	179		183
6.50%, 7/1/25-3/1/32	521		543
7.00%, 2/1/26	64		68
7.50%, 5/1/16-6/1/32	6,972		7,470
8.00%, 11/1/29-10/1/31	1,709		1,840
8.50%, 12/1/30	272		296
10.00%, 10/1/19-1/1/21	126		140
10.50%, 3/1/16	84		90
April TBA
5.00%, 4/1/20	(i)5,750		5,752
5.50%, 4/1/20	(i)15,600		15,917
6.00%, 4/1/35	(i)10,400		10,644
Federal National Mortgage Association,
Conventional Pools:
6.00%, 10/1/31-12/1/31	174		178
6.50%, 6/1/26-6/1/34	30,743		31,982
7.00%, 10/1/28-9/1/32	1,963		2,071
7.50%, 5/1/23-12/1/32	8,294		8,878
8.00%, 3/1/07-4/1/32	5,893		6,342
8.50%, 4/1/30-5/1/32	5,081		5,537
9.00%, 2/1/17	140		153
9.50%, 8/1/22	235		259
10.00%, 3/1/20-5/1/22	268		298
10.50%, 12/1/17-10/1/18	82		92
11.00%, 4/1/21	158		174
11.25%, 8/1/13	54		61
11.50%, 1/1/17-11/1/19	73		81
April TBA
5.00%, 4/1/20	(i)4,650		4,647
May TBA
4.50%, 5/1/20	(i)10,900		10,638
5.00%, 5/1/20	(i)5,750		5,734
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/17	335		365
9.50%, 12/15/17-9/15/22	1,252		1,386
10.00%, 11/15/09-2/15/25	1,955		2,196
10.50%, 3/15/19	$	6	$	7
11.00%, 3/15/10-2/15/16	173		192
11.50%, 1/20/18	3		4
			124,423
Asset Backed Corporates (19.3%)
American Express Credit Account Master Trust
2.92%, 12/15/09	(h)3,000		3,008
Asset Backed Funding Certificates
2.98%, 6/25/22	(h)1,153		1,154
3.04%, 6/25/25	(h)2,169		2,170
Bear Stearns Asset Backed Securities, Inc.
3.05%, 9/25/34	(h)3,046		3,050
Capital Auto Receivables Asset Trust
2.89%, 1/15/08	(h)2,100		2,103
Carrington Mortgage Loan Trust
2.98%, 1/25/35	(h)2,932		2,934
Centex Home Equity
2.92%, 3/25/35	(h)2,325		2,325
Chase Credit Card Master Trust
5.50%, 11/17/08	1,045		1,067
Citibank Credit Card Issuance Trust
6.90%, 10/15/07	2,205		2,246
7.45%, 9/15/07	1,430		1,457
CNH Equipment Trust
4.02%, 4/15/09	2,050		2,042
GE Dealer Floorplan Master Note Trust
2.90%, 7/20/08	(h)2,350		2,351
GMAC Mortgage Corp. Loan Trust
2.96%, 3/25/35	(h)2,500		2,503
GSAMP Trust
2.97%, 2/25/35	(h)1,775		1,776
Harley-Davidson Motorcycle Trust
1.56%, 5/15/07	158		158
2.18%, 1/15/09	2,474		2,454
3.76%, 12/17/12	3,800		3,751
Honda Auto Receivables Owner Trust
2.52%, 2/15/07	3,452		3,444
JP Morgan Chase Commercial Mortgage Securities Corp.
2.99%, 4/16/19	(e)(h)2,680		2,684
Long Beach Mortgage Loan Trust
2.93%, 4/25/35	(h)3,650		3,650
2.99%, 2/25/35	(h)3,044		3,046
MBNA Credit Card Master Note Trust
2.95%, 2/16/10	(h)3,200		3,211
MBNA Master Credit Card Trust USA
5.90%, 8/15/11	940		990
7.80%, 10/15/12	2,715		3,116
Merrill Lynch Mortgage Investors, Inc.
2.95%, 9/25/35	(h)2,612		2,614
3.05%, 8/25/35	(h)1,810		1,811
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)2,246		2,247
3.03%, 8/25/34	(h)1,183		1,184

The accompanying notes are an integral part of the financial statements.

12

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Peco Energy Transition Trust
6.05%, 3/1/09	$	1,250	$	1,283
Residential Asset Mortgage Products, Inc.
2.96%, 1/25/35	(h)2,112		2,114
Residential Asset Securities Corp.
3.01%, 10/25/22	(h)2,354		2,356
3.02%, 7/25/21	(h)871		871
Residential Funding Mortgage Securities II
3.00%, 2/25/13	(h)620		621
SLM Student Loan Trust
2.72%, 10/25/12	(h)4,000		4,002
2.74%, 1/25/13	(h)2,000		2,003
Specialty Underwriting & Residential Finance
2.856%, 12/25/35	(h)2,700		2,700
Structured Asset Investment Loan Trust
2.95%, 4/25/34	(h)1,546		1,547
Terwin Mortgage Trust
3.24%, 11/25/35	(h)2,783		2,794
3.32%, 12/25/34	(h)2,838		2,842
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	700		699
USAA Auto Owner Trust
2.41%, 2/15/07	1,400		1,396
3.58%, 2/15/11	4,050		3,992
3.90%, 7/15/09	2,625		2,609
Volkswagen Auto Lease Trust
3.82%, 5/20/08	2,000		1,993
Wachovia Auto Owner Trust
2.49%, 4/20/07	2,720		2,715
World Omni Auto Receivables Trust
2.58%, 7/12/07	2,327		2,320
			103,403
Collateralized Mortgage Obligations — Agency Collateral Series (0.8%)
Federal Home Loan Mortgage Corporation
Inv Fl IO
3.188%, 3/15/24	4,341		154
5.19%, 3/15/32	1,058		86
IO
6.00%, 5/1/31	1,892		332
6.50%, 4/1/28-5/15/33	3,417		631
8.00%, 1/1/28-6/1/31	384		83
IO PAC
6.00%, 5/15/30-4/15/32	5,637		553
PAC
10.00%, 6/15/20	28		28
Federal National Mortgage Association
Inv Fl IO
5.25%, 12/25/29	454		17
5.35%, 10/25/28	927		53
5.656%, 5/18/27	1,394		132
5.70%, 10/25/30	464		31
IO
6.00%, 8/25/32-11/25/32	3,190		453
6.50%, 2/25/33-5/25/33	$	4,853	$	923
7.00%, 4/25/33	1,536		306
7.50%, 11/1/29	574		115
8.00%, 4/1/24-8/1/31	1,706		361
9.00%, 11/1/26	167		33
Government National Mortgage Association
Inv Fl IO
5.78%, 8/16/29	1,100		91
			4,382
Federal Agency (8.0%)
Federal Home Loan Mortgage Corporation
5.125%, 11/7/13	5,125		5,130
Federal National Mortgage Association
4.25%, 5/15/09	37,840		37,619
			42,749
Finance (6.7%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)1,910		2,054
American General Finance Corp.
4.625%, 9/1/10	(c)915		906
AXA Financial, Inc.
6.50%, 4/1/08	760		804
Bank of New York (The)
3.80%, 2/1/08	250		246
Bank of New York Co., Inc. (The)
5.20%, 7/1/07	(c)285		291
Bank One Corp.
6.00%, 2/17/09	1,350		1,413
CIT Group, Inc.
2.875%, 9/29/06	(c)590		579
7.375%, 4/2/07	195		206
Citicorp
6.375%, 11/15/08	705		751
6.75%, 8/15/05	640		648
Citigroup, Inc.
5.625%, 8/27/12	1,075		1,115
5.75%, 5/10/06	156		159
6.00%, 2/21/12	(c)465		496
Countrywide Home Loans, Inc.
3.25%, 5/21/08	1,150		1,102
EOP Operating LP
4.75%, 3/15/14	(c)165		155
7.50%, 4/19/29	710		813
Farmers Exchange Capital
7.05%, 7/15/28	(c)(e)675		707
Farmers Insurance Exchange
8.625%, 5/1/24	(e)725		879
FleetBoston Financial Corp.
7.25%, 9/15/05	1,145		1,164
General Electric Capital Corp.
4.25%, 12/1/10	445		435
6.75%, 3/15/32	1,535		1,778
Goldman Sachs Group, Inc.
5.25%, 10/15/13	630		627

The accompanying notes are an integral part of the financial statements.

13

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
6.60%, 1/15/12	$	(c)730	$	791
6.875%, 1/15/11	550		601
Hartford Financial Services Group, Inc.
2.375%, 6/1/06	170		166
7.75%, 6/15/05	475		479
7.90%, 6/15/10	(c)175		197
HSBC Finance Corp.
4.125%, 12/15/08	(c)450		442
5.875%, 2/1/09	465		484
6.375%, 10/15/11	538		582
6.40%, 6/17/08	465		491
6.75%, 5/15/11	365		400
Huntington National Bank
4.375%, 1/15/10	520		510
International Lease Finance Corp.
3.75%, 8/1/07	(c)500		493
JPMorgan Chase & Co.
6.00%, 2/15/09	940		985
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	1,365		1,344
Mantis Reef Ltd.
4.692%, 11/14/08	(e)1,100		1,088
Marsh & McClennan Companies, Inc.
5.375%, 7/15/14	(c)1,320		1,269
MBNA America Bank
7.125%, 11/15/12	345		385
MBNA Corp.
6.125%, 3/1/13	855		903
Nationwide Building Society
4.25%, 2/1/10	(e)640		627
Prudential Holdings LLC
7.245%, 12/18/23	(c)(e)310		365
SLM Corp.
4.00%, 1/15/10	705		685
5.00%, 10/1/13	(c)865		855
Sovereign Bank
4.00%, 2/1/08	105		104
Two-Rock Pass Through Trust
3.714%, 12/31/49	(e)(h)480		479
Washington Mutual Bank FA
5.50%, 1/15/13	170		174
Washington Mutual, Inc.
8.25%, 4/1/10	920		1,045
World Financial Properties
6.91%, 9/1/13	(e)2,242		2,406
			35,678
Industrials (7.9%)
Aetna, Inc.
7.875%, 3/1/11	1,335		1,535
Altria Group, Inc.
7.00%, 11/4/13	505		543
7.75%, 1/15/27	(c)635		727
Amerada Hess Corp.
7.875%, 10/1/29	$	620	$	743
America West Airlines, Inc.
7.10%, 4/2/21	1,196		1,274
Burlington Northern and Santa Fe Railway Co.
4.575%, 1/15/21	450		438
Caterpillar Financial Services Corp.
2.92%, 8/20/07	(h)1,030		1,031
3.625%, 11/15/07	190		187
Clear Channel Communications, Inc.
7.65%, 9/15/10	460		504
Clorox Co.
3.125%, 12/14/07	(e)(h)920		922
Comcast Cable Communications
6.75%, 1/30/11	(c)320		346
Comcast Corp.
6.50%, 1/15/15	600		643
Consumers Energy Co.
4.80%, 2/17/09	500		501
Cooper Industries, Inc.
5.25%, 7/1/07	770		784
COX Communications, Inc.
4.625%, 1/15/10	(e)660		642
CSX Corp.
2.75%, 2/15/06	345		341
9.00%, 8/15/06	350		372
CVS Corp.
5.625%, 3/15/06	(c)860		873
6.204%, 10/10/25	(e)237		251
DaimlerChrysler N.A. Holding Corp.
7.75%, 1/18/11	440		488
8.50%, 1/18/31	(c)430		520
Deutsche Telekom International Finance BV
8.75%, 6/15/30	830		1,089
Federated Department Stores, Inc.
6.30%, 4/1/09	370		387
6.625%, 9/1/08	225		237
FedEx Corp.
2.65%, 4/1/07	550		533
Ford Motor Co.
6.375%, 2/1/29	460		379
Ford Motor Credit Co.
7.25%, 10/25/11	570		563
General Motors Acceptance Corp.
4.50%, 7/15/06	(c)375		366
6.875%, 9/15/11	3,405		3,085
General Motors Corp.
8.375%, 7/15/33	(c)280		240
Historic TW, Inc.
6.625%, 5/15/29	240		253
Hutchison Whampoa International Ltd.
5.45%, 11/24/10	(c)(e)400		406
6.50%, 2/13/13	(e)565		597

The accompanying notes are an integral part of the financial statements.

14

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Hyatt Equities LLC
6.875%, 6/15/07	$	(e)680	$	703
ICI Wilmington, Inc.
4.375%, 12/1/08	400		395
Kerr-McGee Corp.
5.875%, 9/15/06	190		193
6.625%, 10/15/07	165		171
Kraft Foods, Inc.
5.625%, 11/1/11	480		499
Marriott International, Inc.
7.00%, 1/15/08	1,270		1,350
Miller Brewing Co.
4.25%, 8/15/08	(e)800		793
Mohawk Industries, Inc.
7.20%, 4/15/12	355		396
New Cingular Wireless Services, Inc.
8.75%, 3/1/31	395		523
News America Holdings
7.75%, 2/1/24	565		658
8.875%, 4/26/23	375		481
News America, Inc.
7.30%, 4/30/28	160		179
Norfolk Southern Corp.
7.35%, 5/15/07	225		239
Northrop Grumman Corp.
4.079%, 11/16/06	580		579
Panhandle Eastern Pipe Line Co.
2.75%, 3/15/07	170		165
Pemex Project Funding Master Trust
7.375%, 12/15/14	245		263
8.00%, 11/15/11	(c)480		532
8.625%, 2/1/22	1,155		1,315
9.125%, 10/13/10	(c)185		214
Raytheon Co.
8.30%, 3/1/10	460		529
Sappi Papier Holding AG
6.75%, 6/15/12	(e)465		505
Sealed Air Corp.
5.625%, 7/15/13	(e)850		861
Southwest Airlines Co.
5.496%, 11/1/06	520		529
Sprint Capital Corp.
8.75%, 3/15/32	220		286
Systems 2001 Asset Trust LLC
6.664%, 9/15/13	(e)1,301		1,411
TCI Communications, Inc.
7.875%, 2/15/26	520		636
Telecom Italia Capital S.A.
4.00%, 1/15/10	(e)1,100		1,053
Textron Financial Corp.
4.125%, 3/3/08	510		507
Time Warner, Inc.
7.625%, 4/15/31	650		766
7.70%, 5/1/32	$	465	$	554
Union Pacific Corp.
6.65%, 1/15/11	290		315
6.79%, 11/9/07	225		238
Verizon New England, Inc.
6.50%, 9/15/11	(c)610		654
WellPoint Health Networks, Inc.
6.375%, 6/15/06	735		754
WellPoint, Inc.
6.80%, 8/1/12	100		111
Weyerhaeuser Co.
6.00%, 8/1/06	305		313
WPP Finance UK Corp.
5.875%, 6/15/14	(e)585		606
			42,076
Mortgages — Other (0.8%)
California Federal Savings & Loan Association
8.80%, 1/1/14	(d)5		6
Countrywide Alternative Loan Trust
3.04%, 7/25/34	(h)664		665
Federal National Mortgage Association
7.00%, 9/25/32	1,314		1,371
First Federal Savings & Loan Association
8.75%, 6/1/06	(d)2		2
Ryland Acceptance Corp. IV
6.65%, 7/1/11	112		112
Thornburg Mortgage Securities Trust
3.00%, 6/25/44	(h)1,039		1,039
Washington Mutual, Inc.
2.948%, 7/25/44	(h)1,020		1,023
			4,218
Sovereign (0.6%)
United Mexican States
8.00%, 9/24/22	(c)1,020		1,160
8.30%, 8/15/31	(c)575		660
8.375%, 1/14/11	(c)1,130		1,289
			3,109
U.S. Treasury Securities (40.0%)
U.S. Treasury Bonds
6.375%, 8/15/27	2,500		3,004
7.25%, 8/15/22	(c)9,000		11,508
U.S. Treasury Notes
1.875%, 1/31/06	(c)5,000		4,941
3.125%, 5/15/07	(c)9,000		8,876
3.50%, 11/15/06	(c)7,500		7,479
4.25%, 8/15/13	(c)17,650		17,411
4.375%, 8/15/12	(c)1,250		1,253
U.S. Treasury Strips
IO
4.78%, 5/15/16	(c)8,000		4,731
4.82%, 2/15/17	(c)5,000		2,840
4.91%, 8/15/18	(c)3,950		2,065
4.94%, 2/15/19	18,000		9,147

The accompanying notes are an integral part of the financial statements.

15

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
U.S. Treasury Securities (cont’d)
4.95%, 5/15/19	$	(c)6,100	$	3,058
4.96%, 8/15/19	(c)21,500		10,632
4.97%, 11/15/19-2/15/21	(c)19,300		8,989
4.99%, 2/15/20-5/15/20	54,125		25,906
5.00%, 8/15/20-5/15/22	(c)38,800		17,145
5.02%, 5/15/21	(c)58,590		26,343
5.03%, 11/15/21-8/15/22	(c)32,950		14,232
5.04%, 2/15/25	(c)1,850		688
5.05%, 11/15/22-2/15/23	(c)15,475		6,364
5.06%, 11/15/23	5,000		1,972
PO
5/15/21-2/15/27	(c)63,625		25,365
			213,949
Utilities (2.1%)
Arizona Public Service Co.
5.80%, 6/30/14	(c)745		782
6.75%, 11/15/06	265		275
Carolina Power & Light Co.
5.125%, 9/15/13	850		852
CC Funding Trust I
6.90%, 2/16/07	155		162
Cincinnati Gas & Electric Co.
5.70%, 9/15/12	440		457
Consolidated Natural Gas Co.
5.00%, 12/1/14	490		480
6.25%, 11/1/11	720		772
Detroit Edison Co.
4.80%, 2/15/15	(e)695		675
6.125%, 10/1/10	120		128
Entergy Gulf States, Inc.
3.31%, 12/1/09	(h)455		457
3.60%, 6/1/08	345		335
Exelon Corp.
6.75%, 5/1/11	545		594
FPL Group Capital, Inc.
3.25%, 4/11/06	785		780
NiSource Finance Corp.
3.43%, 11/23/09	(c)(h)535		539
Ohio Edison Co.
5.45%, 5/1/15	515		516
Pacific Gas & Electric Co.
6.05%, 3/1/34	770		793
Public Service Electric & Gas Co.
5.00%, 1/1/13	580		581
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294%, 3/15/14	(c)(e)890		1,027
Sempra Energy
4.621%, 5/17/07	160		161
South Carolina Electric & Gas Co.
5.30%, 5/15/33	265		258
Southern California Edison Co.
5.00%, 1/15/14	$	(c)120	$	119
Texas Eastern Transmission LP
7.00%, 7/15/32	425		490
Wisconsin Electric Power Co.
3.50%, 12/1/07	210		206
			11,439
Total Fixed Income Securities (Cost $585,591)			590,038
	Shares
Preferred Stock (0.5%)
Mortgages -— Other (0.5%)
Home Ownership Funding Corp.
13.331% (Cost $2,547)	(e)7,150		2,538
	Face
	Amount
	(000)
Short-Term Investments (23.2%)
Short-Term Debt Securities held as Collateral on Loaned Securities (16.9%)
Abbey National Treasury Services, 2.64%, 1/13/06	$	(h)1,342	1,342
ASAP Funding Ltd., 2.77%, 4/25/05	1,081		1,081
Banco Bilbao Viz Argentaria, N.Y., 2.81%, 5/16/05	905		905
Bank of America Corp., 2.71%, 5/6/05	898		898
Bank of New York,
2.74%, 4/4/06	(h)904		904
2.83%, 10/28/05	(h)2,965		2,965
Bear Stearns,
2.93%, 4/15/05	(h)1,628		1,628
2.96%, 12/5/05	(h)796		796
Beta Finance, Inc.,
2.71%, 4/19/05	486		486
2.81%, 5/4/05	(h)905		905
2.9%, 6/10/05	539		539
Calyon, N.Y., 2.89%, 2/27/06	(h)723		723
CC USA, Inc.,
2.83%, 11/28/05	(h)1,087		1,087
2.91%, 6/8/05	1,795		1,795
2.92%, 10/28/05	(h)869		869
CIC, N.Y., 2.78%, 2/13/06	(h)2,712		2,712
CIT Group Holdings, 2.72%, 7/29/05	(h)1,138		1,138
Citigroup, Inc., 2.90%, 9/1/05	(h)868		868
Compass Securitization,
2.86%, 5/25/05	1,257		1,257
2.97%, 6/15/05	718		718
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	1,989		1,989
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	4,072		4,072
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)1,204		1,204
Eni Coordination Center, 2.89%, 8/29/05	(h)904		904
Eurohypo AG, N.Y., 2.90%, 5/18/05	1,808		1,808
Galaxy Funding, Inc., 2.97%, 6/13/05	898		898
Giro Multi-Funding Corp., 3.00%, 6/15/05	1,795		1,795
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)904		904
HBOS Treasury Services plc, N.Y., 2.73%, 4/28/05	2,520		2,520
International Lease Finance Corp., 3.04%, 9/22/05	(h)1,393		1,393

The accompanying notes are an integral part of the financial statements.

16

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Short-Term Debt Securities held as Collateral on Loaned Securities (cont’d)
Internationale Nederlanden U.S. Funding,
2.88%, 6/3/05	$	1,170	$	1,170
K2 (USA) LLC,
2.78%, 2/15/06	(h)832		832
2.83%, 10/24/05-3/22/06	(h)3,363		3,363
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)2,712		2,712
2.86%, 2/27/06	(h)1,085		1,085
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)2,532		2,532
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	723		723
Nationwide Building Society,
2.77%, 1/13/06	(h)1,448		1,448
3.12%, 3/31/06	(h)2,098		2,098
Pfizer, Inc., 2.71%, 5/1/06	(h)1,808		1,808
Procter & Gamble Co., 2.93%, 5/1/06	(h)741		741
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)1,808		1,808
Scaldis Capital LLC, 2.69%, 4/7/05	902		902
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)1,808		1,808
2.84%, 3/22/06	(h)1,808		1,808
SLM Corp., 2.85%, 5/1/06	(h)1,808		1,808
Svenska Handelsbank N.Y., 2.82%, 5/10/05	(h)1,808		1,808
Tango Finance Corp., 2.83%, 3/22/06	(h)1,519		1,519
UBS Securities LLC, 2.89%, 4/1/05	13,923		13,923
Washington Mutual Bank FA,
2.81%, 5/3/05	1,808		1,808
2.82%, 5/2/05	904		904
Westdeutsche Landesbank N.Y., 2.74%, 8/9/05	(h)904		904
Yorktown Capital LLC, 2.81%, 4/19/05	1,804		1,804
			90,419
	Shares
Investment Company held as Collateral on Loaned Securities (0.1%)
JPMorgan Securities Lending Collateral  Investment Fund	614,794		615
	Face
	Amount
	(000)
Discount Notes (4.7%)
Federal Home Loan Mortgage Corporation
2.75%, 4/5/05	$	10,000	9,996
2.8%, 5/2/05	10,000		9,976
Federal National Mortgage Association
2.97%, 5/16/05	(c)5,000		4,983
			24,955
Repurchase Agreement (1.4%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $7,501	(f)7,500		7,500
U.S. Treasury Securities (0.1%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)600		595
Total Short-Term Investments (Cost $124,090)			124,084
Total Investments (134.0%) (Cost $712,228) — Including $124,653 of Securities Loaned			$	716,660
Liabilities in Excess of Other Assets (-34.0%)			(181,705		)
Net Assets (100%)			$	534,955

(c)All or a portion of security on loan at March 31, 2005.

(d)Security was valued at fair value — At March 31, 2005, the Portfolio held $8,000 of fair valued securities, representing less than 0.05% of net assets.

(e)144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

(h)Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.

(i)Security is subject to delayed delivery.

(j)All or a portion of the security was pledged to cover margin requirements for futures contracts.

(k)Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)

Inv FlInverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.

IOInterest Only

PACPlanned Amortization Class

POPrincipal Only

TBATo be announced

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
	Number				Unrealized
	of			Expiration	Appreciation
	Contracts	Value		Date	(Depreciation)
		(000)			(000)
Long:
U.S. Treasury Long Bond	555	$	61,813	Jun-05	$	(889	)
Short:
U.S. Treasury 10 yr. Note	125	13,658		Jun-05	125
U.S. Treasury 2 yr. Note	276	57,102		Jun-05	284
U.S. Treasury 5 yr. Note	43	4,605		Jun-05	(6		)
					$	(486	)

The accompanying notes are an integral part of the financial statements.

17

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry and/or investment type, as a percentage of total investments.

*Industries and/or investment types which do not appear in the top 10 industries and/or investment types, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

18

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

U.S. Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (106.1%)
Agency Adjustable Rate Mortgages (0.8%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
3.375%, 2/20/25-1/20/28	$	1,490	$	1,512
3.75%, 8/20/25-9/20/27	390		395
4.125%, 10/20/27-12/20/27	54		55
			1,962
Agency Fixed Rate Mortgages (23.1%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
10.00%, 10/1/12-11/1/20	80		89
11.50%, 8/1/19	43		48
Gold Pools:
6.50%, 2/1/29-4/1/29	114		119
7.50%, 1/1/30-6/1/32	846		906
8.00%, 10/1/29-10/1/31	897		966
8.50%, 3/1/30-7/1/31	369		403
10.00%, 6/1/17-3/1/21	146		161
12.00%, 11/1/19	8		9
April TBA
5.00%, 4/1/20	(i)2,500		2,501
5.50%, 4/1/20	(i)6,950		7,091
6.00%, 4/1/35	(i)4,450		4,554
Federal National Mortgage Association,
Conventional Pools:
6.50%, 7/1/29-7/1/34	11,132		11,576
7.00%, 2/1/26-5/1/33	3,400		3,588
7.50%, 7/1/29-7/1/32	4,364		4,671
8.00%, 4/1/25-8/1/32	4,037		4,348
8.50%, 5/1/23-5/1/32	3,118		3,399
9.00%, 4/1/26	875		953
9.50%, 2/1/20-8/1/21	305		339
10.00%, 8/1/18-2/1/25	71		80
10.50%, 11/1/10-10/1/18	78		88
11.00%, 9/1/19-9/1/20	124		137
11.50%, 11/1/19	104		116
May TBA
4.50%, 5/1/20	(i)5,050		4,928
5.00%, 5/1/20	(i)4,875		4,861
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/17	60		65
9.50%, 12/15/17-12/15/21	434		480
10.00%, 9/15/18-4/15/25	394		444
10.50%, 11/15/14-2/15/25	816		931
11.00%, 12/15/09-7/15/20	76		84
11.50%, 4/15/13-8/15/13	64		71
12.00%, 12/15/12-3/15/14	12		14
			58,020
Asset Backed Corporates (19.6%)
American Express Credit Account Master Trust
2.92%, 11/16/09-12/15/09	(h)3,450		3,458
Asset Backed Funding Certificates
2.98%, 6/25/22	$	(h)472	$	472
3.04%, 6/25/25	(h)533		534
Bear Stearns Asset Backed Securities, Inc.
3.05%, 9/25/34	(h)1,347		1,349
Capital Auto Receivables Asset Trust
2.89%, 1/15/08	(h)950		951
3.35%, 2/15/08	800		790
Carrington Mortgage Loan Trust
2.98%, 1/25/35	(h)1,319		1,320
Centex Home Equity
2.92%, 3/25/35	(h)1,000		1,000
Chase Credit Card Master Trust
5.50%, 11/17/08	865		883
Citibank Credit Card Issuance Trust
6.875%, 11/16/09	(c)1,240		1,320
7.45%, 9/15/07	705		718
CNH Equipment Trust
4.02%, 4/15/09	925		922
Equifirst Mortgage Loan Trust
2.89%, 4/25/35	(h)875		875
GE Capital Credit Card Master Note Trust
2.85%, 9/15/10	(h)1,050		1,051
GE Dealer Floorplan Master Note Trust
2.90%, 7/20/08	(h)950		950
GSAMP Trust
2.97%, 2/25/35	(h)959		960
Harley-Davidson Motorcycle Trust
2.18%, 1/15/09	1,015		1,007
3.76%, 12/17/12	1,750		1,727
Honda Auto Receivables Owner Trust
2.52%, 2/15/07	1,439		1,435
JP Morgan Chase Commercial Mortgage Securities Corp.
2.99%, 4/16/19	(e)(h)1,092		1,093
Long Beach Mortgage Loan Trust
2.93%, 4/25/35	(h)1,650		1,650
2.99%, 2/25/35	(h)1,332		1,333
MBNA Credit Card Master Note Trust
2.95%, 2/16/10	(h)1,500		1,505
MBNA Master Credit Card Trust USA
7.80%, 10/15/12	1,480		1,699
Merrill Lynch Mortgage Investors, Inc.
2.95%, 9/25/35	(h)1,156		1,157
3.05%, 8/25/35	(h)869		869
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)1,280		1,281
Residential Asset Mortgage Products, Inc.
2.96%, 1/25/35	(h)960		961
Residential Asset Securities Corp.
3.02%, 7/25/21	(h)394		394
Residential Funding Mortgage Securities II
3.00%, 2/25/13	(h)248		248

The accompanying notes are an integral part of the financial statements.

19

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Saxon Asset Securities Trust
2.96%, 5/25/35	$	(h)856	$	857
SLM Student Loan Trust
2.72%, 10/25/12	(h)1,750		1,751
2.74%, 1/25/13	(h)1,800		1,803
Specialty Underwriting & Residential Finance
2.856%, 12/25/35	(h)1,200		1,200
Structured Asset Investment Loan Trust
2.95%, 4/25/34	(h)687		688
Terwin Mortgage Trust
3.24%, 11/25/35	(h)1,247		1,252
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	300		300
USAA Auto Owner Trust
2.41%, 2/15/07	550		549
3.58%, 2/15/11	1,850		1,823
3.90%, 7/15/09	1,125		1,118
Volkswagen Auto Lease Trust
3.82%, 5/20/08	1,000		996
Wachovia Auto Owner Trust
2.49%, 4/20/07	1,160		1,158
Wells Fargo Financial Auto Owner Trust
1.47%, 3/15/07	535		534
Wells Fargo Home Equity Trust
3.02%, 2/25/18	(h)535		535
World Omni Auto Receivables Trust
2.58%, 7/12/07	931		928
			49,404
Collateralized Mortgage Obligations — Agency Collateral Series (1.0%)
Federal Home Loan Mortgage Corporation
Inv Fl IO
3.188%, 3/15/24	868		31
Inv Fl IO TAC
5.74%, 10/15/29	127		6
IO
5.00%, 12/15/16	1,945		221
6.00%, 5/1/31	1,213		213
6.50%, 4/1/28-5/15/33	2,207		407
8.00%, 1/1/28-6/1/31	142		31
Federal National Mortgage Association
Inv Fl IO
4.72%, 2/17/31	636		48
5.25%, 12/25/29	285		11
5.35%, 10/25/28	967		56
IO
6.00%, 8/25/32-11/25/32	2,012		288
6.50%, 2/25/33-5/25/33	3,020		576
7.00%, 4/25/33	1,231		245
8.00%, 4/1/24-8/1/31	1,139		241
9.00%, 11/1/26	63		12
Government National Mortgage Association
Inv Fl IO
4.76%, 9/16/31	$	201	$	12
5.125%, 9/16/27	395		30
5.13%, 12/16/25	925		69
5.65%, 9/20/30	191		15
5.78%, 8/16/29	876		74
			2,586
Federal Agency (7.5%)
Federal Home Loan Mortgage Corporation
5.125%, 11/7/13	3,000		3,002
Federal National Mortgage Association
4.25%, 5/15/09	15,835		15,743
			18,745
Finance (6.9%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)965		1,038
American General Finance Corp.
4.625%, 5/15/09-9/1/10	(c)550		545
AXA Equitable Life Insurance Co.
6.95%, 12/1/05	(e)860		877
AXA Financial, Inc.
6.50%, 4/1/08	105		111
Bank of New York (The)
3.80%, 2/1/08	250		246
Bank of New York Co., Inc. (The)
5.20%, 7/1/07	165		168
CIT Group, Inc.
2.875%, 9/29/06	340		334
Citicorp
6.375%, 11/15/08	380		405
Citigroup, Inc.
5.625%, 8/27/12	705		731
5.75%, 5/10/06	90		92
6.00%, 2/21/12	120		128
Countrywide Home Loans, Inc.
3.25%, 5/21/08	455		436
EOP Operating LP
4.75%, 3/15/14	(c)65		61
7.50%, 4/19/29	280		321
Farmers Exchange Capital
7.05%, 7/15/28	(c)(e)265		278
Farmers Insurance Exchange
8.625%, 5/1/24	(e)475		576
FleetBoston Financial Corp.
7.25%, 9/15/05	405		412
General Electric Capital Corp.
4.25%, 12/1/10	230		225
4.75%, 9/15/14	60		59
6.75%, 3/15/32	575		666
Goldman Sachs Group, Inc.
5.25%, 10/15/13	135		134
6.875%, 1/15/11	700		764

The accompanying notes are an integral part of the financial statements.

20

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
Hartford Financial Services Group, Inc.
2.375%, 6/1/06	$	360	$	352
HSBC Finance Corp.
4.125%, 12/15/08	100		98
5.875%, 2/1/09	330		344
6.375%, 10/15/11	185		200
6.75%, 5/15/11	235		258
8.00%, 7/15/10	150		172
Huntington National Bank
4.375%, 1/15/10	250		245
John Hancock Financial Services, Inc.
5.625%, 12/1/08	295		306
JPMorgan Chase & Co.
6.00%, 2/15/09	635		665
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	615		605
Mantis Reef Ltd.
4.692%, 11/14/08	(e)400		396
Marsh & McClennan Companies, Inc.
5.375%, 7/15/14	540		519
MBNA Corp.
6.125%, 3/1/13	555		586
Nationwide Building Society
4.25%, 2/1/10	(e)290		284
Prudential Holdings LLC
7.245%, 12/18/23	(e)105		124
SLM Corp.
4.00%, 1/15/10	205		199
5.00%, 10/1/13	490		484
Sovereign Bank
4.00%, 2/1/08	100		99
Two-Rock Pass Through Trust
3.714%, 12/31/49	(e)(h)215		215
U.S. Bank N.A.
2.85%, 11/15/06	455		447
Wachovia Corp.
4.95%, 11/1/06	760		770
Washington Mutual, Inc.
8.25%, 4/1/10	495		562
World Financial Properties
6.95%, 9/1/13	(e)714		766
			17,303
Industrials (7.4%)
Aetna, Inc.
7.875%, 3/1/11	610		702
Altria Group, Inc.
7.00%, 11/4/13	285		306
7.75%, 1/15/27	155		177
Amerada Hess Corp.
6.65%, 8/15/11	310		332
America West Airlines, Inc.
7.10%, 4/2/21	624		665
Burlington Northern and Santa Fe Railway Co.
4.575%, 1/15/21	$	200	$	195
Caterpillar Financial Services Corp.
2.92%, 8/20/07	(h)435		435
3.625%, 11/15/07	110		108
Clear Channel Communications, Inc.
7.65%, 9/15/10	195		214
Clorox Co.
3.125%, 12/14/07	(e)(h)415		416
Comcast Cable Communications
6.75%, 1/30/11	65		70
Comcast Corp.
6.50%, 1/15/15	555		595
Consumers Energy Co.
4.80%, 2/17/09	225		225
Cooper Industries, Inc.
5.25%, 7/1/07	405		413
COX Communications, Inc.
4.625%, 1/15/10	(c)(e)295		287
CSX Corp.
2.75%, 2/15/06	150		148
9.00%, 8/15/06	95		101
CVS Corp.
5.789%, 1/10/26	(e)253		258
6.204%, 10/10/25	(e)140		148
DaimlerChrysler N.A. Holding Corp.
7.30%, 1/15/12	(c)310		338
Deutsche Telekom International Finance BV
8.75%, 6/15/30	360		472
Federated Department Stores, Inc.
6.625%, 9/1/08	120		126
FedEx Corp.
2.65%, 4/1/07	215		208
Ford Motor Credit Co.
7.25%, 10/25/11	415		410
France Telecom S.A.
8.75%, 3/1/31	155		205
General Motors Acceptance Corp.
4.50%, 7/15/06	(c)275		268
6.875%, 9/15/11	1,155		1,046
General Motors Corp.
8.375%, 7/15/33	(c)410		352
Hutchison Whampoa International Ltd.
6.50%, 2/13/13	(e)415		439
Hyatt Equities LLC
6.875%, 6/15/07	(e)280		289
ICI Wilmington, Inc.
4.375%, 12/1/08	235		232
Kerr-McGee Corp.
5.875%, 9/15/06	115		117
6.625%, 10/15/07	70		73
Kraft Foods, Inc.
5.625%, 11/1/11	175		182

The accompanying notes are an integral part of the financial statements.

21

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Marriott International, Inc.
7.00%, 1/15/08	$	740	$	786
Miller Brewing Co.
4.25%, 8/15/08	(e)355		352
Mohawk Industries, Inc.
7.20%, 4/15/12	170		190
New Cingular Wireless Services, Inc.
8.75%, 3/1/31	(c)175		232
News America Holdings
7.75%, 2/1/24	440		513
News America, Inc.
7.125%, 4/8/28	80		88
Norfolk Southern Corp.
7.35%, 5/15/07	165		175
Northrop Grumman Corp.
4.079%, 11/16/06	235		235
Panhandle Eastern Pipe Line Co.
2.75%, 3/15/07	115		111
Pemex Project Funding Master Trust
7.375%, 12/15/14	1,045		1,121
Raytheon Co.
4.85%, 1/15/11
8.30%, 3/1/10	145		167
Sappi Papier Holding AG
6.75%, 6/15/12	(e)230		250
Sealed Air Corp.
5.625%, 7/15/13	(e)325		329
Southwest Airlines Co.
5.496%, 11/1/06	325		331
Sprint Capital Corp.
8.75%, 3/15/32	80		104
Systems 2001 Asset Trust LLC
6.664%, 9/15/13	(e)410		444
Telecom Italia Capital S.A.
4.00%, 11/15/08	115		112
4.00%, 1/15/10	(e)375		359
Textron Financial Corp.
4.125%, 3/3/08	230		229
Time Warner, Inc.
7.625%, 4/15/31	260		306
7.70%, 5/1/32	335		399
Union Pacific Corp.
3.625%, 6/1/10	(c)305		288
WellPoint Health Networks, Inc.
6.375%, 6/15/06	380		390
Weyerhaeuser Co.
6.00%, 8/1/06	(c)175		179
WPP Finance UK Corp.
5.875%, 6/15/14	(c)(e)265		275
			18,517
Mortgages — Other (0.4%)
Countrywide Alternative Loan Trust
3.04%, 7/25/34	(h)261		261
Gemsco Mortgage Pass Through Certificate
8.701%, 11/25/10	$	(d)18	$	18
Thornburg Mortgage Securities Trust
3.00%, 6/25/44	(h)450		450
Washington Mutual, Inc.
2.948%, 7/25/44	(h)417		419
			1,148
Sovereign (0.5%)
United Mexican States
8.00%, 9/24/22	(c)180		205
8.30%, 8/15/31	(c)755		867
8.375%, 1/14/11	180		205
			1,277
U.S. Treasury Securities (37.1%)
U.S. Treasury Bonds
6.125%, 8/15/29	(c)2,100		2,474
6.375%, 8/15/27	1,175		1,412
8.125%, 8/15/21	(c)2,650		3,630
U.S. Treasury Notes
1.875%, 1/31/06	(c)3,000		2,965
3.125%, 5/15/07	(c)5,450		5,375
3.50%, 11/15/06	(c)3,000		2,992
4.25%, 8/15/13	(c)4,600		4,538
U.S. Treasury Strips
IO
4.78%, 5/15/16	(c)1,000		591
4.82%, 2/15/17	(c)2,000		1,136
4.91%, 8/15/18	(c)1,850		967
4.94%, 2/15/19	8,400		4,268
4.95%, 5/15/19	(c)1,000		501
4.96%, 8/15/19	(c)20,350		10,063
4.97%, 11/15/19-2/15/21	(c)8,600		4,017
4.99%, 2/15/20-5/15/20	(c)23,400		11,141
5.00%, 8/15/20-5/15/22	(c)12,850		5,563
5.02%, 5/15/21	(c)30,605		13,761
5.03%, 11/15/21-8/15/22	(c)15,625		6,724
5.05%, 11/15/22-2/15/23	(c)4,700		1,939
5.06%, 11/15/23	2,750		1,084
PO
11/15/21-2/15/27	(c)20,925		8,015
			93,156
Utilities (1.8%)
Arizona Public Service Co.
5.80%, 6/30/14	330		346
6.75%, 11/15/06	120		124
Carolina Power & Light Co.
5.125%, 9/15/13	305		306
Cincinnati Gas & Electric Co.
5.70%, 9/15/12	(c)265		275
Consolidated Natural Gas Co.
5.00%, 12/1/14	355		348
6.25%, 11/1/11	195		209

The accompanying notes are an integral part of the financial statements.

22

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Detroit Edison Co.
4.80%, 2/15/15	$	(e)260	$	253
6.125%, 10/1/10	100		106
Entergy Gulf States, Inc.
3.31%, 12/1/09	(h)155		156
3.60%, 6/1/08	200		194
Exelon Corp.
6.75%, 5/1/11	175		191
FPL Group Capital, Inc.
3.25%, 4/11/06	350		348
NiSource Finance Corp.
3.43%, 11/23/09	(c)(h)240		242
Ohio Edison Co.
5.45%, 5/1/15	230		230
Pacific Gas & Electric Co.
6.05%, 3/1/34	340		350
Public Service Electric & Gas Co.
5.00%, 1/1/13	345		346
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294%, 3/15/14	(e)225		260
Sempra Energy
4.621%, 5/17/07	70		70
South Carolina Electric & Gas Co.
5.30%, 5/15/33	170		166
Southern California Edison Co.
5.00%, 1/15/14	75		74
Wisconsin Electric Power Co.
3.50%, 12/1/07	60		59
			4,653
Total Fixed Income Securities ($266,379)			266,771
	Shares
Preferred Stock (0.4%)
Mortgages — Other (0.4%)
Home Ownership Funding Corp.
13.331% (Cost $1,056)	(e)2,975		1,056
	Face
	Amount
	(000)
Short-Term Investments (25.9%)
Short-Term Debt Securities held as Collateral on Loaned Securities (16.2%)
Abbey National Treasury Services, 2.64%, 1/13/06	$	(h)606	606
ASAP Funding Ltd., 2.77%, 4/25/05	488		488
Banco Bilbao Viz Argentaria, N.Y., 2.81%, 5/16/05	409		409
Bank of America Corp., 2.71%, 5/6/05	406		406
Bank of New York,
2.74%, 4/4/06	(h)408		408
2.83%, 10/28/05	(h)1,339		1,339
Bear Stearns,
2.93%, 4/15/05	(h)735		735
2.96%, 12/5/05	(h)360		360
Beta Finance, Inc.,
2.71%, 4/19/05	220		220
2.81%, 5/4/05	(h)409		409
2.90%, 6/10/05	$	243	$	243
Calyon, N.Y., 2.89%, 2/27/06	(h)326		326
CC USA, Inc.,
2.83%, 11/28/05	(h)491		491
2.91%, 6/8/05	811		811
2.92%, 10/28/05	(h)392		392
CIC, N.Y., 2.78%, 2/13/06	(h)1,225		1,225
CIT Group Holdings, 2.72%, 7/29/05	(h)514		514
Citigroup, Inc., 2.90%, 9/1/05	(h)392		392
Compass Securitization,
2.86%, 5/25/05	568		568
2.97%, 6/15/05	324		324
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	898		898
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	1,839		1,839
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)544		544
Eni Coordination Center, 2.89%, 8/29/05	(h)408		408
Eurohypo AG, N.Y., 2.90%, 5/18/05	817		817
Galaxy Funding, Inc., 2.97%, 6/13/05	405		405
Giro Multi-Funding Corp., 3.00%, 6/15/05	811		811
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)408		408
HBOS Treasury Services plc, N.Y., 2.73%, 4/28/05	1,138		1,138
International Lease Finance Corp., 3.04%, 9/22/05	(h)629		629
Internationale Nederlanden U.S. Funding,
2.88%, 6/3/05	528		528
K2 (USA) LLC,
2.78%, 2/15/06	(h)376		376
2.83%,10/24/05-3/22/06	(h)1,519		1,519
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)1,225		1,225
2.86%, 2/27/06	(h)490		490
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)1,143		1,143
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	327		327
Nationwide Building Society,
2.77%, 1/13/06	(h)654		654
3.12%, 3/31/06	(h)947		947
Pfizer, Inc., 2.71%, 5/1/06	(h)817		817
Procter & Gamble Co., 2.93%, 5/1/06	(h)335		335
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)817		817
Scaldis Capital LLC, 2.69%, 4/7/05	407		407
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)817		817
2.84%, 3/22/06	(h)816		816
SLM Corp., 2.85%, 5/1/06	(h)817		817
Svenska Handelsbank N.Y., 2.82%, 5/10/05	(h)817		817
Tango Finance Corp., 2.83%, 3/22/06	(h)686		686
UBS Securities LLC, 2.89%, 4/1/05	6,288		6,288
Washington Mutual Bank FA,
2.81%, 5/3/05	817		817
2.82%, 5/2/05	408		408
Westdeutsche Landesbank N.Y., 2.74%, 8/9/05	(h)408		408
Yorktown Capital LLC, 2.81%, 4/19/05	815		815
			40,837

The accompanying notes are an integral part of the financial statements.

23

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

U.S. Core Fixed Income Portfolio

			Value
	Shares		(000)
Investment Company held as Collateral on Loaned Securities (0.1%)
JPMorgan Securities Lending Collateral Investment Fund	277,665		$	277
	Face
	Amount
	(000)
Discount Notes (4.0%)
Federal Home Loan Mortgage Corporation
2.80%, 5/2/05	$	5,000	4,988
2.75%, 4/5/05	5,000		4,998
			9,986
Repurchase Agreement (5.4%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $13,475	(f)13,474		13,474
U.S. Treasury Securities (0.2%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)400		397
Total Short-Term Investments ($64,972)			64,971
Total Investments (132.4%) (Cost $332,407) — Including $53,907 of Securities Loaned			332,798
Liabilities in Excess of Other Assets (-32.4%)			(81,443		)
Net Assets (100%)			$	251,355

(c)	All or a portion of security on loan at March 31, 2005.
(d)	Security was valued at fair value — At March 31, 2005, the Portfolio held $18,000 of fair valued securities, representing less than 0.05% of net assets.
(e)	144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(h)	Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.
(i)	Security is subject to delayed delivery.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(k)	Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)
@	Value/Face Amount is less than $500.
Inv Fl	Inverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.
IO	Interest Only
PO	Principal Only
TAC	Targeted Amortization Class
TBA	To be announced

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
	Number				Unrealized
	of			Expiration	Appreciation
	Contracts	Value		Date	(Depreciation)
		(000)			(000)
Long:
U.S. Treasury Long Bond	301	$	33,524	Jun-05	$	(507	)
U.S. Treasury 5 yr. Note	15	1,606		Jun-05	@—
Short:
U.S. Treasury 10 yr. Note	72	7,867		Jun-05	76
U.S. Treasury 2 yr. Note	119	24,620		Jun-05	135
					$	(296	)

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry and/or investment type, as a percentage of total investments.

*Industries and/or investment types which do not appear in the top 10 industries and/or investment types, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

24

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

High Yield Portfolio

	Face
	Amount				Value
	(000)				(000)
Fixed Income Securities (94.7%)
Aerospace (0.9%)
K&F Acquisition, Inc.
7.75%, 11/15/14	$	(e)2,090			$	2,038
Cable (5.8%)
Cablecom Luxembourg SCA
9.375%, 4/15/14	EUR			(e)765	1,055
Charter Communications Holdings LLC
0.00%, 1/15/11	$	(g)600			483
10.25%, 1/15/10	840				678
10.75%, 10/1/09	900				742
Intelsat Bermuda Ltd.
7.805%, 1/15/12	(e)(h)1,000				1,020
8.625%, 1/15/15	(e)1,680				1,722
Kabel Deutschland GmbH
10.625%, 7/1/14	(e)2,445				2,714
PanAmSat Corp.
9.00%, 8/15/14	(c)247				262
PanAmSat Holding Corp.
0.00%, 11/1/14	(c)(e)(g)1,625				1,064
Renaissance Media Group LLC
10.00%, 4/15/08	(g)710				721
Satelites Mexicanos S.A. de C.V.
10.125% (expired maturity)	(b)1,360				700
Telenet Communications N.V.
9.00%, 12/15/13	EUR			(e)525	764
Telenet Group Holding N.V.
0.00%, 6/15/14	$	(e)(g)1,265			963
					12,888
Chemicals (8.9%)
Cognis Deutschland GmbH & Co. KG
6.979%, 11/15/13	EUR		(e)(h)835		1,126
Equistar Chemicals LP
10.125%, 9/1/08	$	1,650			1,831
FMC Corp.
10.25%, 11/1/09	1,100				1,232
Huntsman Advanced Materials LLC
11.00%, 7/15/10	(e)825				951
Huntsman International LLC
10.125%, 7/1/09	EUR			1,135	1,541
IMC Global, Inc.
10.875%, 6/1/08	$	4			5
Innophos, Inc.
8.875%, 8/15/14	(e)1,255				1,324
Innophos Investments Holdings, Inc.
10.771%, 2/15/15	(e)(h)605				602
ISP Chemco, Inc.
10.25%, 7/1/11	(c)1,200				1,305
ISP Holdings, Inc.
10.625%, 12/15/09	1,300				1,397
Koppers, Inc.
9.875%, 10/15/13	575				644
Millennium America, Inc.
9.25%, 6/15/08	$	1,804			$	1,944
Nalco Co.
7.75%, 11/15/11	545				570
8.875%, 11/15/13	(c)1,845				1,983
Rhodia S.A.
8.00%, 6/1/10	EUR			(e)450	586
8.875%, 6/1/11	$	(c)(e)1,515			1,481
Rockwood Specialties Group, Inc.
7.625%, 11/15/14	EUR			700	921
10.625%, 5/15/11	$	500			557
					20,000
Consumer Products (3.4%)
Amscan Holdings, Inc.
8.75%, 5/1/14	(c)845				824
DEL Laboratories, Inc.
8.00%, 2/1/12	(e)585				564
Levi Strauss & Co.
7.73%, 4/1/12	(c)(e)(h)2,100				2,074
Oxford Industries, Inc.
8.875%, 6/1/11	955				1,017
Rayovac Corp.
7.375%, 2/1/15	(e)400				385
8.50%, 10/1/13	(c)1,515				1,568
Safilo Capital International S.A.
9.625%, 5/15/13	EUR			(e)875	1,158
					7,590
Diversified Media (5.6%)
Advanstar Communications, Inc.
10.294%, 8/15/08	$	(h)1,015			1,055
10.75%, 8/15/10	545				609
12.00%, 2/15/11	525				566
CanWest Media, Inc.
8.00%, 9/15/12	(e)1,237				1,308
Dex Media East LLC/Dex Media East Finance Co.
12.125%, 11/15/12	(c)707				841
Dex Media West LLC/Dex Media Finance Co.
9.875%, 8/15/13	690				773
Houghton Mifflin Co.
9.875%, 2/1/13	(c)1,615				1,672
Marquee, Inc.
7.044%, 8/15/10	(e)(h)890				935
Muzak LLC/Muzak Finance Corp.
9.875%, 3/15/09	535				243
10.00%, 2/15/09	325				268
Nebraska Book Co., Inc.
8.625%, 3/15/12	1,335				1,298
Primedia, Inc.
8.875%, 5/15/11	2,145				2,247
Vertis, Inc.
13.50%, 12/7/09	(c)(e)860				705
					12,520

The accompanying notes are an integral part of the financial statements.

25

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount				Value
	(000)				(000)
Energy (8.0%)
CHC Helicopter Corp.
7.375%, 5/1/14	$	(e)1,035			$	1,013
7.375%, 5/1/14	1,610				1,576
Chesapeake Energy Corp.
7.50%, 9/15/13	(c)1,875				1,987
Citgo Petroleum Corp.
6.00%, 10/15/11	875				868
El Paso Production Holding Co.
7.75%, 6/1/13	(c)1,800				1,831
Hanover Compressor Co.
8.625%, 12/15/10	280				294
9.00%, 6/1/14	(c)375				403
Hanover Equipment Trust
8.50%, 9/1/08	(c)770				807
Hilcorp Energy I LP/Hilcorp Finance Co.
10.50%, 9/1/10	(e)2,240				2,498
Husky Oil Co.
8.90%, 8/15/28	(h)1,145				1,277
Magnum Hunter Resources, Inc.
9.60%, 3/15/12	(c)753				847
Pacific Energy Partners LP/Pacific Energy Finance Corp.
7.125%, 6/15/14	1,095				1,139
Plains Exploration & Production Co.
7.125%, 6/15/14	(c)830				872
Tesoro Corp.
9.625%, 4/1/12	1,090				1,202
Vintage Petroleum, Inc.
7.875%, 5/15/11	1,200				1,278
					17,892
Financial (1.1%)
Refco Finance Holdings LLC
9.00%, 8/1/12	(e)2,255				2,402
Food & Drug (1.8%)
CA FM Lease Trust
8.50%, 7/15/17	(e)1,244				1,403
Jean Coutu Group, Inc.
7.625%, 8/1/12	490				502
8.50%, 8/1/14	(c)1,250				1,221
Rite Aid Corp.
8.125%, 5/1/10	960				979
					4,105
Food & Tobacco (2.6%)
Michael Foods, Inc.
8.00%, 11/15/13	1,455				1,520
Pilgrim’s Pride Corp.
9.625%, 9/15/11	(c)1,450				1,581
Smithfield Foods, Inc.
7.75%, 5/15/13	1,000				1,065
8.00%, 10/15/09	1,490				1,587
					5,753
Forest Products (6.7%)
Abitibi-Consolidated, Inc.
6.00%, 6/20/13	$	(c)935			$	813
7.75%, 6/15/11	1,200				1,182
Crown European Holdings S.A.
6.25%, 9/1/11	EUR			(e)800	1,084
Georgia-Pacific Corp.
8.875%, 2/1/10	$	750			841
Graham Packaging Co., Inc.
8.50%, 10/15/12	(e)825				829
9.875%, 10/15/14	(e)1,195				1,201
Graphic Packaging International Corp.
9.50%, 8/15/13	1,900				2,024
JSG Funding plc
10.125%, 10/1/12	EUR		1,325		1,915
Owens-Illinois, Inc.
7.50%, 5/15/10	$	2,500			2,587
Pliant Corp.
13.00%, 6/1/10	1,445				1,228
Tembec Industries, Inc.
8.50%, 2/1/11	(c)1,450				1,381
					15,085
Gaming & Leisure (2.5%)
Host Marriott LP
6.375%, 3/15/15	(e)1,795				1,723
Isle of Capri Casinos, Inc.
7.00%, 3/1/14	1,980				1,970
MGM Mirage
6.00%, 10/1/09	2,000				1,983
					5,676
Health Care (6.3%)
AmerisourceBergen Corp.
7.25%, 11/15/12	1,200				1,278
8.125%, 9/1/08	290				312
Community Health Systems Inc.
6.50%, 12/15/12	(e)1,250				1,225
DaVita, Inc.
6.625%, 3/15/13	(e)715				711
7.25%, 3/15/15	(e)365				360
Fisher Scientific International, Inc.
8.00%, 9/1/13	620				677
8.125%, 5/1/12	901				982
Fresenius Medical Care Capital Trust II
7.875%, 2/1/08	1,301				1,368
MedCath Holdings Corp.
9.875%, 7/15/12	1,820				1,966
National Nephrology Associates, Inc.
9.00%, 11/1/11	(e)335				373
Team Health, Inc.
9.00%, 4/1/12	(c)925				909
Tenet Healthcare Corp.
6.50%, 6/1/12	705				652
9.875%, 7/1/14	570				596

The accompanying notes are an integral part of the financial statements.

26

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount				Value
	(000)				(000)
Health Care (cont’d)
VWR International, Inc.
6.875%, 4/15/12	$	(c)585			$	589
8.00%, 4/15/14	(c)780				794
Warner Chilcott Corp.
8.75%, 2/1/15	(e)1,390				1,404
					14,196
Housing (7.8%)
ACIH, Inc.
0.00%, 12/15/12	(e)(g)1,720				1,221
Associated Materials, Inc.
0.00%, 3/1/14	(c)(g)3,995				2,796
Goodman Global Holding Co., Inc.
5.76%, 6/15/12	(e)(h)500				498
7.875%, 12/15/12	(c)(e)1,905				1,753
Interface, Inc.
9.50%, 2/1/14	(c)2,415				2,554
Nortek, Inc.
8.50%, 9/1/14	1,980				1,921
NTK Holdings, Inc.
0.00%, 3/1/14	(c)(e)(g)1,970				1,059
Ply Gem Industries, Inc.
9.00%, 2/15/12	1,115				1,059
Propex Fabrics, Inc.
10.00%, 12/1/12	(e)1,235				1,229
RMCC Acquisition Co.
9.50%, 11/1/12	(e)1,720				1,694
Technical Olympic USA, Inc.
9.00%, 7/1/10	655				684
10.375%, 7/1/12	(c)980				1,078
					17,546
Information Technology (2.5%)
Iron Mountain, Inc.
7.75%, 1/15/15	540				536
8.625%, 4/1/13	1,250				1,269
Nortel Networks Ltd.
6.125%, 2/15/06	875				881
Sanmina-SCI Corp.
6.75%, 3/1/13	(c)(e)865				815
Xerox Corp.
7.125%, 6/15/10	1,925				2,000
					5,501
Manufacturing (4.6%)
Flowserve Corp.
12.25%, 8/15/10	567				619
Hexcel Corp.
6.75%, 2/1/15	(e)1,215				1,176
Johnsondiversey, Inc.
9.625%, 5/15/12	(c)2,010				2,171
Manitowoc Co., Inc.
10.375%, 5/15/11	EUR		1,585		2,275
NMHG Holding Co.
10.00%, 5/15/09	$	1,480			1,602
Trimas Corp.
9.875%, 6/15/12	$	2,335			$	2,393
					10,236
Metals (2.8%)
Foundation PA Coal Co.
7.25%, 8/1/14	(c)455				464
General Cable Corp.
9.50%, 11/15/10	855				945
Glencore Nickel Property Ltd.
9.00%, 12/1/14	(b)(d)4,140				1
Murrin Murrin Holding Ltd.
9.375%, 8/31/07	(b)(c)(d)2,485				@—
Novelis, Inc.
7.25%, 2/15/15	(e)2,130				2,098
Republic Technologies International LLC
13.75%, 7/15/09	(b)(d)6,180				@—
SGL Carbon Luxembourg S.A.
8.50%, 2/1/12	EUR		(e)905		1,261
Ucar Finance, Inc.
10.25%, 2/15/12	$	1,470			1,580
					6,349
Retail (1.6%)
General Nutrition Centers, Inc.
8.50%, 12/1/10	1,575				1,347
Petro Stopping Centers LP/Petro Financial Corp.
9.00%, 2/15/12	(c)2,180				2,256
					3,603
Services (3.1%)
Allied Waste North America
6.375%, 4/15/11	1,480				1,384
7.25%, 3/15/15	(c)(e)1,005				960
Buhrmann U.S., Inc.
8.25%, 7/1/14	1,530				1,583
7.875%, 3/1/15	(e)530				533
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.
7.375%, 9/1/10	1,730				1,765
United Rentals North America, Inc.
6.50%, 2/15/12	730				713
					6,938
Telecommunications (4.0%)
AXtel S.A.
11.00%, 12/15/13	(c)2,040				2,167
Esprit Telecom Group plc
10.875%, 6/15/08	(b)(d)965				@—
11.00%, 6/15/08	DEM			(b)(d)2,608	@—
11.50%, 12/15/07	EUR			(b)(d)1,669	@—
11.50%, 12/15/07	$	(b)(d)600			@—
EXDS, Inc.
11.625%, 7/15/10	(b)(d)3,950				@—
Primus Telecommunications Group, Inc.
8.00%, 1/15/14	(c)2,335				1,693
Qwest Communications International
6.294%, 2/15/09	(e)(h)2,085				2,111

The accompanying notes are an integral part of the financial statements.

27

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount		Value
	(000)		(000)
Telecommunications (cont’d)
Qwest Corp.
5.625%, 11/15/08	$	295	$	294
Qwest Services Corp.
13.50%, 12/15/07	(e)1,000		1,118
Rhythms NetConnections, Inc.
12.75%, 4/15/09	(b)(d)433		@—
13.50%, 5/15/08	(b)(d)12,869		@—
14.00%, 2/15/10	(b)(d)11,487		@—
Valor Telecommunications Enterprises LLC/Finance Corp.
7.75%, 2/15/15	(e)1,445		1,445
			8,828
Transportation (3.0%)
Amsted Industries, Inc.
10.25%, 10/15/11	(e)1,450		1,588
Cooper-Standard Automotive, Inc.
8.375%, 12/15/14	(c)(e)335		274
Laidlaw International, Inc.
10.75%, 6/15/11	1,885		2,144
Sonic Automotive, Inc.
8.625%, 8/15/13	1,455		1,455
TRW Automotive, Inc.
9.375%, 2/15/13	1,240		1,339
			6,800
Utilities (7.0%)
AES Corp. (The)
7.75%, 3/1/14	(c)750		778
8.875%, 2/15/11	198		215
9.375%, 9/15/10	326		361
Allegheny Energy, Inc.
7.75%, 8/1/05	1,020		1,030
CMS Energy Corp.
7.50%, 1/15/09	280		290
8.50%, 4/15/11	(c)635		689
Dynegy Holdings, Inc.
9.875%, 7/15/10	(c)(e)1,180		1,270
Ipalco Enterprises, Inc.
8.625%, 11/14/11	605		697
Monongahela Power Co.
5.00%, 10/1/06	1,255		1,269
Nevada Power Co.
8.25%, 6/1/11	950		1,059
9.00%, 8/15/13	1,255		1,415
Northwest Pipeline Corp.
8.125%, 3/1/10	390		419
Ormat Funding Corp.
8.25%, 12/30/20	2,423		2,448
Reliant Energy, Inc.
6.75%, 12/15/14	(c)1,225		1,149
Southern Natural Gas Co.
8.875%, 3/15/10	775		844
Williams Cos., Inc.
7.875%, 9/1/21	$	1,650	$	1,807
			15,740
Wireless Communications (4.7%)
American Tower Corp.
7.125%, 10/15/12	(c)640		640
7.50%, 5/1/12	1,205		1,229
MetroPCS, Inc.
10.75%, 10/1/11	(c)1,595		1,635
Rogers Wireless Communications, Inc.
7.50%, 3/15/15	1,075		1,115
8.00%, 12/15/12	(c)760		785
Rural Cellular Corp.
7.51%, 3/15/10	(c)(h)855		881
8.25%, 3/15/12	(c)500		512
SBA Communications Corp.
0.00%, 12/15/11	(c)(g)2,300		1,995
UbiquiTel Operating Co.
9.875%, 3/1/11	(c)(e)1,360		1,506
9.875%, 3/1/11	220		244
			10,542
Total Fixed Income Securities (Cost $232,757)			212,228
	Shares
Common Stocks (0.0%)
Broadcasting (0.0%)
Paxson Communications Corp.	(a)31,046		2
Paxson Communications Corp.	(a)(e)125,654		9
			11
Telecommunications (0.0%)
Viatel Holding Bermuda Ltd.	(a)7,617		5
Total Common Stocks (Cost $10,797)			16
Preferred Stocks (1.1%)
Broadcasting (0.4%)
Paxson Communications Corp., PIK, 14.25%	126		857
Utilities (0.7%)
TNP Enterprises, Inc., PIK, 14.50%	1,496		1,657
Total Preferred Stocks (Cost $1,654)			2,514
	No. of
	Warrants
Warrants (0.1%)
Utilities (0.1%)
SW Acquisitions, Inc., expiring 4/1/11
(Cost $29)	(a)(e)8,020		249
	Face
	Amount
	(000)
Short-Term Investments (20.9%)
Short-Term Debt Securities held as Collateral on Loaned Securities (19.7%)
Abbey National Treasury Services, 2.64%, 1/13/06	$	(h)656	656

The accompanying notes are an integral part of the financial statements.

28

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount		Value
	(000)		(000)
Short-Term Debt Securities held as Collateral on Loaned Securities (cont’d)
ASAP Funding Ltd., 2.77%, 4/25/05	$	528	$	528
Banco Bilbao Viz Argentaria, N.Y., 2.81%, 5/16/05	442		442
Bank of America Corp., 2.71%, 5/6/05	439		439
Bank of New York,
2.74%, 4/4/06	(h)442		442
2.83%, 10/28/05	(h)1,449		1,449
Bear Stearns,
2.93%, 4/15/05	(h)796		796
2.96%, 12/5/05	(h)389		389
Beta Finance, Inc.,
2.71%, 4/19/05	238		238
2.81%, 5/4/05	(h)442		442
2.90%, 6/10/05	263		263
Calyon, N.Y., 2.89%, 2/27/06	(h)353		353
CC USA, Inc.,
2.83%, 11/28/05	(h)531		531
2.91%, 6/8/05	877		877
2.92%, 10/28/05	(h)424		424
CIC, N.Y., 2.78%, 2/13/06	(h)1,325		1,325
CIT Group Holdings, 2.72%, 7/29/05	(h)556		556
Citigroup, Inc., 2.90%, 9/1/05	(h)424		424
Compass Securitization,
2.86%, 5/25/05	614		614
2.97%, 6/15/05	351		351
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	972		972
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	1,990		1,990
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)589		589
Eni Coordination Center, 2.89%, 8/29/05	(h)442		442
Eurohypo AG, N.Y., 2.90%, 5/18/05	884		884
Galaxy Funding, Inc., 2.97%, 6/13/05	439		439
Giro Multi-Funding Corp., 3.00%, 6/15/05	877		877
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)442		442
HBOS Treasury Services plc, N.Y., 2.73%, 4/28/05	1,232		1,232
International Lease Finance Corp., 3.04%, 9/22/05	(h)681		681
Internationale Nederlanden U.S. Funding,
2.88%, 6/3/05	572		572
K2 (USA) LLC,
2.78%, 2/15/06	(h)406		406
2.83%, 10/24/05-3/22/06	(h)1,643		1,643
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)1,325		1,325
2.86%, 2/27/06	(h)530		530
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)1,237		1,237
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	353		353
Nationwide Building Society,
2.77%, 1/13/06	(h)707		707
3.12%, 3/31/06	(h)1,025		1,025
Pfizer, Inc., 2.71%, 5/1/06	(h)884		884
Procter & Gamble Co., 2.93%, 5/1/06	(h)362		362
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)884		884
Scaldis Capital LLC, 2.69%, 4/7/05	441		441
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)884		884
2.84%, 3/22/06	(h)883		883
SLM Corp., 2.85%, 5/1/06	$	(h)884	$	884
Svenska Handelsbank N.Y., 2.82%, 5/10/05	(h)883		883
Tango Finance Corp., 2.83%, 3/22/06	(h)742		742
UBS Securities LLC, 2.89%, 4/1/05	6,804		6,804
Washington Mutual Bank FA,
2.81%, 5/3/05	884		884
2.82%, 5/2/05	442		442
Westdeutsche Landesbank N.Y., 2.74%, 8/9/05	(h)442		442
Yorktown Capital LLC, 2.81%, 4/19/05	882		882
			44,186
	Shares
Investment Company held as Collateral on Loaned Securities (0.1%)
JPMorgan Securities Lending Collateral
Investment Fund	300,437		300
	Face
	Amount
	(000)
Repurchase Agreement (1.1%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $2,345	$	(f)2,345	2,345
Total Short-Term Investments (Cost $46,831)			46,831
Total Investments (116.8%) (Cost $292,068) —  Including $43,377 of Securities Loaned			261,838
Liabilities in Excess of Other Assets (-16.8%)			(37,697		)
Net Assets (100%)			$	224,141

(a)	Non-income producing security
(b)	Issuer is in default.
(c)	All or a portion of security on loan at March 31, 2005.
(d)	Security was valued at fair value — At March 31, 2005, the Portfolio held fair valued securities, each valued at less than $500, representing less than 0.05% of net assets.
(e)	144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(g)	Step Bond — Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2005. Maturity date disclosed is the ultimate maturity date.
(h)	Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.
(k)	Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)
@	Value/Face Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

29

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

EUR	Euro
DEM	German Mark
PIK	Payment-in-Kind

Foreign Currency Exchange Contract Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

Currency to Deliver		Value		Settlement Date	In Exchange For		Value		Net Unrealized Appreciation (Depreciation)
(000)		(000)			(000)		(000)		(000)
EUR	6,714	$	8,706	4/26/05	USD	8,773	$	8,773	$	67
EUR	535	694		4/26/05	USD	685	685		(9		)
EUR	3,860	5,005		4/26/05	USD	5,104	5,104		99
EUR	4,320	5,602		4/26/05	USD	5,642	5,642		40
USD	5,764	5,764		4/26/05	EUR	4,435	5,751		(13		)
USD	453	453		4/26/05	EUR	350	454		1
		$	26,224				$	26,409	$	185

USD— U.S. Dollar

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry, as a percentage of total investments.

*Industries which do not appear in the top 10 industries, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

30

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (89.3%)
Agency Adjustable Rate Mortgages (0.2%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
3.375%, 3/20/25-1/20/28	$	284	$	289
3.75%, 7/20/25-9/20/27	87		88
4.125%, 11/20/25-11/20/27	109		111
			488
Agency Fixed Rate Mortgages (5.4%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
11.00%, 7/1/13	15		16
Gold Pools:
7.00%, 6/1/28-6/1/32	306		323
7.50%, 8/1/30-1/1/31	240		257
8.00%, 6/1/30-9/1/31	923		994
8.50%, 7/1/30-7/1/31	160		174
9.50%, 12/1/22	38		41
10.00%, 6/1/17	40		44
Federal National Mortgage Association,
Conventional Pools:
6.50%, 7/1/30-7/1/34	4,916		5,107
7.00%, 1/1/32-11/1/32	405		427
7.50%, 8/1/29-3/1/32	2,156		2,307
8.00%, 10/1/30-9/1/31	311		334
8.50%, 8/1/30	15		17
9.50%, 12/1/17-12/1/21	557		613
10.00%, 7/1/18-5/1/22	22		25
Government National Mortgage Association,
Various Pools:
9.50%, 11/15/16-12/15/21	276		307
10.00%, 1/15/16-3/15/25	449		505
10.50%, 3/15/16-2/15/18	74		84
11.00%, 3/15/10-6/15/20	184		205
11.50%, 6/15/13	17		19
12.00%, 12/15/12-5/15/14	11		12
12.50%, 12/15/10	6		7
			11,818
Asset Backed Corporates (21.4%)
American Express Credit Account Master Trust
1.69%, 1/15/09	650		634
5.53%, 10/15/08	600		610
Asset Backed Funding Certificates
2.98%, 6/25/22	(h)734		734
3.04%, 6/25/25	(h)835		836
Bank One Issuance Trust
2.94%, 6/16/08	900		898
3.86%, 6/15/11	750		737
Bear Stearns Asset Backed Securities, Inc.
3.05%, 9/25/34	(h)1,094		1,095
Capital Auto Receivables Asset Trust
2.92%, 4/15/08	1,100		1,095
3.35%, 2/15/08	500		494
4.50%, 10/15/07	558		561
Carrington Mortgage Loan Trust
2.98%, 1/25/35	$	(h)1,075	$	1,076
Centex Home Equity
2.92%, 3/25/35	(h)850		850
Chase Credit Card Master Trust
5.50%, 11/17/08	690		704
Chase Manhattan Auto Owner Trust
2.83%, 9/15/10	1,400		1,356
2.94%, 6/15/10	850		831
4.21%, 1/15/09	638		641
4.24%, 9/15/08	485		487
Citibank Credit Card Issuance Trust
2.70%, 1/15/08	700		695
4.40%, 5/15/07	1,000		1,002
6.90%, 10/15/07	875		891
7.45%, 9/15/07	400		408
CNH Equipment Trust
4.02%, 4/15/09	775		772
Connecticut RRB Special Purpose Trust CL&P
5.36%, 3/30/07	54		54
Daimler Chrysler Auto Trust
2.58%, 4/8/09	800		776
2.86%, 3/9/09	650		636
3.09%, 1/8/08	900		894
Fleet Credit Card Master Trust II
2.75%, 4/15/08	950		947
Ford Credit Auto Owner Trust
3.13%, 11/15/06	991		990
3.79%, 9/15/06	607		608
4.75%, 8/15/06	168		169
GSAMP Trust
2.99%, 12/25/34	(h)1,085		1,086
Harley-Davidson Motorcycle Trust
2.63%, 11/15/10	600		590
2.76%, 5/15/11	800		788
3.09%, 6/15/10	518		514
3.76%, 12/17/12	1,450		1,431
4.50%, 1/15/10	521		525
Honda Auto Receivables Owner Trust
2.48%, 7/18/08	900		889
2.70%, 3/17/08	500		495
2.77%, 11/21/08	800		781
4.49%, 9/17/07	649		652
Hyundai Auto Receivables Trust
2.33%, 11/15/07	250		248
MBNA Credit Card Master Note Trust
2.70%, 9/15/09	900		875
3.90%, 11/15/07	550		551
MBNA Master Credit Card Trust USA
6.90%, 1/15/08	625		634
Merrill Lynch Mortgage Investors, Inc.
3.05%, 8/25/35	(h)995		996
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)1,168		1,169

The accompanying notes are an integral part of the financial statements.

31

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Nordstrom Private Label Credit Card Master Note Trust
4.82%, 4/15/10	$	(e)450	$	455
Residential Asset Securities Corp.
3.02%, 7/25/21	(h)891		892
Specialty Underwriting & Residential Finance
2.856%, 12/25/35	(h)950		950
Terwin Mortgage Trust
3.32%, 12/25/34	(h)1,046		1,047
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	175		175
USAA Auto Owner Trust
2.67%, 10/15/10	875		849
3.16%, 2/17/09	1,150		1,134
3.58%, 2/15/11	1,550		1,528
3.90%, 7/15/09	950		944
Volkswagen Auto Lease Trust
2.36%, 12/20/05	67		67
3.82%, 5/20/08	825		822
Wells Fargo Home Equity Trust
3.02%, 2/25/18	(h)884		885
Whole Auto Loan Trust
2.58%, 3/15/10	900		881
William Street Funding Corp.
2.993%, 4/23/06	(e)(h)1,100		1,102
			46,436
Collateralized Mortgage Obligations — Agency Collateral Series (0.5%)
Federal Home Loan Mortgage Corporation
Inv Fl IO
5.19%, 3/15/32	1,012		82
IO
5.00%, 9/15/14	1,199		80
6.00%, 5/1/31	433		76
6.50%, 4/1/28-8/1/28	945		166
7.00%, 2/15/32	189		36
8.00%, 1/1/28-6/1/31	37		8
IO PAC
6.00%, 4/15/32	489		64
Federal National Mortgage Association
Inv Fl IO
5.25%, 12/25/29	104		4
IO
6.00%, 5/25/33	(h)812		167
6.00%, 6/25/33	405		82
6.50%, 7/1/31	295		57
7.00%, 4/25/33	610		121
8.00%, 8/18/27-5/1/30	88		18
9.00%, 11/1/26	67		13
Government National Mortgage Association
Inv Fl IO
5.125%, 9/16/27	214		16
5.13%, 12/16/25	356		27
5.18%, 5/16/32	233		16
Federal Agency (17.2%)			1,033
Federal Home Loan Mortgage Corporation
2.75%, 8/15/06	$	16,880	$	16,648
Federal National Mortgage Association
4.25%, 5/15/09	20,885		20,763
			37,411
Finance (8.6%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)590		635
Allstate Financial Global Funding II
2.625%, 10/22/06	(e)250		245
American General Finance Corp.
5.875%, 7/14/06	575		588
AXA Equitable Life Insurance Co.
6.95%, 12/1/05	(e)275		281
Bank of America Corp.
3.375%, 2/17/09	245		235
3.875%, 1/15/08	165		163
4.75%, 10/15/06	170		172
Bank of New York (The)
3.80%, 2/1/08	250		246
Bank of New York Co., Inc. (The)
5.20%, 7/1/07	85		87
Bank One Corp.
6.00%, 2/17/09	355		371
Bank One N.A. Illinois
2.87%, 5/5/06	(h)250		250
CIT Group, Inc.
2.875%, 9/29/06	130		128
3.65%, 11/23/07	125		122
6.50%, 2/7/06	285		291
Citicorp
6.75%, 8/15/05	140		142
Citigroup Global Markets Holdings, Inc.
3.11%, 12/12/06	(h)80		80
Citigroup, Inc.
5.625%, 8/27/12	705		732
5.75%, 5/10/06	235		240
6.00%, 2/21/12	285		304
Countrywide Home Loans, Inc.
3.25%, 5/21/08	312		299
EOP Operating LP
6.763%, 6/15/07	400		418
Farmers Insurance Exchange
8.625%, 5/1/24	(e)300		364
FleetBoston Financial Corp.
7.25%, 9/15/05	245		249
General Electric Capital Corp.
4.75%, 9/15/14	95		93
5.375%, 3/15/07	930		951
5.875%, 2/15/12	40		42
Goldman Sachs Group, Inc.
5.25%, 10/15/13	480		478
6.875%, 1/15/11	295		322

The accompanying notes are an integral part of the financial statements.

32

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
Hartford Financial Services Group, Inc.
2.375%, 6/1/06	$	250	$	244
7.75%, 6/15/05	300		302
7.90%, 6/15/10	60		67
Household Finance Corp.
6.08%, 3/8/06	48		48
HSBC Finance Corp.
4.125%, 12/15/08	90		88
5.875%, 2/1/09	290		302
6.40%, 6/17/08	270		285
8.00%, 7/15/10	100		115
Huntington National Bank
4.375%, 1/15/10	300		294
International Lease Finance Corp.
3.75%, 8/1/07	120		118
John Hancock Global Funding II
7.90%, 7/2/10	(e)510		583
JPMorgan Chase & Co.
5.25%, 5/30/07	165		168
6.00%, 2/15/09	170		178
Lehman Brothers Holdings, Inc.
8.25%, 6/15/07	273		296
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	490		482
Mantis Reef Ltd.
4.692%, 11/14/08	(e)255		252
Marsh & McLennan Cos., Inc.
5.375%, 3/15/07	440		447
MBNA Corp.
6.125%, 3/1/13	435		460
Monumental Global Funding II
3.85%, 3/3/08	(e)610		603
6.05%, 1/19/06	(e)285		290
Nationwide Building Society
4.25%, 2/1/10	(e)250		245
Prudential Funding LLC
6.60%, 5/15/08	(e)470		499
Prudential Insurance Co. of America
6.375%, 7/23/06	(e)145		150
SLM Corp.
4.00%, 1/15/10	255		248
5.00%, 10/1/13	210		208
Sovereign Bank
4.00%, 2/1/08	100		99
TIAA Global Markets, Inc.
5.00%, 3/1/07	(e)710		721
Two-Rock Pass Through Trust
3.714%, 12/31/49	(e)(h)275		274
U.S. Bancorp
5.10%, 7/15/07	125		128
U.S. Bank N.A.
2.85%, 11/15/06	160		157
Wachovia Corp.
3.625%, 2/17/09	$	60	$	58
4.95%, 11/1/06	325		329
Washington Mutual, Inc.
8.25%, 4/1/10	330		375
Wells Fargo & Co.
3.03%, 3/3/06	(h)180		180
World Financial Properties
6.91%, 9/1/13	(e)617		662
6.95%, 9/1/13	(e)262		281
			18,764
Industrials (10.0%)
Aetna, Inc.
7.375%, 3/1/06	100		103
7.875%, 3/1/11	390		449
Altria Group, Inc.
7.00%, 11/4/13	175		188
7.65%, 7/1/08	120		130
Amerada Hess Corp.
6.65%, 8/15/11	325		348
America West Airlines, Inc.
7.10%, 4/2/21	251		268
American Honda Finance Corp.
3.85%, 11/6/08	(e)200		196
Ashland, Inc.
7.83%, 8/15/05	145		147
AT&T Wireless Services, Inc.
7.875%, 3/1/11	135		154
Burlington Northern and Santa Fe Railway Co.
4.575%, 1/15/21	135		131
Caterpillar Financial Services Corp.
2.92%, 8/20/07	(h)280		280
3.625%, 11/15/07	90		89
Clear Channel Communications, Inc.
7.65%, 9/15/10	335		367
Clorox Co.
3.125%, 12/14/07	(e)(h)560		561
Comcast Cable Communications
6.375%, 1/30/06	110		112
6.75%, 1/30/11	570		616
8.375%, 5/1/07	105		113
Comcast Corp.
6.50%, 1/15/15	115		123
ConAgra Foods, Inc.
6.00%, 9/15/06	310		318
Conoco Funding Co.
5.45%, 10/15/06	100		102
Consumers Energy Co.
4.80%, 2/17/09	175		175
Cooper Industries, Inc.
5.25%, 7/1/07	160		163
COX Communications, Inc.
4.625%, 1/15/10	(e)195		190

The accompanying notes are an integral part of the financial statements.

33

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
CSX Corp.
2.75%, 2/15/06	$	105	$	104
9.00%, 8/15/06	60		64
CVS Corp.
3.875%, 11/1/07	65		64
5.625%, 3/15/06	365		370
6.204%, 10/10/25	(e)53		56
DaimlerChrysler N.A. Holding Corp.
6.40%, 5/15/06	215		220
7.30%, 1/15/12	365		398
Deutsche Telekom International Finance BV
8.50%, 6/15/10	335		386
Federated Department Stores, Inc.
6.30%, 4/1/09	265		277
6.625%, 9/1/08	80		84
FedEx Corp.
6.875%, 2/15/06	145		149
Ford Motor Credit Co.
6.875%, 2/1/06	160		162
7.25%, 10/25/11	1,010		998
France Telecom S.A.
7.00%, 12/23/09	50		75
7.25%, 1/28/13	200		315
General Mills, Inc.
3.875%, 11/30/07	85		84
General Motors Acceptance Corp.
4.50%, 7/15/06	310		302
6.875%, 9/15/11	1,545		1,400
GTE Corp.
6.36%, 4/15/06	465		476
Historic TW, Inc.
6.625%, 5/15/29	20		21
Honeywell International, Inc.
5.125%, 11/1/06	520		528
Hutchison Whampoa International Ltd.
5.45%, 11/24/10	(e)100		101
6.50%, 2/13/13	(e)185		196
Hyatt Equities LLC
6.875%, 6/15/07	(e)210		217
ICI Wilmington, Inc.
4.375%, 12/1/08	125		124
Johnson Controls, Inc.
5.00%, 11/15/06	255		258
Kerr-McGee Corp.
5.875%, 9/15/06	170		173
Kraft Foods, Inc.
5.25%, 6/1/07	115		117
5.625%, 11/1/11	145		151
Lenfest Communications, Inc.
7.625%, 2/15/08	40		43
Marriott International, Inc.
7.00%, 1/15/08	125		133
8.125%, 4/1/05	205		205
Masco Corp.
4.625%, 8/15/07	$	140	$	141
May Department Stores Co. (The)
5.95%, 11/1/08	295		305
6.875%, 11/1/05	85		86
MeadWestvaco Corp.
2.75%, 12/1/05	125		124
Miller Brewing Co.
4.25%, 8/15/08	(e)280		277
Mohawk Industries, Inc.
6.50%, 4/15/07	140		146
News America Holdings
9.25%, 2/1/13	150		187
News America, Inc.
5.30%, 12/15/14	(e)175		172
Norfolk Southern Corp.
7.35%, 5/15/07	110		117
Panhandle Eastern Pipe Line Co.
2.75%, 3/15/07	70		68
Pemex Project Funding Master Trust
7.375%, 12/15/14	585		627
7.875%, 2/1/09	200		217
9.125%, 10/13/10	175		203
Raytheon Co.
8.30%, 3/1/10	225		259
Safeway, Inc.
6.15%, 3/1/06	420		428
Sappi Papier Holding AG
6.75%, 6/15/12	(e)105		114
Sealed Air Corp.
5.625%, 7/15/13	(e)205		208
Southwest Airlines Co.
5.496%, 11/1/06	110		112
Sprint Capital Corp.
8.375%, 3/15/12	55		64
Systems 2001 Asset Trust LLC
6.664%, 9/15/13	(e)276		300
TCI Communications, Inc.
8.00%, 8/1/05	190		193
Telecom Italia Finance N.V.
5.875%, 1/24/08	90		125
7.25%, 4/24/12	110		171
Textron Financial Corp.
4.125%, 3/3/08	190		189
Time Warner, Inc.
6.125%, 4/15/06	240		245
6.875%, 5/1/12	305		334
Toyota Motor Credit Corp.
5.65%, 1/15/07	385		395
Union Pacific Corp.
3.625%, 6/1/10	110		104
6.79%, 11/9/07	400		423
UnitedHealth Group, Inc.
4.125%, 8/15/09	120		118

The accompanying notes are an integral part of the financial statements.

34

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
5.20%, 1/17/07	$	25	$	25
7.50%, 11/15/05	200		204
Verizon Global Funding Corp.
6.125%, 6/15/07	445		462
7.25%, 12/1/10	140		156
Verizon New England, Inc.
6.50%, 9/15/11	200		214
WellPoint Health Networks, Inc.
6.375%, 6/15/06	215		220
WellPoint, Inc.
6.80%, 8/1/12	115		128
Weyerhaeuser Co.
6.125%, 3/15/07	50		52
WPP Finance UK Corp.
5.875%, 6/15/14	(e)205		212
			21,699
Sovereign (0.9%)
Province of Quebec Canada
6.125%, 1/22/11	550		589
United Mexican States
8.375%, 1/14/11	785		895
8.625%, 3/12/08	385		425
			1,909
U.S. Treasury Securities (22.9%)
U.S. Treasury Notes
3.125%, 5/15/07	11,500		11,341
3.50%, 11/15/06	5,500		5,484
3.875%, 2/15/13	10,950		10,573
4.25%, 8/15/13	15,950		15,734
6.50%, 2/15/10	2,000		2,203
U.S. Treasury Strips
IO
5.04%, 2/15/25	6,340		2,358
PO
2/15/25-2/15/27	5,880		2,096
			49,789
Utilities (2.2%)
Appalachian Power Co.
3.60%, 5/15/08	355		345
Arizona Public Service Co.
5.80%, 6/30/14	280		294
6.75%, 11/15/06	165		171
Carolina Power & Light Co.
5.125%, 9/15/13	245		246
Cincinnati Gas & Electric Co.
5.70%, 9/15/12	305		317
Columbus Southern Power Co.
4.40%, 12/1/10	100		98
Consolidated Natural Gas Co.
5.00%, 12/1/14	275		269
5.375%, 11/1/06	610		621
6.25%, 11/1/11	75		80
Detroit Edison Co.
4.80%, 2/15/15	$	(e)495	$	481
6.125%, 10/1/10	100		107
Entergy Gulf States, Inc.
3.31%, 12/1/09	(h)215		216
3.60%, 6/1/08	75		73
Exelon Corp.
6.75%, 5/1/11	135		147
FPL Group Capital, Inc.
3.25%, 4/11/06	275		273
NiSource Finance Corp.
3.43%, 11/23/09	(h)165		166
Pacific Gas & Electric Co.
4.80%, 3/1/14	195		190
Public Service Electric & Gas Co.
5.00%, 1/1/13	145		145
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294%, 3/15/14	(e)220		254
Sempra Energy
4.621%, 5/17/07	60		60
Southern California Edison Co.
5.00%, 1/15/14	30		30
TXU Energy Co. LLC
6.125%, 3/15/08	125		130
Wisconsin Electric Power Co.
3.50%, 12/1/07	35		34
			4,747
Total Fixed Income Securities (Cost $195,699)			194,094
	Shares
Preferred Stock (0.1%)
Mortgages — Other (0.1%)
Home Ownership Funding Corp.
13.331% (Cost $219)	(e)650		231
	Face
	Amount
	(000)
Short-Term Investments (20.3%)
Discount Notes (14.9%)
Federal Home Loan Bank
2.80%, 5/6/05	$	10,000	9,974
Federal Home Loan Mortgage Corporation
2.75%, 4/5/05	8,000		7,997
2.80%, 5/2/05	5,000		4,988
Federal National Mortgage Association
3.00%, 5/11/05	9,500		9,472
			32,431
Repurchase Agreement (5.4%)
J.P. Morgan Securities, Inc., 2.78%,
dated 3/31/05, due 4/1/05,
repurchase price $11,626	(f)11,625		11,625
U.S. Treasury Securities (0.0%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)100		99

The accompanying notes are an integral part of the financial statements.

35

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Value
	(000)
Total Short-Term Investments (Cost $44,156)	$	44,155
Total Investments (109.7%) (Cost $240,074)	238,480
Liabilities in Excess of Other Assets (-9.7%)	(21,165		)
Net Assets (100%)	$	217,315

(e)	144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(h)	Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
@	Value/Face Amount is less than $500.
Inv Fl	Inverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.
IO	Interest Only
PAC	Planned Amortization Class
PO	Principal Only

Foreign Currency Exchange Contract Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

Currency to Deliver		Value		SettlementDate	In Exchange For		Value		Net Unrealized Appreciation (Depreciation)
(000)		(000)			(000)		(000)		(000)
EUR	258	$	335	4/26/05	USD	338	$	338	$	3
EUR	157	204		4/26/05	USD	205	205		1
EUR	138	179		4/26/05	USD	180	180		1
USD	14	14		4/26/05	EUR	11	14		@—
		$	732				$	737	$	5

EUR — Euro

USD — U.S. Dollar

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
	Number				Unrealized
	of			Expiration	Appreciation
	Contracts	Value		Date	(Depreciation)
		(000)			(000)
Long:
U.S. Treasury 10 yr. Note	81	$	8,851	Jun-05	$	(95	)
U.S. Treasury Long Bond	29	3,230		Jun-05	(57		)
Short:
U.S. Treasury 2 yr. Note	99	20,482		Jun-05	109
U.S. Treasury 5 yr. Note	77	8,246		Jun-05	20
					$	(23	)

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry and/or investment type, as a percentage of total investments.

*Industries and/or investment types which do not appear in the top 10 industries and/or investment types, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

36

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

International Fixed Income Portfolio

	Face
	Amount				Value
	(000)				(000)
Fixed Income Securities (93.1%)
Austria (2.8%)
Republic of Austria
5.875%, 7/15/06	EUR			3,800	$	5,141
Bermuda (0.2%)
Adecco Financial Service Bermuda Ltd.
6.00%, 3/15/06	225				301
Canada (4.0%)
Government of Canada
1.90%, 3/23/09	JPY			750,000	7,422
Cayman Islands (0.6%)
Altria Finance Cayman Islands Ltd.
5.625%, 6/24/08	EUR			220	302
Hutchison Whampoa International Ltd.
6.50%, 2/13/13	$		150		157
MBNA America European Structured Offerings
5.125%, 4/19/08	EUR			511	705
					1,164
Denmark (2.7%)
Kingdom of Denmark
5.00%, 8/15/05	DKK			28,200	4,953
France (21.4%)
Compagnie Generale des Etablissements Michelin
6.375%, 12/3/33	EUR			(h)180	256
Crown European Holdings SA
6.25%, 9/1/11	(e)120				163
France Telecom S.A.
7.00%, 12/23/09	340				509
Government of France O.A.T.
6.50%, 4/25/11	15,005				22,959
8.50%, 10/25/19	7,650				15,021
Vivendi Environnement
5.875%, 6/27/08	250				352
					39,260
Germany (18.1%)
Bundesobligation
4.00%, 2/16/07	7,650				10,185
Deutsche Bundesrepublik
6.00%, 1/5/06	6,500				8,659
6.25%, 1/4/24	8,510				14,296
					33,140
Guernsey (0.1%)
ABB International Finance Ltd.
11.00%, 1/15/08	150				232
Ireland (2.6%)
Depfa ACS Bank
0.75%, 9/22/08	JPY			500,000	4,736
Italy (5.2%)
Republic of Italy
0.65%, 3/20/09	945,000				8,939
Republic of Italy BTPS
9.50%, 2/1/06	EUR			@—	$	@—
Telecom Italia Finance N.V.
7.25%, 4/24/12	370				575
					9,514
Japan (7.5%)
Development Bank of Japan
1.60%, 6/20/14	JPY			280,000	2,700
Government of Japan
1.10%, 9/20/12	646,000				6,088
Japan Bank for International Cooperation
0.35%, 3/19/08	520,000				4,872
					13,660
Luxembourg (0.3%)
Syngenta Luxembourg Finance II S.A.
5.50%, 7/10/06	EUR			290	390
Tyco International Group S.A.
6.125%, 4/4/07	90				124
					514
Multi-Country (7.8%)
Inter-American Development Bank
1.90%, 7/8/09	JPY			545,000	5,421
International Bank for Reconstruction & Development
2.00%, 2/18/08	545,000				5,346
7.125%, 4/12/05	DEM			2,664	3,458
					14,225
Netherlands (1.1%)
Allianz Finance BV
6.125%, 5/31/22	EUR			(h)220	326
Deutsche Telekom International Finance BV
8.125%, 5/29/12	400				657
Koninklijke Ahold N.V.
5.875%, 5/9/08	110				151
Munich Re Finance BV
6.75%, 6/21/23	(h)300				451
RWE Finance BV
5.50%, 10/26/07	23				32
VNU N.V.
6.625%, 5/30/07	250				349
					1,966
Russia (0.1%)
Russian Federation
5.00%, 3/31/30	$	(g)145			150
Spain (0.0%)
Government of Spain
5.15%, 7/30/09	EUR			@—	@—
Sweden (0.1%)
Telefonaktiebolaget LM Ericsson
6.75%, 11/28/10	170				245
United Kingdom (6.5%)
Aviva plc
5.25%, 10/2/23	(h)320				451

The accompanying notes are an integral part of the financial statements.

37

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

International Fixed Income Portfolio

	Face
	Amount			Value
	(000)			(000)
United Kingdom (cont’d)
BAT International Finance plc
4.875%, 2/25/09	EUR		355	$	483
Royal Bank of Scotland plc
4.50%, 1/28/16	(h)370			504
United Kingdom Treasury Bond
5.00%, 9/7/14	GBP		5,200	10,068
WPP Group plc
6.00%, 6/18/08	EUR		300	423
				11,929
United States (12.0%)
Corning, Inc.
6.25%, 2/18/10	145			208
Federal National Mortgage Association
1.75%, 3/26/08	JPY		920,000	8,960
Ford Motor Credit Co.
5.75%, 1/12/09	EUR		370	480
General Electric Capital Corp.
0.75%, 2/5/09	JPY		475,000	4,477
General Motors Acceptance Corp.
6.00%, 7/3/08	EUR		240	300
General Motors Corp.
8.375%, 7/5/33	500			565
Goldman Sachs Group, Inc.
4.25%, 8/4/10	365			492
Household Finance Corp.
5.125%, 6/24/09	300			418
KFW International Finance
2.05%, 9/21/09	JPY		540,000	5,398
Owens-Brockway
6.75%, 12/1/14	EUR		(e)190	257
Pemex Project Funding Master Trust
6.625%, 4/4/10	175			249
Xerox Corp.
9.75%, 1/15/09	90			139
				21,943
Total Fixed Income Securities (Cost $152,798)				170,495
Short-Term Investments (7.2%)
Discount Notes (4.6%)
Federal National Mortgage Association
2.96%, 5/18/05	$	8,500		8,470
Repurchase Agreement (2.5%)
J.P. Morgan Securities, Inc., 2.78%,
dated 3/31/05, due 4/1/05,
repurchase price $4,667	(f)4,667			4,667
U.S. Treasury Securities (0.1%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)100			100
Total Short-Term Investments (Cost $13,237)				13,237
Total Investments (100.3%) (Cost $166,035)				183,732
Liabilities in Excess of Other Assets (-0.3%)				(596		)
Net Assets (100%)				$	183,136

(e)	144A Security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(g)	Step Bond — Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2005. Maturity date disclosed is the ultimate maturity date.
(h)	Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
@	Value/Face Amount is less than $500.
DEM	German Mark
DKK	Danish Krone
EUR	Euro
GBP	British Pound
JPY	Japanese Yen

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
	Number				Unrealized
	of			Expiration	Appreciation
	Contracts	Value		Date	(Depreciation)
		(000)			(000)
Long:
Euro Dollar Long Bond	73	$	11,222	Jun-05	$	123

The accompanying notes are an integral part of the financial statements.

38

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

International Fixed Income Portfolio

Foreign Currency Exchange Contract Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

Currency to Deliver		Value		Settlement Date	In Exchange For		Value		Net Unrealized Appreciation (Depreciation)
(000)		(000)			(000)		(000)		(000)
CAD	600	$	496	4/22/05	USD	488	$	488	$	(8	)
DKK	3,445	600		6/21/05	USD	620	620		20
DKK	15,500	2,702		6/21/05	USD	2,788	2,788		86
EUR	54	70		4/1/05	USD	70	70		@—
EUR	1,360	1,763		4/26/05	USD	1,775	1,775		12
EUR	3,870	5,018		4/26/05	USD	5,053	5,053		35
EUR	500	648		4/26/05	USD	653	653		5
EUR	1,175	1,524		4/26/05	USD	1,525	1,525		1
EUR	2,770	3,592		4/26/05	USD	3,589	3,589		(3		)
JPY	90,000	842		5/10/05	USD	870	870		28
JPY	244,000	2,283		5/10/05	USD	2,358	2,358		75
USD	680	680		5/23/05	AUD	870	669		(11		)
USD	4,447	4,447		4/22/05	CAD	5,470	4,524		77
USD	1,504	1,504		5/9/05	CHF	1,800	1,508		4
USD	4,468	4,468		4/4/05	EUR	3,451	4,472		4
USD	654	654		4/26/05	EUR	500	648		(6		)
USD	3,992	3,992		4/26/05	EUR	3,055	3,961		(31		)
USD	413	413		4/26/05	EUR	315	409		(4		)
USD	718	718		4/26/05	EUR	550	713		(5		)
USD	663	663		4/26/05	EUR	500	648		(15		)
USD	1,935	1,935		4/26/05	EUR	1,500	1,945		10
USD	1,171	1,171		4/5/05	JPY	125,542	1,171		@—
USD	3,301	3,301		5/10/05	JPY	346,000	3,237		(64		)
USD	2,409	2,409		5/10/05	JPY	250,000	2,339		(70		)
USD	870	870		5/10/05	JPY	90,000	842		(28		)
USD	7,223	7,223		5/10/05	JPY	757,000	7,081		(142		)
USD	1,910	1,910		5/18/05	SEK	13,335	1,888		(22		)
		$	55,896				$	55,844	$	(52	)

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

SEK — Swedish Krona

USD — U.S. Dollar

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by country, as a percentage of total investments.

*Countries which do not appear in the top 10 countries, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

39

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (94.8%)
Agency Adjustable Rate Mortgages (0.9%)
Federal Home Loan Mortgage Corporation,
Adjustable Rate Mortgages:
3.61%, 7/1/34	$	2,695	$	2,658
Federal National Mortgage Association,
Adjustable Rate Mortgages:
3.702%, 7/1/34	2,976		2,959
3.793%, 6/1/34	1,872		1,862
Government National Mortgage Association,
Adjustable Rate Mortgages:
3.375%, 1/20/25-1/20/28	1,004		1,021
3.75%, 7/20/27-9/20/27	246		250
4.125%, 12/20/25-12/20/27	268		273
			9,023
Agency Fixed Rate Mortgages (2.6%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
10.00%, 4/1/10-10/1/20	230		255
11.00%, 5/1/20	11		12
11.50%, 5/1/13-1/1/18	50		55
Gold Pools:
6.50%, 9/1/19-11/1/29	476		496
7.00%, 3/1/32	6		7
7.50%, 11/1/19-11/1/32	3,855		4,133
8.50%, 8/1/28-10/1/30	137		150
10.00%, 10/1/21	20		22
10.50%, 1/1/19-10/1/20	85		91
11.50%, 8/1/10	16		18
12.00%, 6/1/15-9/1/15	56		63
Federal National Mortgage Association,
Conventional Pools:
6.50%, 3/1/18-4/1/33	5,936		6,177
7.00%, 5/1/26-12/1/33	3,052		3,219
7.50%, 9/1/29-7/1/32	7,882		8,432
8.00%, 12/1/29-8/1/31	434		468
9.50%, 11/1/20	58		64
10.00%, 12/1/15-9/1/16	135		149
10.50%, 12/1/16	34		37
11.00%, 7/1/20	26		28
11.50%, 11/1/19	47		53
12.00%, 8/1/20	6		6
12.50%, 2/1/15	29		32
April TBA
7.50%, 4/1/35	(i)900		962
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/16-1/15/17	189		206
9.50%, 12/15/17-12/15/21	372		411
10.00%, 11/15/09-7/15/22	742		838
10.50%, 11/15/18-8/15/21	76		88
11.00%, 1/15/10-1/15/21	419		465
11.50%, 2/15/13-11/15/19	262		292
			27,229
Asset Backed Corporates (30.4%)
American Express Credit Account Master Trust
1.69%, 1/15/09	$	4,210	$	4,104
5.53%, 10/15/08	2,850		2,898
AmeriCredit Automobile Receivables Trust
2.07%, 8/6/08	3,450		3,385
Asset Backed Funding Certificates
2.98%, 6/25/22	(h)4,454		4,457
3.04%, 6/25/25	(h)4,409		4,412
Bank One Issuance Trust
2.94%, 6/16/08	4,050		4,040
3.86%, 6/15/11	4,200		4,126
BMW Vehicle Owner Trust
2.67%, 3/25/08	6,150		6,082
4.04%, 2/25/09	9,900		9,893
4.46%, 5/25/07	2,654		2,667
Capital Auto Receivables Asset Trust
2.64%, 3/17/08	2,363		2,347
4.50%, 10/15/07	1,347		1,352
Chase Credit Card Master Trust
5.50%, 11/17/08	5,360		5,471
Chase Manhattan Auto Owner Trust
2.83%, 9/15/10	6,700		6,489
2.94%, 6/15/10	5,100		4,987
4.21%, 1/15/09	2,211		2,222
4.24%, 9/15/08	2,858		2,872
CIT Equipment Collateral
3.50%, 9/20/08	4,500		4,430
Citibank Credit Card Issuance Trust
2.70%, 1/15/08	3,700		3,675
4.40%, 5/15/07	3,800		3,808
6.90%, 10/15/07	4,910		5,001
7.45%, 9/15/07	1,265		1,289
CNH Equipment Trust
4.02%, 4/15/09	4,000		3,985
Connecticut RRB Special Purpose Trust CL&P
5.36%, 3/30/07	180		180
Daimler Chrysler Auto Trust
2.58%, 4/8/09	6,000		5,823
2.86%, 3/9/09	5,150		5,042
3.09%, 1/8/08	4,550		4,520
3.49%, 12/8/08	7,000		6,935
4.49%, 10/6/08	3,633		3,653
Fifth Third Auto Trust
3.19%, 2/20/08	2,350		2,325
Fleet Credit Card Master Trust II
2.75%, 4/15/08	4,700		4,684
Ford Credit Auto Owner Trust
3.13%, 11/15/06	4,859		4,857
3.48%, 11/15/08	7,500		7,434
3.79%, 9/15/06	4,096		4,105
4.75%, 8/15/06	673		676
GSAMP Trust
2.97%, 2/25/35	(h)3,310		3,313

The accompanying notes are an integral part of the financial statements.

40

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Harley-Davidson Motorcycle Trust
2.63%, 11/15/10	$	3,050	$	2,999
2.76%, 5/15/11	4,100		4,040
3.09%, 6/15/10	2,717		2,700
3.56%, 2/15/12	4,000		3,949
3.76%, 12/17/12	5,250		5,182
4.50%, 1/15/10	3,166		3,188
Honda Auto Receivables Owner Trust
2.40%, 2/21/08	7,250		7,138
2.48%, 7/18/08	3,850		3,803
2.70%, 3/17/08	2,000		1,981
2.77%, 11/21/08	4,600		4,493
3.53%, 10/21/08	5,400		5,350
4.49%, 9/17/07	3,001		3,015
Hyundai Auto Receivables Trust
2.33%, 11/15/07	1,400		1,387
John Deere Owner Trust
2.32%, 12/17/07	1,725		1,694
Massachusetts RRB Special Purpose Trust
3.78%, 9/15/10	5,450		5,391
MBNA Credit Card Master Note Trust
2.70%, 9/15/09	6,000		5,834
3.90%, 11/15/07	1,825		1,829
Merrill Lynch Mortgage Investors, Inc.
2.95%, 9/25/35	(h)4,945		4,949
3.05%, 8/25/35	(h)5,176		5,180
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)5,165		5,168
Nissan Auto Receivables Owner Trust
2.76%, 7/15/09	4,500		4,355
3.54%, 10/15/08	4,475		4,436
4.60%, 9/17/07	1,706		1,714
Nordstrom Private Label Credit Card Master Note Trust
4.82%, 4/15/10	(e)1,200		1,213
Onyx Acceptance Grantor Trust
3.69%, 5/15/09	3,300		3,272
PG&E Energy Recovery Funding LLC
3.87%, 6/25/11	2,575		2,552
Residential Asset Mortgage Products, Inc.
2.96%, 1/25/35	(h)3,936		3,940
Residential Asset Securities Corp.
3.02%, 7/25/21	(h)4,312		4,316
Saxon Asset Securities Trust
2.96%, 5/25/35	(h)3,329		3,332
TXU Electric Delivery Transition Bond Co. LLC
3.52%, 11/15/11	5,796		5,704
USAA Auto Owner Trust
2.67%, 10/15/10	6,000		5,820
3.03%, 6/16/08	2,300		2,275
3.16%, 2/17/09	6,700		6,608
3.90%, 7/15/09	4,600		4,572
Volkswagen Auto Lease Trust
2.36%, 12/20/05	383		383
3.82%, 5/20/08	$	3,700	$	3,687
Wachovia Auto Owner Trust
2.91%, 4/20/09	4,700		4,626
3.19%, 6/20/08	6,850		6,795
Wells Fargo Home Equity Trust
3.02%, 2/25/18	(h)4,853		4,857
Whole Auto Loan Trust
2.58%, 3/15/10	6,900		6,752
William Street Funding Corp.
2.993%, 4/23/06	(e)(h)4,400		4,406
World Omni Auto Receivables Trust
3.29%, 11/12/08	4,400		4,354
3.54%, 6/12/09	3,400		3,364
			320,142
Collateralized Mortgage Obligations — Agency Collateral Series (0.4%)
Federal Home Loan Mortgage Corporation
5.50%, 2/15/12	3,303		3,330
6.00%, 10/15/27	718		718
			4,048
Federal Agency (15.1%)
Federal Home Loan Bank System
3.25%, 12/17/07	50,150		49,055
Federal Home Loan Mortgage Corporation
2.75%, 8/15/06	67,520		66,590
2.875%, 5/15/07	44,325		43,355
			159,000
Finance (12.1%)
ABN Amro Bank N.V.
2.834%, 5/11/07	(h)2,345		2,348
Allstate Financial Global Funding II
2.625%, 10/22/06	(e)1,380		1,350
Allstate Life Global Funding Trusts
4.50%, 5/29/09	690		688
American General Finance Corp.
4.625%, 5/15/09-9/1/10	1,085		1,078
5.875%, 7/14/06	1,810		1,851
AXA Financial, Inc.
6.50%, 4/1/08	460		487
Bank of America Corp.
3.375%, 2/17/09	2,595		2,491
3.875%, 1/15/08	860		849
4.75%, 10/15/06	2,245		2,269
5.25%, 2/1/07	525		535
Bank of New York Co., Inc. (The)
5.20%, 7/1/07	565		576
Bank One Corp.
6.00%, 2/17/09	664		695
Bank One N.A. Illinois
2.87%, 5/5/06	(h)1,000		1,001
5.50%, 3/26/07	1,805		1,853
BB&T Corp.
3.00%, 6/4/07	(h)4,580		4,586

The accompanying notes are an integral part of the financial statements.

41

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
CIT Group, Inc.
2.875%, 9/29/06	$	625	$	614
2.98%, 11/4/05	(h)1,700		1,702
3.65%, 11/23/07	405		397
6.50%, 2/7/06	1,890		1,932
7.375%, 4/2/07	680		719
Citicorp
6.375%, 11/15/08	1,000		1,065
6.75%, 8/15/05	650		658
Citigroup Global Markets Holdings, Inc.
3.11%, 12/12/06	(h)1,050		1,052
Citigroup, Inc.
5.50%, 8/9/06	1,115		1,136
5.75%, 5/10/06	1,520		1,549
Countrywide Home Loans, Inc.
3.25%, 5/21/08	1,980		1,897
EOP Operating LP
6.763%, 6/15/07	1,945		2,034
8.375%, 3/15/06	1,655		1,721
FleetBoston Financial Corp.
7.25%, 9/15/05	1,160		1,180
General Electric Capital Corp.
4.25%, 12/1/10	850		831
5.00%, 6/15/07	800		812
5.375%, 3/15/07	4,415		4,513
Genworth Financial, Inc.
3.16%, 6/15/07	(h)4,990		5,001
Goldman Sachs Group, Inc.
4.125%, 1/15/08	2,850		2,828
Hartford Financial Services Group, Inc.
2.375%, 6/1/06	1,035		1,012
7.75%, 6/15/05	2,418		2,438
HSBC Finance Corp.
4.125%, 12/15/08	760		747
5.875%, 2/1/09	1,010		1,052
6.375%, 10/15/11	285		308
6.40%, 6/17/08	1,590		1,678
6.75%, 5/15/11	630		691
Huntington National Bank
2.75%, 10/16/06	695		682
ING Security Life Institutional Funding Corp.
2.70%, 2/15/07	(e)1,490		1,448
International Lease Finance Corp.
2.95%, 5/23/06	355		349
3.75%, 8/1/07	535		528
John Deere Capital Corp.
4.50%, 8/22/07	2,445		2,455
John Hancock Financial Services, Inc.
5.625%, 12/1/08	2,475		2,567
John Hancock Global Funding II
5.625%, 6/27/06	(e)1,390		1,415
7.90%, 7/2/10	(e)625		714
JPMorgan Chase & Co.
5.25%, 5/30/07	$	780	$	796
6.00%, 2/15/09	305		320
7.00%, 11/15/09	315		343
Key Bank N.A.
7.125%, 8/15/06	1,535		1,595
Lehman Brothers Holdings, Inc.
8.25%, 6/15/07	4,105		4,448
Mantis Reef Ltd.
4.692%, 11/14/08	(e)2,020		1,998
Marsh & McLennan Cos., Inc.
5.375%, 3/15/07	2,845		2,891
MBNA Corp.
5.625%, 11/30/07	1,040		1,067
6.125%, 3/1/13	1,795		1,897
Monumental Global Funding II
3.85%, 3/3/08	(e)1,126		1,114
6.05%, 1/19/06	(e)3,215		3,270
Nationwide Building Society
2.625%, 1/30/07	(e)3,205		3,123
Pricoa Global Funding I
3.90%, 12/15/08	(e)1,545		1,515
Prudential Funding LLC
6.60%, 5/15/08	(e)845		897
Prudential Insurance Co. of America
6.375%, 7/23/06	(e)2,185		2,257
SLM Corp.
4.00%, 1/15/10	2,930		2,845
Sovereign Bank
4.00%, 2/1/08	235		232
Suntrust Bank
7.25%, 9/15/06	2,670		2,788
TIAA Global Markets, Inc.
3.875%, 1/22/08	(e)7,885		7,789
5.00%, 3/1/07	(e)500		507
U.S. Bancorp
5.10%, 7/15/07	980		1,000
U.S. Bank N.A.
2.85%, 11/15/06	915		898
3.70%, 8/1/07	350		346
Wachovia Corp.
3.625%, 2/17/09	960		930
4.95%, 11/1/06	1,695		1,717
6.875%, 9/15/05	1,825		1,852
Washington Mutual, Inc.
7.50%, 8/15/06	425		443
8.25%, 4/1/10	1,648		1,871
Wells Fargo & Co.
3.03%, 3/3/06	(h)1,360		1,362
World Financial Properties
6.91%, 9/1/13	(e)1,882		2,020
6.95%, 9/1/13	(e)966		1,036
			127,549

The accompanying notes are an integral part of the financial statements.

42

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (9.7%)
Aetna, Inc.
7.375%, 3/1/06	$	1,540	$	1,585
7.875%, 3/1/11	1,155		1,328
Altria Group, Inc.
5.625%, 11/4/08	1,370		1,411
7.65%, 7/1/08	510		554
Amerada Hess Corp.
6.65%, 8/15/11	1,455		1,560
American Honda Finance Corp.
3.85%, 11/6/08	(e)1,860		1,820
Ashland, Inc.
7.83%, 8/15/05	895		908
Caterpillar Financial Services Corp.
3.625%, 11/15/07	2,240		2,204
Cendant Corp.
6.25%, 1/15/08	1,295		1,349
Centex Corp.
9.75%, 6/15/05	295		298
Clear Channel Communications, Inc.
7.65%, 9/15/10	1,700		1,863
Clorox Co.
3.125%, 12/14/07	(e)(h)2,145		2,149
Comcast Cable Communications
6.875%, 6/15/09	700		752
8.375%, 5/1/07	275		296
Comcast Corp.
5.85%, 1/15/10	900		932
ConAgra Foods, Inc.
6.00%, 9/15/06	1,858		1,905
Conoco Funding Co.
5.45%, 10/15/06	2,315		2,365
Consumers Energy Co.
4.80%, 2/17/09	920		922
Cooper Industries, Inc.
5.25%, 7/1/07	1,080		1,100
COX Communications, Inc.
3.55%, 12/14/07	(e)(h)904		910
7.75%, 8/15/06	500		522
CSX Corp.
2.75%, 2/15/06	620		613
9.00%, 8/15/06	630		669
CVS Corp.
5.625%, 3/15/06	585		594
DaimlerChrysler N.A. Holding Corp.
4.05%, 6/4/08	770		748
6.40%, 5/15/06	1,910		1,951
8.00%, 6/15/10	85		95
Deutsche Telekom International Finance BV
8.50%, 6/15/10	1,355		1,560
Federated Department Stores, Inc.
6.30%, 4/1/09	790		827
6.625%, 9/1/08	1,290		1,360
FedEx Corp.
2.65%, 4/1/07	$	385	$	373
6.875%, 2/15/06	525		538
Ford Motor Credit Co.
6.875%, 2/1/06	2,790		2,828
General Mills, Inc.
3.875%, 11/30/07	360		355
General Motors Acceptance Corp.
4.50%, 7/15/06	3,330		3,249
6.125%, 8/28/07	380		371
6.75%, 1/15/06	60		60
GTE Corp.
6.36%, 4/15/06	2,207		2,257
Honeywell International, Inc.
5.125%, 11/1/06	2,860		2,906
6.875%, 10/3/05	1,020		1,036
Hyatt Equities LLC
6.875%, 6/15/07	(e)1,115		1,152
ICI Wilmington, Inc.
4.375%, 12/1/08	740		731
International Paper Co.
3.80%, 4/1/08	990		971
John Deere Capital Corp.
3.375%, 10/1/07	1,555		1,520
Johnson Controls, Inc.
5.00%, 11/15/06	915		927
Kerr-McGee Corp.
5.875%, 9/15/06	635		646
6.625%, 10/15/07	285		295
Kraft Foods, Inc.
4.00%, 10/1/08	910		893
5.25%, 6/1/07	1,940		1,976
Kroger Co. (The)
7.625%, 9/15/06	3,480		3,637
Lenfest Communications, Inc.
7.625%, 2/15/08	185		198
Lowe’s Cos., Inc.
7.50%, 12/15/05	1,015		1,042
Marriott International, Inc.
8.125%, 4/1/05	2,090		2,090
Masco Corp.
4.625%, 8/15/07	485		487
6.75%, 3/15/06	790		809
May Department Stores Co. (The)
3.95%, 7/15/07	1,800		1,776
6.875%, 11/1/05	960		977
McDonnell Douglas Corp.
6.875%, 11/1/06	675		702
MeadWestvaco Corp.
2.75%, 12/1/05	680		676
Miller Brewing Co.
4.25%, 8/15/08	(e)1,495		1,481
Mohawk Industries, Inc.
6.50%, 4/15/07	855		892

The accompanying notes are an integral part of the financial statements.

43

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Norfolk Southern Corp.
7.35%, 5/15/07	$	405	$	429
Northrop Grumman Corp.
4.079%, 11/16/06	940		939
Panhandle Eastern Pipe Line Co.
2.75%, 3/15/07	460		446
Raytheon Co.
6.75%, 8/15/07	353		372
8.30%, 3/1/10	520		598
Safeway, Inc.
6.15%, 3/1/06	2,607		2,654
Sappi Papier Holding AG
6.75%, 6/15/12	(e)770		836
Sealed Air Corp.
6.95%, 5/15/09	(e)380		405
Southwest Airlines Co.
5.496%, 11/1/06	820		835
Target Corp.
5.95%, 5/15/06	3,285		3,354
TCI Communications, Inc.
8.00%, 8/1/05	525		532
Telecom Italia Capital S.A.
4.00%, 11/15/08	640		624
4.00%, 1/15/10	(e)345		330
Textron Financial Corp.
4.125%, 3/3/08	950		944
Time Warner, Inc.
6.125%, 4/15/06	1,835		1,873
6.15%, 5/1/07	670		692
Union Pacific Corp.
3.625%, 6/1/10	480		453
6.79%, 11/9/07	2,575		2,726
UnitedHealth Group, Inc.
4.125%, 8/15/09	800		786
5.20%, 1/17/07	115		117
7.50%, 11/15/05	2,155		2,198
Verizon Global Funding Corp.
6.125%, 6/15/07	2,475		2,569
7.25%, 12/1/10	1,140		1,267
WellPoint Health Networks, Inc.
6.375%, 6/15/06	1,330		1,364
WellPoint, Inc.
4.875%, 8/1/05	1,720		1,725
Weyerhaeuser Co.
6.00%, 8/1/06	60		62
6.125%, 3/15/07	354		366
			102,497
Mortgages — Other (7.8%)
Bank of America Mortgage Securities
3.702%, 7/25/34	(h)1,683		1,666
4.416%, 1/25/35	(h)6,546		6,474
Citigroup Mortgage Loan Trust, Inc.
4.051%, 9/25/34	(h)3,410		3,370
4.86%, 8/25/34	$	(h)3,069	$	3,065
Countrywide Alternative Loan Trust
3.25%, 2/25/35-4/25/35	(h)10,415		10,379
3.35%, 5/25/35	(h)10,000		10,000
Countrywide Home Loan Mortgage
4.703%, 11/20/34	(h)3,662		3,600
Downey Savings & Loan Association Mortgage Loan Trust
3.10%, 3/19/45	(h)9,995		9,981
Federal Home Loan Mortgage Corporation
8.00%, 7/15/06	93		93
Federal National Mortgage Association
5.50%, 1/25/24	6,075		6,169
First Horizon Alternative Mortgage Securities
3.35%, 4/25/35	(h)9,918		9,921
First Horizon Asset Securities, Inc.
3.661%, 6/25/34	(h)988		969
5.191%, 10/25/34	(h)1,844		1,827
Merrill Lynch Mortgage Investors, Inc.
3.824%, 7/25/34	(h)2,089		2,079
Wells Fargo Mortgage Backed Securities Trust
3.391%, 7/25/34	(h)1,193		1,201
3.455%, 9/25/34	(h)4,813		4,785
4.599%, 12/25/34	(h)6,440		6,367
			81,946
Sovereign (0.6%)
Province of Quebec Canada
5.50%, 4/11/06	1,645		1,678
6.125%, 1/22/11	845		906
United Mexican States
8.375%, 1/14/11	2,385		2,720
8.625%, 3/12/08	1,265		1,395
			6,699
U.S. Treasury Securities (12.0%)
U.S. Treasury Notes
3.125%, 5/15/07	15,000		14,793
3.50%, 11/15/06	20,000		19,944
4.625%, 5/15/06	13,000		13,160
5.625%, 2/15/06	69,900		71,290
5.75%, 11/15/05	7,000		7,108
			126,295
Utilities (3.2%)
Appalachian Power Co.
3.60%, 5/15/08	1,350		1,311
Carolina Power & Light Co.
6.80%, 8/15/07	2,750		2,896
CC Funding Trust I
6.90%, 2/16/07	980		1,024
Columbus Southern Power Co.
4.40%, 12/1/10	1,460		1,424
Consolidated Natural Gas Co.
5.375%, 11/1/06	3,840		3,912
DTE Energy Co.
6.45%, 6/1/06	2,660		2,732

The accompanying notes are an integral part of the financial statements.

44

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Duke Energy Corp.
3.75%, 3/5/08	$	855	$	839
Entergy Gulf States, Inc.
3.31%, 12/1/09	(h)1,015		1,020
3.60%, 6/1/08	445		432
Exelon Corp.
6.75%, 5/1/11	860		937
FPL Group Capital, Inc.
3.25%, 4/11/06	2,905		2,888
NiSource Finance Corp.
3.43%, 11/23/09	(h)975		982
Pacific Gas & Electric Co.
3.60%, 3/1/09	1,670		1,609
Peco Energy Co.
3.50%, 5/1/08	1,630		1,591
Pinnacle West Capital Corp.
6.40%, 4/1/06	2,910		2,951
Public Service Electric & Gas Co.
3.178%, 6/23/06	(h)3,470		3,470
Ras Laffan Liquefied Natural Gas Co., Ltd.
7.628%, 9/15/06	(e)149		154
Sempra Energy
4.75%, 5/15/09	2,460		2,448
Southern California Edison Co.
5.00%, 1/15/14	165		164
Wisconsin Electric Power Co.
3.50%, 12/1/07	835		818
			33,602
Total Fixed Income Securities (Cost $1,009,144)			998,030
	Shares
Preferred Stock (0.1%)
Mortgages — Other (0.1%)
Home Ownership Funding Corp.
13.331% (Cost $608)	(e)1,800		639
	Face
	Amount
	(000)
Short-Term Investments (4.5%)
Discount Notes (1.4%)
Federal National Mortgage Association
2.80%, 5/2/05	$	15,000	14,964
Repurchase Agreement (3.0%)
J.P. Morgan Securities, Inc., 2.78%,
dated 3/31/05, due 4/1/05,
repurchase price $32,145	(f)32,143		32,143
U.S. Treasury Securities (0.1%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)600		595
Total Short-Term Investments (Cost $47,703)			47,702

	Value
	(000)
Total Investments (99.4%) (Cost $1,057,455)	$	1,046,371
Other Assets in Excess of Liabilities (0.6%)	6,757
Net Assets (100%)	$	1,053,128

(e)	144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.
(h)	Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.
(i)	Security is subject to delayed delivery.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
TBA	To be announced

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts	Value		Expiration Date	Net Unrealized Appreciation (Depreciation)
		(000)			(000)
Long:
U.S. Treasury 2 yr. Note	745	$	154,134	Jun-05	$	(308	)
Short:
U.S. Treasury 10 yr. Note	156	17,045		Jun-05	292
U.S. Treasury 5 yr. Note	331	35,448		Jun-05	348
					$	332

The accompanying notes are an integral part of the financial statements.

45

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the Portfolio’s holdings by industry and/or investment type, as a percentage of total investments.

*Industries and/or investment types which do not appear in the top 10 industries and/or investment types, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

46

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (109.5%)
Municipal Bonds (96.4%)
Abilene Independent School District General Obligation Bonds (PSFG)
5.00%, 2/15/14	$	1,875	$	2,015
Abilene, TX Health Facilities Development Corp. SAVRS Revenue Bonds (MBIA)
2.35%, 9/19/25	(h)4,000		4,000
Allegheny County, PA Hospital Development Authority Revenue Bonds
9.25%, 11/15/15	1,300		1,526
Allegheny County, PA Industrial Development Authority Revenue Bonds
4.75%, 12/1/32	525		565
Arlington Texas Independent School District General Obligation Bonds (PSFG)
5.00%, 2/15/14	6,150		6,641
Austin, TX Convention Enterprises, Inc., Revenue Bonds
6.70%, 1/1/28	400		426
Austin, TX Water & Wastewater System Revenue Bonds (MBIA)
5.25%, 11/15/13	4,100		4,473
Badger TOB Asset Securitization Corp., WI, Revenue Bonds
6.125%, 6/1/27	1,260		1,279
Berks County, PA, General Obligation Bonds (FGIC)
Zero Coupon, 5/15/19-11/15/20	2,250		1,109
Brazos River Authority, TX Pollution Collateral Revenue Bonds
5.40%, 10/1/29	(h)325		345
Brunswick County, NC, General Obligation Bonds (FGIC)
5.00%, 5/1/17	1,700		1,805
Bucks County, PA Water & Sewer Authority Special Obligation Bonds
5.50%, 2/1/08	30		31
Butler & Sedgwick Counties, KS Unified School District General Obligation Bonds (FSA)
5.85%, 9/1/17	1,375		1,523
California State Department of Water Reserve Power Supply Revenue Bonds SAVRS (XLCA)
1.84%, 5/1/22	(h)3,000		3,000
California State Department of Water Resources Power Supply Revenue Bonds (MBIA)
5.25%, 5/1/12	2,200		2,423
California State Department of Water Resources Power Supply Revenue Bonds (XLCA)
2.45%, 5/1/22	(h)4,000		4,000
California State General Obligation Bonds
5.25%, 2/1/14	1,375		1,494
California State Public Works Board Revenue Bonds
5.25%, 6/1/13	1,150		1,250
5.50%, 6/1/15	$	1,275	$	1,402
Camden, AL Industrial Development Board Revenue Bonds
6.125%, 12/1/24	625		685
Carbon County, PA Industrial Development Authority Revenue Bonds
6.65%, 5/1/10	265		286
Carrollton, TX General Obligation Bonds (FSA)
5.125%, 8/15/16	1,470		1,563
Center Township, PA Sewer Authority Revenue Bonds (MBIA)
Zero Coupon, 4/15/17	615		357
Central Michigan University Revenue Bonds (FGIC)
2.00%, 10/1/15	(h)5,000		5,000
Chattanooga-Hamilton County, TN Hospital Authority Revenue Bonds, Erlanger Health Systems SAVRS (FSA)
2.35%, 10/1/25	(h)2,350		2,350
Chelsea, MA Lease Revenue Bonds (FSA)
2.45%, 6/6/23	(h)4,000		4,000
Chelsea, MA Lease Revenue Bonds SAVRS (FSA)
2.65%, 6/13/23	(h)3,000		3,000
Cherokee County, GA School Systems, General Obligation Bonds (MBIA)
5.00%, 8/1/13	1,000		1,083
Chicago, IL Board Of Education General Obligation Bonds (XLCA)
2.25%, 3/1/22	(h)3,875		3,875
Chicago, IL General Obligation Bonds (FGIC)
Zero Coupon, 1/1/19	4,000		2,050
Chicago, IL Park District General Obligation Bonds (FGIC)
4.70%, 1/1/20	3,000		3,045
Children’s Trust Fund Revenue Bonds
5.375%, 5/15/33	1,975		1,980
5.75%, 7/1/20	985		1,046
Clark County, WA School District General Obligation Bonds (FSA)
5.00%, 6/1/13	2,500		2,699
Clear Creek, TX Independent School District (PSFG)
4.50%, 2/15/20	2,000		2,000
5.65%, 2/15/19	1,000		1,102
Cleveland, OH Airport Special Revenue Bonds
5.50%, 12/1/08	750		705
Colorado E470 Public Highway Authority Revenue Bonds (MBIA)
Zero Coupon, 9/1/29	18,900		5,280
Colorado Educational & Cultural Facilities Authority Revenue Bonds (MBIA)
4.375%, 3/1/14	1,400		1,443
4.50%, 3/1/15	1,600		1,648
4.60%, 3/1/16	1,000		1,029
Colorado Health Facilities Authority Revenue Bonds
Zero Coupon, 7/15/20	1,000		481
Commerce, CA Energy Authority Revenue Bonds (MBIA)
5.25%, 7/1/09	1,355		1,462

The accompanying notes are an integral part of the financial statements.

47

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Cook County, IL School District General Obligation Bonds (MBIA)
Zero Coupon, 12/1/22	$	4,125	$	1,692
Corpus Christi, TX Business & Job Development Corp. (AMBAC)
4.875%, 9/1/20	2,745		2,818
5.00%, 9/1/21	1,590		1,663
Council Rock, PA School District General Obligation Bonds (MBIA)
5.00%, 11/15/19	1,285		1,346
Cranberry Township, PA General Obligation Bonds (FGIC)
4.80%, 12/1/18	1,310		1,348
Crandall, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 8/15/19-8/15/21	4,315		2,009
Crisp County Development Authority Revenue Bonds
5.55%, 2/1/15	200		211
Crowley TX Independent School District General Obligation Bonds (PSFG)
5.00%, 8/1/10-8/1/11	3,350		3,600
Crown Point, IN Multi-School Building Corp. Revenue Bonds (MBIA)
Zero Coupon, 1/15/24	5,200		1,989
Cypress-Fairbanks, TX Independent School District General Obligation Bonds (PSFG)
4.55%, 2/15/17	1,400		1,420
4.80%, 2/15/19	1,650		1,688
Dallas, TX Area Rapid Transit Sales Tax Revenue Bonds (FGIC)
4.80%, 12/1/20	2,800		2,861
4.90%, 12/1/21	1,800		1,847
Delaware County, PA Industrial Development Authority Revenue Bonds
6.50%, 1/1/08	200		211
Delta County, MI Economic Development Corp. Revenue Bonds
6.25%, 4/15/27	450		506
Denton, TX Utility System Revenue Bonds (AMBAC)
5.00%, 12/1/16	1,865		1,963
Detroit, MI City School District General Obligation Bonds (FGIC)
5.15%, 5/1/22	2,500		2,649
Director of the State of Nevada Department of Business & Industry Revenue Bonds
5.625%, 12/1/26	(h)1,100		1,191
Director of the State of Nevada Department of Business & Industry Revenue Bonds (AMBAC)
Zero Coupon, 1/1/21-1/1/23	3,845		1,659
District of Columbia, George Washington University Revenue Bonds (MBIA)
5.50%, 10/1/14	1,500		1,676
Dover, PA Area School District General Obligation Bonds (FGIC)
5.00%, 4/1/16	1,000		1,055
Eagle, IN — Union Middle School Building Revenue Bonds (AMBAC)
4.90%, 7/5/16	$	1,000	$	1,042
5.00%, 7/5/17	1,500		1,577
Eanes, TX Independent School District General Obligation Bonds (PSFG)
4.80%, 8/1/19	1,365		1,400
4.875%, 8/1/20	1,525		1,566
East Porter County, IN School Building Corp. Revenue Bonds (MBIA)
4.70%, 7/15/12	1,025		1,062
Edgewood, TX Independent School District (PSFG)
4.75%, 8/15/16	1,310		1,350
4.85%, 8/15/17	880		907
Edinburg, TX Consolidated Independent School District General Obligation Bonds (PSFG)
4.55%, 2/15/17	2,465		2,499
Elizabeth Forward, PA School District (MBIA)
Zero Coupon, 9/1/11	1,250		970
Essex County, NJ Utility Authority Revenue Bonds (FSA)
4.80%, 4/1/14	1,005		1,037
Everett, WA Water & Sewer Revenue Bonds (MBIA)
5.00%, 7/1/13-7/1/14	3,340		3,584
Fort Wayne, IN Hospital Authority Hospital Revenue Bonds (MBIA)
4.70%, 11/15/11	1,100		1,150
Frisco, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 8/15/20-8/15/22	6,260		2,786
Geneva, IL Industrial Development Revenue Bonds (FSA)
4.80%, 5/1/19	1,705		1,749
4.90%, 5/1/20	700		721
Georgetown County, SC Pollution Control Facility Revenue Bonds
5.125%, 2/1/12	725		763
Georgia State Housing & Financing Authority Revenue Bonds (FHA)
5.875%, 12/1/19	5		5
Gilliam County, OR Solid Waste Disposal Revenue Bonds
4.875%, 7/1/38	1,400		1,426
Girard Area, PA School District General Obligation Bonds (FGIC)
Zero Coupon, 10/1/18-10/1/19	950		500
Grand Prairie, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 2/15/14	2,240		1,515
Grapevine, TX Certificates of Obligation General Obligation Bonds (FGIC)
5.75%, 8/15/17	1,000		1,096
Hawaii State Certificate of Participation General Obligation Bonds (AMBAC)
4.80%, 5/1/12	1,275		1,329
Hillsborough County, FL, Industrial Development Authority Pollution Control Revenue Bonds
4.00%, 5/15/18	(h)1,625		1,636

The accompanying notes are an integral part of the financial statements.

48

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Houston, TX Water & Sewer System Revenue Bonds (FSA)
Zero Coupon, 12/1/25	$	12,350	$	4,368
Houston, TX General Obligation Bonds (MBIA)
5.00%, 3/1/12	3,400		3,658
Houston, TX Revenue Bonds (MBIA)
5.25%, 5/15/11	2,000		2,177
Illinois Development Finance Authority Revenue Bonds (FGIC)
Zero Coupon, 12/1/09	2,000		1,695
Illinois Development Finance Authority, Solid Waste Disposal Revenue Bonds
5.85%, 2/1/07	110		114
Illinois Educational Facilities Authority SAVRS Revenue Bonds (MBIA)
1.95%, 4/1/28	(h)5,600		5,600
Illinois Health Facilities Authority Revenue Bonds (MBIA)
5.00%, 11/15/12	1,000		1,052
Illinois Health Facilities Authority Revenue Bonds SAVRS (AMBAC)
1.98%, 9/16/24	(h)5,950		5,950
Indiana Port Commission Revenue Bonds
4.10%, 5/1/12	3,450		3,445
Indiana State University Revenue Bonds (AMBAC)
5.25%, 11/15/14	1,000		1,098
Indiana State University Revenue Bonds (FGIC)
5.20%, 10/1/12	1,640		1,757
Indiana Transportation Finance Authority Highway Revenue Bonds (AMBAC)
Zero Coupon, 12/1/16	1,695		986
Intermountain Power Agency, UT Power Supply Revenue Bonds
Zero Coupon, 7/1/17	1,750		963
Irving, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 2/15/13	1,945		1,387
Kane & De Kalb Counties, IL Community Unit School District General Obligation Bonds (AMBAC)
Zero Coupon, 12/1/09	725		615
Kent State University, OH Revenue Bonds SAVRS (MBIA)
2.65%, 5/1/32	(h)4,000		4,000
King County, WA General Obligation Bonds (MBIA)
5.00%, 12/1/19	1,075		1,124
Lake County, IL Community Consolidated School District General Obligation Bonds (FGIC)
Zero Coupon, 12/1/19-12/1/21	12,775		5,900
Lakeview, MI Public School District General Obligation Bonds
5.00%, 5/1/16	1,060		1,117
Lancaster, TX Independent School District General Obligation Bonds (FSA)
Zero Coupon, 2/15/09	1,795		1,568
Leander, TX Independent School District General Obligation Bonds (PSFG)
4.85%, 8/15/20	1,160		1,188
Long Island, NY Power Authority Electric System Revenue Bonds (FSA)
Zero Coupon, 6/1/16	$	3,700	$	2,291
Louisiana Public Facilities Authority (Our Lady Of Lourdes) Revenue Bonds (MBIA)
2.65%, 7/18/16	(h)4,000		4,000
Madison & Jersey Counties, IL Unit School District General Obligation Bonds (FSA)
Zero Coupon, 12/1/20	2,900		1,340
Maricopa County Arizona Pollution Control
2.90%, 6/1/35	1,600		1,555
4.00%, 1/1/38	(h)350		350
Maryland State Economic Development Corp. Revenue Bonds
7.50%, 12/1/14	350		369
Massachusetts State College Building Authority Project Revenue Bonds (XLCA)
5.375%, 5/1/15	1,635		1,815
Massachusetts State Development Financing Agency Resource Recovery Revenue Bonds
6.90%, 12/1/29	(h)250		276
Massachusetts State Development Financing Agency (Greater Boston YMCA) Revenue Bonds (FGIC)
1.98%, 10/1/33	(h)3,600		3,600
Massachusetts State Health & Educational Facilities Authority Revenue Bonds (AMBAC)
4.80%, 7/1/12	1,665		1,731
Massachusetts State Health & Educational Facilities Authority Revenue Bonds (MBIA)
2.00%, 10/1/22	(h)5,950		5,950
Massachusetts State Water Reserve Authority Revenue Bonds, SAVRS (AMBAC)
1.96%, 4/1/29	(h)3,950		3,950
Maury County, TN Industrial Development Board Solid Waste Disposal Revenue Bonds
6.30%, 8/1/18	1,075		1,152
McKinney, TX Independent School District General Obligation Bonds (PSFG)
4.75%, 2/15/20	1,155		1,176
Memphis-Shelby County, TN Airport Authority Special Facilities Revenue Bonds, Federal Express Corp.
5.00%, 9/1/09	850		909
Metropolitan Pier & Exposition Authority, IL Dedicated State Tax Revenue Bonds (MBIA)
Zero Coupon, 6/15/20-12/15/23	5,175		2,336
Michigan City, IN Area-Wide School Building Corp. Revenue Bonds (FGIC)
Zero Coupon, 1/15/17-1/15/20	6,750		3,602
Michigan State Building Authority Revenue Bonds (MBIA)
5.25%, 10/1/10-10/1/11	3,000		3,276
Midland, TX Independent School District General Obligation Bonds (FGIC)
5.95%, 3/1/18	1,225		1,348

The accompanying notes are an integral part of the financial statements.

49

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Midland, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 8/15/06	$	750	$	722
Milwaukee, WI Sewer Revenue Bonds (AMBAC)
4.875%, 6/1/19	2,070		2,131
5.00%, 6/1/20	1,170		1,222
Montana State Health Facilities Authority Revenue Bonds (AMBAC)
2.00%, 2/15/17	(h)3,150		3,150
Montour, PA School District General Obligation Bonds (MBIA)
Zero Coupon, 1/1/13	300		216
Morton Grove, IL General Obligation Bonds (FGIC)
4.50%, 12/1/13	1,480		1,508
Nassau County, NY Improvement Bonds General Obligation Bonds (FSA)
6.00%, 3/1/17	1,275		1,421
Nevada Housing Division Revenue Bonds (FHA)
5.30%, 4/1/28	170		172
New Hampshire Health & Education Facilities Authority Revenue Bonds (XLCA)
2.65%, 7/1/35	(h)3,000		3,000
New Jersey Economic Development Authority Revenue Bonds
Zero Coupon, 4/1/12	625		474
New Orleans, LA Audubon Commission General Obligation Bonds (FSA)
5.00%, 10/1/13	1,695		1,834
New York City, NY Industrial Development Agency Revenue Bonds (FSA)
6.00%, 11/1/15	1,715		1,774
New York State Dormitory Authority Revenue Bonds (FSA)
5.10%, 2/15/11	2,075		2,201
Noblesville, IN High School Building Corp. Revenue Bonds (AMBAC)
Zero Coupon, 2/15/19	1,850		940
North Carolina Municipal Power Agency, Electric Revenue Bonds
6.625%, 1/1/10	850		958
North Harris, TX Montgomery Community College District General Obligation Bonds (FGIC)
4.90%, 2/15/21	1,825		1,869
North Side, IN High School Building Corp. Revenue Bonds (FSA)
5.25%, 7/15/13	2,910		3,185
North Slope Borough, AK General Obligation Bonds (MBIA)
Zero Coupon, 6/30/12	2,900		2,149
Northside, TX Independent School District General Obligation Bonds (PSFG)
4.90%, 8/1/21	1,850		1,891
Ohio State Solid Waste Revenue Bonds
4.25%, 4/1/33	(h)700		677
Okemos, MI Public School District General Obligation Bonds (MBIA)
Zero Coupon, 5/1/15	$	900	$	577
Orange County, FL Health Facilities Authority Revenue Bonds (MBIA)
2.45%, 10/15/26	(h)5,000		5,000
Orange County, FL Housing & Finance Authority Single Family Mortgage Revenue Bonds
5.10%, 9/1/27	30		30
Ouachita Parish, LA West Ouachita Parish School District Revenue Bonds (MBIA)
4.70%, 9/1/14	1,020		1,063
Pearland, TX Independent School District General Obligation Bonds (PSFG)
4.875%, 2/15/19	1,425		1,464
4.90%, 2/15/20	1,505		1,546
Penn Hills Municipality, PA General Obligation Bonds
Zero Coupon, 6/1/12-12/1/13	2,115		1,487
Pennsylvania Convention Center Authority Revenue Bonds (FGIC)
6.70%, 9/1/16	500		596
Pennsylvania Housing & Finance Authority Revenue Bonds
5.35%, 10/1/08	20		20
Pennsylvania State Financing Authority School Revenue Bonds, Aliquippa School District
Zero Coupon, 6/1/12	685		493
Pennsylvania State Public School Building Authority, Marple Newtown School District Project Revenue Bonds (MBIA)
4.60%, 3/1/15	1,065		1,093
4.70%, 3/1/16	715		734
Philadelphia, PA Authority For Industrial Development Revenue Bonds (AMBAC)
2.00%, 7/1/29	(h)4,000		4,000
Philadelphia, PA Authority For Industrial Development Special Facilities Revenue Bonds, Doubletree Hotel
6.50%, 10/1/27	(h)320		329
Philadelphia, PA Hospital Authority Revenue Bonds
10.875%, 7/1/08	70		71
Philadelphia, PA Hospitals & Higher Education Facilities Authority Revenue Bonds
6.15%, 7/1/05	50		50
Piedmont, SC Municipal Power Agency Revenue Bonds (AMBAC)
Zero Coupon, 1/1/31-1/1/32	22,300		5,509
Pittsburgh, PA Stadium Authority Lease Revenue Bonds
6.50%, 4/1/11	150		164
Port Authority, NY & NJ Special Obligation Revenue Bonds
7.00%, 10/1/07	300		316

The accompanying notes are an integral part of the financial statements.

50

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Richardson, TX Hotel Occupancy Certificates of Obligation General Obligation Bonds (FGIC)
5.75%, 2/15/17	$	1,405	$	1,528
Richland County, SC Revenue Bonds
6.10%, 4/1/23	725		773
Rio Grande City, TX Consolidated Independent School District General Obligation Bonds (PSFG)
4.45%, 8/15/20	1,245		1,239
Riverside, CA Electric Revenue Bonds (MBIA)
5.00%, 10/1/11-10/1/12	3,380		3,697
Robinson Township, PA Municipal Authority Revenue Bonds
6.90%, 5/15/18	100		114
Rockport, IN Pollution Control Revenue Bonds SAVRS
4.90%, 6/1/25	(h)455		468
Saginaw Valley State University, MI Revenue Bonds SAVRS (MBIA)
1.85%, 7/1/31	(h)4,500		4,500
Saginaw, MI Hospital Financing Authority Revenue Bonds (MBIA)
5.375%, 7/1/19	1,265		1,345
Sam Rayburn, TX Municipal Power Agency Revenue Bonds
6.00%, 10/1/21	650		694
San Antonio County, TX Parking System Revenue Bonds (AMBAC)
5.50%, 8/15/17	700		754
Sanger, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 2/15/19-2/15/22	4,265		1,974
Santa Ana, CA Unified School District General Obligation Bonds (FGIC)
Zero Coupon, 8/1/19-8/1/20	5,475		2,676
Savannah, GA Economic Development Authority Revenue Bonds
7.40%, 4/1/26	310		310
Scranton-Lackawanna, PA Health & Welfare Authority Revenue Bonds
6.625%, 7/1/09	70		75
Seattle, WA Refunding & Public Improvement General Obligation Bonds
4.60%, 12/1/21	2,500		2,521
Snohomish County Wash School District N General Obligation Bonds (FGIC)
5.00%, 12/1/16-12/1/17	8,100		8,824
Southeastern Area Schools, PA Revenue Bonds
Zero Coupon, 10/1/06	590		562
Spring, TX Independent School District General Obligation Bonds (PSFG)
5.00%, 8/15/19	1,760		1,833
Steel Valley, PA School District, Allegheny County General Obligation Bonds
Zero Coupon, 11/1/11-11/1/17	1,820		1,213
Stroudsburg, PA Area District School General Obligation Bonds (FSA)
4.90%, 4/1/20	$	1,110	$	1,145
Texas State Turnpike Authority Revenue Bonds (AMBAC)
Zero Coupon, 8/15/18	5,700		3,003
Thurston & Pierce Counties Community Schools, WA General Obligation Bonds (FSA)
3.95%, 12/1/14	1,735		1,722
Tobacco Settlement Authority of Washington, Asset Backed Revenue Bonds
6.50%, 6/1/26	970		1,010
Tobacco Settlement Financing Corp., LA, Asset Backed Revenue Bonds
5.50%, 5/15/30	1,350		1,318
Tobacco Settlement Financing Corp., NJ, Asset Backed Revenue Bonds
4.375%, 6/1/19	1,000		999
Tobacco Settlement Financing Corp., RI, Asset Backed Revenue Bonds
6.00%, 6/1/23	1,575		1,590
Toledo-Lucas County, OH Port Authority Revenue Bonds
6.45%, 12/15/21	900		1,014
Tomball, TX Independent School District General Obligation Bonds (PSFG)
4.75%, 2/15/15	1,205		1,246
University of Arkansas Revenue Bonds (FSA)
4.90%, 12/1/19	2,315		2,486
University of Massachusetts Building Authority Revenue Bonds (AMBAC)
5.25%, 11/1/11	2,100		2,300
University of North Texas Board of Regents Revenue Bonds (FGIC)
4.875%, 4/15/20	2,250		2,306
University of Southern Indiana, IN Revenue Bonds (AMBAC)
5.00%, 10/1/09	1,095		1,171
Upper Darby Township, PA General Obligation Bonds (AMBAC)
Zero Coupon, 7/15/11	525		410
Utah County, UT Environmental Improvement Revenue Bonds
5.05%, 11/1/17	170		184
Utah State Water Finance Agency Revenue Bonds (AMBAC)
4.625%, 10/1/20	2,500		2,524
Valparaiso, IN Middle Schools Building Corp. Revenue Bonds (MBIA)
4.50%, 7/15/18	1,370		1,380
4.60%, 7/15/19	1,630		1,647
Vancouver, WA Water & Sewer Revenue Bonds (MBIA)
4.60%, 6/1/13	1,000		1,021

The accompanying notes are an integral part of the financial statements.

51

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Vermont Educational & Health Buildings Funding Agency SAVRS Revenue Bonds (FGIC)
1.90%, 9/12/13	$	(h)1,550	$	1,550
Virginia State Peninsula Regional Jail Authority Revenue Bonds (MBIA)
5.00%, 10/1/12-10/1/13	2,705		2,907
Waco, TX Educational Finance Corp. Revenue Bonds SAVRS (XLCA)
2.00%, 2/1/32	(h)5,800		5,800
Wake County Industrial Facilities & Pollution Control Financing Authority, NC Revenue Bonds (AMBAC)
2.30%, 5/1/24	(h)3,700		3,700
Warren, MI Consolidated School District General Obligation Bonds
4.15%, 5/1/14	1,000		1,010
4.25%, 5/1/15	1,440		1,450
Washington State Health Care Facilities (Fred Hutchinson) Revenue Bonds SAVRS (AMBAC)
2.10%, 1/1/33	(h)5,550		5,550
Washington State Health Care Facilities Authority Revenue Bonds (AMBAC)
5.125%, 11/15/11	1,000		1,065
Washington State Health Care Facilities Authority Revenue Bonds (FSA)
4.70%, 10/1/11	1,075		1,116
Washington State Motor Vehicle Fuel Facilities General Obligation Bonds (AMBAC)
Zero Coupon, 6/1/14-6/1/16	8,160		5,196
Washington State Recreational Facilities General Obligation Bonds (FGIC)
Zero Coupon, 1/1/17	6,900		3,966
Washoe County, NV General Obligation Bonds (FSA)
Zero Coupon, 7/1/18	4,235		2,241
Wayne State University, MI Revenue Bonds SAVRS (AMBAC)
2.25%, 11/15/32	(h)5,550		5,550
West Ottawa, MI Public School District General Obligation Bonds
5.00%, 5/1/21	1,680		1,751
West Virginia University Revenue Bonds (AMBAC)
Zero Coupon, 4/1/22-4/1/24	2,000		810
2.65%, 11/15/32	(h)3,600		3,600
Winnebago County, IL School District General Obligation Bonds (FSA)
Zero Coupon, 1/1/14	3,600		2,443
Wisconsin Housing & Economic Development Authority Home Ownership Revenue Bonds
5.125%, 9/1/26	380		381
Wisconsin State Health & Educational Facilities Authority Revenue Bonds (AMBAC)
5.625%, 2/15/12	1,000		1,107
York County, PA Hospital Authority Revenue Bonds SAVRS (AMBAC)
2.65%, 7/1/21	$	(h)3,850	$	3,850
Ypsilanti, MI School District General Obligation Bonds (FGIC)
4.70%, 5/1/12	1,115		1,157
			421,148
Collateralized Mortgage Obligations — Agency Collateral Series (0.6%)
Federal Home Loan Mortgage Corporation
IO
6.50%, 3/15/33	1,057		206
IO PAC
6.00%, 4/15/32	2,687		353
Federal National Mortgage Association
Inv Fl IO
5.25%, 12/25/29	208		8
6.15%, 3/25/23	1,072		103
IO
6.00%, 5/25/33	(h)2,456		504
6.00%, 6/25/33	2,472		500
6.50%, 7/1/31-5/25/33	2,823		545
7.00%, 3/1/32-4/25/33	1,355		273
8.00%, 5/1/30-6/1/30	430		91
Government National Mortgage Association
Inv Fl IO
5.13%, 12/16/25	705		53
5.18%, 5/16/32	534		37
5.73%, 4/16/19-12/16/29	1,443		136
			2,809
Industrials (1.5%)
Abitibi-Consolidated, Inc.
8.55%, 8/1/10	600		612
8.85%, 8/1/30	905		853
AT&T Corp.
9.75%, 11/15/31	700		857
Bowater Canada Finance Corp.
7.95%, 11/15/11	1,135		1,183
FMC Corp.
10.25%, 11/1/09	65		73
General Motors Corp.
8.375%, 7/15/33	510		437
Hilton Hotels Corp.
7.625%, 12/1/12	290		332
Hyatt Equities LLC
6.875%, 6/15/07	(e)360		372
Rogers Wireless Communications, Inc.
7.25%, 12/15/12	120		123
Smithfield Foods, Inc.
7.75%, 5/15/13	90		96
8.00%, 10/15/09	380		405
Starwood Hotels & Resorts Worldwide, Inc.
7.375%, 5/1/07	100		104
7.875%, 5/1/12	245		269

The accompanying notes are an integral part of the financial statements.

52

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Tenet Healthcare Corp.
7.375%, 2/1/13	$	625	$	592
Xerox Corp.
7.125%, 6/15/10	315		327
			6,635
U.S. Treasury Securities (10.7%)
U.S. Treasury Strips
IO
4.97%, 2/15/21	74,500		34,180
5.00%, 5/15/22	21,400		9,183
5.03%, 2/15/22	7,550		3,286
			46,649
Utilities (0.3%)
Nevada Power Co.
9.00%, 8/15/13	320		361
PSEG Energy Holdings LLC
7.75%, 4/16/07	645		666
Texas-New Mexico Power Co.
6.25%, 1/15/09	295		307
			1,334
Total Fixed Income Securities (Cost $462,798)			478,575
	Shares
Short-Term Investments (4.5%)
Money Market Fund (3.1%)
Dreyfus Basic Municipal Money Market Fund	13,658,590		13,658
	Face
	Amount
	(000)
Repurchase Agreement (1.2%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $5,088	$	(f)5,088	5,088
U.S. Treasury Securities (0.2%)
U.S. Treasury Bills
2.85%, 7/14/05	(j)650		645
Total Short-Term Investments (Cost $19,391)			19,391
Total Investments (114.0%) (Cost $482,189)			497,966
Liabilities in Excess of Other Assets (-14.0%)			(60,968		)
Net Assets (100%)			$	436,998

(e)144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

(h)Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.

(j)All or a portion of the security was pledged to cover margin requirements for futures contracts.

Inv FlInverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.

IOInterest Only

PACPlanned Amortization Class AMBAC Ambac Assurance Corporation

FGICFinancial Guaranty Insurance Company

FHAFederal Housing Administration

FSAFinancial Security Assurance Inc.

MBIAMBIA Insurance Corporation

PSFGPermanent School Fund Guaranteed

SAVRSSemi-Annual Variable Rate Security

XLCAXL Capital Assurance

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

					Net
					Unrealized
	Number				Appreciation
	of	Value		Expiration	(Depreciation)
	Contracts	(000)		Date	(000)
Long:
U.S. Treasury 10 yr. Note	237	$	25,896	Jun-05	$	118
U.S. Treasury Long Bond	321	35,751		Jun-05	(257		)
Short:
U.S. Treasury 2 yr. Note	442	91,446		Jun-05	320
U.S. Treasury 5 yr. Note	3	321		Jun-05	2
					$	183

The accompanying notes are an integral part of the financial statements.

53

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

Graphic Presentation of Portfolio Holdings

The following graph depicts the portfolio’s holding by the investment type, as a percentage of total investments.

*Investment types which do not appear in the top 10 investment types, as well as those which represent less than 3% of total investments, if applicable, are included in the category labeled “Other”.

The accompanying notes are an integral part of the financial statements.

54

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (33.9%)
Agency Adjustable Rate Mortgages (0.5%)
Government National Mortgage Association, Adjustable Rate Mortgages:
3.375%, 2/20/25-1/20/28	$	924	$	939
4.125%, 11/20/25-12/20/27	241		246
			1,185
Agency Fixed Rate Mortgages (7.3%)
Federal Home Loan Mortgage Corporation, Conventional Pools:
10.00%, 9/1/17	59		64
10.50%, 8/1/19-12/1/19	124		141
11.00%, 5/1/20-9/1/20	66		73
12.00%, 3/1/15	45		51
Gold Pools:
7.50%, 8/1/20-11/1/32	1,005		1,076
8.00%, 2/1/21-8/1/31	637		686
9.50%, 12/1/22	63		69
10.00%, 12/1/19	100		113
April TBA
5.00%, 4/1/20	(i)900		900
5.50%, 4/1/20	(i)2,300		2,347
6.00%, 4/1/35	(i)1,550		1,586
Federal National Mortgage Association, Conventional Pools:
6.50%, 9/1/31-1/1/33	2,502		2,603
7.00%, 3/1/18-12/1/31	43		45
7.50%, 10/1/29-6/1/32	1,369		1,465
8.00%, 2/1/30-4/1/32	901		970
8.50%, 6/1/30-12/1/30	689		751
9.50%, 11/1/20-4/1/30	521		578
10.00%, 1/1/10-1/1/20	68		77
10.50%, 12/1/16-4/1/22	350		389
11.50%, 11/1/19	6		6
12.50%, 9/1/15	26		29
April TBA
5.00%, 4/1/20	(i)700		700
May TBA
4.50%, 5/1/20	(i)1,700		1,659
5.00%, 5/1/20	(i)575		573
Government National Mortgage Association, Various Pools:
9.50%, 10/15/18-11/15/21	164		181
10.00%, 11/15/09-12/15/21	528		595
10.50%, 2/15/20-12/15/20	90		102
11.00%, 1/15/19	103		114
			17,943
Asset Backed Corporates (5.3%)
American Express Credit Account Master Trust
2.92%, 12/15/09	(h)550		552
Asset Backed Funding Certificates
2.98%, 6/25/22	(h)157		157
3.04%, 6/25/25	(h)178		178
Bear Stearns Asset Backed Securities, Inc.
3.05%, 9/25/34	$	(h)312	$	313
Capital Auto Receivables Asset Trust
2.89%, 1/15/08	(h)300		300
3.35%, 2/15/08	250		247
Carrington Mortgage Loan Trust
2.98%, 1/25/35	(h)391		391
Centex Home Equity
2.92%, 3/25/35	(h)325		325
Citibank Credit Card Issuance Trust
6.90%, 10/15/07	900		917
Equifirst Mortgage Loan Trust
2.89%, 4/25/35	(h)275		275
GE Capital Credit Card Master Note Trust
2.85%, 9/15/10	(h)350		350
GE Dealer Floorplan Master Note Trust
2.90%, 7/20/08	(h)300		300
GSAMP Trust
2.97%, 2/25/35	(h)240		240
Harley-Davidson Motorcycle Trust
1.56%, 5/15/07	24		24
2.18%, 1/15/09	349		346
Honda Auto Receivables Owner Trust
2.52%, 2/15/07	480		478
J.P. Morgan Chase Commercial Mortgage Securities Corp.
2.99%, 4/16/19	(e)(h)347		348
Long Beach Mortgage Loan Trust
2.93%, 4/25/35	(h)500		500
MBNA Credit Card Master Note Trust
2.95%, 2/16/10	(h)500		502
MBNA Master Credit Card Trust USA
7.80%, 10/15/12	900		1,033
Merrill Lynch Mortgage Investors, Inc.
2.95%, 9/25/35	(h)364		364
3.05%, 8/25/35	(h)398		399
New Century Home Equity Loan Trust
2.99%, 2/25/35	(h)314		315
Residential Asset Mortgage Products, Inc.
2.96%, 1/25/35	(h)312		312
Residential Asset Securities Corp.
3.02%, 7/25/21	(h)145		145
Residential Funding Mortgage Securities II
3.00%, 2/25/13	(h)99		99
Saxon Asset Securities Trust
2.96%, 5/25/35	(h)238		238
SLM Student Loan Trust
2.72%, 10/25/12	(h)600		600
2.74%, 1/25/13	(h)300		301
Specialty Underwriting & Residential Finance
2.856%, 12/25/35	(h)350		350
Structured Asset Investment Loan Trust
2.95%, 4/25/34	(h)227		227

The accompanying notes are an integral part of the financial statements.

55

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Terwin Mortgage Trust
3.24%, 11/25/35	$	(h)379	$	380
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	100		100
USAA Auto Owner Trust
2.41%, 2/15/07	200		199
Wachovia Auto Owner Trust
2.40%, 5/21/07	350		349
2.49%, 4/20/07	400		399
World Omni Auto Receivables Trust
2.58%, 7/12/07	372		371
			12,924
Collateralized Mortgage Obligations — Agency Collateral Series (0.3%)
Federal Home Loan Mortgage Corporation
Inv Fl IO
5.74%, 10/15/29	145		7
33.188%, 11/15/07	17		4
Inv Fl IO PAC
6.788%, 3/15/08	104		6
7.067%, 2/15/08	189		8
IO
5.00%, 6/15/17	451		54
6.50%, 3/15/33	295		57
7.50%, 12/1/29	216		42
8.00%, 1/1/28-6/1/31	63		14
Federal National Mortgage Association
Inv Fl IO
4.72%, 2/17/31	716		54
5.766%, 3/18/30	124		6
5.933%, 10/25/07	300		10
IO
5.00%, 2/25/15	618		39
5.50%, 6/25/26	693		38
6.00%, 8/25/32	95		12
6.50%, 7/1/31-5/25/33	376		72
7.00%, 4/25/33	215		43
8.00%, 4/1/24-8/1/31	961		202
9.00%, 11/1/26	80		16
Government National Mortgage Association
Inv Fl IO
5.18%, 4/16/29	497		32
5.78%, 8/16/29	286		22
			738
Federal Agency (0.3%)
Federal Home Loan Mortgage Corporation
5.125%, 11/7/13	800		801
Finance (1.7%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)265		285
American General Finance Corp.
4.625%, 5/15/09-9/1/10	80		80
AXA Financial, Inc.
6.50%, 4/1/08	35		37
CIT Group, Inc.
3.65%, 11/23/07	$	80	$	78
Citigroup, Inc.
5.625%, 8/27/12	160		166
6.00%, 2/21/12	110		117
Countrywide Home Loans, Inc.
3.25%, 5/21/08	150		144
EOP Operating LP
4.75%, 3/15/14	20		19
6.763%, 6/15/07	20		21
7.50%, 4/19/29	80		92
Farmers Insurance Exchange
8.625%, 5/1/24	(e)290		352
General Electric Capital Corp.
4.25%, 12/1/10	(c)80		78
6.75%, 3/15/32	120		139
Goldman Sachs Group, Inc.
5.25%, 10/15/13	25		25
6.875%, 1/15/11	250		273
Hartford Financial Services Group, Inc.
2.375%, 6/1/06	25		24
HSBC Finance Corp.
5.875%, 2/1/09	315		328
JPMorgan Chase & Co.
7.00%, 11/15/09	255		278
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	190		187
Mantis Reef Ltd.
4.692%, 11/14/08	(e)200		198
Marsh & McClennan Cos., Inc.
5.875%, 8/1/33	200		183
MBNA Corp.
6.125%, 3/1/13	170		179
Nationwide Building Society
4.25%, 2/1/10	(e)90		88
Reckson Operating Partnership LP
5.15%, 1/15/11	75		75
Rouse Co. (The)
3.625%, 3/15/09	45		42
5.375%, 11/26/13	25		24
SLM Corp.
4.00%, 1/15/10	120		116
Two-Rock Pass Through Trust
3.714%, 12/31/49	(e)(h)100		100
Washington Mutual, Inc.
8.25%, 4/1/10	155		176
World Financial Properties
6.91%, 9/1/13	(e)310		333
			4,237
Industrials (3.3%)
Abitibi-Consolidated, Inc.
8.55%, 8/1/10	(c)95		97
8.85%, 8/1/30	185		174

The accompanying notes are an integral part of the financial statements.

56

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Aetna, Inc.
7.875%, 3/1/11	$	200	$	230
Altria Group, Inc.
7.00%, 11/4/13	85		91
7.75%, 1/15/27	45		52
Amerada Hess Corp.
7.875%, 10/1/29	165		198
AT&T Corp.
9.75%, 11/15/31	75		92
AutoNation, Inc.
9.00%, 8/1/08	40		44
Bowater Canada Finance Corp.
7.95%, 11/15/11	210		219
Burlington Northern and Santa Fe Railway Co.
4.575%, 1/15/21	65		63
Caterpillar Financial Services Corp.
2.92%, 8/20/07	(h)150		150
3.625%, 11/15/07	30		30
Clear Channel Communications, Inc.
7.65%, 9/15/10	65		71
Clorox Co.
3.125%, 12/14/07	(e)(h)125		125
Comcast Corp.
6.50%, 1/15/15	35		38
Consumers Energy Co.
4.00%, 5/15/10	50		48
4.80%, 2/17/09	80		80
5.375%, 4/15/13	25		25
Continental Airlines, Inc.
6.648%, 9/15/17	(c)303		287
COX Communications, Inc.
4.625%, 1/15/10	(e)100		97
CSX Corp.
2.75%, 2/15/06	55		54
9.00%, 8/15/06	35		37
DaimlerChrysler N.A. Holding Corp.
8.50%, 1/18/31	85		103
Deutsche Telekom International Finance BV
8.75%, 6/15/30	115		151
Echostar DBS Corp.
6.375%, 10/1/11	115		113
FedEx Corp.
2.65%, 4/1/07	75		73
Fisher Scientific International, Inc.
6.75%, 8/15/14	(e)75		77
FMC Corp.
10.25%, 11/1/09	25		28
Ford Motor Co.
6.625%, 10/1/28	55		46
Ford Motor Credit Co.
7.25%, 10/25/11	75		74
7.375%, 10/28/09	90		91
France Telecom S.A.
7.00%, 12/23/09	$	50	$	75
7.25%, 1/28/13	70		110
General Motors Acceptance Corp.
4.50%, 7/15/06	(c)70		68
6.875%, 9/15/11	265		240
8.00%, 11/1/31	115		100
General Motors Corp.
8.375%, 7/15/33	(c)315		270
Glencore Nickel Property Ltd.
9.00%, 12/1/14	(b)(d)320		@—
HCA, Inc.
6.30%, 10/1/12	15		15
7.875%, 2/1/11	70		76
9.00%, 12/15/14	105		123
Health Net, Inc.
9.875%, 4/15/11	155		185
Historic TW, Inc.
6.625%, 5/15/29	115		121
Hutchison Whampoa International Ltd.
6.50%, 2/13/13	(e)140		148
Hyatt Equities LLC
6.875%, 6/15/07	(e)125		129
ICI Wilmington, Inc.
4.375%, 12/1/08	65		64
Interpublic Group of Companies, Inc.
5.40%, 11/15/09	(c)85		82
Iron Mountain, Inc.
6.625%, 1/1/16	30		28
7.75%, 1/15/15	90		89
Kerr-McGee Corp.
5.875%, 9/15/06	35		36
Kraft Foods, Inc.
5.625%, 11/1/11	100		104
Lenfest Communications, Inc.
7.625%, 2/15/08	180		193
MGM Mirage
6.75%, 9/1/12	55		56
8.50%, 9/15/10	(c)140		154
Miller Brewing Co.
4.25%, 8/15/08	(e)110		109
Mohawk Industries, Inc.
7.20%, 4/15/12	80		89
New Cingular Wireless Services, Inc.
8.75%, 3/1/31	55		73
News America Holdings
7.75%, 2/1/24	165		192
Norfolk Southern Corp.
7.35%, 5/15/07	50		53
Northrop Grumman Corp.
4.079%, 11/16/06	80		80
Panhandle Eastern Pipe Line Co.
2.75%, 3/15/07	25		24

The accompanying notes are an integral part of the financial statements.

57

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Pemex Project Funding Master Trust
9.125%, 10/13/10	$	(c)95	$	110
Plains Exploration & Production Co.
7.125%, 6/15/14	(c)25		26
Raytheon Co.
8.30%, 3/1/10	60		69
Rogers Wireless Communications, Inc.
7.25%, 12/15/12	25		26
Sappi Papier Holding AG
6.75%, 6/15/12	(e)70		76
Sealed Air Corp.
5.625%, 7/15/13	(e)115		117
Smithfield Foods, Inc.
7.75%, 5/15/13	25		27
8.00%, 10/15/09	110		117
Sprint Capital Corp.
8.375%, 3/15/12	75		88
8.75%, 3/15/32	15		20
Starwood Hotels & Resorts Worldwide, Inc.
7.875%, 5/1/12	130		143
Systems 2001 Asset Trust LLC
6.664%, 9/15/13	(e)176		190
Telecom Italia Finance N.V.
5.875%, 1/24/08	50		70
7.25%, 4/24/12	50		78
Tenet Healthcare Corp.
6.875%, 11/15/31	60		48
7.375%, 2/1/13	30		28
Time Warner Cos., Inc.
7.57%, 2/1/24	95		110
Tyco International Group S.A.
5.80%, 8/1/06	20		20
Union Pacific Corp.
6.65%, 1/15/11	45		49
6.79%, 11/9/07	35		37
WellPoint, Inc.
3.75%, 12/14/07	(e)30		29
6.80%, 8/1/12	50		56
Weyerhaeuser Co.
6.00%, 8/1/06	65		67
WPP Finance UK Corp.
5.875%, 6/15/14	(e)75		78
Xerox Corp.
6.875%, 8/15/11	60		61
7.125%, 6/15/10	(c)115		119
			8,003
Mortgages — Other (0.2%)
American Housing Trust
9.125%, 4/25/21	8		8
Countrywide Alternative Loan Trust
3.04%, 7/25/34	(h)95		95
Federal National Mortgage Association PAC
8.50%, 9/25/20	28		31
First Federal Savings & Loan Association
8.75%, 6/1/06	$	(d)@—	$	@—
Ryland Acceptance Corp. IV
6.65%, 7/1/11	12		12
Thornburg Mortgage Securities Trust
3.00%, 6/25/44	(h)139		139
Washington Mutual, Inc.
2.948%, 7/25/44	(h)139		139
			424
Sovereign (0.3%)
Russian Federation
5.00%, 3/31/30	(e)(g)195		201
United Mexican States
8.00%, 9/24/22	30		34
8.30%, 8/15/31	(c)125		144
8.375%, 1/14/11	(c)390		445
			824
U.S. Treasury Securities (13.9%)
U.S. Treasury Bonds
6.125%, 8/15/29	(c)125		147
6.25%, 5/15/30	(c)550		661
6.375%, 8/15/27	550		661
8.125%, 8/15/19	(c)2,100		2,826
U.S. Treasury Notes
3.50%, 11/15/06	(c)1,900		1,895
3.625%, 5/15/13	(c)1,250		1,187
3.875%, 2/15/13	(c)2,200		2,124
4.25%, 8/15/13	(c)175		173
5.625%, 5/15/08	(c)1,650		1,730
U.S. Treasury Strips
IO
4.78%, 5/15/16	500		296
4.82%, 2/15/17	(c)750		426
4.91%, 8/15/18	375		196
4.94%, 2/15/19	2,750		1,397
4.95%, 5/15/19	(c)1,000		501
4.96%, 8/15/19	5,450		2,695
4.97%, 11/15/19-2/15/21	(c)4,900		2,256
4.99%, 2/15/20-5/15/20	6,510		3,113
5.00%, 8/15/20-5/15/22	4,050		1,750
5.02%, 5/15/21	8,670		3,898
5.03%, 11/15/21-8/15/22	(c)4,550		1,968
5.05%, 11/15/22-2/15/23	1,325		546
5.06%, 11/15/23	750		296
PO
5/15/21-2/15/27	(c)8,325		3,347
			34,089
Utilities (0.8%)
Arizona Public Service Co.
5.80%, 6/30/14	115		121
CenterPoint Energy Resources Corp.
7.75%, 2/15/11	65		74

The accompanying notes are an integral part of the financial statements.

58

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Cincinnati Gas & Electric Co.
5.70%, 9/15/12	$	70	$	73
Consolidated Natural Gas Co.
5.00%, 12/1/14	100		98
6.25%, 11/1/11	70		75
Detroit Edison Co.
4.80%, 2/15/15	(e)95		92
6.125%, 10/1/10	15		16
Entergy Gulf States, Inc.
3.31%, 12/1/09	(h)75		75
3.60%, 6/1/08	45		44
Exelon Corp.
6.75%, 5/1/11	65		71
Monongahela Power Co.
5.00%, 10/1/06	60		61
Nevada Power Co.
9.00%, 8/15/13	70		79
NiSource Finance Corp.
3.43%, 11/23/09	(h)85		85
7.625%, 11/15/05	70		71
Northwest Pipeline Corp.
8.125%, 3/1/10	25		27
Ohio Edison Co.
5.45%, 5/1/15	135		135
Pacific Gas & Electric Co.
6.05%, 3/1/34	120		124
PSEG Energy Holdings LLC
7.75%, 4/16/07	55		57
8.625%, 2/15/08	65		69
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294%, 3/15/14	(c)(e)145		167
Reliant Resources, Inc.
6.75%, 12/15/14	75		70
Sempra Energy
4.621%, 5/17/07	25		25
Southern California Edison Co.
5.00%, 1/15/14	20		20
Texas Eastern Transmission LP
7.00%, 7/15/32	70		81
Texas-New Mexico Power Co.
6.25%, 1/15/09	65		68
TXU Corp.
6.375%, 6/15/06	45		46
TXU Energy Co. LLC
7.00%, 3/15/13	30		33
Wisconsin Electric Power Co.
3.50%, 12/1/07	30		29
			1,986
Total Fixed Income Securities (Cost $84,013)			83,154

		Value
	Shares	(000)
Common Stocks (57.4%)
Automobiles & Components (0.3%)
Delphi Corp.	50	$	@—
Ford Motor Co.	100	1
Honda Motor Co., Ltd. ADR	29,540	740
		741
Banks (2.1%)
AmSouth Bancorp.	2,880	75
Bank of America Corp.	20,814	918
BB&T Corp.	1,150	45
Comerica, Inc.	4,840	267
Countrywide Financial Corp.	1,730	56
Fannie Mae	3,100	169
Fifth Third Bancorp.	2,510	108
Freddie Mac	18,070	1,142
Golden West Financial Corp.	1,340	81
KeyCorp.	540	17
Marshall & Ilsley Corp.	1,470	61
MGIC Investment Corp.	1,325	82
National City Corp.	2,520	84
PNC Financial Services Group, Inc.	7,800	402
Regions Financial Corp.	3,774	122
SunTrust Banks, Inc.	1,110	80
Synovus Financial Corp.	2,220	62
U.S. Bancorp	13,990	403
Wachovia Corp.	7,569	385
Washington Mutual, Inc.	4,610	182
Wells Fargo & Co.	6,470	387
		5,128
Capital Goods (5.6%)
3M Co.	8,700	746
American Standard Cos., Inc.	3,350	156
Boeing Co.	10,250	599
Caterpillar, Inc.	4,000	366
Cooper Industries Ltd., Class A	1,350	97
Danaher Corp.	3,500	187
Deere & Co.	3,050	205
Dover Corp.	3,550	134
Eaton Corp.	2,100	137
Emerson Electric Co.	4,850	315
General Dynamics Corp.	2,200	236
General Electric Co.	144,950	5,227
Honeywell International, Inc.	10,300	383
Illinois Tool Works, Inc.	3,700	331
Ingersoll-Rand Co., Ltd., Class A	6,020	479
ITT Industries, Inc.	950	86
Lockheed Martin Corp.	5,050	308
Masco Corp.	5,150	179
Northrop Grumman Corp.	11,490	620
Paccar, Inc.	2,325	168
Parker Hannifin Corp.	5,730	349
Raytheon Co.	14,740	570
Rockwell Automation, Inc.	2,300	130
Rockwell Collins, Inc.	2,000	95
Textron, Inc.	1,450	108

The accompanying notes are an integral part of the financial statements.

59

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Capital Goods (cont’d)
Tyco International Ltd.	24,100	$	815
United Technologies Corp.	5,950	605
W.W. Grainger, Inc.	1,250	78
		13,709
Commercial Services & Supplies (0.7%)
Apollo Group, Inc., Class A	(a)12,200	904
Avery Dennison Corp.	50	3
Cendant Corp.	500	10
ChoicePoint, Inc.	(a)5,700	229
Cintas Corp.	100	4
Corporate Executive Board Co.	4,700	301
Donnelley (R.R) & Sons Co.	100	3
Equifax, Inc.	9,140	280
H&R Block, Inc.	100	5
PHH Corp.	(a)55	1
Pitney Bowes, Inc.	150	7
Robert Half International, Inc.	150	4
Waste Management, Inc.	250	7
		1,758
Consumer Durables & Apparel (0.8%)
Black & Decker Corp.	900	71
Brunswick Corp.	1,100	52
Centex Corp.	1,300	74
Coach, Inc.	(a)6,400	362
Eastman Kodak Co.	3,000	98
Fortune Brands, Inc.	1,600	129
Jones Apparel Group, Inc.	1,400	47
KB Home	500	59
Leggett & Platt, Inc.	2,100	61
Liz Claiborne, Inc.	1,600	64
Mattel, Inc.	4,500	96
Newell Rubbermaid, Inc.	2,800	61
Nike, Inc., Class B	2,600	217
Pulte Homes, Inc.	4,275	315
Stanley Works (The)	100	4
VF Corp.	1,300	77
Whirlpool Corp.	800	54
		1,841
Diversified Financials (4.2%)
American Express Co.	9,200	473
Bank of New York Co., Inc. (The)	3,190	93
Bear Stearns Cos., Inc. (The)	1,500	150
Brascan Corp., Class A	13,100	495
Capital One Financial Corp.	1,973	148
Charles Schwab Corp. (The)	37,481	394
Chicago Mercantile Exchange Holdings, Inc.	1,100	213
Citigroup, Inc.	55,990	2,516
Franklin Resources, Inc.	4,980	342
Goldman Sachs Group, Inc.	5,570	613
JPMorgan Chase & Co.	31,336	1,084
Legg Mason, Inc.	5,800	453
Lehman Brothers Holdings, Inc.	11,917	1,122
MBNA Corp.	10,734	263
Mellon Financial Corp.	1,440	41
Merrill Lynch & Co., Inc.	20,430	$	1,156
Moody’s Corp.	5,320	430
Northern Trust Corp.	670	29
Principal Financial Group	3,170	122
SLM Corp.	300	15
State Street Corp.	6,090	266
		10,418
Energy (4.5%)
Amerada Hess Corp.	570	55
Anadarko Petroleum Corp.	1,770	135
Apache Corp.	2,386	146
Baker Hughes, Inc.	2,360	105
BJ Services Co.	1,140	59
BP plc ADR	12,500	780
Burlington Resources, Inc.	2,700	135
ChevronTexaco Corp.	14,852	866
ConocoPhillips	10,193	1,099
Devon Energy Corp.	3,300	158
EOG Resources, Inc.	1,600	78
Exxon Mobil Corp.	55,881	3,330
Halliburton Co.	2,984	129
Kerr-McGee Corp.	1,000	78
Marathon Oil Corp.	2,320	109
Nabors Industries Ltd.	(a)950	56
Occidental Petroleum Corp.	2,734	195
Royal Dutch Petroleum Co. (NY Shares)	12,560	754
Schlumberger Ltd.	13,390	944
Suncor Energy, Inc.	6,800	273
Transocean, Inc.	(a)2,290	118
Ultra Petroleum Corp.	(a)11,950	607
Unocal Corp.	1,830	113
Valero Energy Corp.	8,090	593
		10,915
Food & Staples Retailing (1.6%)
Albertson’s, Inc.	2,153	44
Costco Wholesale Corp.	7,701	340
CVS Corp.	2,120	112
Kroger Co. (The)	(a)14,258	229
Safeway, Inc.	(a)2,402	44
Sysco Corp.	3,490	125
Wal-Mart Stores, Inc.	55,564	2,784
Walgreen Co.	5,489	244
		3,922
Food, Beverage & Tobacco (3.2%)
Altria Group, Inc.	28,250	1,847
Anheuser-Busch Cos., Inc.	6,838	324
Archer-Daniels-Midland Co.	5,602	138
Brown-Forman Corp., Class B	1,000	55
Cadbury Schweppes plc ADR	9,670	394
Campbell Soup Co.	3,520	102
Coca-Cola Co. (The)	32,610	1,359
Coca-Cola Enterprises, Inc.	4,103	84
ConAgra Foods, Inc.	4,611	125
General Mills, Inc.	3,167	156
Heinz (H.J.) Co.	3,059	113

The accompanying notes are an integral part of the financial statements.

60

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Food, Beverage & Tobacco (cont’d)
Hershey Foods Corp.	2,628	$	159
Kellogg Co.	3,593	155
Kraft Foods, Inc., Class A	8,020	265
Pepsi Bottling Group, Inc.	2,240	62
PepsiCo., Inc.	20,465	1,085
Reynolds American, Inc.	1,200	97
Sara Lee Corp.	6,878	152
Unilever N.V. (NY Shares)	7,610	521
UST, Inc.	1,512	78
W.M. Wrigley Jr. Co.	8,637	566
		7,837
Health Care Equipment & Services (3.5%)
Aetna, Inc.	2,820	211
Alcon, Inc.	7,600	679
AmerisourceBergen Corp.	990	57
Bard (C.R.), Inc.	1,300	88
Bausch & Lomb, Inc.	6,490	476
Baxter International, Inc.	5,450	185
Becton Dickinson & Co.	2,370	138
Biomet, Inc.	2,390	87
Boston Scientific Corp.	(a)7,540	221
Cardinal Health, Inc.	4,060	227
CIGNA Corp.	7,400	661
Express Scripts, Inc.	(a)800	70
Guidant Corp.	2,850	211
HCA, Inc.	4,400	236
Health Management Associates, Inc., Class A	2,600	68
Hospira, Inc.	(a)777	25
Humana, Inc.	(a)1,600	51
IMS Health, Inc.	2,800	68
Kinetic Concepts, Inc.	(a)1,416	84
Manor Care, Inc.	700	25
McKesson Corp.	2,610	98
Medco Health Solutions, Inc.	(a)2,317	115
Medtronic, Inc.	20,045	1,021
Millipore Corp.	(a)300	13
Patterson Cos., Inc.	(a)7,200	360
Quest Diagnostics, Inc.	900	95
St. Jude Medical, Inc.	(a)9,220	332
Stryker Corp.	3,820	170
Tenet Healthcare Corp.	(a)4,300	50
Thermo Electron Corp.	(a)1,062	27
UnitedHealth Group, Inc.	16,940	1,616
Waters Corp.	(a)640	23
WellPoint, Inc.	(a)2,800	351
Zimmer Holdings, Inc.	(a)5,180	403
		8,542
Hotels, Restaurants & Leisure (1.3%)
Carnival Corp.	19,100	990
Harrah’s Entertainment, Inc.	250	16
International Game Technology	19,700	525
Las Vegas Sands Corp.	(a)3,403	153
Marriott International, Inc., Class A	2,800	187
McDonald’s Corp.	5,690	177
Starbucks Corp.	(a)6,100	$	315
Station Casinos, Inc.	5,600	379
Wynn Resorts Ltd.	(a)6,740	457
		3,199
Household & Personal Products (1.9%)
Avon Products, Inc.	6,290	270
Clorox Co.	2,817	177
Colgate Palmolive Co.	6,992	365
Gillette Co. (The)	20,178	1,019
Kimberly-Clark Corp.	13,058	858
Procter & Gamble Co.	37,966	2,012
		4,701
Insurance (3.3%)
ACE Ltd.	3,130	129
Aegon N.V. (NY Shares)	9,230	124
Aflac, Inc.	6,760	252
Allstate Corp. (The)	8,540	462
AMBAC Financial Group, Inc.	1,450	108
American International Group, Inc.	29,230	1,620
AON Corp.	3,400	78
Berkshire Hathaway, Inc., Class B	(a)203	580
Chubb Corp.	10,160	805
Hartford Financial Services Group, Inc.	10,120	694
Lincoln National Corp.	2,300	104
Loews Corp.	2,420	178
Marsh & McLennan Cos., Inc.	15,940	485
MBIA, Inc.	3,360	176
Metlife, Inc.	9,290	363
Progressive Corp. (The)	2,760	253
Prudential Financial, Inc.	13,630	782
St. Paul Travelers Cos., Inc. (The)	20,786	763
XL Capital Ltd., Class A	1,860	135
		8,091
Materials (3.1%)
Agnico-Eagle Mines Ltd.	5,900	86
Barrick Gold Corp.	43,000	1,031
Bayer AG ADR	29,920	990
Cameco Corp.	8,000	354
Dow Chemical Co. (The)	9,730	485
Glamis Gold Ltd.	(a)10,000	155
Goldcorp, Inc.	14,100	201
Kinross Gold Corp.	(a)22,400	136
Lanxess	(a)2,992	62
Meridian Gold, Inc.	(a)7,700	130
Monsanto Co.	14,040	906
Neenah Paper, Inc.	239	8
Newmont Mining Corp.	57,003	2,408
Placer Dome, Inc.	33,600	544
		7,496
Media (2.4%)
Clear Channel Communications, Inc.	22,980	792
Comcast Corp., Class A	(a)14,600	493
Gannett Co., Inc.	2,000	158
Getty Images, Inc.	(a)3,200	228
Interpublic Group of Cos., Inc.	(a)2,850	35

The accompanying notes are an integral part of the financial statements.

61

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Media (cont’d)
Knight-Ridder, Inc.	50	$	3
Lamar Advertising Co., Class A	(a)4,900	197
McGraw-Hill Cos., Inc. (The)	1,450	126
New York Times Co., Class A	1,250	46
News Corp. Inc., Class B	16,430	289
Omnicom Group, Inc.	1,250	111
Time Warner, Inc.	(a)77,653	1,363
Tribune Co.	2,200	88
Univision Communications, Inc., Class A	(a)10,390	288
Viacom, Inc., Class B	17,030	593
Walt Disney Co.	34,980	1,005
		5,815
Pharmaceuticals & Biotechnology (6.0%)
Abbott Laboratories	15,676	731
Accelr8 Technology Corp.	(a)233	1
Allergan, Inc.	1,260	88
Amgen, Inc.	(a)14,060	818
Applera Corp. -Applied Biosystems Group
(Tracking Stock)	5,190	102
Biogen Idec, Inc.	(a)3,836	132
Bristol-Myers Squibb Co.	62,271	1,585
Chiron Corp.	(a)9,370	329
Eli Lilly & Co.	19,470	1,014
Forest Laboratories, Inc.	(a)3,110	115
Genentech, Inc.	(a)10,700	606
Genzyme Corp.	(a)1,700	97
Gilead Sciences, Inc.	(a)3,100	111
GlaxoSmithKline plc ADR	6,460	297
Johnson & Johnson	42,885	2,880
King Pharmaceuticals, Inc.	(a)930	8
Medimmune, Inc.	(a)1,370	33
Merck & Co., Inc.	18,600	602
Novartis AG ADR	6,200	290
Pfizer, Inc.	64,781	1,702
Roche Holding AG ADR	12,980	698
Sanofi-Aventis ADR	9,790	414
Schering-Plough Corp.	53,920	979
Wyeth	24,807	1,046
		14,678
Real Estate (0.2%)
Equity Office Properties Trust REIT	9,410	284
Equity Residential REIT	7,300	235
		519
Retailing (1.5%)
Amazon.com, Inc.	(a)8,500	291
AutoZone, Inc.	(a)50	4
Chico’s FAS, Inc.	(a)9,000	254
eBay, Inc.	(a)29,400	1,096
Family Dollar Stores, Inc.	50	2
Federated Department Stores, Inc.	50	3
Home Depot, Inc.	10,800	413
Kohl’s Corp.	(a)9,670	499
Lowe’s Cos., Inc.	50	3
Petsmart, Inc.	9,680	278
RadioShack Corp.	50	$	1
Sears Holdings Corp.	(a)3,500	466
Sherwin-Williams Co. (The)	50	2
Staples, Inc.	50	2
Target Corp.	5,370	269
Tiffany & Co.	50	2
		3,585
Semiconductors & Semiconductor Equipment (2.5%)
Advanced Micro Devices, Inc.	(a)6,322	102
Altera Corp.	(a)6,629	131
Analog Devices, Inc.	5,992	217
Applied Materials, Inc.	(a)27,763	451
Broadcom Corp., Class A	(a)5,520	165
Freescale Semiconductor, Inc., Class B	(a)1,469	25
Intel Corp.	111,830	2,598
KLA-Tencor Corp.	(a)3,610	166
Linear Technology Corp.	4,258	163
LSI Logic Corp.	(a)2,060	12
Marvell Technology Group Ltd.	(a)11,020	422
Maxim Integrated Products, Inc.	5,314	217
Micron Technology, Inc.	(a)31,126	322
National Semiconductor Corp.	7,206	149
Novellus Systems, Inc.	(a)2,628	70
Teradyne, Inc.	(a)855	12
Texas Instruments, Inc.	27,578	703
Xilinx, Inc.	6,460	189
		6,114
Software & Services (2.9%)
Accenture Ltd., Class A	(a)2,510	61
Adobe Systems, Inc.	6,013	404
Affiliated Computer Services, Inc., Class A	(a)700	37
Autodesk, Inc.	424	13
Automatic Data Processing, Inc.	2,961	133
BMC Software, Inc.	(a)2,377	36
Citrix Systems, Inc.	(a)641	15
Computer Associates International, Inc.	2,975	81
Computer Sciences Corp.	(a)1,719	79
Electronic Arts, Inc.	(a)14,692	761
Electronic Data Systems Corp.	2,409	50
First Data Corp.	8,217	323
Fiserv, Inc.	(a)1,042	42
Google, Inc., Class A	(a)2,650	478
Infosys Technology Ltd. ADR	3,300	243
Intuit, Inc.	(a)921	40
Mercury Interactive Corp.	(a)620	29
Microsoft Corp.	68,525	1,656
Novell, Inc.	(a)2,300	14
Oracle Corp.	(a)26,601	332
Paychex, Inc.	11,672	383
Red Hat, Inc.	(a)13,600	148
Sabre Holdings Corp., Class A	631	14
Shanda Interactive Entertainment Ltd. ADR	(a)5,100	154
Siebel Systems, Inc.	(a)2,339	21
SunGard Data Systems, Inc.	(a)1,472	51
Symantec Corp.	(a)18,640	398

The accompanying notes are an integral part of the financial statements.

62

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

			Value
	Shares		(000)
Software & Services (cont’d)
Unisys Corp.	(a)2,343		$	17
Veritas Software Corp.	(a)2,207		51
Yahoo!, Inc.	(a)33,878		1,148
			7,212
Technology Hardware & Equipment (3.0%)
Agilent Technologies, Inc.	(a)2,718		60
American Power Conversion Corp.	1,850		48
Apple Computer, Inc.	(a)9,340		389
Avaya, Inc.	(a)2,856		33
Cisco Systems, Inc.	(a)39,574		708
Comverse Technology, Inc.	(a)1,300		33
Corning, Inc.	(a)7,625		85
Dell, Inc.	(a)44,944		1,727
EMC Corp.	(a)13,850		171
Hewlett-Packard Co.	30,834		676
International Business Machines Corp.	12,635		1,155
Jabil Circuit, Inc.	(a)1,652		47
JDS Uniphase Corp.	(a)10,466		17
Lexmark International, Inc., Class A	(a)715		57
Lucent Technologies, Inc.	(a)24,936		69
Molex, Inc.	1,150		30
Motorola, Inc.	32,802		491
NCR Corp.	(a)708		24
Network Appliance, Inc.	(a)1,929		53
QLogic Corp.	(a)657		27
Qualcomm, Inc.	30,912		1,133
Sanmina-SCI Corp.	(a)3,948		21
Scientific-Atlanta, Inc.	1,189		34
Solectron Corp.	(a)7,349		26
Sun Microsystems, Inc.	(a)18,934		76
Tellabs, Inc.	(a)3,000		22
Xerox Corp.	(a)4,654		70
			7,282
Telecommunication Services (1.2%)
Alltel Corp.	600		33
America Movil S.A. de C.V., Series L ADR	10,800		557
AT&T Corp.	1,400		26
BellSouth Corp.	3,350		88
CenturyTel, Inc.	300		10
Crown Castle International Corp.	(a)13,686		220
France Telecom S.A. ADR	10,620		317
Nextel Communications, Inc., Class A	(a)20,290		577
Qwest Communications International, Inc.	(a)3,050		11
SBC Communications, Inc.	5,950		141
Sprint Corp.	12,245		279
Verizon Communications, Inc.	21,870		776
			3,035
Transportation (0.9%)
Burlington Northern Santa Fe Corp.	2,800		151
C.H. Robinson Worldwide, Inc.	5,660		291
CSX Corp.	2,550		106
FedEx Corp.	2,350		221
Norfolk Southern Corp.	15,960		591
Southwest Airlines Co.	7,150		102
Union Pacific Corp.	2,050		$	143
United Parcel Service, Inc., Class B	9,000		655
			2,260
Utilities (0.7%)
American Electric Power Co., Inc.	8,490		289
Consolidated Edison, Inc.	4,510		190
Entergy Corp.	5,590		395
Exelon Corp.	6,290		289
FirstEnergy Corp.	7,090		298
Questar Corp.	6,400		379
			1,840
Total Common Stocks (Cost $110,327)			140,638
Mutual Funds (4.4%)
iShares MSCI Emerging Markets Index Fund	6,800		1,379
iShares MSCI Japan Index Fund	229,700		2,410
iShares MSCI Singapore Index Fund	85,000		615
iShares S&P 500/BARRA Growth Index Fund	49,400		2,796
iShares S&P Europe 350 Index Fund	48,700		3,674
Total Mutual Funds (Cost $9,984)			10,874
Preferred Stock (0.1%)
Mortgages — Other (0.1%)
Home Ownership Funding Corp.
13.331% (Cost $193)	(e)500		177
	Face
	Amount
	(000)
Short-Term Investments (10.1%)
Short-Term Debt Securities held as Collateral on Loaned Securities (2.9%)
Abbey National Treasury Services, 2.64%, 1/13/06	$	(h)106	106
ASAP Funding Ltd., 2.77%, 4/25/05	86		86
Banco Bilbao Viz Argentaria, N.Y., 2.81%, 5/16/05	72		72
Bank of America Corp., 2.71%, 5/6/05	71		71
Bank of New York,
2.74%, 4/4/06	(h)72		72
2.83%, 10/28/05	(h)235		235
Bear Stearns,
2.93%, 4/15/05	(h)129		129
2.96%, 12/5/05	(h)63		63
Beta Finance, Inc.,
2.71%, 4/19/05	38		38
2.81%, 5/4/05	(h)72		72
2.9%, 6/10/05	43		43
Calyon, N.Y., 2.89%, 2/27/06	(h)57		57
CC USA, Inc.,
2.83%, 11/28/05	(h)86		86
2.91%, 6/8/05	142		142
2.92%, 10/28/05	(h)69		69
CIC, N.Y., 2.78%, 2/13/06	(h)215		215
CIT Group Holdings, 2.72%, 7/29/05	(h)90		90
Citigroup, Inc., 2.90%, 9/1/05	(h)69		69
Compass Securitization,
2.86%, 5/25/05	100		100
2.97%, 6/15/05	57		57

The accompanying notes are an integral part of the financial statements.

63

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Short-Term Debt Securities held as Collateral on Loaned Securities (cont’d)
Credit Suisse First Boston, N.Y., 2.75%, 5/3/05	$	158	$	158
Deutsche Bank Securities, Inc., 2.87%, 4/1/05	323		323
Discover Card Master Trust, 2.80%, 5/16/05	(h)(k)96		96
Eni Coordination Center, 2.89%, 8/29/05	(h)72		72
Eurohypo AG, N.Y., 2.90%, 5/18/05	144		144
Galaxy Funding, Inc., 2.97%, 6/13/05	71		71
Giro Multi-Funding Corp., 3.00%, 6/15/05	142		142
Goldman Sachs Group LP, 2.79%, 2/15/06	(h)72		72
HBOS Treasury Services plc, N.Y., 2.73%, 4/28/05	200		200
International Lease Finance Corp., 3.04%, 9/22/05	(h)110		110
Internationale Nederlanden U.S. Funding,
2.88%, 6/3/05	93		93
K2 (USA) LLC,
2.78%, 2/15/06	(h)66		66
2.83%, 10/24/05-3/22/06	(h)267		267
Links Finance LLC,
2.83%, 9/26/05-10/27/05	(h)215		215
2.86%, 2/27/06	(h)86		86
Marshall & Ilsley Bank, 3.05%, 12/29/05	(h)201		201
Monte Dei Paschi, N.Y., 2.71%, 5/3/05	57		57
Nationwide Building Society,
2.77%, 1/13/06	(h)115		115
3.12%, 3/31/06	(h)166		166
Pfizer, Inc., 2.71%, 5/1/06	(h)144		144
Procter & Gamble Co., 2.93%, 5/1/06	(h)59		59
Royal Bank of Canada N.Y., 2.81%, 6/27/05	(h)144		144
Scaldis Capital LLC, 2.69%, 4/7/05	72		72
Sigma Finance, Inc.,
2.79%, 9/15/05	(h)144		144
2.84%, 3/22/06	(h)144		144
SLM Corp., 2.85%, 5/1/06	(h)144		144
Svenska Handelsbank N.Y., 2.82%, 5/10/05	(h)144		144
Tango Finance Corp., 2.83%, 3/22/06	(h)120		120
UBS Securities LLC, 2.89%, 4/1/05	1,105		1,105
Washington Mutual Bank FA,
2.81%, 5/3/05	144		144
2.82%, 5/2/05	72		72
Westdeutsche Landesbank N.Y., 2.74%, 8/9/05	(h)72		72
Yorktown Capital LLC, 2.81%, 4/19/05	143		143
			7,177
	Shares
Investment Company held as Collateral on Loaned Securities (0.0%)
JPMorgan Securities Lending Collateral Investment Fund	48,797		49
	Face
	Amount (000)
Discount Notes (0.6%)
Federal Home Loan Mortgage Corporation
2.80%, 5/2/05	$	1,500	1,496
Repurchase Agreement (6.5%)
J.P. Morgan Securities, Inc., 2.78%, dated 3/31/05, due 4/1/05, repurchase price $15,916	(f)15,915		15,915
U.S. Treasury Securities (0.1%)
U.S. Treasury Bills
2.85%, 7/14/05	$	(j)100	$	99
Total Short-Term Investments (Cost $24,736)			24,736
Total Investments (105.9%) (Cost $229,253) — Including $14,204 of Securities Loaned			259,579
Liabilities in Excess of Other Assets (-5.9%)			(14,463		)
Net Assets (100%)			$	245,116

(a)Non-income producing security.

(b)Issuer is in default.

(c)All or a portion of security on loan at March 31, 2005.

(d)Security was valued at fair value — At March 31, 2005, the Portfolio held fair valued securities, each valued at less than $500, representing less than 0.05% of net assets.

(e)144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(f)Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $955,894,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation, Gold Pools: 4.00% to 7.50%, due 1/1/07 to 1/1/35; Federal National Mortgage Association, Conventional Pools: 4.00% to 8.50%, due 1/1/09 to 3/1/35; and Federal National Mortgage Association, Adjustable Rate Mortgages: 4.091% to 5.327%, due 3/1/34 to 5/1/38, which had a total value of $975,016,856. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Portfolio from the SEC.

(g)Step Bond — Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2005. Maturity date disclosed is the ultimate maturity date.

(h)Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2005.

(i)Security is subject to delayed delivery.

(j)All or a portion of the security was pledged to cover margin requirements for futures contracts.

(k)Security’s issuer is an affiliate of the adviser. Held as collateral for securities on loan. (Note H)

@Value/Face Amount is less than $500.

ADRAmerican Depositary Receipt

Inv FlInverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2005.

IOInterest Only

POPrincipal Only

PACPlanned Amortization Class

REITReal Estate Investment Trust

TBATo be announced

The accompanying notes are an integral part of the financial statements.

64

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

Foreign Currency Exchange Contract Information:

The Portfolio had the following foreign currency exchange contract(s) open atperiod end:

Currency to Deliver		Value		Settlement Date	In Exchange For		Value		Net Unrealized Appreciation (Depreciation)
(000)		(000)			(000)		(000)		(000)
CAD	579	$	479	6/16/05	USD	480	$	480	$	1
CNY	29,000	3,601		12/8/05	USD	3,700	3,700		99
EUR	90	117		4/26/05	USD	118	118		1
EUR	112	146		4/26/05	USD	147	147		1
EUR	63	81		4/26/05	USD	82	82		1
EUR	4,704	6,108		6/16/05	USD	6,314	6,314		206
EUR	917	1,191		6/16/05	USD	1,230	1,230		39
JPY	263,618	2,474		6/16/05	USD	2,539	2,539		65
SGD	3,181	1,931		6/16/05	USD	1,967	1,967		36
USD	13,936	13,936		12/8/05	CNY	109,282	13,568		(368		)
USD	7,537	7,537		6/16/05	EUR	5,621	7,299		(238		)
USD	2,600	2,600		12/6/05	INR	115,440	2,618		18
		$	40,201				$	40,062	$	(139	)

CAD	— Canadian Dollar
CNY	— Chinese RenMinBi
EUR	— Euro
INR	— Indian Rupee
JPY	— Japanese Yen
SGD	— Singapore Dollar
USD	— U.S. Dollar

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts	Value		Expiration Date	Net Unrealized Appreciation (Depreciation)
		(000)			(000)
Long:
Australian Dollar 10 yr. Bond	22	$	12,338	Jun-05	$	(@—	)
British Pound Long Gilt	7	1,456		Jun-05	9
FTSE/JSE Top 40 Index (South African Rand)	64	1,237		Jun-05	(47		)
S&P 500 Index (U.S. Dollar)	54	3,197		Jun-05	1
U.S. Treasury 5 yr. Note	41	4,391		Jun-05	(34		)
U.S. Treasury 10 yr. Note	77	8,413		Jun-05	(83		)
U.S. Treasury Long Bond	118	13,142		Jun-05	(233		)
Short:
Russell MINI Index (U.S. Dollar)	97	5,994		Jun-05	75
U.S. Treasury 2 yr. Note	64	13,241		Jun-05	56
U.S. Treasury 5 yr. Note	22	2,356		Jun-05	17
U.S. Treasury 10 yr. Note	43	4,698		Jun-05	49
					$	(190	)

Graphic Presentation of Portfolio Holdings

The following graph depicts the investment type, as a percentage of total investments.

The accompanying notes are an integral part of the financial statements.

65

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Assets and Liabilities

	Core Plus Fixed Income Portfolio			Investment Grade Fixed Income Portfolio			U.S. Core Fixed Income Portfolio			High Yield Portfolio
	(000)			(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	3,174,559		$	712,228		$	332,407		$	292,068
Investments in Securities of Unaffiliated Issuers, at Value:(1)	3,180,438			716,660			332,798			261,838
Receivable for Delayed Delivery Commitments	90,000			16,320			9,760			—
Due from Broker	25,571			7,375			2,523			—
Interest Receivable	14,197			3,225			1,503			4,363
Unrealized Appreciation on Swap Agreements	7,273			1,750			867			—
Receivable for Investments Sold	6,526			1,963			957			3,027
Receivable for Portfolio Shares Sold	1,533			710			298			255
Unrealized Appreciation on Foreign Currency Exchange Contracts	80			—			—			207
OtherAssets	59			13			6			8
Total Assets	3,325,677			748,016			348,712			269,698
Liabilities:
Collateral on Securities Loaned, at Value	452,298			91,034			41,115			44,486
Payable for Delayed Delivery Commitments	333,294			69,682			33,723			—
Interest Payable for Swap Agreements	31,613			6,596			2,769			—
Payable for Investments Purchased	18,984			42,031			17,922			—
Unrealized Depreciation on Swap Agreements	9,259			2,572			1,093			—
Payable for Investment Advisory Fees	2,026			508			191			315
Payable for Portfolio Shares Redeemed	1,241			94			177			119
Bank Overdraft Payable	550			419			292			508
Payable for Administration Fees	179			41			20			21
Payable for Trustees’ Fees and Expenses	97			16			4			24
Payable for Custodian Fees	51			13			17			10
Payable for Distribution Fees — Adviser Class	24			#—			2			3
Payable for Shareholder Servicing Fees — Investment Class	27			—			—			#—
Unrealized Depreciation on Foreign Currency Exchange Contracts	2			—			—			22
Other Liabilities	236			55			32			49
Total Liabilities	849,881			213,061			97,357			45,557
Net Assets	$	2,475,796		$	534,955		$	251,355		$	224,141
Net Assets Consist Of:
Paid-in Capital	$	2,546,797		$	532,885		$	251,527		$	777,410
Undistributed (Distributions in Excess of) Net Investment Income	19,404			3,676			1,642			2,254
Accumulated Net Realized Gain (Loss)	(95,267		)	(4,729		)	(1,683		)	(525,472		)
Unrealized Appreciation (Depreciation) on:
Investments	5,879			4,432			391			(30,230		)
Foreign Currency Exchange Contracts and Translations	74			—			—			179
Futures Contracts	895			(486		)	(296		)	—
Swap Agreements	(1,986		)	(823		)	(226		)	—
Net Assets	$	2,475,796		$	534,955		$	251,355		$	224,141

The accompanying notes are an integral part of the financial statements.

66

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Assets and Liabilities (cont’d)

	Core Plus Fixed Income Portfolio		Investment Grade Fixed Income Portfolio		U.S. Core Fixed Income Portfolio		High Yield Portfolio
	(000)		(000)		(000)		(000)
INSTITUTIONAL CLASS:
Net Assets	$	2,153,833	$	533,774	$	241,341	$	212,268
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	186,111,576		47,100,141		21,980,927		39,400,885
Net Asset Value, Offering and Redemption Price Per Share	$	11.57	$	11.33	$	10.98	$	5.39
INVESTMENT CLASS:
Net Assets	$	216,421	$	—	$	—	$	1,144
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	18,705,701		—		—		210,730
Net Asset Value, Offering and Redemption Price Per Share	$	11.57	$	—	$	—	$	5.43
ADVISER CLASS:
Net Assets	$	105,542	$	1,181	$	10,014	$	10,729
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	9,129,917		104,278		916,717		1,986,390
Net Asset Value, Offering and Redemption Price Per Share	$	11.56	$	11.33	$	10.92	$	5.40

(1) Including:
Securities on Loan, at Value:	$	620,597	$	124,653	$	53,907	$	43,377

# Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

67

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Assets and Liabilities

	Intermediate Duration Portfolio			International Fixed Income Portfolio			Limited Duration Portfolio			Municipal Portfolio			Balanced Portfolio
	(000)			(000)			(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	240,074		$	166,035		$	1,057,455		$	482,189		$	229,253
Foreign Currency, at Cost:	—			70			—			—			—
Investments in Securities of Unaffiliated Issuers, at Value:(1)	238,480			183,732			1,046,371			497,966			259,579
Foreign Currency, at Value:	—			70			—			—			—
Cash	—			101			5			11			—
Receivable for Delayed Delivery Commitments	—			—			—			—			2,225
Interest Receivable	1,654			3,018			7,165			3,290			521
Due from Broker	3			2,094			—			1,940			1,560
Receivable for Portfolio Shares Sold	—			76			1,853			941			13
Receivable for Investments Sold	171			69			845			175			3,177
Unrealized Appreciation on Foreign Currency Exchange Contracts	5			357			—			—			467
Unrealized Appreciation on Swap Agreements	—			—			12			1,329			188
Dividends Receivable	—			—			—			25			219
Interest Receivable for Swap Agreements	—			—			23			—			—
OtherAssets	4			4			24			9			7
Total Assets	240,317			189,521			1,056,298			505,686			267,956
Liabilities:
Collateral on Securities Loaned, at Value	—			—			—			—			7,225
Payable for Delayed Delivery Commitments	—			—			962			—			9,994
Payable for Investments Purchased	22,467			5,643			—			63,759			2,876
Unrealized Depreciation on Foreign Currency Exchange Contracts	—			409			—			—			606
Unrealized Depreciation on Swap Agreements	88			—			181			914			393
Interest Payable for Swap Agreements	22			—			—			2,879			971
Payable for Portfolio Shares Redeemed	—			111			1,093			677			349
Payable for Investment Advisory Fees	183			162			759			375			282
Payable for Administration Fees	17			15			76			33			20
Payable for Custodian Fees	6			12			17			9			24
Payable for Trustees’ Fees and Expenses	1			2			3			2			9
Payable for Distribution Fees — Adviser Class	—			—			—			—			8
Payable for Shareholder Servicing Fees — Investment Class	26			—			—			—			#—
Bank Overdraft Payable	168			—			—			—			40
Due to Broker	—			—			5			—			—
Other Liabilities	24			31			74			40			43
Total Liabilities	23,002			6,385			3,170			68,688			22,840
Net Assets	$	217,315		$	183,136		$	1,053,128		$	436,998		$	245,116
Net Assets Consist Of:
Paid-in Capital	$	219,929		$	168,514		$	1,075,531		$	423,789		$	291,631
Undistributed (Distributions in Excess of) Net Investment Income	260			(7,468		)	2,442			878			568
Accumulated Net Realized Gain (Loss)	(1,174		)	4,314			(13,924		)	(4,043		)	(76,873		)
Unrealized Appreciation (Depreciation) on:
Investments	(1,594		)	17,697			(11,084		)	15,777			30,326
Foreign Currency Exchange Contracts and Translations	5			(44		)	—			—			(141		)
Futures Contracts	(23		)	123			332			183			(190		)
Swap Agreements	(88		)	—			(169		)	414			(205		)
Net Assets	$	217,315		$	183,136		$	1,053,128		$	436,998		$	245,116

The accompanying notes are an integral part of the financial statements.

68

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Assets and Liabilities (cont’d)

	Intermediate Duration Portfolio		International Fixed Income Portfolio		Limited Duration Portfolio		Municipal Portfolio		Balanced Portfolio
	(000)		(000)		(000)		(000)		(000)
INSTITUTIONAL CLASS:
Net Assets	$	7,090	$	183,136	$	1,053,128	$	436,998	$	203,648
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	696,292		16,245,528		101,775,867		34,928,074		18,083,389
Net Asset Value, Offering and Redemption Price Per Share	$	10.18	$	11.27	$	10.35	$	12.51	$	11.26
INVESTMENT CLASS:
Net Assets	$	210,225	$	—	$	—	$	—	$	3,367
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	20,709,141		—		—		—		299,417
Net Asset Value, Offering and Redemption Price Per Share	$	10.15	$	—	$	—	$	—	$	11.24
ADVISER CLASS:
Net Assets	$	—	$	—	$	—	$	—	$	38,101
Shares Outstanding $0.01 par value shares of beneficial interest (500,000,000 shares authorized) (not in 000’s)	—		—		—		—		3,389,720
Net Asset Value, Offering and Redemption Price Per Share	$	—	$	—	$	—	$	—	$	11.24

(1) Including:
Securities on Loan, at Value:	$	—	$	—	$	—	$	—	$	14,204

# Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

69

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2005

	Core Plus Fixed Income Portfolio			Investment Grade Fixed Income Portfolio			U.S. Core Fixed Income Portfolio			High Yield Portfolio
	(000)			(000)			(000)			(000)
Investment Income:
Dividends	$	889		$	98		$	41		$	—
Interest	52,837			11,181			4,896			12,160
Total Investment Income	53,726			11,279			4,937			12,160
Expenses:
Investment Advisory Fees (Note B)	4,123			1,016			454			695
Administration Fees (Note C)	934			209			93			120
Custodian Fees (Note E)	77			19			29			14
Shareholder Reporting Fees	254			43			31			52
Professional Fees	120			35			22			29
Shareholder Servicing Fees — Investment Class Shares (Note D)	133			—			—			1
Distribution Fees — Adviser Class Shares (Note D)	142			2			12			22
Transfer Agency Fees (Note F)	11			4			3			7
Trustees’ Fees and Expenses	28			6			2			5
Other Expenses	108			48			30			38
Total Expenses	5,930			1,382			676			983
Waiver of Investment Advisory Fees (Note B)	—			—			(59		)	—
Waiver of Distribution Fees — Adviser Class Shares (Note D)	—			(1		)	—			—
Expense Offset (Note E)	(1		)	(1		)	#—			(1		)
Net Expenses	5,929			1,380			617			982
Net Investment Income	47,797			9,899			4,320			11,178
Realized Gain (Loss):
Investments Sold	12,710			1,290			1,134			6,696
Foreign Currency Transactions	192			—			—			(434		)
Futures Contracts	2,593			676			211			(27		)
Swap Agreements	1,370			302			127			—
Net Realized Gain (Loss)	16,865			2,268			1,472			6,235
Change in Unrealized Appreciation (Depreciation):
Investments	(30,177		)	(3,184		)	(2,071		)	(11,216		)
Foreign Currency Exchange Contracts and Translations	214			—			—			426
Futures Contracts	3,058			190			136			1
Swap Agreements	(2,826		)	(1,192		)	(494		)	—
Net Change in Unrealized Appreciation (Depreciation)	(29,731		)	(4,186		)	(2,429		)	(10,789		)
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	(12,866		)	(1,918		)	(957		)	(4,554		)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	34,931		$	7,981		$	3,363		$	6,624

# Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

70

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2005

	Intermediate Duration Portfolio			International Fixed Income Portfolio			Limited Duration Portfolio			Municipal Portfolio			Balanced Portfolio
	(000)			(000)			(000)			(000)			(000)
Investment Income:†
Dividends	$	9		$	—		$	25		$	108		$	2,039
Interest	3,581			2,440			16,778			6,799			1,906
Total Investment Income	3,590			2,440			16,803			6,907			3,945
Expenses:
Investment Advisory Fees (Note B)	336			317			1,502			757			588
Administration Fees (Note C)	71			67			391			157			101
Custodian Fees (Note E)	10			18			27			13			34
Shareholder Reporting Fees	9			33			101			27			44
Professional Fees	17			22			49			27			29
Shareholder Servicing Fees — Investment Class Shares (Note D)	127			—			—			—			2
Distribution Fees — Adviser Class Shares (Note D)	—			—			—			—			59
Transfer Agency (Note F)	3			3			2			3			6
Trustees’ Fees and Expenses	1			1			7			3			3
Other Expenses	20			22			58			44			32
Total Expenses	594			483			2,137			1,031			898
Waiver of Investment Advisory Fees (Note B)	—			—			—			(20		)	—
Expense Offset (Note E)	#—			#—			#—			#—			(1		)
Net Expenses	594			483			2,137			1,011			897
Net Investment Income	2,996			1,957			14,666			5,896			3,048
Realized Gain (Loss):
Investments Sold	299			426			(1,617		)	620			8,336
Foreign Currency Transactions	12			4,695			—			—			259
Futures Contracts	122			227			(1,101		)	(1,064		)	178
Swap Agreements	89			—			—			—			44
Option Contracts	—			—			41			—			—
Net Realized Gain (Loss)	522			5,348			(2,677		)	(444		)	8,817
Change in Unrealized Appreciation (Depreciation):
Investments	(3,343		)	2,263			(13,147		)	(3,948		)	1,432
Foreign Currency Exchange Contracts and Translations	10			(290		)	—			—			234
Futures Contracts	(32		)	47			2,078			113			(99		)
Swap Agreements	(395		)	—			(169		)	(568		)	(89		)
Net Change in Unrealized Appreciation (Depreciation)	(3,760		)	2,020			(11,238		)	(4,403		)	1,478
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	(3,238		)	7,368			(13,915		)	(4,847		)	10,295
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(242	)	$	9,325		$	751		$	1,049		$	13,343

† Net of $4 withholding tax for the Balanced Portfolio.

# Amount is less than $500.

The accompanying notes are an integral part of the financial statements.

71

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	Core Plus Fixed Income Portfolio
	Six Months Ended March 31, 2005 (unaudited)			Year Ended September 30, 2004
	(000)			(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	47,797		$	83,574
Net Realized Gain (Loss)	16,865			15,206
Net Change in Unrealized Appreciation (Depreciation)	(29,731		)	20,092
Net Increase (Decrease) in Net Assets Resulting from Operations	34,931			118,872
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(52,734		)	(114,269		)
Investment Class:
Net Investment Income	(3,752		)	(5,633		)
Adviser Class:
Net Investment Income	(2,641		)	(7,067		)
Total Distributions	(59,127		)	(126,969		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	247,329			433,308
Distributions Reinvested	48,477			105,689
Redeemed	(240,637		)	(1,012,329		)
Investment Class:
Subscribed	77,043			34,784
Distributions Reinvested	3,746			5,598
Redeemed	(8,945		)	(8,968		)
Adviser Class:
Subscribed	12,974			18,228
Distributions Reinvested	2,603			6,471
Redeemed	(23,734		)	(119,770		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	118,856			(536,989		)
Total Increase (Decrease) in Net Assets	94,660			(545,086		)
Net Assets:
Beginning of Period	2,381,136			2,926,222
End of Period	$	2,475,796		$	2,381,136
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	19,404		$	30,734

(1)   Capital Share Transactions:
Institutional Class:
Shares Subscribed	21,308		37,331
Shares Issued on Distributions Reinvested	4,204		9,136
Shares Redeemed	(20,739	)	(87,182	)
Net Increase (Decrease) in Institutional Class Shares Outstanding	4,773		(40,715	)
Investment Class:
Shares Subscribed	6,647		3,015
Shares Issued on Distributions Reinvested	325		484
Shares Redeemed	(770	)	(778	)
Net Increase (Decrease) in Investment Class Shares Outstanding	6,202		2,721
Adviser Class:
Shares Subscribed	1,119		1,568
Shares Issued on Distributions Reinvested	226		559
Shares Redeemed	(2,048	)	(10,348	)
Net Increase (Decrease) in Adviser Class Shares Outstanding	(703	)	(8,221	)

The accompanying notes are an integral part of the financial statements.

72

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	Investment Grade Fixed Income Portfolio						U.S. Core Fixed Income Portfolio
	Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)			Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	9,899		$	16,205		$	4,320		$	7,406
Net Realized Gain (Loss)	2,268			12,407			1,472			10,160
Net Change in Unrealized Appreciation (Depreciation)	(4,186		)	(5,247		)	(2,429		)	(6,349		)
Net Increase (Decrease) in Net Assets Resulting from Operations	7,981			23,365			3,363			11,217
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(12,497		)	(21,954		)	(5,145		)	(11,467		)
Net Realized Gain	(6,580		)	—			(3,934		)	—
Adviser Class:
Net Investment Income	(29		)	(54		)	(206		)	(385		)
Net Realized Gain	(14		)	—			(166		)	—
Total Distributions	(19,120		)	(22,008		)	(9,451		)	(11,852		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	78,686			179,089			37,382			88,816
Distributions Reinvested	18,437			21,164			9,068			11,398
Redeemed	(80,072		)	(243,364		)	(25,823		)	(193,078		)
Adviser Class:
Subscribed	2			2			1,817			2,962
Distributions Reinvested	38			48			372			384
Redeemed	(234		)	(233		)	(1,492		)	(4,349		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	16,857			(43,294		)	21,324			(93,867		)
Total Increase (Decrease) in Net Assets	5,718			(41,937		)	15,236			(94,502		)
Net Assets:
Beginning of Period	529,237			571,174			236,119			330,621
End of Period	$	534,955		$	529,237		$	251,355		$	236,119
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	3,676		$	6,303		$	1,642		$	2,673

(1)   Capital Share Transactions:
Institutional Class:
Shares Subscribed	6,889		15,633		3,367		7,965
Shares Issued on Distributions Reinvested	1,631		1,853		827		1,024
Shares Redeemed	(7,041	)	(21,240	)	(2,329	)	(17,285	)
Net Increase (Decrease) in Institutional Class Shares Outstanding	1,479		(3,754	)	1,865		(8,296	)
Adviser Class:
Shares Subscribed	@—		@—		164		266
Shares Issued on Distributions Reinvested	3		4		34		35
Shares Redeemed	(20	)	(20	)	(135	)	(392	)
Net Increase (Decrease) in Adviser Class Shares Outstanding	(17	)	(16	)	63		(91	)

@ Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.

73

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	High Yield Portfolio								Intermediate Duration Portfolio
	Six Months Ended March 31, 2005 (unaudited) (000)				Year Ended September 30, 2004 (000)				Six Months Ended March 31, 2005 (unaudited) (000)				Year Ended September 30, 2004 (000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$		11,178		$	24,089			$		2,996		$	3,859
Net Realized Gain (Loss)	6,235				(20,643			)	522				1,328
Net Change in Unrealized Appreciation (Depreciation)	(10,789			)	34,277				(3,760			)	(1,216			)
Net Increase (Decrease) in Net Assets Resulting from Operations	6,624				37,723				(242			)	3,971
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(15,122			)	(19,062			)	(206			)	(839			)
Net Realized Gain	—				—				(22			)	—
Investment Class:
Net Investment Income	(15			)	(22			)	(3,004			)	(3,953			)
Net Realized Gain	—				—				(477			)	—
Adviser Class:
Net Investment Income	(893			)	(821			)	—				—
Total Distributions	(16,030			)	(19,905			)	(3,709			)	(4,792			)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	56,488				291,189				66				4,718
Distributions Reinvested	14,437				17,480				206				780
Redeemed	(164,239			)	(342,061			)	(11,802			)	(10,353			)
Investment Class:
Subscribed	1,652				3,048				79,705				37,926
Distributions Reinvested	15				22				3,481				3,953
Redeemed	(1,651			)	(3,374			)	(8,031			)	(1,994			)
Adviser Class:
Subscribed	5,774				24,230				—				—
Distributions Reinvested	847				781				—				—
Redeemed	(13,268			)	(21,896			)	—				—
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	(99,945			)	(30,581			)	63,625				35,030
Total Increase (Decrease) in Net Assets	(109,351			)	(12,763			)	59,674				34,209
Net Assets:
Beginning of Period	333,492				346,255				157,641				123,432
End of Period	$	224,141			$	333,492			$	217,315			$		157,641
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$		2,254		$		7,106		$	260			$		474

(1)   Capital Share Transactions:
Institutional Class:
Shares Subscribed	10,145		53,562		6		450
Shares Issued on Distributions Reinvested	2,617		3,260		20		75
Shares Redeemed	(29,598	)	(62,990	)	(1,140	)	(1,002	)
Net Increase (Decrease) in Institutional Class Shares Outstanding	(16,836	)	(6,168	)	(1,114	)	(477	)
Investment Class:
Shares Subscribed	297		566		7,765		3,682
Shares Issued on Distributions Reinvested	3		4		339		383
Shares Redeemed	(290	)	(619	)	(776	)	(192	)
Net Increase (Decrease) in Investment Class Shares Outstanding	10		(49	)	7,328		3,873
Adviser Class:
Shares Subscribed	1,034		4,460		—		—
Shares Issued on Distributions Reinvested	153		145		—		—
Shares Redeemed	(2,399	)	(4,033	)	—		—
Net Increase (Decrease) in Adviser Class Shares Outstanding	(1,212	)	572		—		—

The accompanying notes are an integral part of the financial statements.

74

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	International Fixed Income Portfolio						Limited Duration Portfolio
	Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)			Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	1,957		$	3,400		$	14,666		$	19,345
Net Realized Gain (Loss)	5,348			4,667			(2,677		)	(3,276		)
Net Change in Unrealized Appreciation (Depreciation)	2,020			1,726			(11,238		)	(4,493		)
Net Increase (Decrease) in Net Assets Resulting from Operations	9,325			9,793			751			11,576
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(9,623		)	(16,118		)	(15,139		)	(21,578		)
Net Realized Gain	—			—			—			(1,611		)
Total Distributions	(9,623		)	(16,118		)	(15,139		)	(23,189		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	39,269			80,580			207,814			552,164
Distributions Reinvested	9,092			15,868			15,007			22,946
Redeemed	(19,038		)	(50,944		)	(112,672		)	(228,931		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	29,323			45,504			110,149			346,179
Total Increase (Decrease) in Net Assets	29,025			39,179			95,761			334,566
Net Assets:
Beginning of Period	154,111			114,932			957,367			622,801
End of Period	$	183,136		$	154,111		$	1,053,128		$	957,367
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	(7,468	)	$	198		$	2,442		$	2,915

(1)   Capital Share Transactions:
Institutional Class:
Shares Subscribed	3,392		7,153		19,948		52,242
Shares Issued on Distributions Reinvested	775		1,449		1,440		2,175
Shares Redeemed	(1,633	)	(4,536	)	(10,814	)	(21,683	)
Net Increase (Decrease) in Institutional Class Shares Outstanding	2,534		4,066		10,574		32,734

The accompanying notes are an integral part of the financial statements.

75

2005 Semi-Annual Report

March 31, 2005

Statements of Changes in Net Assets

	Municipal Portfolio						Balanced Portfolio
	Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)			Six Months Ended March 31, 2005 (unaudited) (000)			Year Ended September 30, 2004 (000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	5,896		$	10,709		$	3,048		$	4,642
Net Realized Gain (Loss)	(444		)	506			8,817			21,253
Net Change in Unrealized Appreciation (Depreciation)	(4,403		)	3,154			1,478			4,157
Net Increase (Decrease) in Net Assets Resulting from Operations	1,049			14,369			13,343			30,052
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(6,217		)	(10,806		)	(3,506		)	(4,807		)
Investment Class:
Net Investment Income	—			—			(52		)	(118		)
Adviser Class:
Net Investment Income	—			—			(686		)	(1,053		)
Total Distributions	(6,217		)	(10,806		)	(4,244		)	(5,978		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	132,329			180,378			17,545			38,405
Distributions Reinvested	5,235			8,819			3,500			4,800
Redeemed	(64,084		)	(138,073		)	(28,026		)	(121,268		)
Investment Class:
Subscribed	—			—			96			651
Distributions Reinvested	—			—			52			118
Redeemed	—			—			—			(6,595		)
Adviser Class:
Subscribed	—			—			3,141			9,130
Distributions Reinvested	—			—			686			1,053
Redeemed	—			—			(25,305		)	(16,463		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	73,480			51,124			(28,311		)	(90,169		)
Total Increase (Decrease) in Net Assets	68,312			54,687			(19,212		)	(66,095		)
Net Assets:
Beginning of Period	368,686			313,999			264,328			330,423
End of Period	$	436,998		$	368,686		$	245,116		$	264,328
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	878		$	1,199		$	568		$	1,764

(1)   Capital Share Transactions:
Institutional Class:
Shares Subscribed	10,475		14,363		1,559		3,573
Shares Issued on Distributions Reinvested	415		703		310		450
Shares Redeemed	(5,085	)	(11,004	)	(2,484	)	(11,235	)
Net Increase (Decrease) in Institutional Class Shares Outstanding	5,805		4,062		(615	)	(7,212	)
Investment Class:
Shares Subscribed	—		—		8		61
Shares Issued on Distributions Reinvested	—		—		5		11
Shares Redeemed	—		—		—		(596	)
Net Increase (Decrease) in Investment Class Shares Outstanding	—		—		13		(524	)
Adviser Class:
Shares Subscribed	—		—		279		846
Shares Issued on Distributions Reinvested	—		—		61		98
Shares Redeemed	—		—		(2,217	)	(1,525	)
Net Increase (Decrease) in Adviser Class Shares Outstanding	—		—		(1,877	)	(581	)

The accompanying notes are an integral part of the financial statements.

76

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Cash Flows

For the Six Months Ended March 31, 2005

	Core Plus Fixed Income Portfolio				Investment Grade Fixed Income Portfolio				U.S. Core Fixed Income Portfolio
	(000)				(000)				(000)
Cash Flows From Operating Activities:
Proceeds from Sales and Maturities of Investments	$	858,529			$	382,919			$	175,970
Purchases of Investments	(664,231			)	(360,325			)	(160,971		)
Proceeds from Sales of Delayed Delivery Commitments	2,205,351				508,440				218,637
Purchases of Delayed Delivery Commitments	(2,556,674			)	(592,901			)	(269,549		)
Net (Increase) Decrease in Short-Term Investments	31,391				51,723				18,474
Net Realized Gain (Loss) on Foreign Currency Transactions	192				—				—
Net Realized Gain (Loss) on Futures Contracts	2,593				676				211
Net Realized Gain (Loss) on Swap Agreements	1,370				302				127
Net Investment Income	47,797				9,899				4,320
Adjustments to Reconcile Net Investment Income to Net Cash Provided by Operating Activities:
Net (Increase) Decrease in Receivables Related to Operations	1,630				(165			)	(98		)
Net Increase (Decrease) in Payables Related to Operations	9,613				2,381				1,175
Accretion/Amortization of Discounts and Premiums	587				(578			)	(219		)
Net Cash Provided (Used) in Operating Activities	(61,852			)	2,371				(11,923		)
Cash Flows from Financing Activities:
Proceeds from Portfolio Shares Sold	339,829				78,587				39,215
Payment on Portfolio Shares Redeemed	(274,147			)	(80,313			)	(27,348		)
Cash Dividends and Distributions Paid	(4,301			)	(645			)	(11		)
Net Cash Provided (Used) by Financing Activities	61,381				(2,371			)	11,856
Net Increase (Decrease) in Cash	(471			)	—				(67		)
Cash at Beginning of Period	471				—				67
Cash at End of Period	$		—		$		—		$	—

The accompanying notes are an integral part of the financial statements.

77

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Statements of Cash Flows

For the Six Months Ended March 31, 2005

	Intermediate Duration Portfolio			Limited Duration Portfolio			Balanced Portfolio
	(000)			(000)			(000)
Cash Flows From Operating Activities:
Proceeds from Sales and Maturities of Investments	$	160,198		$	276,529		$	120,165
Purchases of Investments	(177,676		)	(355,867		)	(89,964		)
Proceeds from Sales of Delayed Delivery Commitments	26,979			62,829			71,402
Purchases of Delayed Delivery Commitments	(53,779		)	(108,357		)	(84,989		)
Net (Increase) Decrease in Short-Term Investments	(18,735		)	11,311			12,013
Net Realized Gain (Loss) on Foreign Currency Transactions	12			—			259
Net Realized Gain (Loss) on Futures Contracts	122			(1,060		)	178
Net Realized Gain (Loss) on Swap Agreements	89			—			(89		)
Net Realized Gain (Loss) on Option Contracts	—			41			—
Net Investment Income	2,996			14,666			3,048
Adjustments to Reconcile Net Investment Income to Net Cash Provided by Operating Activities:
Net (Increase) Decrease in Receivables Related to Operations	(453		)	441			4
Net Increase (Decrease) in Payables Related to Operations	244			113			351
Accretion/Amortization of Discounts and Premiums	(80		)	3,901			42
Net Cash Provided (Used) in Operating Activities	(60,083		)	(95,453		)	32,420
Cash Flows from Financing Activities:
Proceeds from Portfolio Shares Sold	79,771			207,554			20,811
Payment on Portfolio Shares Redeemed	(19,833		)	(112,139		)	(53,246		)
Cash Dividends and Distributions Paid	(22		)	(132		)	(6		)
Net Cash Provided (Used) by Financing Activities	59,916			95,283			(32,441		)
Net Increase (Decrease) in Cash	(167		)	(170		)	(21		)
Cash at Beginning of Period	167			175			21
Cash at End of Period	$	—		$	5		$	—

The accompanying notes are an integral part of the financial statements.

78

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Core Plus Fixed Income Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.69		$	11.71		$	11.82		$	11.84		$	11.25		$	11.26
Income (Loss) from Investment Operations
Net Investment Income	0.23		†	0.38		†	0.40		†	0.53		†	0.75			0.77		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.06		)	0.17			0.31			0.17			0.62			(0.02		)
Total from Investment Operations	0.17			0.55			0.71			0.72			1.37			0.75
Distributions from and/or in Excess of:
Net Investment Income	(0.29		)	(0.57		)	(0.67		)	(0.74		)	(0.78		)	(0.76		)
Net Realized Gain	—			—			(0.15		)	—			—			—
Total Distributions	(0.29		)	(0.57		)	(0.82		)	(0.74		)	(0.78		)	(0.76		)
Net Asset Value, End of Period	$	11.57		$	11.69		$	11.71		$	11.82		$	11.84		$	11.25
Total Return	1.47		%‡	4.80		%	6.24		%	6.30		%	12.74		%	7.02		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	2,153,833		$	2,120,149		$	2,600,453		$	3,883,346		$	4,142,009		$	4,087,553
Ratio of Expenses to Average Net Assets (1)	0.46		%*	0.50		%	0.50		%	0.50		%	0.48		%	0.48		%
Ratio of Net Investment Income to Average Net Assets	3.94		%*	3.29		%	3.39		%	4.69		%	6.46		%	7.03		%
Portfolio Turnover Rate	100		%‡^	334		%^	92		%	110		%	111		%	62		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.46	%*	0.50	%	0.50	%	0.50	%	0.47	%	0.47	%

	Investment Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.69		$	11.71		$	11.81		$	11.84		$	11.25		$	11.27
Income (Loss) from Investment Operations
Net Investment Income	0.22		†	0.36		†	0.37		†	0.53		†	0.72			0.76		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.06		)	0.17			0.33			0.16			0.64			(0.03		)
Total from Investment Operations	0.16			0.53			0.70			0.69			1.36			0.73
Distributions from and/or in Excess of:
Net Investment Income	(0.28		)	(0.55		)	(0.65		)	(0.72		)	(0.77		)	(0.75		)
Net Realized Gain	—			—			(0.15		)	—			—			—
Total Distributions	(0.28		)	(0.55		)	(0.80		)	(0.72		)	(0.77		)	(0.75		)
Net Asset Value, End of Period	$	11.57		$	11.69		$	11.71		$	11.81		$	11.84		$	11.25
Total Return	1.40		%‡	4.73		%	6.07		%	6.08		%	12.59		%	6.84		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	216,421		$	146,146		$	114,509		$	83,308		$	74,905		$	63,944
Ratio of Expenses to Average Net Assets (2)	0.61		%*	0.65		%	0.65		%	0.65		%	0.63		%	0.63		%
Ratio of Net Investment Income to Average Net Assets	3.77		%*	3.14		%	3.24		%	4.54		%	6.28		%	6.89		%
Portfolio Turnover Rate	100		%‡^	334		%^	92		%	110		%	111		%	62		%

(2) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.61	%*	0.65	%	0.65	%	0.65	%	0.62	%	0.62	%

†	Per share amount is based on average shares outstanding.
*	Annualized
‡	Not Annualized
^	The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

79

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Core Plus Fixed Income Portfolio

	Adviser Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.68		$	11.70		$	11.81		$	11.83		$	11.24		$	11.26
Income (Loss) from Investment Operations
Net Investment Income	0.21		†	0.35		†	0.36		†	0.52		†	0.71			0.75
Net Realized and Unrealized Gain (Loss) on Investments	(0.06		)	0.17			0.32			0.15			0.63			(0.02		)
Total from Investment Operations	0.15			0.52			0.68			0.67			1.34			0.73
Distributions from and/or in Excess of:
Net Investment Income	(0.27		)	(0.54		)	(0.64		)	(0.69		)	(0.75		)	(0.75		)
Net Realized Gain	—			—			(0.15		)	—			—			—
Total Distributions	(0.27		)	(0.54		)	(0.79		)	(0.69		)	(0.75		)	(0.75		)
Net Asset Value, End of Period	$	11.56		$	11.68		$	11.70		$	11.81		$	11.83		$	11.24
Total Return	1.34		%‡	4.57		%	5.99		%	6.01		%	12.43		%	6.79		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	105,542		$	114,841		$	211,260		$	200,034		$	176,849		$	144,754
Ratio of Expenses to Average Net Assets (1)	0.71		%*	0.75		%	0.75		%	0.75		%	0.73		%	0.73		%
Ratio of Net Investment Income to Average Net Assets	3.69		%*	3.04		%	3.14		%	4.44		%	6.20		%	6.78		%
Portfolio Turnover Rate	100		%‡^	334		%^	92		%	110		%	111		%	62		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.71	%*	0.75	%	0.75	%	0.75	%	0.72	%	0.72	%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

80

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Investment Grade Fixed Income Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005				Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)				2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$		11.57		$	11.54		$	11.57		$	11.32		$	10.67		$	10.74
Income (Loss) from Investment Operations
Net Investment Income	0.21			†	0.34		†	0.34		†	0.47		†	0.68			0.78
Net Realized and Unrealized Gain (Loss) on Investments	(0.04			)	0.14			0.23			0.39			0.70			(0.12		)
Total from Investment Operations	0.17				0.48			0.57			0.86			1.38			0.66
Distributions from and/or in Excess of:
Net Investment Income	(0.27			)	(0.45		)	(0.55		)	(0.61		)	(0.73		)	(0.73		)
Net Realized Gain	(0.14			)	—			(0.05		)	—			—			—
Total Distributions	(0.41			)	(0.45		)	(0.60		)	(0.61		)	(0.73		)	(0.73		)
Net Asset Value, End of Period	$		11.33		$	11.57		$	11.54		$	11.57		$	11.32		$	10.67
Total Return	1.49			%‡	4.36		%	5.00		%	7.93		%	13.45		%	6.48		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$		533,774		$	527,837		$	569,593		$	556,252		$	278,657		$	279,141
Ratio of Expenses to Average Net Assets (1)	0.51			%*	0.50		%	0.51		%	0.51		%	0.50		%	0.49		%
Ratio of Net Investment Income to Average Net Assets	3.65			%*	2.94		%	2.96		%	4.15		%	6.19		%	6.99		%
Portfolio Turnover Rate	139			%‡^	332		%^	81		%	93		%	89		%	43		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets		0.51		%*	0.50		%	0.51		%	0.51		%	0.50		%	0.48		%

	Adviser Class
	Six Months									May 20,
	Ended March									2002** to
	31, 2005			Year Ended September 30,						September
Selected Per Share Data and Ratios	(unaudited)			2004			2003			30, 2002
Net Asset Value, Beginning of Period	$	11.56		$	11.53		$	11.57		$	11.18
Income (Loss) from Investment Operations
Net Investment Income	0.20		†	0.32		†	0.32		†	0.34		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.03		)	0.14			0.22			0.15
Total from Investment Operations	0.17			0.46			0.54			0.49
Distributions from and/or in Excess of:
Net Investment Income	(0.26		)	(0.43		)	(0.53		)	(0.10		)
Net Realized Gain	(0.14		)	—			(0.05		)	—
Total Distributions	(0.40		)	(0.43		)	(0.58		)	(0.10		)
Net Asset Value, End of Period	$	11.33		$	11.56		$	11.53		$	11.57
Total Return	1.50		%‡	4.10			4.87		%	4.40		%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,181		$	1,400		$	1,581		$	1,714
Ratio of Expenses to Average Net Assets (2)	0.66		%*	0.65		%	0.66		%	0.66		%*
Ratio of Net Investment Income to Average Net Assets (2)	3.58		%*	2.79		%	2.81		%	4.00		%*
Portfolio Turnover Rate	139		%‡^	332		%^	81		%	93		%‡
(2) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Distributor:
Expenses to Average Net Assets	0.76		%*	0.75		%	0.76		%	0.76		%*
Net Investment Income to Average Net Assets	3.48		%*	2.69		%	2.71		%	3.90		%*
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.66		%*	0.65		%	0.66		%	0.66		%*

†Per share amount is based on average shares outstanding.

‡Not Annualized.

*Annualized

**Initial offering of Adviser Class shares.

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

81

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

U.S. Core Fixed Income Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.26		$	11.26		$	11.46		$	11.15		$	10.46		$	10.55
Income (Loss) from Investment Operations
Net Investment Income	0.20		†	0.33		†	0.32		†	0.44		†	0.65		†	0.71		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.04		)	0.14			0.19			0.42			0.73			(0.12		)
Total from Investment Operations	0.16			0.47			0.51			0.86			1.38			0.59
Distributions from and/or in Excess of:
Net Investment Income	(0.25		)	(0.47		)	(0.51		)	(0.55		)	(0.69		)	(0.68		)
Net Realized Gain	(0.19		)	—			(0.20		)	—			—			—
Total Distributions	(0.44		)	(0.47		)	(0.71		)	(0.55		)	(0.69		)	(0.68		)
Net Asset Value, End of Period	$	10.98		$	11.26		$	11.26		$	11.46		$	11.15		$	10.46
Total Return	1.46		%‡	4.33		%	4.61		%	7.98		%	13.68		%	5.88		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	241,341		$	226,555		$	320,036		$	310,546		$	195,467		$	181,884
Ratio of Expenses to Average Net Assets (1)	0.50		%*	0.50		%	0.50		%	0.50		%	0.51		%	0.51		%
Ratio of Net Investment Income to Average Net Assets (1)	3.58		%*	2.94		%	2.82		%	3.89		%	6.04		%	6.86		%
Portfolio Turnover Rate	132		%‡^	371		%^	109		%	86		%	86		%	51		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.55		%*	0.52		%	0.51		%	0.53		%	N/A			0.51		%
Net Investment Income to Average Net Assets	3.53		%*	2.92		%	2.81		%	3.86		%	N/A			6.85		%
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.50		%*	0.50		%	0.50		%	0.50		%	0.50		%	0.50		%

	Adviser Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.21		$	11.22		$	11.42		$	11.10		$	10.43		$	10.53
Income (Loss) from Investment Operations
Net Investment Income	0.18		†	0.30		†	0.29		†	0.41		†	0.62		†	0.68		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.04		)	0.14			0.19			0.43			0.72			(0.11		)
Total from Investment Operations	0.14			0.44			0.48			0.84			1.34			0.57
Distributions from and/or in Excess of:
Net Investment Income	(0.24		)	(0.45		)	(0.48		)	(0.52		)	(0.67		)	(0.67		)
Net Realized Gain	(0.19		)	—			(0.20		)	—			—			—
Total Distributions	(0.43		)	(0.45		)	(0.68		)	(0.52		)	(0.67		)	(0.67		)
Net Asset Value, End of Period	$	10.92		$	11.21		$	11.22		$	11.42		$	11.10		$	10.43
Total Return	1.24		%‡	4.12		%	4.28		%	7.85		%	13.29		%	5.68		%
Ratios and Supplemental Data:				��
Net Assets, End of Period (Thousands)	$	10,014		$	9,564		$	10,585		$	9,054		$	4,635		$	1,625
Ratio of Expenses to Average Net Assets (2)	0.75		%*	0.75		%	0.75		%	0.75		%	0.75		%	0.76		%
Ratio of Net Investment Income to Average Net Assets (2)	3.33		%*	2.69		%	2.57		%	3.64		%	5.72		%	6.61		%
Portfolio Turnover Rate	132		%‡^	371		%^	109		%	86		%	86		%	51		%
(2) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.80		%*	0.77		%	0.76		%	0.78		%	N/A			0.76		%
Net Investment Income to Average Net Assets	3.28		%*	2.67		%	2.56		%	3.61		%	N/A			6.60		%
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.75		%*	0.75		%	0.75		%	0.75		%	0.75		%	0.75		%

†Per share amount is based on average shares outstanding.

‡Not Annualized

*Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

82

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

High Yield Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	5.59		$	5.30		$	4.41		$	5.75		$	7.86		$	8.77
Income (Loss) from Investment Operations
Net Investment Income	0.20		†	0.42		†	0.43		†	0.54		†	0.78		†	0.89		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.12		)	0.20			0.77			(1.16		)	(1.95		)	(0.88		)
Total from Investment Operations	0.08			0.62			1.20			(0.62		)	(1.17		)	0.01
Distributions from and/or in Excess of:
Net Investment Income	(0.28		)	(0.33		)	(0.31		)	(0.72		)	(0.94		)	(0.92		)
Net Asset Value, End of Period	$	5.39		$	5.59		$	5.30		$	4.41		$	5.75		$	7.86
Total Return	1.37		%‡	12.11		%	28.68		%	(12.33		)%	(16.27		)%	(0.22		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	212,268		$	314,440		$	330,990		$	366,956		$	583,110		$	848,507
Ratio of Expenses to Average Net Assets (1)	0.62		%*	0.61		%	0.61		%	0.59		%	0.57		%	0.56		%
Ratio of Net Investment Income to Average Net Assets	7.25		%*	7.70		%	9.05		%	10.13		%	11.44		%	10.50		%
Portfolio Turnover Rate	26		%‡	89		%	97		%	79		%	67		%	55		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.62		%*	0.61		%	0.60		%	0.58		%	0.56		%	0.55		%

	Investment Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	5.62		$	5.31		$	4.41		$	5.75		$	7.87		$	8.78
Income (Loss) from Investment Operations
Net Investment Income	0.20		†	0.41		†	0.45		†	0.53		†	0.77		†	0.88		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.12		)	0.21			0.76			(1.16		)	(1.96		)	(0.89		)
Total from Investment Operations	0.08			0.62			1.21			(0.63		)	(1.19		)	(0.01		)
Distributions from and/or in Excess of:
Net Investment Income	(0.27		)	(0.31		)	(0.31		)	(0.71		)	(0.93		)	(0.90		)
Net Asset Value, End of Period	$	5.43		$	5.62		$	5.31		$	4.41		$	5.75		$	7.87
Total Return	1.28		%‡	12.07		%	28.69		%	(12.54		)%	(16.42		)%	(0.40		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,144		$	1,129		$	1,329		$	6,890		$	9,603		$	10,151
Ratio of Expenses to Average Net Assets (2)	0.77		%*	0.76		%	0.76		%	0.74		%	0.72		%	0.71		%
Ratio of Net Investment Income to Average Net Assets	7.07		%*	7.55		%	8.90		%	9.98		%	11.32		%	10.43		%
Portfolio Turnover Rate	26		%‡	89		%	97		%	79		%	67		%	55		%
							��
(2) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.77		%*	0.76		%	0.75		%	0.73		%	0.71		%	0.70		%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized

The accompanying notes are an integral part of the financial statements.

83

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

High Yield Portfolio

	Adviser Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	5.60		$	5.31		$	4.40		$	5.72		$	7.85		$	8.76
Income (Loss) from Investment Operations
Net Investment Income	0.20		†	0.40		†	0.42		†	0.54		†	0.72		†	0.87		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.13		)	0.21			0.78			(1.15		)	(1.92		)	(0.88		)
Total from Investment Operations	0.07			0.61			1.20			(0.61		)	(1.20		)	(0.01		)
Distributions from and/or in Excess of:
Net Investment Income	(0.27		)	(0.32		)	(0.29		)	(0.71		)	(0.93		)	(0.90		)
Net Asset Value, End of Period	$	5.40		$	5.60		$	5.31		$	4.40		$	5.72		$	7.85
Total Return	1.24		%‡	11.86		%	28.54		%	(12.24		)%	(16.62		)%	(0.42		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	10,729		17,923			13,936			13,178			95,483			22,781
Ratio of Expenses to Average Net Assets (1)	0.87		%*	0.86		%	0.86		%	0.84		%	0.83		%	0.81		%
Ratio of Net Investment Income to Average Net Assets	7.00		%*	7.45		%	8.80		%	9.88		%	11.03		%	10.34		%
Portfolio Turnover Rate	26		%‡	89		%	97		%	79		%	67		%	55		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.87		%*	0.86		%	0.85		%	0.83		%	0.82		%	0.80		%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized

The accompanying notes are an integral part of the financial statements.

84

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Intermediate Duration Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.40		$	10.49		$	10.71		$	10.37		$	9.67		$	9.77
Income (Loss) from Investment Operations
Net Investment Income	0.20		†	0.32		†	0.28		†	0.39		†	0.57			0.67		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.19		)	(0.01		)	0.14			0.43			0.69			(0.19		)
Total from Investment Operations	0.01			0.31			0.42			0.82			1.26			0.48
Distributions from and/or in Excess of:
Net Investment Income	(0.20		)	(0.40		)	(0.36		)	(0.48		)	(0.56		)	(0.58		)
Net Realized Gain	(0.03		)	—			(0.28		)	—			—			—
Total Distributions	(0.23		)	(0.40		)	(0.64		)	(0.48		)	(0.56		)	(0.58		)
Net Asset Value, End of Period	$	10.18		$	10.40		$	10.49		$	10.71		$	10.37		$	9.67
Total Return	0.10		%‡	3.06		%	4.12		%	8.12		%	13.42		%	5.84		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	7,090		$	18,828		$	23,991		$	63,912		$	50,814		$	37,686
Ratio of Expenses to Average Net Assets (1)	0.52		%*	0.53		%	0.54		%	0.54		%	0.54		%	0.54		%
Ratio of Net Investment Income to Average Net Assets	3.86		%*	3.07		%	2.63		%	3.73		%	5.62		%	6.95		%
Portfolio Turnover Rate	105		%‡^	211		%^	89		%	61		%	59		%	76		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.52		%*	0.53		%	0.54		%	0.53		%	0.54		%	0.53		%

	Investment Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.37		$	10.46		$	10.68		$	10.35		$	9.66		$	9.77
Income (Loss) from Investment Operations
Net Investment Income	0.17		†	0.30		†	0.26		†	0.37		†	0.54			0.65		†
Net Realized and Unrealized Gain (Loss) on Investments	(0.17		)	(0.01		)	0.15			0.43			0.70			(0.23		)
Total from Investment Operations	—			0.29			0.41			0.80			1.24			0.42
Distributions from and/or in Excess of:
Net Investment Income	(0.19		)	(0.38		)	(0.35		)	(0.47		)	(0.55		)	(0.53		)
Net Realized Gain	(0.03		)	—			(0.28		)	—			—			—
Total Distributions	(0.22		)	(0.38		)	(0.63		)	(0.47		)	(0.55		)	(0.53		)
Net Asset Value, End of Period	$	10.15		$	10.37		$	10.46		$	10.68		$	10.35		$	9.66
Total Return	0.04		%‡	2.86		%	3.97		%	8.02		%	13.24		%	5.68		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	210,225		$	138,813		$	99,441		$	58,092		$	35,094		$	27,679
Ratio of Expenses to Average Net Assets (2)	0.67		%*	0.68		%	0.69		%	0.69		%	0.69		%	0.68		%
Ratio of Net Investment Income to Average Net Assets	3.31		%*	2.92		%	2.48		%	3.58		%	5.47		%	6.81		%
Portfolio Turnover Rate	105		%‡^	211		%^	89		%	61		%	59		%	76		%
(2) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.67		%*	0.68		%	0.69		%	0.68		%	0.69		%	0.68		%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized.

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

85

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

International Fixed Income Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	11.24		$	11.92		$	9.88		$	8.96		$	8.88		$	10.12
Income (Loss) from Investment Operations
Net Investment Income	0.13		†	0.28		†	0.38		†	0.39			0.28		†	0.35
Net Realized and Unrealized Gain (Loss) on Investments	0.59			0.63			1.66			0.53			0.04			(1.15		)
Total from Investment Operations	0.72			0.91			2.04			0.92			0.32			(0.80		)
Distributions from and/or in Excess of:
Net Investment Income	(0.69		)	(1.59		)	—			—			(0.24		)	(0.27		)
Net Realized Gain	—			—			—			—			—			(0.17		)
Total Distributions	(0.69		)	(1.59		)	—			—			(0.24		)	(0.44		)
Net Asset Value, End of Period	$	11.27		$	11.24		$	11.92		$	9.88		$	8.96		$	8.88
Total Return	6.14		%‡	7.95		%	20.65		%	10.27		%	3.63		%	(8.23		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	183,136		$	154,111		$	114,932		$	94,474		$	77,363		$	112,456
Ratio of Expenses to Average Net Assets (1)	0.57		%*	0.56		%	0.56		%	0.60		%	0.55		%	0.56		%
Ratio of Net Investment Income to Average Net Assets	2.31		%*	2.52		%	3.51		%	3.44		%	3.31		%	3.76		%
Portfolio Turnover Rate	21		%‡	15		%	41		%	38		%	71		%	91		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.57		%*	0.56		%	0.56		%	0.60		%	0.55		%	0.55		%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized

The accompanying notes are an integral part of the financial statements.

86

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Limited Duration Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.50		$	10.65		$	10.69		$	10.59		$	10.17		$	10.18
Income (Loss) from Investment Operations
Net Investment Income	0.15		†	0.25		†	0.23		†	0.39			0.59			0.60
Net Realized and Unrealized Gain (Loss) on Investments	(0.14		)	(0.10		)	0.05			0.14			0.42			(0.03		)
Total from Investment Operations	0.01			0.15			0.28			0.53			1.01			0.57
Distributions from and/or in Excess of:
Net Investment Income	(0.16		)	(0.28		)	(0.27		)	(0.43		)	(0.59		)	(0.58		)
Net Realized Gain	—			(0.02		)	(0.05		)	—			—			—
Total Distributions	(0.16		)	(0.30		)	(0.32		)	(0.43		)	(0.59		)	(0.58		)
Net Asset Value, End of Period	$	10.35		$	10.50		$	10.65		$	10.69		$	10.59		$	10.17
Total Return	0.08		%‡	1.47		%	2.65		%	5.13		%	10.23		%	6.37		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,053,128		$	957,367		$	622,801		$	429,937		$	224,358		$	177,776
Ratio of Expenses to Average Net Assets (1)	0.43		%*	0.42		%	0.43		%	0.44		%	0.43		%	0.42		%
Ratio of Net Investment Income to Average Net Assets	2.92		%*	2.36		%	2.17		%	3.45		%	5.67		%	6.61		%
Portfolio Turnover Rate	32		%‡^	135		%^	68		%	72		%	59		%	57		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.43		%*	0.42		%	0.43		%	0.44		%	0.43		%	0.41		%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

87

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Municipal Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	12.66		$	12.53		$	12.49		$	12.14		$	11.43		$	11.39
Income (Loss) from Investment Operations
Net Investment Income	0.18		†	0.38		†	0.50		†	0.47			0.48			0.62
Net Realized and Unrealized Gain (Loss) on Investments	(0.13		)	0.14			(0.01		)	0.39			0.72			0.10
Total from Investment Operations	0.05			0.52			0.49			0.86			1.20			0.72
Distributions from and/or in Excess of:
Net Investment Income	(0.20		)	(0.39		)	(0.45		)	(0.51		)	(0.49		)	(0.62		)
Net Realized Gain	—			—			—			—			—			(0.06		)
Total Distributions	(0.20		)	(0.39		)	(0.45		)	(0.51		)	(0.49		)	(0.68		)
Net Asset Value, End of Period	$	12.51		$	12.66		$	12.53		$	12.49		$	12.14		$	11.43
Total Return	0.36		%‡	4.02		%	4.19		%	7.27		%	10.69		%	6.66		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	436,998		$	368,686		$	313,999		$	245,257		$	164,504		$	115,217
Ratio of Expenses to Average Net Assets (1)	0.50		%*	0.50		%	0.50		%	0.50		%	0.51		%	0.51		%
Ratio of Net Investment Income to Average Net Assets (1)	2.92		%*	3.01		%	4.01		%	3.70		%	4.03		%	5.51		%
Portfolio Turnover Rate	17		%‡	105		%^	47		%	72		%	70		%	82		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.51		%*	0.51		%	0.51		%	0.52		%	0.51		%	0.51		%
Net Investment Income to Average Net Assets	2.91		%*	3.00		%	4.00		%	4.14		%	4.65		%	4.30		%
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.50		%*	0.50		%	0.50		%	0.50		%	0.50		%	0.50		%

†Per share amount is based on average shares outstanding.

*Annualized

‡Not Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

88

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Balanced Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.90		$	10.15		$	8.78		$	10.60		$	13.37		$	13.83
Income (Loss) from Investment Operations
Net Investment Income	0.13		†	0.18		†	0.21		†	0.25		†	0.35		†	0.44		†
Net Realized and Unrealized Gain (Loss) on Investments	0.42			0.78			1.47			(1.75		)	(2.07		)	1.45
Total from Investment Operations	0.55			0.96			1.68			(1.50		)	(1.72		)	1.89
Distributions from and/or in Excess of:
Net Investment Income	(0.19		)	(0.21		)	(0.31		)	(0.32		)	(0.38		)	(0.46		)
Net Realized Gain	—			—			—			—			(0.67		)	(1.89		)
Total Distributions	(0.19		)	(0.21		)	(0.31		)	(0.32		)	(1.05		)	(2.35		)
Net Asset Value, End of Period	$	11.26		$	10.90		$	10.15		$	8.78		$	10.60		$	13.37
Total Return	5.01		%‡	9.49		%	19.48		%	(14.60		)%	(13.51		)%	14.75		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	203,648		$	203,889		$	262,960		$	250,796		$	397,666		$	505,078
Ratio of Expenses to Average Net Assets (1)	0.64		%*	0.62		%	0.60		%	0.59		%	0.58		%	0.58		%
Ratio of Net Investment Income to Average Net Assets	2.37		%*	1.67		%	2.17		%	2.37		%	2.98		%	3.29		%
Portfolio Turnover Rate	57		%‡^	208		%^	84		%	133		%	157		%	162		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.64		%*	0.62		%	0.60		%	0.59		%	0.57		%	0.57		%

	Investment Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.89		$	10.13		$	8.76		$	10.61		$	13.37		$	13.82
Income (Loss) from Investment Operations
Net Investment Income	0.12		†	0.17		†	0.18		†	0.23		†	0.34		†	0.42		†
Net Realized and Unrealized Gain (Loss) on Investments	0.41			0.78			1.48			(1.78		)	(2.08		)	1.45
Total from Investment Operations	0.53			0.95			1.66			(1.55		)	(1.74		)	1.87
Distributions from and/or in Excess of:
Net Investment Income	(0.18		)	(0.19		)	(0.29		)	(0.30		)	(0.35		)	(0.43		)
Net Realized Gain	—			—			—			—			(0.67		)	(1.89		)
Total Distributions	(0.18		)	(0.19		)	(0.29		)	(0.30		)	(1.02		)	(2.32		)
Net Asset Value, End of Period	$	11.24		$	10.89		$	10.13		$	8.76		$	10.61		$	13.37
Total Return	4.94		%‡	9.43		%	19.28		%	(15.03		)%	(13.65		)%	14.59		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,367		$	3,117		$	8,209		$	4,925		$	6,284		$	8,085
Ratio of Expenses to Average Net Assets (2)	0.79		%*	0.77		%	0.75		%	0.74		%	0.73		%	0.73		%
Ratio of Net Investment Income to Average Net Assets	2.21		%*	1.59		%	2.02		%	2.22		%	2.83		%	3.13		%
Portfolio Turnover Rate	57		%‡^	208		%^	84		%	133		%	157		%	162		%
(2) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.79		%*	0.77		%	0.75		%	0.74		%	0.72		%	0.72		%

†Per share amount is based on average shares outstanding.

‡Not Annualized.

*Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

89

2005 Semi-Annual Report

March 31, 2005

Financial Highlights

Balanced Portfolio

	Adviser Class
	Six Months Ended
	March 31, 2005			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period	$	10.88		$	10.13		$	8.77		$	10.57		$	13.34		$	13.80
Income (Loss) from Investment Operations
Net Investment Income	0.12		†	0.15		†	0.18		†	0.22		†	0.33		†	0.41		†
Net Realized and Unrealized Gain (Loss) on Investments	0.41			0.78			1.46			(1.74		)	(2.09		)	1.44
Total from Investment Operations	0.53			0.93			1.64			(1.52		)	(1.76		)	1.85
Distributions from and/or in Excess of:										��
Net Investment Income	(0.17		)	(0.18		)	(0.28		)	(0.28		)	(0.34		)	(0.42		)
Net Realized Gain	—			—			—			—			(0.67		)	(1.89		)
Total Distributions	(0.17		)	(0.18		)	(0.28		)	(0.28		)	(1.01		)	(2.31		)
Net Asset Value, End of Period	$	11.24		$	10.88		$	10.13		$	8.77		$	10.57		$	13.34
Total Return	4.86		%‡	9.27		%	19.12		%	(14.76		)%	(13.79		)%	14.46		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	38,101		$	57,322		$	59,254		$	51,761		$	57,172		$	33,928
Ratio of Expenses to Average Net Assets (1)	0.89		%*	0.87		%	0.85		%	0.84		%	0.84		%	0.83		%
Ratio of Net Investment Income to Average Net Assets	2.15		%*	1.42		%	1.92		%	2.12		%	2.77		%	3.04		%
Portfolio Turnover Rate	57		%‡^	208		%^	84		%	133		%	157		%	162		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio of Expenses to Average Net Assets Including Expense Offsets	0.89		%*	0.87		%	0.85		%	0.84		%	0.83		%	0.82		%

†Per share amount is based on average shares outstanding.

‡Not Annualized.

*Annualized

^The Portfolio’s turnover rate is calculated by dividing the lesser of purchases and sales of securities for a fiscal year by the average monthly value of portfolio securities during such fiscal year. The turnover rate may vary greatly from year to year as well as within a year. The Portfolio turnover rate reflects mortgage pool forward commitments as purchases and sales, which was not the case prior to the year ended September 30, 2004. The inclusion of such securities caused the reported turnover rate to be higher during the period than in previous fiscal years.

The accompanying notes are an integral part of the financial statements.

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2005 Semi-Annual Report

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Notes to Financial Statements

Morgan Stanley Institutional Fund Trust (“MSIFT” or the “Fund”) is registered under the Investment Company Act of 1940 as an open-end investment company. The Fund is comprised of seventeen active portfolios. The accompanying financial statements and financial highlights are those of the Core Plus Fixed Income, Investment Grade Fixed Income, U.S. Core Fixed Income, High Yield, Intermediate Duration, International Fixed Income, Limited Duration, Municipal and Balanced Portfolios, all of which except the International Fixed Income Portfolio are considered diversified for purposes of the 1940 Act (each referred to as a “Portfolio”). The financial statements of the remaining portfolios of the Fund are presented separately.

The Fund offers up to three different classes of shares for certain Portfolios — Institutional Class shares, Investment Class shares and Adviser Class shares. Each class of shares has identical voting rights (except shareholders of each Class have exclusive voting rights regarding any matter relating solely to that particular Class of shares), dividend, liquidation and other rights.

A. Significant Accounting Policies. The following significant accounting policies are in conformity with U.S. generally accepted accounting principles for investment companies. Such policies are consistently followed by the Fund in the preparation of the financial statements. U.S. generally accepted accounting principles may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

1.Security Valuation:    Bonds and other fixed income securities may be valued according to the broadest and most representative market. In addition, bonds and other fixed income securities may be valued on the basis of prices provided by a pricing service. The prices provided by a pricing service take into account broker dealer market price quotations for institutional size trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific security. Debt securities purchased with remaining maturities of 60 days or less are valued at amortized cost, if it approximates market value. Equity securities listed on a U.S. exchange are valued at the latest quoted sales price on the valuation date. Equity securities listed or traded on NASDAQ, for which market quotations are available, are valued at the NASDAQ Official Closing Price. Securities listed on a foreign exchange are valued at their closing price. Unlisted and listed equity securities not traded on the valuation date, for which market quotations are readily available, are valued at the mean between the current bid and asked prices obtained from reputable brokers.

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board of Trustees, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

Most foreign markets close before the New York Stock Exchange (NYSE). Occasionally, developments that could affect the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If these developments are expected to materially affect the value as of the securities, the valuations may be adjusted to reflect the estimated fair value as of the close of the NYSE, as determined in good faith under procedures established by the Board of Trustees.

2.Repurchase Agreements: Each Portfolio may enter into repurchase agreements under which a Portfolio lends excess cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In connection with transactions in repurchase agreements, a bank as custodian for the Fund takes possession of the underlying securities which are held as collateral, with a market value at least equal to the amount of the repurchase transaction, including principal and accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the of the collateral is marked-to-market on a daily basis to determine the adequacy of the collateral. In the event of default on the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.

Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Portfolios may transfer their uninvested cash balances into a joint trading account with other Portfolios of the Fund which invests in one or more repurchase agreements. Any such joint repurchase agreement is covered by the same collateral requirements as discussed above.

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Notes to Financial Statements (cont’d)

3.Futures: Financial futures contracts (secured by cash and securities deposited with brokers as “initial margin”) are valued based upon their quoted daily settlement prices; changes in initial settlement value (represented by cash paid to or received from brokers as “variation margin”) are accounted for as unrealized appreciation (depreciation). When futures contracts are closed, the difference between the opening value at the date of purchase and the value at closing is recorded as realized gain or loss in the Statements of Operations. “Due from (to) Broker” includes initial margin and variation margin, as stated in the Statement of Assets & Liabilities. Futures contracts may be used by each Portfolio in order to hedge against unfavorable changes in the value of securities or to attempt to realize profits from the value of the related securities. Futures contracts involve market risk that may exceed the amounts recognized in the Statement of Assets & Liabilities. Risks arise from the possible movements in the prices of securities relating to these instruments. The change in value of futures contracts primarily corresponds with the value of their related securities, but may not precisely correlate with the change in value of such securities. In addition, there is the risk that a Portfolio may not be able to enter into a closing transaction because of an illiquid secondary market.

4.Securities Sold Short: Each Portfolio may sell securities short. A short sale is a transaction in which the Portfolio sells securities it may or may not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Portfolio is obligated to replace the borrowed securities at their market price at the time of replacement. The Portfolio may have to pay a premium to borrow the securities as well as pay any dividends or interest payable on the securities until they are replaced. The Portfolio’s obligation to replace the securities borrowed in connection with a short sale will generally be secured by collateral deposited with the broker that consists of cash, U.S. government securities or other liquid high grade debt obligations. In addition, the Portfolio will either place in a segregated account with its custodian or denote on its custody records an amount of cash, U.S. government securities or other liquid high grade debt obligations equal to the difference, if any, between (1) the market value of the securities sold at the time they were sold short and (2) any cash, U.S. government securities or other liquid high grade debt obligations deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). Short sales by the Portfolios involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.

5.Swap Agreements: Each Portfolio may enter into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Cash collateral for swap agreements, if applicable, is deposited with the broker serving as counterparty to the agreement, and is included in “Due from (to) Broker” on the Statement of Assets & Liabilities. The following summarizes swaps entered into by the Portfolios:

Credit Default Swaps: Credit default swaps involve commitments to pay a fixed rate in exchange for payment if a credit event affecting a third party (the referenced company) occurs. Credit events may include a failure to pay interest, bankruptcy, or restructuring. Net periodic interest payments to be received or paid are accrued daily and are recorded in the Statements of Operations as an adjustment to interest income. Credit default swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations.

Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. Net periodic interest payments to be received or paid are accrued daily and are recorded in the Statements of Operations as an adjustment to interest income. In a zero-coupon interest rate swap, payments only occur at maturity, at which time one counterparty pays the total compounded fixed rate over the life of the swap and the other pays the total compounded floating rate that would have been earned had a series of LIBOR investments been rolled over through the life of the swap. Interest rate swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations.

Total Return Swaps: Total return swaps involve commitments to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty, respectively. Total return swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations. Periodic payments received or made at the end of each measurement period, but prior to termination, are recorded as realized gains or losses in the Statements of Operations.

Realized gains or losses on maturity or termination of swaps are presented in the Statements of Operations. Because there is no organized market for these swap agreements, the

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unrealized gain/loss reported in the Statement of Assets & Liabilities may differ from that which would be realized in the event the Portfolio terminated its position in the agreement. Risks may arise upon entering into these agreements from the potential inability of the counterparties to meet the terms of the agreements and are generally limited to the amount of net payments to be received, if any, at the date of default.

6.Structured Investments: Certain Portfolios may invest in structured investments whose values are linked either directly or inversely to changes in foreign currencies, interest rates, commodities, indices, equity securities or other underlying instruments. A Portfolio uses these securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that might be difficult to invest in through conventional securities. Structured investments may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.

7.Delayed Delivery Commitments: Each Portfolio may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Liquid securities or cash is designated in an amount at least equal to these commitments. Securities held for this purpose cannot be sold while this strategy is outstanding, unless replaced with other assets. As a result, there is a possibility that as designated assets reach certain levels, a Portfolio may lose some flexibility in managing its investments, responding to shareholder redemption requests, or meeting other current obligations. Such transactions may give rise to a form of leverage. This can cause a Portfolio to be more volatile than if it had not been leveraged, as leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s portfolio securities.

8.Foreign Currency Translation and Foreign Currency Exchange Contracts: The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the bid prices of such currencies against U.S. dollars quoted by a bank. Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on a Portfolio’s books and the U.S. dollar equivalent of amounts actually received or paid.

A foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. Each Portfolio (except the U.S. Core Fixed Income and Limited Duration Portfolios) may enter into foreign currency exchange contracts to protect securities and related receivables and payables against future changes in foreign exchange rates. Fluctuations in the value of such contracts are recorded as unrealized appreciation or depreciation; realized gains or losses, which are disclosed in the Statements of Operations, include net gains or losses on contracts which have been terminated by settlements. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contract, if any, at the date of default. Risks may also arise from unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

Certain Portfolios’ net assets include foreign denominated securities and currency. The net assets of these Portfolios are presented at the foreign exchange rates and market values at the close of the period. The Portfolios do not 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 the securities held at period end. 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 securities sold during the period. Accordingly, the components of realized and unrealized foreign currency gains (losses) representing foreign exchange changes on investments is included in the reported net realized and unrealized gains (losses) on investment transactions and balances. Changes in currency exchange rates will affect the value of and investment income from such securities and currency.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibly lower level of governmental supervision, relative currency valuation fluctuation, regulation of foreign securities markets and the possibility of political or economic instability.

9.Purchased and Written Options: Certain Portfolios may write covered call and put options on portfolio securities and other financial instruments. Premiums are received and are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the net realized gain or loss.

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Notes to Financial Statements (cont’d)

By writing a covered call option, a Portfolio, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, a Portfolio, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current market price.

Certain Portfolios may purchase call and put options on their portfolio securities or other financial instruments. Each Portfolio may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. Each Portfolio may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written put positions. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of options relating to the securities purchased or sold by the Portfolio and from the possible lack of a liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.

10.Other:  Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Interest income is recognized on the accrual basis.

Discounts and premiums on securities purchased are amortized over their respective lives. Most expenses of the Fund can be directly attributed to a particular Portfolio. Expenses which cannot be directly attributed are apportioned among the Portfolios on the basis of their relative net assets. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses are allocated to each class of shares based upon their relative net assets.

B. Investment Advisory Fees.  Under the terms of an Investment Advisory Agreement, each Portfolio has agreed to pay Morgan Stanley Investment Management Inc. (“MSIM”, formerly Morgan Stanley Investments LP, or the “Adviser”), wholly-owned by indirect subsidiaries of Morgan Stanley, for investment advisory services performed at a fee calculated by applying a quarterly rate based on the annual percentage rate listed below, to each Portfolio’s average daily net assets for the quarter.

	Annual		Voluntary Expense Limitations
	Investment		Institutional		Investment		Adviser
Portfolio	Advisory Fee		Class		Class		Class
Core Plus Fixed Income(1)	0.375	%	—	%	—	%	—	%
Investment Grade Fixed Income	0.375		—		—		—
U.S. Core Fixed Income	0.375		0.500		—		0.750
High Yield(2)	0.450		—		—		—
Intermediate Duration	0.375		—		—		—
International Fixed Income	0.375		—		—		—
Limited Duration	0.300		—		—		—
Municipal	0.375		0.500		—		—
Balanced	0.450		—		—		—

(1)Effective November 1, 2004, the annual investment advisory fee for the Core Plus Fixed Income Portfolio was reduced to 0.375% for the first $1 billion of average daily net assets and 0.300% for average daily net assets over $1 billion.

(2)Effective November 1, 2004, the annual investment advisory fee for the High Yield Portfolio was reduced to 0.450% for the first $1.5 billion of average daily net assets and 0.400% for average daily net assets over $1.5 billion. Effective June 1, 2005 the investment advisory fee will be further reduced to the following percentages of average daily net assets: 0.420% for the first $0.5 billion, 0.345% for the next $0.25 billion, 0.295% for the next $0.25 billion, 0.270% for next $1.0 billion, 0.245% for the next $1.0 billion, and 0.220% for average daily net assets over $3.0 billion.

The Adviser has voluntarily agreed to reduce the fees payable to it and, if necessary, reimburse the Portfolios for certain expenses so that annual operating expenses, after giving effect to custody fee offsets, will not exceed voluntary expense limitations established for each class of shares as presented in the table above.

Morgan Stanley Investment Management Limited (“MSIM Limited”) serves as Sub-Adviser to the International Fixed Income and Balanced Portfolios. MSIM Limited is a wholly-owned subsidiary of Morgan Stanley. Under an Investment Sub-Advisory Agreement with the Adviser, MSIM Limited, subject to the control and supervision of the Fund, its officers, Trustees and the Adviser, and in accordance with the investment objectives, policies and restrictions of the Portfolios, makes certain day-to-day investment decisions for the Portfolios and places certain of the Portfolios’ purchase and sales orders. The Adviser pays MSIM Limited on a monthly basis a portion of the net advisory fees the Adviser receives from the Portfolios.

C. Administration Fees.  MSIM (the “Administrator”) serves as Administrator to the Fund Pursuant to an Amended and Restated Administration Agreement effective November 1, 2004. Under its Amended and Restated Administration Agreement with the Fund, MSIM receives an annual fee, accrued daily and payable monthly, of 0.08% of each Portfolio’s average daily net assets.  Administration cost, (including)

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Notes to Financial Statements (cont’d)

out-of-pocket expenses incurred in the ordinary course of providing services under the agreement, which were previously borne by the Fund), except pricing services and extraordinary expenses, will now be covered under the Administration Fee. Transfer Agency expenses will no longer be paid by MSIM, but will be borne by the Fund. J.P. Morgan Investor Services Co. (“JPMIS”), a corporate affiliate of JPMorgan Chase Bank, provides fund accounting and other services pursuant to a sub-administration agreement with MSIM and receives compensation for these services.

Prior to November 1, 2004, MSIM served as Administrator to the Fund pursuant to an Administration Agreement. Under the agreement, MSIM received an annual fee, accrued daily and payable monthly, of 0.08% of each Portfolio’s average daily net assets, plus reimbursement of out-of-pocket expenses.

D. Distribution and Shareholder Servicing Fees. Morgan Stanley Distribution, Inc. (“MSDI” or the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor for the Fund. MSDI is a limited-purpose broker/dealer whose only function is to distribute open-end mutual fund shares. The Distributor provides all classes of shares in each Portfolio with distribution services, and receives fees in connection with these services, pursuant to separate Distribution and Shareholder Servicing Plans (the “Plans”) in accordance with Rule 12b-1 under the Investment Company Act of 1940.

Under the Plans, the Distributor is entitled to distribution fees and shareholder servicing fees for Adviser Class and Investment Class shares, respectively. The distribution fee is an asset-based fee to support distribution efforts and/or servicing of accounts. The Adviser Class of shares pays an annual distribution fee of 0.25% of average net assets of the class for such services under the 12b-1 plan adopted by the Fund. The Investment Class of shares pays an annual shareholder servicing fee of 0.15% of average net assets of the class. The shareholder servicing fee is used to support the expenses associated with servicing and maintaining accounts. Both fees are paid directly to MSDI. The distribution fee may be retained by MSDI if an Adviser Class shareholder invests directly through MSDI. Usually the fees are paid by MSDI to external organizations such as 401(k) alliance sponsors, discount brokers and bank trust departments who distribute MSIFT Portfolios to the public. The Distributor has voluntarily agreed to waive 0.10% of the 0.25% distribution fee it is entitled to receive from the Adviser Class Shares’ average daily net assets for the Investment Grade Fixed Income Portfolio.

E. Custodian Fees.  JPMorgan Chase Bank serves as custodian for the Fund in accordance with a custodian agreement. The Custodian holds cash, securities, and other assets of the Fund as required by the 1940 Act.

The Portfolios have entered into an arrangement with their custodian whereby credits realized on uninvested cash balances were used to offset a portion of each applicable Portfolio’s expenses. These custodian credits are shown as “expense offset” on the Statements of Operations.

F. Transfer Agency Fees.  JPMIS, a corporate affiliate of JPMorgan Chase Bank serves as Transfer Agent to the Fund pursuant to a Transfer Agency Agreement.  Prior to November 1, 2004, the Transfer Agency expenses were borne by MSIM.

G. Portfolio Investment Activity.

1.Purchases and Sales of Securities. For the six months ended March 31, 2005, purchases and sales of investment securities other than temporary cash investments and long-term U.S. government securities were:

Portfolio	Purchases		Sales
	(000)		(000)
Core Plus Fixed Income	$	2,480,826	$	2,815,593
Investment Grade Fixed Income	779,329		864,876
U.S. Core Fixed Income	327,497		354,033
High Yield	76,834		176,908
Intermediate Duration	171,418		161,186
International Fixed Income	66,676		31,368
Limited Duration	375,746		261,723
Municipal	99,328		13,067
Balanced	137,895		178,490

For the six months ended March 31, 2005, purchases and sales of long-term U.S. government securities were:

Portfolio	Purchases		Sales
	(000)		(000)
Core Plus Fixed Income	$	254,981	$	109,688
Investment Grade Fixed Income	65,702		8,064
U.S. Core Fixed Income	29,289		15,828
Intermediate Duration	37,886		15,439
Limited Duration	14,842		47,405
Municipal	70,501		57,998
Balanced	10,842		8,904

2.Transactions with Affiliates: During the six months ended March 31, 2005, the Balanced Portfolio paid brokerage commissions of approximately $573 to Morgan Stanley & Co., an affiliated broker/dealer.

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Notes to Financial Statements (cont’d)

3.Swap Agreements:  At March 31, 2005, the following Portfolios had open Swap Agreements:

							Net Unrealized
Counterparty	Termination Date	Notional Amount		Type	Pay	Receive	Appreciation (Depreciation)
		(000)					(000)
Core Plus Fixed Income Portfolio
Bank of America	4/27/05	$	38,200	TRS	3 month LIBOR	Index Return(1)	$	(670	)
	5/25/05	37,600		TRS	3 month LIBOR less 25 bps	Index Return(1)	(618		)
	8/15/19	63,850		ZCS	at maturity	compounded 3 month LIBOR	291
	2/15/22	33,000		ZCS	at maturity	compounded 3 month LIBOR	113
	5/16/22	53,850		ZCS	at maturity	compounded 3 month LIBOR	227
	5/16/22	38,450		ZCS	at maturity	compounded 3 month LIBOR	308
Citigroup	2/15/19	42,850		ZCS	at maturity	compounded 3 month LIBOR	240
	5/15/19	10,200		ZCS	at maturity	compounded 3 month LIBOR less 7.125 bps	(92		)
	11/15/19	5,000		ZCS	at maturity	compounded 3 month LIBOR less 7.9 bps	(80		)
	2/15/20	15,250		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	229
	2/15/20	15,250		ZCS	at maturity	compounded 3 month LIBOR less 2.75 bps	221
	2/15/20	53,000		ZCS	at maturity	compounded 3 month LIBOR less 4.14 bps	440
	2/15/20	52,000		ZCS	at maturity	compounded 3 month LIBOR less 4.882 bps	323
	5/15/20	22,000		ZCS	at maturity	compounded 3 month LIBOR less 9.75 bps	391
	5/15/20	25,725		ZCS	at maturity	compounded 3 month LIBOR less 6.0 bps	(33		)
	5/15/20	117,850		ZCS	at maturity	compounded 3 month LIBOR less 5.75 bps	(651		)
	5/15/20	20,350		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	(19		)
	8/15/20	18,000		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(185		)
	2/15/21	8,250		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(165		)
	5/15/21	10,000		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(267		)
	5/15/21	9,500		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(262		)
	5/15/21	9,700		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(242		)
	5/15/21	10,440		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(295		)
	5/15/21	46,300		ZCS	at maturity	compounded 3 month LIBOR less 3.75 bps	(242		)
	5/15/21	23,150		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(12		)
	5/15/21	23,100		ZCS	at maturity	compounded 3 month LIBOR less 3.0 bps	703
	5/15/21	16,000		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	644
	11/15/21	23,150		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(196		)
	11/15/21	23,150		ZCS	at maturity	compounded 3 month LIBOR less 4.25 bps	(203		)
	2/15/22	14,500		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	157
	8/15/22	3,500		ZCS	at maturity	compounded 3 month LIBOR less 7.0 bps	(103		)
	8/15/22	12,000		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	155
	2/15/23	11,750		ZCS	at maturity	compounded 3 month LIBOR less 11.5 bps	72
	2/15/23	20,000		ZCS	at maturity	compounded 3 month LIBOR less 12.0 bps	(230		)
Credit Suisse First Boston	5/15/16	25,000		ZCS	at maturity	compounded 3 month LIBOR	220
	2/15/17	24,500		ZCS	at maturity	compounded 3 month LIBOR	667
	8/15/18	11,500		ZCS	at maturity	compounded 3 month LIBOR	(272		)
	2/15/19	9,100		ZCS	at maturity	compounded 3 month LIBOR	92
	8/15/19	21,000		ZCS	at maturity	compounded 3 month LIBOR	(539		)
	8/15/19	24,000		ZCS	at maturity	compounded 3 month LIBOR	(559		)
	11/15/19	11,500		ZCS	at maturity	compounded 3 month LIBOR	(317		)
	2/15/21	41,000		ZCS	at maturity	compounded 3 month LIBOR	(1,163		)
	5/15/21	69,450		ZCS	at maturity	compounded 3 month LIBOR	(632		)
	5/15/21	69,300		ZCS	at maturity	compounded 3 month LIBOR	(23		)
	5/15/21	23,100		ZCS	at maturity	compounded 3 month LIBOR	307
	11/15/23	23,500		ZCS	at maturity	compounded 3 month LIBOR	185
Deutsche Bank	11/14/07	5,000		CDS	fixed rate of 1.20%	upon the occurrence of a negative credit event (2)	(56		)
Goldman Sachs	2/15/20	9,700		ZCS	at maturity	compounded 3 month LIBOR	(227		)
	2/15/20	17,700		ZCS	at maturity	compounded 3 month LIBOR	121
	2/15/20	7,275		ZCS	at maturity	compounded 3 month LIBOR	49
	5/15/20	10,000		ZCS	at maturity	compounded 3 month LIBOR	134
	8/15/20	21,000		ZCS	at maturity	compounded 3 month LIBOR	311

96

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
Counterparty	Termination Date	Notional Amount		Type	Pay	Receive	Appreciation (Depreciation)
		(000)					(000)
Core Plus Fixed Income Portfolio (cont’d)
Goldman Sachs	2/15/21	$	15,500	ZCS	at maturity	compounded 3 month LIBOR	$	(71	)
	11/15/21	23,100		ZCS	at maturity	compounded 3 month LIBOR	(14		)
	11/15/21	40,525		ZCS	at maturity	compounded 3 month LIBOR	(361		)
	8/15/22	18,000		ZCS	at maturity	compounded 3 month LIBOR	(460		)
	11/15/22	23,100		ZCS	at maturity	compounded 3 month LIBOR	576
Merrill Lynch	3/20/10	4,000		CDS	fixed rate of 0.93%	upon the occurrence of a negative credit event(3)	97
							(1,986		)
Investment Grade Fixed Income Portfolio
Bank of America	4/27/05	16,300		TRS	3 month LIBOR	Index Return(1)	(286		)
	8/15/19	12,000		ZCS	at maturity	compounded 3 month LIBOR	55
	2/15/22	6,500		ZCS	at maturity	compounded 3 month LIBOR	22
	5/16/22	11,800		ZCS	at maturity	compounded 3 month LIBOR	50
	5/16/22	12,600		ZCS	at maturity	compounded 3 month LIBOR	101
Citigroup	2/15/19	12,000		ZCS	at maturity	compounded 3 month LIBOR	67
	5/15/19	5,100		ZCS	at maturity	compounded 3 month LIBOR less 7.125 bps	(46		)
	11/15/19	2,000		ZCS	at maturity	compounded 3 month LIBOR less 7.9 bps	(32		)
	2/15/20	4,600		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	69
	2/15/20	4,600		ZCS	at maturity	compounded 3 month LIBOR less 2.75 bps	67
	2/15/20	16,100		ZCS	at maturity	compounded 3 month LIBOR less 4.14 bps	134
	2/15/20	6,425		ZCS	at maturity	compounded 3 month LIBOR less 4.882 bps	40
	5/15/20	3,500		ZCS	at maturity	compounded 3 month LIBOR less 9.75 bps	62
	5/15/20	3,425		ZCS	at maturity	compounded 3 month LIBOR less 6.0 bps	(4		)
	5/15/20	2,950		ZCS	at maturity	compounded 3 month LIBOR less 5.75 bps	(16		)
	5/15/20	6,150		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	(6		)
	8/15/20	3,400		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(35		)
	2/15/21	1,500		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(30		)
	5/15/21	16,000		ZCS	at maturity	compounded 3 month LIBOR less 8.0 bps	(378		)
	5/15/21	2,700		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(65		)
	5/15/21	2,700		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(62		)
	5/15/21	5,000		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(133		)
	5/15/21	1,850		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(51		)
	5/15/21	1,950		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(49		)
	5/15/21	2,040		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(58		)
	5/15/21	7,200		ZCS	at maturity	compounded 3 month LIBOR less 3.75 bps	(38		)
	5/15/21	3,600		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(2		)
	5/15/21	3,475		ZCS	at maturity	compounded 3 month LIBOR less 3.0 bps	106
	5/15/21	5,000		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	201
	11/15/21	3,600		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(30		)
	11/15/21	5,350		ZCS	at maturity	compounded 3 month LIBOR less 3.7 bps	(61		)
	11/15/21	3,600		ZCS	at maturity	compounded 3 month LIBOR less 4.25 bps	(31		)
	2/15/22	3,000		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	32
	8/15/22	2,200		ZCS	at maturity	compounded 3 month LIBOR less 7.0 bps	(65		)
	8/15/22	3,500		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	45
	2/15/23	5,000		ZCS	at maturity	compounded 3 month LIBOR less 11.5 bps	31
	2/15/23	7,000		ZCS	at maturity	compounded 3 month LIBOR less 12.0 bps	(81		)
Credit Suisse First Boston	5/15/16	8,000		ZCS	at maturity	compounded 3 month LIBOR	70
	2/15/17	5,000		ZCS	at maturity	compounded 3 month LIBOR	136
	8/15/18	3,950		ZCS	at maturity	compounded 3 month LIBOR	(93		)
	2/15/19	6,000		ZCS	at maturity	compounded 3 month LIBOR	61
	5/15/19	1,000		ZCS	at maturity	compounded 3 month LIBOR	7
	8/15/19	4,750		ZCS	at maturity	compounded 3 month LIBOR	(119		)
	8/15/19	4,750		ZCS	at maturity	compounded 3 month LIBOR	(111		)
	11/15/19	3,950		ZCS	at maturity	compounded 3 month LIBOR	(109		)

97

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
Counterparty	Termination Date	Notional Amount		Type	Pay	Receive	Appreciation (Depreciation)
		(000)					(000)
Investment Grade Fixed Income Portfolio (cont’d)
Credit Suisse First Boston	2/15/21	$	9,350	ZCS	at maturity	compounded 3 month LIBOR	$	(265	)
	5/15/21	10,800		ZCS	at maturity	compounded 3 month LIBOR	(105		)
	5/15/21	10,425		ZCS	at maturity	compounded 3 month LIBOR	(4		)
	5/15/21	3,475		ZCS	at maturity	compounded 3 month LIBOR	46
	11/15/23	5,000		ZCS	at maturity	compounded 3 month LIBOR	39
Goldman Sachs	2/15/20	1,950		ZCS	at maturity	compounded 3 month LIBOR	(18		)
	2/15/20	1,200		ZCS	at maturity	compounded 3 month LIBOR	8
	2/15/20	2,550		ZCS	at maturity	compounded 3 month LIBOR	17
	5/15/20	675		ZCS	at maturity	compounded 3 month LIBOR	9
	8/15/20	11,000		ZCS	at maturity	compounded 3 month LIBOR	163
	2/15/21	2,500		ZCS	at maturity	compounded 3 month LIBOR	(76		)
	11/15/21	3,475		ZCS	at maturity	compounded 3 month LIBOR	(2		)
	11/15/21	6,325		ZCS	at maturity	compounded 3 month LIBOR	(56		)
	8/15/22	3,400		ZCS	at maturity	compounded 3 month LIBOR	(55		)
	11/15/22	3,475		ZCS	at maturity	compounded 3 month LIBOR	87
Merrill Lynch	3/20/10	1,000		CDS	fixed rate of 0.93%	upon the occurrence of a negative credit event(3)	24
							(823		)
U.S. Core Fixed Income Portfolio
Bank of America	4/27/05	7,200		TRS	3 month LIBOR	Index Return(1)	(126		)
	8/15/19	5,650		ZCS	at maturity	compounded 3 month LIBOR	26
	8/15/19	10,700		ZCS	at maturity	compounded 3 month LIBOR	47
	2/15/22	3,300		ZCS	at maturity	compounded 3 month LIBOR	11
	5/16/22	5,750		ZCS	at maturity	compounded 3 month LIBOR	24
	5/16/22	5,100		ZCS	at maturity	compounded 3 month LIBOR	41
Citigroup	2/15/19	5,650		ZCS	at maturity	compounded 3 month LIBOR	32
	11/15/19	1,150		ZCS	at maturity	compounded 3 month LIBOR less 7.9 bps	(19		)
	2/15/20	1,325		ZCS	at maturity	compounded 3 month LIBOR less 2.75 bps	19
	2/15/20	1,325		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	26
	5/15/20	1,750		ZCS	at maturity	compounded 3 month LIBOR less 9.75 bps	31
	5/15/20	3,500		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	(3		)
	5/15/20	9,750		ZCS	at maturity	compounded 3 month LIBOR less 5.75 bps	(54		)
	5/15/20	1,650		ZCS	at maturity	compounded 3 month LIBOR less 6.0 bps	(2		)
	8/15/20	2,000		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(21		)
	2/15/21	1,500		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(30		)
	5/15/21	4,500		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(120		)
	5/15/21	2,000		ZCS	at maturity	compounded 3 month LIBOR less 8.0 bps	(47		)
	5/15/21	1,500		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(36		)
	5/15/21	1,500		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(34		)
	5/15/21	1,190		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(34		)
	5/15/21	1,090		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(30		)
	5/15/21	1,150		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(29		)
	5/15/21	4,350		ZCS	at maturity	compounded 3 month LIBOR less 3.75 bps	(23		)
	5/15/21	2,175		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(1		)
	5/15/21	2,200		ZCS	at maturity	compounded 3 month LIBOR less 3.0 bps	67
	5/15/21	6,750		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	272
	11/15/21	2,175		ZCS	at maturity	compounded 3 month LIBOR less 4.25 bps	(19		)
	11/15/21	2,175		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(18		)
	2/15/22	1,000		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	11
	8/15/22	1,900		ZCS	at maturity	compounded 3 month LIBOR less 7.0 bps	(56		)
	8/15/22	2,000		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	26
	2/15/23	1,500		ZCS	at maturity	compounded 3 month LIBOR less 12.0 bps	(17		)
	2/15/23	1,000		ZCS	at maturity	compounded 3 month LIBOR less 11.5 bps	6

98

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
Counterparty	Termination Date	Notional Amount		Type	Pay	Receive	Appreciation (Depreciation)
		(000)					(000)
U.S. Core Fixed Income Portfolio (cont’d)
Credit Suisse First Boston	5/15/16	$	1,000	ZCS	at maturity	compounded 3 month LIBOR	$	9
	2/15/17	2,000		ZCS	at maturity	compounded 3 month LIBOR	54
	8/15/18	1,850		ZCS	at maturity	compounded 3 month LIBOR	(44		)
	2/15/19	2,750		ZCS	at maturity	compounded 3 month LIBOR	28
	5/15/19	1,000		ZCS	at maturity	compounded 3 month LIBOR	7
	8/15/19	2,000		ZCS	at maturity	compounded 3 month LIBOR	(50		)
	8/15/19	2,000		ZCS	at maturity	compounded 3 month LIBOR	(47		)
	11/15/19	1,850		ZCS	at maturity	compounded 3 month LIBOR	(51		)
	2/15/21	3,600		ZCS	at maturity	compounded 3 month LIBOR	(102		)
	5/15/21	2,200		ZCS	at maturity	compounded 3 month LIBOR	29
	11/15/23	2,750		ZCS	at maturity	compounded 3 month LIBOR	22
Goldman Sachs	2/15/20	1,150		ZCS	at maturity	compounded 3 month LIBOR	(11		)
	2/15/20	1,100		ZCS	at maturity	compounded 3 month LIBOR	7
	2/15/20	1,175		ZCS	at maturity	compounded 3 month LIBOR	8
	5/15/20	675		ZCS	at maturity	compounded 3 month LIBOR	9
	2/15/21	500		ZCS	at maturity	compounded 3 month LIBOR	(2)
	11/15/21	3,800		ZCS	at maturity	compounded 3 month LIBOR	(34		)
	11/15/21	2,200		ZCS	at maturity	compounded 3 month LIBOR	(1		)
	8/15/22	2,000		ZCS	at maturity	compounded 3 month LIBOR	(32		)
	11/15/22	2,200		ZCS	at maturity	compounded 3 month LIBOR	55
							(226		)
Intermediate Duration Portfolio
Bank of America	4/27/05	5,000		TRS	3 month LIBOR	Index Return(1)	(88		)
Limited Duration Portfolio
Citigroup	2/28/07	30,000		IRS	3 month LIBOR	Fixed Rate of 3.842%	(181		)
	3/31/07	10,000		IRS	3 month LIBOR	Fixed Rate of 4.276%	12
							(169		)
Municipal Portfolio
Bank of America	8/15/19	10,000		ZCS	at maturity	compounded 3 month LIBOR	46
	2/15/21	50,000		ZCS	at maturity	compounded 3 month LIBOR	427
	2/15/22	7,550		ZCS	at maturity	compounded 3 month LIBOR	26
	5/16/22	11,000		ZCS	at maturity	compounded 3 month LIBOR	46
	5/16/22	10,400		ZCS	at maturity	compounded 3 month LIBOR	83
Citigroup	2/15/19	10,000		ZCS	at maturity	compounded 3 month LIBOR	56
	5/15/19	5,000		ZCS	at maturity	compounded 3 month LIBOR less 7.125 bps	(45		)
	5/15/20	8,000		ZCS	at maturity	compounded 3 month LIBOR less 9.75 bps	142
	8/15/20	5,000		ZCS	at maturity	compounded 3 month LIBOR less 6.25 bps	(48		)
	5/15/21	5,000		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(133		)
	5/15/21	640		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(18		)
	5/15/21	700		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(20)
	2/15/22	4,000		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	43
	8/15/22	5,000		ZCS	at maturity	compounded 3 month LIBOR less 7.0 bps	(150		)
	8/15/22	5,000		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	65
	2/15/23	3,000		ZCS	at maturity	compounded 3 month LIBOR less 11.5 bps	18
	6/16/23	35,000		IRS	fixed rate of 4.396%	compounded 3 month LIBOR	160
Goldman Sachs	6/20/10	1,000		CDS	upon the occurrence of a negative credit event(4)	fixed rate of 0.38%	@—
	6/20/10	1,000		CDS	fixed rate of 0.26%	upon the occurrence of a negative credit event(5)	(2		)
	2/15/21	24,500		ZCS	at maturity	compounded 3 month LIBOR	217
	2/15/21	5,000		ZCS	at maturity	compounded 3 month LIBOR	(153		)
	2/15/22	50,000		ZCS	at maturity	compounded 3 month LIBOR	(345		)
							415

99

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
Counterparty	Termination Date	Notional Amount		Type	Pay	Receive	Appreciation (Depreciation)
		(000)					(000)
Balanced Portfolio
Bank of America	4/27/05	$	1,100	TRS	3 month LIBOR	Index Return(1)	$	(19	)
	5/25/05	1,150		TRS	3 month LIBOR less 25 bps	Index Return(1)	(19		)
	8/15/19	2,100		ZCS	at maturity	compounded 3 month LIBOR	9
	8/15/19	1,850		ZCS	at maturity	compounded 3 month LIBOR	9
	2/15/22	650		ZCS	at maturity	compounded 3 month LIBOR	2
	5/16/22	1,800		ZCS	at maturity	compounded 3 month LIBOR	8
	5/16/22	1,700		ZCS	at maturity	compounded 3 month LIBOR	14
Citigroup	2/15/19	1,850		ZCS	at maturity	compounded 3 month LIBOR	10
	5/15/19	800		ZCS	at maturity	compounded 3 month LIBOR less 7.125 bps	(7		)
	11/15/19	300		ZCS	at maturity	compounded 3 month LIBOR less 7.9 bps	(5		)
	5/15/20	500		ZCS	at maturity	compounded 3 month LIBOR less 9.75 bps	9
	5/15/20	1,025		ZCS	at maturity	compounded 3 month LIBOR less 3.1 bps	(1		)
	8/15/20	550		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(6		)
	2/15/21	400		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(8		)
	5/15/21	2,500		ZCS	at maturity	compounded 3 month LIBOR less 8.0 bps	(59		)
	5/15/21	400		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(10		)
	5/15/21	400		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(9		)
	5/15/21	1,000		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(27		)
	5/15/21	290		ZCS	at maturity	compounded 3 month LIBOR less 7.5 bps	(8		)
	5/15/21	310		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(8		)
	5/15/21	320		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(9		)
	5/15/21	1,150		ZCS	at maturity	compounded 3 month LIBOR less 3.75 bps	(6		)
	5/15/21	575		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	@—
	5/15/21	575		ZCS	at maturity	compounded 3 month LIBOR less 3.0 bps	18
	11/15/21	575		ZCS	at maturity	compounded 3 month LIBOR less 4.5 bps	(5		)
	11/15/21	875		ZCS	at maturity	compounded 3 month LIBOR less 3.7 bps	(10		)
	11/15/21	575		ZCS	at maturity	compounded 3 month LIBOR less 4.25 bps	(5		)
	2/15/22	400		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	4
	8/15/22	400		ZCS	at maturity	compounded 3 month LIBOR less 7.0 bps	(12		)
	8/15/22	250		ZCS	at maturity	compounded 3 month LIBOR less 10.0 bps	3
	2/15/23	250		ZCS	at maturity	compounded 3 month LIBOR less 11.5 bps	2
	2/15/23	500		ZCS	at maturity	compounded 3 month LIBOR less 12.0 bps	(6		)
Credit Suisse First Boston	5/15/16	500		ZCS	at maturity	compounded 3 month LIBOR	4
	2/15/17	750		ZCS	at maturity	compounded 3 month LIBOR	20
	8/15/18	375		ZCS	at maturity	compounded 3 month LIBOR	(9		)
	2/15/19	900		ZCS	at maturity	compounded 3 month LIBOR	9
	5/15/19	200		ZCS	at maturity	compounded 3 month LIBOR	1
	8/15/19	750		ZCS	at maturity	compounded 3 month LIBOR	(19		)
	8/15/19	750		ZCS	at maturity	compounded 3 month LIBOR	(17		)
	11/15/19	375		ZCS	at maturity	compounded 3 month LIBOR	(10		)
	2/15/21	1,250		ZCS	at maturity	compounded 3 month LIBOR	(35		)
	5/15/21	1,725		ZCS	at maturity	compounded 3 month LIBOR	(13		)
	5/15/21	1,725		ZCS	at maturity	compounded 3 month LIBOR	(1		)
	5/15/21	575		ZCS	at maturity	compounded 3 month LIBOR	8
	11/15/23	750		ZCS	at maturity	compounded 3 month LIBOR	6
Goldman Sachs	2/15/20	310		ZCS	at maturity	compounded 3 month LIBOR	(7		)
	2/15/20	2,550		ZCS	at maturity	compounded 3 month LIBOR	17
	2/15/20	1,175		ZCS	at maturity	compounded 3 month LIBOR	8
	5/15/20	950		ZCS	at maturity	compounded 3 month LIBOR	13
	2/15/21	400		ZCS	at maturity	compounded 3 month LIBOR	(12		)
	2/15/21	1,175		ZCS	at maturity	compounded 3 month LIBOR	(5		)
	2/15/21	1,000		ZCS	at maturity	compounded 3 month LIBOR	(8		)
	11/15/21	575		ZCS	at maturity	compounded 3 month LIBOR	@—

100

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
Counterparty	Termination Date	Notional Amount		Type	Pay	Receive	Appreciation (Depreciation)
		(000)					(000)
Balanced Portfolio (cont’d)
	11/15/21	$	1,000	ZCS	at maturity	compounded 3 month LIBOR	$	(9	)
	8/15/22	550		ZCS	at maturity	compounded 3 month LIBOR	(9		)
	11/15/22	575		ZCS	at maturity	compounded 3 month LIBOR	14
							$	(205	)

(1)Receive if positive (pay if negative), the total rate of return on the Banc of America Securities LLC AAA 10-year Commercial Mortgage-Backed Securities Daily Index.

(2)Payment of $1,000,000 or $10,000,000, in the event of a missed payment or bankruptcy by the issuer, respectively, of Cooper Tire and Rubber Co., 7.75% Bond Maturing 12/15/09.

(3)Payment of $1,000,000 or $10,000,000, in the event of a missed payment or bankruptcy by the issuer, respectively, of Lear Corp., 8.11% Bond Maturing 5/15/09.

(4)Payment of $1,000,000 or $10,000,000, in the event of a missed payment or bankruptcy by the issuer, respectively, of American International Group, Inc., Zero Coupon Bond Maturing 11/9/31.

(5)Payment of $1,000,000 or $10,000,000, in the event of a missed payment or bankruptcy by the issuer, respectively, of Chubb Corp., 6.00% Bond Maturing 11/15/11.

bps	—	Basis Points
CDS	—	Credit Default Swap
IRS	—	Interest Rate Swap
TRS	—	Total Return Swap
ZCS	—	Zero Coupon Interest Rate Swap
@	—	Amount is less than $500.

4. Covered Call Options: During the six months ended March 31, 2005, the Limited Duration Portfolio wrote covered call options as follows:

	Number of Contracts		Total Premiums Received
			(000)
Options Outstanding — October 1, 2004	—		$	—
Options Written	550		41
Options Terminated in Closing Purchase Transactions	—		—
Options Expired	(550	)	(41		)
Options Exercised	—		—
Options Outstanding — March 31, 2005	—		$	—

H. Securities Lending.  Certain Portfolios may lend securities to qualified financial institutions, such as broker-dealers, to earn additional income.  Any increase or decrease in the fair value of the securities loaned that might occur and any interest earned or dividends declared on those securities during the term of the loan would remain in the Portfolio. Portfolios that lend securities receive cash or securities as collateral in an amount equal to or exceeding 100% of the current fair value of the loaned securities. The collateral is marked to market daily, by the securities lending agent, to ensure that a minimum of 100% collateral coverage is maintained.

Based on pre-established guidelines, the securities lending agent invests any cash collateral that is received in high-quality short-term investments. Securities lending income is generated from the earnings on the invested collateral and borrowing fees, less any rebates owed to the borrowers and compensation to the lending agent, and is included in the Portfolios’ Statements of Operations in interest income. Risks in securities lending transactions are that a borrower may not provide additional collateral when required or return the securities when due, and that the value of the short-term investments will be less than the amount of cash collateral plus any rebate that is required to be returned to the borrower. The value of loaned securities and related collateral outstanding at March 31, 2005 are as follows:

Portfolio	Value of Loaned Securities		Value of Collateral
	(000)		(000)
Core Plus Fixed Income	$	620,597	$	626,476
Investment Grade Fixed Income	124,653		126,061
U.S. Core Fixed Income	53,907		54,478
High Yield	43,377		44,486
Balanced	14,204		14,422

The following Portfolios had income from securities lending (after rebates to borrowers and allocation to the securities lending agent)

101

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

Portfolio	Net Interest Earned by Portfolio
	(000)
Core Plus Fixed Income	$	354
Investment Grade Fixed Income	82
U.S. Core Fixed Income	39
High Yield	96
Balanced	20

I. Federal Income Taxes. It is each Portfolio’s intention to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Dividends from net investment income, if any, are declared and paid quarterly except for those of the Intermediate Duration, Limited Duration and Municipal Portfolios which are declared and paid monthly. Net realized capital gains are distributed at least annually.

The tax character of the Municipal Portfolio’s ordinary income distributions include tax exempt as well as taxable components. The undistributed ordinary income for the Municipal Portfolio includes tax exempt as well as taxable components.

The tax character for distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2004 and 2003 were as follows:

	2004 Distributions Paid From:				2003 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
	(000)		(000)		(000)		(000)
Core Plus Fixed Income	$	126,969	$	—	$	267,294	$	—
Investment Grade Fixed Income	22,008		—		28,788		666
U.S. Core Fixed Income	11,852		—		20,574		199
High Yield	19,905		—		24,256		—
Intermediate Duration	4,792		—		6,936		1,160
International Fixed Income	16,118		—		—		—
Limited Duration	21,585		1,603		14,833		688
Municipal	10,806		—		10,489		—
Balanced	5,978		—		10,117		—

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. The book/tax differences are either considered temporary or permanent in nature.  Temporary differences are generally due to differing book and tax treatments in the timing of the recognition of gains or losses on securities, forwards and futures, including Post October losses. Permanent differences are generally due to REIT adjustments, foreign currency transactions, swap transactions, distribution reclass and paydown adjustments.

Permanent book and tax basis differences may result in reclassifications to undistributed (distributions in excess of) net investment income, accumulated net realized gain (loss) and paid-in capital.

At September 30, 2004, the components of distributable earnings on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain
	(000)		(000)
Core Plus Fixed Income	$	33,570	$	—
Investment Grade Fixed Income	14,045		—
U.S. Core Fixed Income	7,218		—
High Yield	9,660		—
Intermediate Duration	993		311
International Fixed Income	5,353		—
Limited Duration	2,917		—
Municipal	1,200		—
Balanced	2,056		—

At March 31, 2005 cost, unrealized appreciation, unrealized depreciation and net unrealized appreciation (depreciation) of securities for Federal income tax purposes were:

Portfolio	Cost		Appreciation		Depreciation			Net Unrealized Appreciation (Depreciation)
	(000)		(000)		(000)			(000)
Core Plus Fixed Income	$	3,174,559	$	70,459	$	(64,580	)	$	5,879
Investment Grade Fixed Income	712,228		11,473		(7,041		)	4,432
U.S. Core Fixed Income	332,407		4,806		(4,415		)	391
High Yield	292,068		11,337		(41,567		)	(30,230		)
Intermediate Duration	240,074		1,072		(2,666		)	(1,594		)
International Fixed Income	166,035		18,192		(495		)	17,697
Limited Duration	1,057,455		902		(11,986		)	(11,084		)
Municipal	482,189		17,830		(2,053		)	15,777
Balanced	229,253		34,228		(3,902		)	30,326

At September 30, 2004, the following Portfolios had available for Federal income tax purposes unused capital losses, which will expire on the indicated dates:

	Expiration Date September 30,
	(000)
Portfolio	2007		2008		2009		2010		2011		2012		Total
Core Plus Fixed Income	$	—	$	—	$	—	$	—	$	40,280	$	—	$	40,280
High Yield	718		12,236		26,962		20,212		183,778		205,457		449,363

102

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Notes to Financial Statements (cont’d)

	Expiration Date September 30,
	(000)
Portfolio	2007	2008	2009	2010	2011	2012	Total
International Fixed Income	—	—	947	57	—	—	1,004
Municipal	—	—	281	—	171	1,261	1,713
Balanced	—	—	—	37,097	40,947	—	78,044

In addition to the $449,363,000 in unused capital losses attributed to the High Yield Portfolio in the table above, approximately $65,670,000 has been brought forward as a result of the Portfolio.  The utilization of the capital loss carryforward in subsequent years may be limited pursuant to sections 382 and 383 of the Internal Revenue Code.  This acquired capital loss carryforward is expected to expire between 2006-2012.

To the extent that capital loss carryover is used to offset any future capital gains realized during the carryover period as provided by U.S. Federal income tax regulations, no capital gains tax liability will be incurred by a portfolio for gains realized and not distributed. To the extent that capital gains are offset, such gains will not be distributed to the shareholders.

During the year ended September 30, 2004, the following Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of approximately

Portfolio	Capital Loss Carryforward Utilized
	(000)
Core Plus Fixed Income	$	13,662
Intermediate Duration	280
International Fixed Income	312
Balanced	6,081

Under current tax law, certain capital and net foreign exchange losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended September 30, 2004, the following Portfolios elected to defer capital and currency losses occurring between November 1, 2003 and September 30, 2004 up to the following amounts:

Portfolio	Post-October
	Capital Losses		Currency Losses
	(000)		(000)
Core Plus Fixed Income	$	20,307	$	278
Investment Grade Fixed Income	913		21
High Yield	19,050		269
Intermediate Duration	426		14
Limited Duration	7,070		—
Municipal	1,432		—

J. Contractual Obligations: The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

K. Other.  The High Yield Portfolio’s net assets are substantially comprised of high yield fixed income securities. The financial condition of an issuer of these securities and general economic and industry specific conditions may affect an issuer’s ability to make payments of income and principal on these securities and ultimately impact their valuation.

A portion of the securities of the Municipal Portfolio are insured by certain companies specializing in the insurance of municipal debt obligations. At March 31, 2005, approximately 75.0% of the net assets of the Municipal Portfolio are covered by such insurance. Listed below are the insurers that-insure obligations constituting more than 10% of the Portfolio’s net assets

Insurers	% of Portfolio’s Net Assets
MBIA	21.3	%
AMBAC	17.3
FGIC	15.6
FSA	11.4
PSFG	11.0
XLCA	4.9

At March 31, 2005, certain Portfolios had otherwise unaffiliated record owners of 10% or greater. Investment activities of these shareholders could have a material impact on these Portfolios. These Portfolios and the aggregate percentage of such owners was as follows:

	Percentage of Ownership
Portfolio	Institutional Class		Investment Class		Adviser Class
Core Plus Fixed Income	43.9	%	97.2	%	91.3	%
Investment Grade Fixed Income	64.0		—		73.7
U.S. Core Fixed Income	91.0		—		88.9
High Yield	68.4		97.1		81.0
Intermediate Duration	94.9		100.0		—
International Fixed Income	74.0		—		—
Limited Duration	91.6		—		—
Municipal	50.8		—		—
Balanced	80.0		98.4		95.9

103

2005 Semi-Annual Report

March 31, 2005 (unaudited)

Trustee and Officer Information

Trustees

Michael Bozic

Edwin J. Garn

Wayne E. Hedien

James F. Higgins

Dr. Manuel H. Johnson

Joseph J. Kearns

Michael Nugent

Fergus Reid

Investment Adviser and Administrator

Morgan Stanley Investment Management Inc.

1221 Avenue of the Americas

New York, NY 10020

Distributor

Morgan Stanley Distribution, Inc.

One Tower Bridge

100 Front Street, Suite 1100

West Conshohocken, PA 19428-2899

Custodian

JPMorgan Chase Bank

270 Park Avenue

New York, NY 10017

Legal Counsel

Clifford Chance US LLP

31 West 52^nd Street

New York, NY 10019

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116-5072

Officers

Charles A. Fiumefreddo

Chairman and Director of the Board

Mitchell M. Merin

President

Ronald E. Robison

Executive Vice President and Principal Executive Officer

Barry Fink

Vice President

Joseph J. McAlinden

Vice President

Stefanie V. Chang

Vice President

Amy R. Doberman

Vice President

Carsten Otto

Chief Compliance Officer

James W. Garrett

Treasurer and Chief Financial Officer

Michael J. Leary

Assistant Treasurer

Mary E. Mullin

Secretary

Reporting to Shareholders

Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semi-annual and annual reports within 60 days of the end of the fund’s second and fourth fiscal quarters by filing the schedule electronically with the Securities and Exchange Commission (SEC). The semi-annual reports are filed on Form N-CSRS and the annual reports are filed on Form N-CSR. Morgan Stanley also delivers the semi-annual and annual reports to fund shareholders and makes these reports available on its public website, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund’s first and third fiscal quarters on Form N-Q.  Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public website. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC’s website, http://www.sec.gov.  You may also review and copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at 1(800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.

Proxy Voting Policies and Procedures and Proxy Voting Record

A copy of (1) the Fund’s policies and procedures with respect to the voting of proxies relating to the Fund’s portfolio securities; and (2) how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling 1(800) 354-8185 or by visiting our website at www.morganstanley.com/im.  This information is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

This report is authorized for distribution only when preceded or accompanied by the prospectus of the Morgan Stanley Institutional Fund Trust which describes in detail each Investment Portfolio’s investment policies, risks, fees and expenses.  Please read the prospectus carefully before you invest or send money.  For additional information, including information regarding the investments comprising the Portfolio, please visit our website at www.morganstanley.com/im or call 1(800) 354-8185.

104

Printed in U.S.A.

This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Morgan Stanley Investment Management Inc.

1221 Avenue of the Americas

New York, NY 10020

Investment Adviser: (610) 940-5000 • MSIF Trust (800) 354-8185

© 2004 Morgan Stanley

935-FXBALAR-0505

Item 2.  Code of Ethics.

Not applicable for semi-annual reports.

Item 3.  Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4.  Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5.  Audit Committee of Listed Registrants.

Not applicable for semi-annual reports.

Item 6.  Schedule of Investments.

Please refer to Item #1.

Item 7.  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.  Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10.  Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11.  Controls and Procedures

(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12.  Exhibits.

(a)  Code of Ethics – Not applicable for semi-annual reports.

(b)(1)  A certification for the Principal Executive Officer of the registrant is attached hereto as part of EX-99.CERT.

(b)(2)  A certification for the Principal Financial Officer of the registrant is attached hereto as part of EX-99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment company Act of 1940, the registrants has duly caused this report to be signed on its behalf by the undersigned, thereunto duly autorized.

(Registrant)		Morgan Stanley Institutional Fund Trust
By:	/s/ Ronald E. Robison
Name:	Ronald E. Robison
Title:	Principal Executive Officer
Date:	May 19, 2005

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Ronald E. Robison
Name:	Ronald E. Robison
Title:	Principal Executive Officer
Date:	May 19, 2005
By:	/s/ James Garrett
Name:	James Garrett
Title:	Principal Financial Officer
Date:	May 19, 2005