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 5TH FLOOR NEW YORK, NY					10020
(Address of principal executive offices)					(Zip code)
RONALD E. ROBISON 1221 AVENUE OF THE AMERICAS 5TH 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:		3/31/07

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:

Morgan Stanley Investment Management

Morgan Stanley
Institutional Fund Trust
Balanced Portfolio
Balanced
Equity Portfolios
Equities Plus		U.S. Small Cap Value
Mid Cap Growth		Value
U.S. Mid Cap Value
Fixed Income Portfolios
Core Fixed Income		Investment Grade Fixed Income
Core Plus Fixed Income		Limited Duration
High Yield		Long Duration Fixed Income
Intermediate Duration		Municipal
International Fixed Income
	March 31, 2007
Semi-Annual Report

2007 Semi-Annual Report

March 31, 2007

Table of Contents

Shareholders’ Letter	2
Expense Examples	3
Portfolios of Investments
Balanced Portfolio:
Balanced	7
Equity Portfolios:
Equities Plus	18
Mid Cap Growth	21
U.S. Mid Cap Value	23
U.S. Small Cap Value	25
Value	27
Fixed Income Portfolios:
Core Fixed Income	29
Core Plus Fixed Income	36
High Yield	44
Intermediate Duration	50
International Fixed Income	56
Investment Grade Fixed Income	59
Limited Duration	66
Long Duration Fixed Income	73
Municipal	75
Statements of Assets & Liabilities	83
Statements of Operations	91
Statements of Changes in Net Assets	94
Statements of Cash Flows	103
Financial Highlights	105
Notes to Financial Statements	126
Trustee and Officer Information	143

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

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Shareholders’ Letter

Dear Shareholders:

We are pleased to present to you the Morgan Stanley Institutional Fund Trust’s (the “Fund”) Semi-Annual Report for the six months ended March 31, 2007. Our Fund currently consists of 18 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

President and Principal Executive Officer

April 2007

2

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Expense Examples

Expense Examples

As a shareholder of a Portfolio, you may incur two types of costs: (1) transactional costs, including redemption fees; and (2) 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 each 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, 2007 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.

Please note that “Expenses Paid During Period” are grossed up to reflect Portfolio expenses prior to the effect of Expense Offset (See Note E in the Notes to Financial Statements). Therefore, the annualized net expense ratios may differ from the ratio of expenses to average net assets shown in the Financial Highlights.

Hypothetical Example for Comparison Purposes

The second line of the tables below provides information about hypothetical account values and hypothetical expenses based on a 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 a 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2006		March 31, 2007		October 1, 2006 — March 31, 2007
Balanced Portfolio
Institutional Class
Actual	$	1,000.00	$	1,073.80	$	3.21
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.84		3.13
Investment Class
Actual	1,000.00		1,073.20		3.98
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.09		3.88
Adviser Class
Actual	1,000.00		1,071.80		4.49
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.59		4.38

*  Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized net 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).

Equities Plus Portfolio
Institutional Class
Actual	$	1,000.00	$	1,076.30	$	3.11
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.94		3.02
Adviser Class
Actual	1,000.00		1,076.10		4.40
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.69		4.28

* Expenses are equal to Institutional Class’ and Adviser Class’ annualized net expense ratios of 0.60% and 0.85%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

3

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Expense Examples (cont’d)

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2006		March 31, 2007		October 1, 2006 — March 31, 2007
Mid Cap Growth Portfolio
Institutional Class
Actual	$	1,000.00	$	1,119.20	$	3.43
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.69		3.28
Adviser Class
Actual	1,000.00		1,117.60		4.75
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.44		4.53

* Expenses are equal to Institutional Class’ and Adviser Class’ annualized net expense ratios of 0.65% and 0.90%, 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	$	1,149.10	$	4.88
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.39		4.58
Investment Class
Actual	1,000.00		1,148.20		5.68
Hypothetical (5% average annual return before expenses)	1,000.00		1,019.65		5.34
Adviser Class
Actual	1,000.00		1,147.60		6.21
Hypothetical (5% average annual return before expenses)	1,000.00		1,019.15		5.84

* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized net expense ratios of 0.91%, 1.06% and 1.16%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

U.S. Small Cap Value Portfolio
Institutional Class
Actual	$	1,000.00	$	1,163.50	$	6.10
Hypothetical (5% average annual return before expenses)	1,000.00		1,019.30		5.69
Adviser Class
Actual	1,000.00		1,162.10		4.69
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.59		4.38

* Expenses are equal to Institutional Class’ and Adviser Class’ annualized net expense ratios of 0.87% and 1.13%, 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	$	1,074.40	$	3.36
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.69		3.28
Investment Class
Actual	1,000.00		1,074.10		4.14
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.94		4.03
Adviser Class
Actual	1,000.00		1,073.10		4.65
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.44		4.53

* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized net expense ratios of 0.65%, 0.80% and 0.90%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Core Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,025.10	$	2.52
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.44		2.52
Adviser Class
Actual	1,000.00		1,023.10		3.78
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 net 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).

4

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Expense Examples (cont’d)

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2006		March 31, 2007		October 1, 2006 — March 31, 2007
Core Plus Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,028.30	$	2.28
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.69		2.27
Investment Class
Actual	1,000.00		1,027.60		3.03
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.94		3.02
Adviser Class
Actual	1,000.00		1,026.20		3.54
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.44		3.53

* Expenses are equal to Institutional Class’, Investment Class’ and Adviser Class’ annualized net expense ratios of 0.45%, 0.60% and 0.70%, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

High Yield Portfolio
Institutional Class
Actual	$	1,000.00	$	1,057.60	$	3.64
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.39		3.58
Adviser Class
Actual	1,000.00		1,057.90		4.93
Hypothetical (5% average annual return before expenses)	1,000.00		1,020.14		4.84

* Expenses are equal to Institutional Class’ and Adviser Class’ annualized net expense ratios of 0.71% and 0.96%, 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	$	1,025.00	$	2.83
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.14		2.82
Investment Class
Actual	1,000.00		1,024.40		3.58
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.39		3.58

* Expenses are equal to Institutional Class’ and Investment Class’ annualized net expense ratios of 0.56% and 0.71%, 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	$	1,032.10	$	3.19
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.79		3.18

* Expenses are equal to Institutional Class’ annualized net expense ratio of 0.63% 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	$	1,025.50	$	2.58
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.39		2.57
Adviser Class
Actual	1,000.00		1,023.80		3.33
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.64		3.33

* Expenses are equal to Institutional Class’ and Adviser Class’ annualized net 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).

Limited Duration Portfolio
Institutional Class
Actual	$	1,000.00	$	1,025.40	$	2.32
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.64		2.32

* Expenses are equal to Institutional Class’ annualized net expense ratio of 0.46% multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

5

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Expense Examples (cont’d)

	Beginning Account Value		Ending Account Value		Expenses Paid During Period*
	October 1, 2006		March 31, 2007		October 1, 2006 — March 31, 2007
Long Duration Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,014.40	$	2.56
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.39		2.57
Adviser Class
Actual	1,000.00		1,012.30		3.81
Hypothetical (5% average annual return before expenses)	1,000.00		1,021.14		3.83

* Expenses are equal to Institutional Class’ and Adviser Class’ annualized net expense ratios of 0.51% and 0.76%, respectively 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	$	1,021.40	$	2.47
Hypothetical (5% average annual return before expenses)	1,000.00		1,022.49		2.47

* Expenses are equal to Institutional Class’ annualized net expense ratio of 0.49% multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

6

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (25.2%)
Agency Adjustable Rate Mortgages (1.1%)
Federal National Mortgage Association,
Conventional Pools:
5.10%, 11/1/35	$	329	$	327
7.46%, 5/1/36	719		739
7.49%, 7/1/36 - 8/1/36	857		882
Government National Mortgage Association,
Adjustable Rate Mortgages:
5.38%, 2/20/25 - 1/20/28	521		528
5.64%, 1/1/37	322		325
5.76%, 1/1/37	550		554
6.13%, 11/20/25 - 12/20/27	127		129
			3,484
Agency Fixed Rate Mortgages (3.4%)
Federal Home Loan Mortgage Corp.,
Conventional Pools:
10.00%, 9/1/17	25		27
10.50%, 8/1/19 - 12/1/19	76		85
11.00%, 5/1/20 - 9/1/20	36		40
12.00%, 3/1/15	31		35
Gold Pools:
7.50%, 8/1/20 - 11/1/32	478		500
8.00%, 2/1/21 - 8/1/31	400		421
9.50%, 12/1/22	34		37
10.00%, 12/1/19	33		36
Federal National Mortgage Association,
Conventional Pools:
6.50%, 4/1/32 - 7/1/32	347		357
7.00%, 3/1/18 - 10/1/34	1,350		1,405
7.50%, 11/1/29 - 9/1/35	964		1,009
8.00%, 2/1/30 - 5/1/32	430		454
8.50%, 6/1/30 - 12/1/30	260		280
9.50%, 11/1/20 - 4/1/30	283		310
10.00%, 1/1/10 - 1/1/20	38		42
10.50%, 12/1/16 - 4/1/22	178		195
11.50%, 11/1/19	3		3
12.50%, 9/1/15	14		16
April TBA
7.00%, 4/25/37	(i)1,025		1,057
May TBA
7.00%, 5/25/37	(i)3,125		3,221
Government National Mortgage Association,
Various Pools:
9.50%, 10/15/18 - 11/15/21	99		108
10.00%, 11/15/09 - 12/15/21	286		318
10.50%, 2/15/20 - 12/15/20	56		63
11.00%, 1/15/19	59		65
			10,084
Asset Backed Corporates (4.0%)
ACE Securities Corp.
5.64%, 5/25/34		(h)78		78
Aegis Asset Backed Securities Trust
5.43%, 10/25/35	(h)8		8
American Express Credit Account Master Trust
5.32%, 10/15/12	(h)325		325
5.43%, 12/15/09	(h)550		550
Argent Securities, Inc.
5.37%, 10/25/36	(h)402		402
Bear Stearns Asset Backed Securities, Inc.
5.44%, 8/25/35	(h)58		58
5.52%, 9/25/34	(h)61		61
5.54%, 3/25/35	(h)114		115
Capital Auto Receivables Asset Trust
3.35%, 2/15/08	55		55
5.38%, 5/15/11	(h)575		575
5.40%, 1/15/08	(h)30		30
Carrington Mortgage Loan Trust
5.40%, 3/25/47	(h)375		375
5.44%, 10/25/35	(h)9		9
5.47%, 9/25/35	(h)61		61
Citibank Credit Card Issuance Trust
5.34%, 3/22/12	(c)(h)400		400
Countrywide Asset Backed Certificates
5.47%, 7/25/25	(h)245		246
First Franklin Mortgage Loan Asset Backed Certificates
5.36%, 3/25/37	(h)362		362
5.37%, 7/25/36	(h)310		310
5.39%, 2/25/36	(h)234		234
5.42%, 7/25/35	(h)83		83
5.44%, 10/25/35	(h)229		229
Fremont Home Loan Owner Trust
5.37%, 10/25/36	(h)409		409
GE Capital Credit Card Master Note Trust
5.36%, 9/15/10	(h)350		350
GE Dealer Floorplan Master Note Trust
5.40%, 7/20/09	(h)450		450
GSAMP Trust
5.39%, 1/25/37	(h)343		343
5.40%, 4/25/47	450		450
Lehman Brothers Commercial Mortgage Trust
5.44%, 9/15/21	(h)335		335
MBNA Credit Card Master Note Trust
5.46%, 2/15/10	(h)500		501
MBNA Master Credit Card Trust
7.80%, 10/15/12	900		976
RAAC Series
5.42%, 9/25/45	(h)153		153
Residential Asset Mortgage Products, Inc.
5.39%, 6/25/29	(h)396		397
Residential Asset Securities Corp.
5.43%, 2/25/30	(h)350		350

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

7

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Securitized Asset Backed Receivables LLC Trust
5.39%, 12/25/35	$	(h)130	$	130
SLM Student Loan Trust
5.32%, 10/25/14	(h)675		675
Soundview Home Equity Loan Trust
5.40%, 1/25/37	(h)321		322
5.43%, 2/25/37	(h)375		375
Structured Asset Securities Corp.
5.41%, 4/25/37	(h)350		350
5.44%, 1/25/37	(e)(h)321		321
5.52%, 6/25/35	(h)131		131
Terwin Mortgage Trust
5.44%, 7/25/35	(e)@—		@—
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	100		100
Wachovia Bank Commercial Mortgage Trust
5.44%, 9/15/21	(e)(h)350		350
			12,034
Collateralized Mortgage Obligations — Agency Collateral Series (0.1%)
Federal Home Loan Mortgage Corp.
Inv FI IO
3.23%, 10/15/29	49		1
20.38%, 11/15/07	2		@—
Inv FI IO PAC
4.22%, 3/15/08	16		@—
4.86%, 2/15/08	31		@—
IO
5.00%, 6/15/17	274		26
6.50%, 3/15/33	164		35
7.50%, 12/1/29	110		30
8.00%, 1/1/28 - 6/1/31	34		7
Federal National Mortgage Association
Inv FI IO
2.23%, 2/17/31	423		22
3.28%, 3/18/30	20		@—
3.86%, 10/25/07	37		@—
IO
1.93%, 3/25/36	2,289		49
5.00%, 2/25/15	193		4
5.50%, 6/25/26	60		@—
6.00%, 8/25/32 - 7/25/33	152		29
6.50%, 6/1/31 - 6/25/33	322		72
7.00%, 4/25/33	107		25
8.00%, 4/1/24 - 12/1/31	405		96
9.00%, 11/1/26	44		11
IO PAC
8.00%, 8/18/27	92		20
Government National Mortgage Association
Inv FI IO
2.68%, 4/16/29	236		13
3.28%, 8/16/29	136		7
			447
Collateralized Mortgage Obligations — Non Agency Collateral Series (1.0%)
Bear Stearns Structured Products, Inc.
1.00%, 3/27/36		(e)13,517		538
1.91%, 7/27/36	(e)6,234		247
6.00%, 4/25/37	(e)7,200		281
Countrywide Alternative Loan Trust
Zero Coupon, 4/25/47	2,225		114
1.83%, 2/25/47	4,580		250
IO
1.54%, 2/25/37	2,050		108
1.70%, 12/20/46	3,801		189
1.73%, 12/20/35	(h)2,355		64
1.78%, 3/20/46	1,937		89
1.95%, 3/20/47	3,561		198
2.71%, 12/20/35	(h)2,604		125
Countrywide Home Loan Mortgage Pass Through Trust
IO
0.76%, 2/25/35	1,940		42
Greenpoint Mortgage Funding Trust
IO
1.91%, 10/25/45	1,488		45
1.10%, 8/25/45	1,142		35
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)1,583		36
1.26%, 5/19/35	(h)2,298		55
1.63%, 3/19/37	(h)1,896		84
PO
3/19/37	1		1
Harborview NIM Corp.
Zero Coupon, 10/20/45	(e)(h)328		210
Indymac Index Mortgage Loan Trust
IO
0.91%, 7/25/35	(h)1,362		43
Residential Accredit Loans, Inc.
Zero Coupon, 4/25/47	(e)2,300		132
			2,886
Finance (1.6%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)265		277
American General Finance Corp.
4.63%, 5/15/09	65		64
4.63%, 9/1/10	15		15
AXA Financial, Inc.
6.50%, 4/1/08	60		61
Catlin Insurance Co. Ltd.
7.25%	(e)(h)(o)100		99
CIT Group, Inc.
3.65%, 11/23/07	80		79
Countrywide Home Loans, Inc.
3.25%, 5/21/08	165		161
Farmers Insurance Exchange
8.63%, 5/1/24	(e)290		346

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

8

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Face
		Amount		Value
		(000)		(000)
Finance (cont’d)
General Electric Capital Corp.
4.25%, 12/1/10		$	(c)80	$	78
HSBC Finance Corp.
5.88%, 2/1/09		345		349
JPMorgan Chase & Co.
7.00%, 11/15/09		255		267
M&I Marshall & Ilsley Bank
3.80%, 2/8/08		190		188
Mantis Reef Ltd.
4.69%, 11/14/08		(e)200		198
MBNA Corp.
5.79%, 5/5/08		(h)140		141
Nationwide Building Society
4.25%, 2/1/10		(e)155		151
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17		100		106
Platinum Underwriters Holdings Ltd.
6.37%, 11/16/07		90		90
Residential Capital Corp.
6.38%, 6/30/10		230		230
SLM Corp.
4.00%, 1/15/10		120		117
St. Paul Travelers Cos., Inc. (The)
5.01%, 8/16/07		125		125
Two-Rock Pass Through Trust
6.30%		(e)(h)(o)100		99
Unicredit Luxembourg Finance S.A.
5.41%, 10/24/08		(e)(h)230		230
USB Capital IX
6.19%		(h)(o)195		200
Wachovia Capital Trust III
5.80%		(h)(o)360		365
Washington Mutual, Inc.
8.25%, 4/1/10		175		189
Washington Mutual Preferred Funding II
6.67%		(e)(h)(o)100		98
World Financial Properties
6.91%, 9/1/13		(e)253		265
Xlliac Global Funding
4.80%, 8/10/10		(e)155		153
				4,741
Industrials (1.7%)
ArvinMeritor, Inc.
8.75%, 3/1/12		(c)100		104
AT&T Corp.
8.00%, 11/15/31		160		198
Brookfield Asset Management, Inc.
7.13%, 6/15/12		125		134
Caterpillar Financial Services Corp.
3.63%, 11/15/07		(h)30		30
5.43%, 8/20/07		(h)150		150
Clorox Co.
5.48%, 12/14/07		(h)140		140
Comcast Cable Communications, Inc.
6.75%, 1/30/11			40		42
ConAgra Foods, Inc.
7.00%, 10/1/28	��	45		48
8.25%, 9/15/30		55		67
Consumers Energy Co.
4.00%, 5/15/10		30		29
4.80%, 2/17/09		80		79
Cooper Industries, Inc.
5.25%, 11/15/12		105		105
CVS/Caremark Corp.
5.75%, 8/15/11		35		36
6.04%, 12/10/28		(e)174		177
DaimlerChrysler N.A. Holding Corp.
8.50%, 1/18/31		(c)65		81
Delhaize America, Inc.
9.00%, 4/15/31		85		103
Echostar DBS Corp.
6.38%, 10/1/11		145		146
6.63%, 10/1/14		35		35
FBG Finance Ltd.
5.13%, 6/15/15		(c)(e)115		111
FedEx Corp.
2.65%, 4/1/07		75		75
Ford Motor Credit Co.
7.25%, 10/25/11		110		107
France Telecom S.A.
8.50%, 3/1/31		120		156
General Motors Acceptance Corp.
6.88%, 9/15/11		365		366
Hewlett-Packard Co.
5.49%, 5/22/09		(h)110		110
Home Depot, Inc.
5.48%, 12/16/09		(h)55		55
Hospira, Inc.
5.83%, 3/30/10		(h)150		150
Hyatt Equities LLC
6.88%, 6/15/07		(e)125		125
ICI Wilmington, Inc.
4.38%, 12/1/08		65		64
Interpublic Group of Companies, Inc.
6.25%, 11/15/14		70		66
Lenfest Communications, Inc.
7.63%, 2/15/08		180		183
LG Electronics, Inc.
5.00%, 6/17/10		(e)80		79
May Department Stores Co. (The)
6.70%, 7/15/34		105		104
Miller Brewing Co.
4.25%, 8/15/08		(e)110		108
Mohawk Industries, Inc.
7.20%, 4/15/12		65		69
Norfolk Southern Corp.
7.35%, 5/15/07		75		75

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

9

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Pilgrim’s Pride Corp.
7.63%, 5/1/15	$	(c)80	$	80
9.63%, 9/15/11	30		31
Sara Lee Corp.
6.13%, 11/1/32	115		107
SBC Communications Inc.
6.15%, 9/15/34	70		69
Sprint Capital Corp.
8.75%, 3/15/32	15		18
Systems 2001 Asset Trust LLC
6.66%, 9/15/13	(e)158		167
Telecom Italia Capital S.A.
4.00%, 1/15/10	155		150
Telefonica Europe BV
8.25%, 9/15/30	125		150
Time Warner, Inc.
5.59%, 11/13/09	(h)210		211
Union Pacific Corp.
6.63%, 2/1/08	45		46
6.79%, 11/9/07	35		35
Viacom, Inc.
6.88%, 4/30/36	110		111
WellPoint, Inc.
3.75%, 12/14/07	30		30
Yum! Brands, Inc.
8.88%, 4/15/11	70		79
			4,991
Mortgages — Other (7.1%)
American Home Mortgage Assets
5.45%, 3/25/47	(h)475		474
5.51%, 10/25/46	(h)594		595
5.55%, 9/25/46	(h)491		493
American Home Mortgage Investment Trust
5.51%, 4/25/37	(h)350		350
Banc of America Funding Corp.
5.67%, 9/20/35	(h)182		183
Bear Stearns Mortgage Funding Trust
5.57%, 7/25/36	(h)387		387
Countrywide Alternative Loan Trust
5.25%, 7/25/46	(e)(h)126		126
5.48%, 2/25/47	(e)(h)332		331
5.51%, 10/25/46 - 11/25/46	(h)676		676
5.58%, 11/20/35	(h)187		187
5.59%, 7/25/46	(h)297		298
5.63%, 3/20/46	287		288
6.50%, 10/25/46	(e)177		176
Countrywide Home Loan Mortgage Pass Through Trust
5.62%, 3/25/35	(h)61		61
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.47%, 2/25/47	(e)585		585
Deutsche ALT-A Securities, Inc., NIM Trust
6.75%, 2/25/47	169		168
Downey Savings & Loan Association Mortgage Loan Trust
5.52%, 10/19/36		(h)476		478
5.92%, 4/19/46	(h)446		446
Federal Home Loan Mortgage Corp.
5.89%, 10/1/36	415		419
Federal National Mortgage Association
5.38%, 12/25/36	289		289
PAC
8.50%, 9/25/20	16		17
Greenpoint Mortgage Funding Trust
5.50%, 1/25/37	(h)373		372
5.52%, 3/25/47	(h)550		550
5.61%, 2/25/36	(h)346		347
5.64%, 3/25/36	(h)393		394
Harborview Mortgage Loan Trust
5.41%, 1/19/38	(h)176		176
5.47%, 3/19/38	(h)371		371
5.50%, 11/19/36	(h)484		482
5.51%, 12/19/37	(h)549		550
5.52%, 7/21/36 - 3/19/38	676		676
5.53%, 11/19/36	(h)489		491
5.55%, 7/19/46	(h)338		338
5.57%, 10/19/37	(h)385		386
5.61%, 7/19/45	(h)125		125
5.70%, 11/19/35	(h)214		215
Harborview NIM Corp.
6.41%, 7/22/36 - 3/19/38	(e)453		452
Impac CMB Trust
5.57%, 6/25/34	(h)128		128
Indymac Index Mortgage Loan Trust
5.42%, 2/25/37	(h)391		392
5.44%, 7/25/46	(h)525		527
5.57%, 6/25/46	(h)466		468
Luminent Mortgage Capital, Inc.
5.56%, 4/25/36	(h)292		293
5.57%, 5/25/36	(h)270		271
Merrill Lynch Mortgage Investors, Inc.
5.44%, 8/25/35	(h)110		110
Mortgage Equity Conversion Asset Trust
5.46%, 2/25/42	(h)350		350
Residential Accredit Loans, Inc.
5.48%, 2/25/37 - 3/25/47	(h)1,171		1,171
5.51%, 12/25/36	(h)418		420
5.55%, 5/25/46	(h)207		207
5.58%, 2/25/46	(h)136		136
5.59%, 2/25/46	(h)149		149
Ryland Acceptance Corp. IV
6.65%, 7/1/11	5		5
Structured Asset Mortgage Investments, Inc.
5.51%, 2/25/36	(h)145		145
5.52%, 10/25/36	(h)334		335
5.55%, 7/25/36 - 8/25/36	(h)922		925
5.59%, 4/25/36	(h)517		520
Wamu Alternative Mortgage Pass Through Certificates
5.42%, 5/25/46	(h)147		147

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

10

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Face
		Amount		Value
		(000)		(000)
Mortgages — Other (cont’d)
5.51%, 7/25/46		$	(h)198	$	198
5.92%, 4/25/46		(h)343		344
Washington Mutual, Inc.
5.57%, 11/25/45 - 12/25/45		(h)395		396
5.58%, 7/25/44 - 10/25/45		158		158
5.59%, 4/25/45		(h)209		209
5.61%, 8/25/45		(h)77		77
Zuni Mortgage Loan Trust
5.45%, 8/25/36		(h)319		318
				21,351
Sovereign (0.4%)
Citigroup, Inc.
Zero Coupon, 7/17/08		70		83
Government of Argentina
5.83%, 12/31/33		280		134
Government of Japan
0.30%, 3/20/08	JPY	85,000		719
United Mexican States
9.50%, 12/18/14	MXN	2,090		211
				1,147
U.S. Treasury Securities (4.4%)
U.S. Treasury Bonds
6.13%, 8/15/29		(c)25		29
6.25%, 5/15/30		(c)4,140		4,906
8.13%, 8/15/19		(c)2,100		2,743
U.S. Treasury Note
3.88%, 2/15/13		(c)1,170		1,131
U.S. Treasury Strip
IO
5.06%, 5/15/21		(c)9,245		4,591
				13,400
Utilities (0.4%)
Arizona Public Service Co.
5.80%, 6/30/14		110		111
CenterPoint Energy Resources Corp.
6.25%, 2/1/37		35		35
Consolidated Natural Gas Co.
6.25%, 11/1/11		45		47
Detroit Edison Co.
6.13%, 10/1/10		60		62
Entergy Gulf States, Inc.
3.60%, 6/1/08		45		44
5.76%, 12/1/09		(h)75		75
6.09%, 12/8/08		(e)(h)105		105
Kinder Morgan Finance Co.
5.70%, 1/5/16		125		117
NiSource Finance Corp.
5.93%, 11/23/09		(h)85		85
Ohio Power Corp.
6.00%, 6/1/16		110		114
Plains All American Pipeline LP
6.70%, 5/15/36		110		113
PSEG Energy Holdings LLC
8.63%, 2/15/08		(c)65		67
Sempra Energy
4.62%, 5/17/07		75		75
Texas Eastern Transmission LP
7.00%, 7/15/32		70		78
TXU Energy Co. LLC
7.00%, 3/15/13		70		73
Wisconsin Electric Power Co.
3.50%, 12/1/07		30		30
				1,231
Total Fixed Income Securities (Cost $76,994)				75,796

	Shares
Common Stocks (58.9%)
Aerospace & Defense (1.4%)
Boeing Co.	9,450	840
General Dynamics Corp.	3,800	290
Honeywell International, Inc.	10,200	470
Lockheed Martin Corp.	4,450	432
Northrop Grumman Corp.	7,110	528
Raytheon Co.	16,200	850
Rockwell Collins, Inc.	1,200	80
United Technologies Corp.	11,800	767
		4,257
Air Freight & Logistics (0.7%)
C.H. Robinson Worldwide, Inc.	17,546	838
Expeditors International Washington, Inc.	15,600	644
FedEx Corp.	1,850	199
United Parcel Service, Inc.	7,000	491
		2,172
Airlines (0.0%)
Southwest Airlines Co.	6,150	90
Automobiles (0.2%)
Ford Motor Co.	28,700	227
Honda Motor Co. Ltd. ADR	9,410	328
		555
Beverages (1.1%)
Anheuser-Busch Cos., Inc.	5,538	279
Brown-Forman Corp., Class B	600	39
Coca-Cola Co. (The)	44,684	2,145
Coca-Cola Enterprises, Inc.	2,803	57
Pepsi Bottling Group, Inc.	1,440	46
PepsiCo., Inc.	11,625	739
		3,305
Biotechnology (0.6%)
Amgen, Inc.	(a)11,960	668
Applera Corp. - Applied Biosystems Group	8,010	237
Biogen Idec, Inc.	(a)3,336	148
Genentech, Inc.	(a)6,440	529
Genzyme Corp.	(a)1,600	96
Gilead Sciences, Inc.	(a)2,600	199

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

11

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Biotechnology (cont’d)
Medimmune, Inc.	(a)1,270	$	46
		1,923
Building Products (0.1%)
American Standard Cos., Inc.	3,350	178
Masco Corp.	8,150	223
		401
Capital Markets (1.6%)
Bank of New York Co., Inc. (The)	2,990	121
Bear Stearns Cos., Inc. (The)	1,500	226
Charles Schwab Corp. (The)	47,191	863
Franklin Resources, Inc.	4,780	578
Goldman Sachs Group, Inc.	4,540	938
Lehman Brothers Holdings, Inc.	5,874	412
Mellon Financial Corp.	1,740	75
Merrill Lynch & Co., Inc.	17,760	1,450
Northern Trust Corp.	570	34
State Street Corp.	2,480	161
		4,858
Chemicals (0.7%)
Bayer AG ADR	23,010	1,472
E.I. du Pont de Nemours & Co.	10,390	513
Tronox, Inc.	207	3
		1,988
Commercial Banks (2.4%)
Akbank T.A.S.	91,102	609
Ameriprise Financial, Inc.	1,760	101
Bank of America Corp.	37,670	1,922
Bank Pekao S.A.	5,906	525
BB&T Corp.	750	31
Comerica, Inc.	440	26
Fifth Third Bancorp.	11,630	450
KeyCorp.	340	13
Komercni Banka A.S.	2,718	473
Marshall & Ilsley Corp.	670	31
National City Corp.	1,220	45
PNC Financial Services Group, Inc.	6,820	491
Powszechna Kasa	30,873	514
Regions Financial Corp.	1,954	69
SunTrust Banks, Inc.	510	42
Synovus Financial Corp.	1,120	36
Turkiye Garanti Bankasi A.S.	94,238	743
Turkiye Is Bankasi	124,706	600
U.S. Bancorp	3,690	129
Wachovia Corp.	3,746	206
Wells Fargo & Co.	6,440	222
		7,278
Commercial Services & Supplies (0.7%)
ACCO Brands Corp.	(a)376	9
Corporate Executive Board Co.	12,195	926
Iron Mountain, Inc.	(a)21,325	557
Monster Worldwide, Inc.	(a)12,953	614
		2,106
Communications Equipment (1.4%)
Alcatel-Lucent ADR	30,400		359
Avaya, Inc.	(a)3,956	47
Cisco Systems, Inc.	(a)76,374	1,950
Comverse Technology, Inc.	(a)2,000	43
Corning, Inc.	(a)15,125	344
JDS Uniphase Corp.	(a)1,795	27
Motorola, Inc.	27,012	477
QLogic Corp.	(a)2,114	36
QUALCOMM, Inc.	18,424	786
Tellabs, Inc.	(a)4,500	45
		4,114
Computers & Peripherals (2.2%)
Apple, Inc.	(a)17,900	1,663
Dell, Inc.	(a)28,869	670
EMC Corp.	(a)27,550	382
Hewlett-Packard Co.	38,752	1,555
International Business Machines Corp.	19,015	1,792
Lexmark International, Inc., Class A	(a)1,215	71
Network Appliance, Inc.	(a)3,629	133
Sun Microsystems, Inc.	(a)46,134	277
		6,543
Construction Materials (0.2%)
Cemex SAB de C.V. ADR	17,076	559
Consumer Finance (0.6%)
American Express Co.	31,487	1,776
Capital One Financial Corp.	1,773	134
SLM Corp.	300	12
		1,922
Distributors (0.2%)
Li & Fung Ltd.	158,000	496
Diversified Consumer Services (0.0%)
H&R Block, Inc.	3,100	65
Diversified Financial Services (3.2%)
Brookfield Asset Management, Inc.	43,950	2,297
Chicago Mercantile Exchange Holdings, Inc.	1,047	558
Citigroup, Inc.	58,725	3,015
Fortress Investment Group LLC	1,726	49
JPMorgan Chase & Co.	53,946	2,610
Moody’s Corp.	18,682	1,159
		9,688
Diversified Telecommunication Services (0.6%)
AT&T, Inc.	420	17
Embarq Corp.	4,725	266
France Telecom S.A. ADR	13,070	345
Qwest Communications International, Inc.	(a)100	1
Verizon Communications, Inc.	29,634	1,124
		1,753
Electric Utilities (1.4%)
AES Corp. (The)	(a)4,400	95
American Electric Power Co., Inc.	13,150	641
CEZ 2	10,955	492
Consolidated Edison, Inc.	1,300	66

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

12

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Electric Utilities (cont’d)
Edison International	1,800	$	89
Entergy Corp.	10,345	1,085
Exelon Corp.	4,400	302
FirstEnergy Corp.	9,350	619
FPL Group, Inc.	3,200	196
PPL Corp.	2,600	106
Progress Energy, Inc.	1,300	66
Southern Co. (The)	5,100	187
TXU Corp.	3,700	237
		4,181
Electrical Equipment (0.2%)
Cooper Industries Ltd., Class A	1,100	49
Emerson Electric Co.	9,100	392
Rockwell Automation, Inc.	1,000	60
		501
Electronic Equipment & Instruments (0.1%)
Agilent Technologies, Inc.	(a)5,918	199
Jabil Circuit, Inc.	3,052	65
Molex, Inc.	1,550	44
Sanmina-SCI Corp.	(a)5,348	19
Solectron Corp.	(a)12,249	39
		366
Energy Equipment & Services (0.8%)
Baker Hughes, Inc.	3,860	255
BJ Services Co.	3,080	86
Halliburton Co.	9,968	317
Nabors Industries Ltd.	(a)2,900	86
Schlumberger Ltd.	20,130	1,391
Transocean, Inc.	(a)2,990	244
		2,379
Food & Staples Retailing (1.4%)
Costco Wholesale Corp.	24,624	1,326
CVS/Caremark Corp.	3,840	131
Kroger Co. (The)	12,958	366
Rite Aid Corp.	(a)13,700	79
Safeway, Inc.	2,002	73
SUPERVALU, Inc.	3,589	140
Sysco Corp.	3,090	105
Wal-Mart Stores, Inc.	35,364	1,660
Walgreen Co.	4,889	225
		4,105
Food Products (1.1%)
Archer-Daniels-Midland Co.	4,402	162
Cadbury Schweppes plc ADR	12,740	654
Campbell Soup Co.	2,520	98
ConAgra Foods, Inc.	10,511	262
General Mills, Inc.	2,467	144
Heinz (H.J.) Co.	2,559	121
Hershey Co. (The)	1,828	100
Kellogg Co.	2,593	133
Kraft Foods, Inc., Class A	9,750	309
Nestle S.A. (Registered) ADR	6,670	646
Sara Lee Corp.	5,478		93
Unilever N.V. (NY Shares)	21,470	627
W.M. Wrigley Jr. Co.	1,471	75
		3,424
Gas Utilities (0.0%)
Sempra Energy	1,300	79
Health Care Equipment & Supplies (1.5%)
Bard (C.R.), Inc.	2,100	167
Bausch & Lomb, Inc.	700	36
Baxter International, Inc.	9,250	487
Becton Dickinson & Co.	3,970	305
Biomet, Inc.	3,890	165
Boston Scientific Corp.	(a)37,985	552
Dade Behring Holdings, Inc.	13,023	571
Hospira, Inc.	(a)1,177	48
Medtronic, Inc.	19,020	933
Millipore Corp.	(a)400	29
St. Jude Medical, Inc.	(a)6,520	245
Stryker Corp.	6,520	433
Thermo Fisher Scientific, Inc.	(a)1,762	83
Waters Corp.	(a)640	37
Zimmer Holdings, Inc.	(a)3,880	332
		4,423
Health Care Providers & Services (1.8%)
Aetna, Inc.	9,840	431
AmerisourceBergen Corp.	3,980	210
Cardinal Health, Inc.	6,660	486
CIGNA Corp.	4,990	712
Express Scripts, Inc.	(a)2,500	202
Health Management Associates, Inc., Class A	4,200	46
Humana, Inc.	(a)2,500	145
IMS Health, Inc.	4,400	130
Manor Care, Inc.	1,000	54
McKesson Corp.	4,510	264
Medco Health Solutions, Inc.	(a)3,917	284
Quest Diagnostics, Inc.	3,200	160
Tenet Healthcare Corp.	(a)7,000	45
UnitedHealth Group, Inc.	30,610	1,621
WellPoint, Inc.	(a)8,800	714
		5,504
Hotels Restaurants & Leisure (1.4%)
Carnival Corp.	1,800	84
Harrah’s Entertainment, Inc.	650	55
Marriott International, Inc., Class A	28,473	1,394
McDonald’s Corp.	28,413	1,280
Starbucks Corp.	(a)2,700	85
Starwood Hotels & Resorts Worldwide, Inc.	900	59
Wynn Resorts Ltd.	12,280	1,165
Yum! Brands, Inc.	1,200	69
		4,191
Household Products (1.4%)
Clorox Co.	2,517	160
Colgate Palmolive Co.	6,092	407
Kimberly-Clark Corp.	9,040	619

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

13

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Household Products (cont’d)
Procter & Gamble Co.	48,270	$	3,049
		4,235
Independent Power Producers & Energy Traders (0.0%)
Constellation Energy Group, Inc.	1,300	113
Industrial Conglomerates (2.8%)
3M Co.	7,800	596
General Electric Co.	143,850	5,087
Siemens AG ADR	8,640	926
Textron, Inc.	1,250	112
Tyco International Ltd.	49,000	1,546
		8,267
Insurance (2.9%)
ACE Ltd.	1,730	99
Aegon N.V. (NY Shares)	11,730	234
Aflac, Inc.	3,660	172
Allstate Corp. (The)	5,040	303
AMBAC Financial Group, Inc.	450	39
American International Group, Inc.	16,330	1,098
AON Corp.	1,300	49
Berkshire Hathaway, Inc., Class B	(a)333	1,212
Chubb Corp.	15,090	780
Cincinnati Financial Corp.	425	18
Hartford Financial Services Group, Inc.	8,160	780
Lincoln National Corp.	2,159	146
Loews Corp.	2,860	130
Marsh & McLennan Cos., Inc.	39,100	1,145
MBIA, Inc.	1,560	102
Metlife, Inc.	5,290	334
Principal Financial Group	2,670	160
Progressive Corp. (The)	6,540	143
Prudential Financial, Inc.	3,500	316
St. Paul Travelers Cos., Inc. (The)	19,436	1,006
XL Capital Ltd., Class A	6,740	471
		8,737
Internet & Catalog Retail (1.3%)
Amazon.com, Inc.	(a)38,556	1,534
eBay, Inc.	(a)68,510	2,271
		3,805
Internet Software & Services (1.5%)
Google, Inc., Class A	(a)5,503	2,521
Yahoo!, Inc.	(a)60,250	1,885
		4,406
IT Services (0.2%)
Automatic Data Processing, Inc.	2,100	102
Electronic Data Systems Corp.	2,100	58
First Data Corp.	2,100	56
Paychex, Inc.	1,300	49
Western Union Co. (The)	20,028	440
		705
Machinery (0.8%)
Caterpillar, Inc.	8,100	543
Danaher Corp.	3,200	229
Deere & Co.	2,250	244
Dover Corp.	3,250	159
Eaton Corp.	1,900	159
Illinois Tool Works, Inc.	7,400	382
Ingersoll-Rand Co. Ltd., Class A	6,770	294
ITT Industries, Inc.	2,100	127
Paccar, Inc.	3,237	237
Parker Hannifin Corp.	1,500	129
		2,503
Media (1.9%)
CBS Corp., Class B	75	2
Central European T.V.	(a)6,600	584
Clear Channel Communications, Inc.	5,119	179
Comcast Corp., Class A	(a)12,315	320
Grupo Televisa S.A. ADR	47,736	1,422
Idearc, Inc.	135	5
Interpublic Group of Cos., Inc.	(a)50	1
Live Nation, Inc.	(a)263	6
McClatchy Co.	25	1
McGraw-Hill Cos., Inc. (The)	10,049	632
New York Times Co., Class A	50	1
Omnicom Group, Inc.	50	5
Time Warner, Inc.	62,403	1,231
TVN S.A.	(a)54,982	500
Viacom, Inc.	(a)20,940	861
Walt Disney Co.	150	5
		5,755
Metals & Mining (0.2%)
Newmont Mining Corp.	12,063	507
Multi-Utilities (0.4%)
Ameren Corp.	1,300	65
Dominion Resources, Inc./VA	1,900	169
DTE Energy Co.	1,400	67
Duke Energy Corp.	7,828	159
KeySpan Corp.	1,400	58
PG&E Corp.	3,200	154
Public Service Enterprise Group, Inc.	1,300	108
Williams Cos., Inc.	13,420	382
		1,162
Multiline Retail (0.7%)
Sears Holdings Corp.	(a)11,506	2,073
Office Electronic (0.1%)
Xerox Corp.	(a)8,454	143
Oil, Gas & Consumable Fuels (6.2%)
Anadarko Petroleum Corp.	5,240	225
Apache Corp.	3,486	246
Chevron Corp.	24,057	1,779
ConocoPhillips	27,549	1,883
Devon Energy Corp.	4,900	339
EOG Resources, Inc.	2,200	157
Exxon Mobil Corp.	70,441	5,315

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

14

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Oil, Gas & Consumable Fuels (cont’d)
Hess Corp.	2,710	$	150
Hugoton Royalty Trust	131	3
Kinder Morgan, Inc.	1,100	117
LUKOIL ADR	10,414	901
Marathon Oil Corp.	3,620	358
Monsanto Co.	39,940	2,195
OAO Gazprom (Registered) ADR	19,276	807
Occidental Petroleum Corp.	10,768	531
Royal Dutch Shell plc ADR	11,140	739
Spectra Energy Corp.	4,114	108
Tupras Turkiye Petrol Rafine	30,796	686
Ultra Petroleum Corp.	(a)29,220	1,552
Valero Energy Corp.	5,300	342
XTO Energy, Inc.	2,200	121
		18,554
Personal Products (0.1%)
Avon Products, Inc.	5,490	205
Pharmaceuticals (4.4%)
Abbott Laboratories	33,806	1,886
Allergan, Inc.	1,060	117
Bristol-Myers Squibb Co.	51,331	1,425
Eli Lilly & Co.	27,050	1,453
Forest Laboratories, Inc.	(a)2,510	129
GlaxoSmithKline plc ADR	5,700	315
Johnson & Johnson	23,160	1,396
King Pharmaceuticals, Inc.	(a)1,030	20
Merck & Co., Inc.	15,700	694
Pfizer, Inc.	76,941	1,944
Roche Holding AG ADR	8,930	786
Sanofi-Aventis ADR	4,000	174
Schering-Plough Corp.	64,060	1,634
Wyeth	25,477	1,275
		13,248
Road & Rail (0.2%)
Burlington Northern and Santa Fe Railway Co.	2,100	169
CSX Corp.	3,800	152
Norfolk Southern Corp.	2,350	119
Union Pacific Corp.	1,550	157
		597
Semiconductors & Semiconductor Equipment (1.2%)
Advanced Micro Devices, Inc.	(a)4,022	52
Altera Corp.	(a)4,329	87
Analog Devices, Inc.	3,392	117
Applied Materials, Inc.	15,963	292
Broadcom Corp., Class A	(a)4,730	152
Intel Corp.	74,066	1,417
KLA-Tencor Corp.	2,010	107
Linear Technology Corp.	2,658	84
LSI Logic Corp.	(a)460	5
Maxim Integrated Products, Inc.	3,114	92
Micron Technology, Inc.	(a)31,856	385
National Semiconductor Corp.	4,106	99
Novellus Systems, Inc.	(a)1,828	59
NVIDIA Corp.	(a)3,800		109
Teradyne, Inc.	(a)1,455	24
Texas Instruments, Inc.	15,978	481
Xilinx, Inc.	3,160	81
		3,643
Software (0.5%)
Accelr8 Technology Corp.	(a)233	1
Adobe Systems, Inc.	(a)1,400	58
Electronic Arts, Inc.	(a)900	45
Microsoft Corp.	19,800	552
NCR Corp.	(a)1,008	48
Oracle Corp.	(a)9,800	178
Symantec Corp.	(a)40,130	694
		1,576
Specialty Retail (0.9%)
Abercrombie & Fitch Co., Class A	10,753	814
AutoZone, Inc.	(a)4,774	611
Home Depot, Inc.	28,390	1,043
Office Depot, Inc.	(a)4,720	166
		2,634
Steel (0.3%)
Nucor Corp.	12,473	812
Textiles, Apparel & Luxury Goods (0.2%)
Nike, Inc., Class B	6,077	646
Thrifts & Mortgage Finance (0.4%)
Countrywide Financial Corp.	1,230	41
Fannie Mae	1,700	93
Freddie Mac	17,560	1,045
MGIC Investment Corp.	225	13
Washington Mutual, Inc.	2,010	81
		1,273
Tobacco (0.7%)
Altria Group, Inc.	23,020	2,021
Reynolds American, Inc.	1,500	94
UST, Inc.	1,012	59
		2,174
Trading Companies & Distributors (0.0%)
W.W. Grainger, Inc.	550	42
Wireless Telecommunication Services (2.0%)
America Movil S.A. de C.V., Series L ADR	25,867	1,236
China Mobile Ltd. ADR	8,400	377
Crown Castle International Corp.	(a)15,146	487
Mobile Telesystems OJSC ADR	24,400	1,365
Sprint Nextel Corp.	33,897	643
Turkcell Iletisim Hizmet A.S.	94,238	481
Vimpel-Communications	15,800	1,498
		6,087
Total Common Stocks (Cost $141,920)		177,128

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

15

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

		Value
	Shares	(000)
Investment Companies (7.2%)
iShares MSCI Emerging Markets Index Fund	65,694	$	7,640
iShares MSCI EMU Index Fund	100	11
iShares MSCI Hong Kong Index Fund	93,300	1,501
iShares MSCI Japan Index Fund	18,500	270
iShares MSCI Mexico Index Fund	113,233	6,151
iShares MSCI United Kingdom Index Fund	99,100	2,385
StreetTRACKS Gold Trust	56,700	3,729
Total Investment Companies (Cost $16,616)		21,687

	No. of
	Contracts
Put Options Purchased (0.0%)
90 Day EuroDollar
6/07 @ $94.25	190	1
6/07 @ $94.50	24	@—
9/07 @ $94.75	178	27
12/07 @ $94.75	375	61
12/07 @ $94.50	19	1
Total Put Options Purchased (Cost $195)		90

	Shares
Preferred Stock (0.0%)
Mortgages — Other (0.0%)
Home Ownership Funding Corp.
13.33% (Cost $92)	(a)(e)500	74

	Face
	Amount
	(000)
Short-Term Investments (11.5%)
Short-Term Debt Securities held as Collateral on Loaned Securities (2.6%)
AIG Match Funding Corp., 5.30%, 4/17/07	$	(h)172	172
Alliance & Leicester plc, 5.33%, 4/10/07	(h)123		123
Anglo Irish Bank Corp., plc, 5.35%, 7/9/07	60		60
Bancaja, 5.36%, 4/19/07	(h)61		61
Bank of America Corp., 5.32%, 4/2/07	(h)196		196
Bank of New York Co., Inc., 5.32%, 4/10/07	(h)61		61
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)123		123
BNP Paribas plc, 5.33%, 5/21/07	(h)123		123
CAM US Finance S.A. Unipersonal,
5.36%, 7/3/07	(h)245		245
CIC, New York,
5.30%, 4/3/07	(h)86		86
5.34%, 4/2/07	(h)123		123
CIT Group Holdings, 5.37%, 7/18/07	(h)221		221
Credit Suisse First Boston, New York,
5.29%, 5/15/07	74		74
5.32%, 4/2/07	(h)123		123
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	491		491
5.46%, 4/2/07	1,178		1,178
Dexia Bank, New York, 5.32%, 4/2/07	(h)123		123
First Tennessee Bank, 5.33%, 4/17/07	(h)61		61
Gemini Securitization Corp., 5.41%, 4/2/07	176		176
Goldman Sachs Group, Inc.,
5.37%, 4/16/07		(h)61		61
5.55%, 4/2/07	(h)115		115
HSBC Finance Corp., 5.33%, 4/10/07	(h)61		61
Mane Funding Corp., 5.29%, 4/10/07	88		88
Manufacturers & Traders, 5.30%, 4/16/07	(h)74		74
Marshall & Ilsley Bank, 5.37%, 12/17/07	123		123
Merrill Lynch & Co., 5.33%, 4/26/07	(h)64		64
Metropolitan Life Global Funding,
5.31%, 4/23/07	(h)184		184
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)123		123
5.34%, 4/2/07	(h)123		123
National Australia Bank Ltd., 5.31%, 4/10/07	(h)93		93
National City Bank Cleveland, 5.32%, 4/2/07	(h)61		61
National Rural Utilities Cooperative Finance Corp.,
5.31%, 4/2/07	(h)245		245
Nationwide Building Society, 5.43%, 6/28/07	(h)142		142
Nordea Bank, New York, 5.31%, 4/2/07	(h)184		184
Raiffeisen Zentralbank Oesterreich,
5.31%, 6/19/07	73		73
Rheingold Securitization, 5.32%, 5/15/07	109		109
Sedna Finance, Inc., 5.32%, 5/15/07	31		31
Skandi, New York, 5.32%, 4/10/07	(h)123		123
Toronto Dominion, New York, 5.32%, 5/29/07	(h)123		123
Tulip Funding Corp., 5.36%, 4/30/07	244		244
UBS Securities LLC, 5.40%, 4/2/07	1,206		1,206
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)135		135
Unicredito Italiano Bank (Ireland) plc,
5.34%, 4/10/07	(h)86		86
			7,691
Repurchase Agreement (8.8%)
J.P. Morgan Securities, Inc. 5.28%, dated 3/30/07, due 4/2/07, repurchase price $26,618	(f)26,606		26,606
U.S. Treasury Security (0.1%)
U.S. Treasury Bill
4.97%, 7/12/07	(j)150		148
Total Short-Term Investments (Cost$34,445)			34,445
Total Investments (102.8%) (Cost $270,262) — Including $13,213 of Securities Loaned			309,220
Liabilities in Excess of Other Assets (-2.8%)			(8,431		)
Net Assets (100%)			300,789

(a)Non-income producing security.

(c)All or a portion of security on loan at March 31, 2007.

(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.

16

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Balanced Portfolio

(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(i)	Security is subject to delayed delivery.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value is less than $500.
ADR	American Depositary Receipt
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, 2007.
IO	Interest Only
JPY	Japanese Yen
MXN	Mexican Peso
PO	Principal Only
PAC	Planned Amortization Class
TBA	To Be Announced

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)
EUR	551	$	738	5/14/07	USD	719	$	719	$	(19	)
USD	22,689	22,689		7/16/07	CNY	173,255	22,786		97
		$	23,427				$	23,505	$	78

CNY — Chinese RenMinBi

EUR — Euro

USD — United States 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:
Australian Dollar 10 yr. Bond	39	$	22,870	Jun-07	$	(52	)
British Pound Long Gilt	22	4,667		Jun-07	(48		)
MSCI Singapore	14	733		Jun-07	14
Nasdaq 100 (Equity Index)	9	1,612		Jun-07	20
Tokyo Price Index (Japanese Yen)	19	2,768		Jun-07	89
S&P 500 Emini (U.S. Dollar)	9	644		Jun-07	@—
S&P 500 Index (U.S. Dollar)	3	1,073		Jun-07	9
U.S. Treasury 10 yr. Note	142	15,354		Jun-07	(8		)
U.S. Treasury 5 yr. Note	158	16,716		Jun-07	(16		)
U.S. Treasury 2 yr. Note	80	16,391		Jun-07	(31		)
U.S. Treasury Long Bond	52	5,785		Jun-07	(47		)
Short:
U.S. Treasury Short Bond	9	1,001		Jun-07	1
					$	(69	)

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

17

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Equities Plus Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (90.0%)
Agency Fixed Rate Mortgages (6.5%)
Federal National Mortgage Association,
Adjustable Rate Mortgages:
6.97%, 3/1/36	$	(n)984	$	1,013
7.01%, 7/1/35	(n)757		784
			1,797
Asset Backed Corporates (0.2%)
Countrywide Asset-Backed NIM Certificates
4.50%, 8/25/36	(e)61		59
Collateralized Mortgage Obligations — Agency Collateral Series (4.5%)
Bear Stearns Structured Products, Inc.
1.00%, 3/27/36	(e)5,227		209
1.91%, 7/27/36	(e)2,375		94
Countrywide Alternative Loan Trust
IO
1.95%, 3/20/47	9,892		549
Residential Accredit Loans, Inc.
Zero Coupon, 4/25/47	(e)850		49
Wamu Alternative Mortgage Pass-Through Certificates
IO
1.25%, 6/25/46	3,148		75
Washington Mutual, Inc.
IO
0.34%, 9/25/46	4,558		46
0.38%, 7/25/46	11,212		116
0.52%, 1/25/45	6,605		99
			1,237
Collateralized Mortgage Obligation — Non Agency Collateral Series (5.9%)
Countrywide Alternative Loan Trust
IO
1.08%, 9/25/35	4,685		103
1.70%, 12/20/46	6,995		348
1.85%, 8/25/46	(h)2,008		80
1.88%, 10/25/35	3,632		93
2.25%, 10/25/46	12,892		645
3.70%, 7/20/46	1,442		56
Countrywide Home Loan Mortgage
IO
0.68%, 2/25/35	1,847		40
1.39%, 2/25/35	(h)1,998		37
1.67%, 9/25/34	(h)1,969		44
Harborview Mortgage Loan Trust
IO
1.69%, 7/19/46	(h)1,171		42
PO
7/19/47	@—		@—
Harborview NIM Corp.
Zero Coupon, 10/20/45	(e)234		150
			1,638
Finance (0.9%)
Popular North America, Inc.
5.65%, 4/15/09	$	55	$	55
USB Capital IX
6.19%	(h)(o)60		62
Wachovia Capital Trust III
5.80%	(h)(o)130		132
			249
Industrials (0.5%)
Telecom Italia Capital S.A.
4.00%, 11/15/08	65		64
Viacom, Inc.
5.75%, 4/30/11	60		61
			125
Mortgages — Other (71.4%)
American Home Mortgage Assets
5.55%, 5/25/46	(h)(n)784		784
Countrywide Alternative Loan Trust
5.51%, 11/25/46	(h)(n)910		912
5.55%, 7/25/46	(h)(n)880		883
5.73%, 11/20/35	(h)715		719
6.68%, 2/25/36	(h)717		725
6.97%, 11/25/35	(h)609		621
Federal National Mortgage Association
5.89%, 12/25/21	82		83
5.94%, 11/25/20	21		21
6.09%, 10/25/22	49		50
7.47%, 7/1/36	(n)1,191		1,228
7.49%, 7/1/36 - 8/1/36	2,008		2,067
Federal Home Loan Mortgage Corp.
5.98%, 10/15/22	50		50
6.03%, 3/15/22 - 10/15/22	116		116
GS Mortgage Securities Corp.
6.25%, 8/25/46	(e)322		321
6.41%, 6/25/46	(e)69		69
Harborview Mortgage Loan Trust
5.53%, 11/19/36	(h)267		268
5.65%, 9/19/35	(h)810		813
5.66%, 1/19/36	(h)(n)642		643
Harborview NIM Corp.
6.41%, 12/19/36 - 3/19/38	(e)1,141		1,138
Indymac Index NIM Corp.
6.65%, 6/25/46	(e)58		58
Lehman XS Net Interest Margin Notes
6.25%, 5/28/46	(e)49		49
Lehman XS Trust
5.66%, 2/25/46	(h)740		744
Luminent Mortgage Trust
5.52%, 10/25/46	(h)(n)940		943
5.55%, 5/25/46	(h)(n)739		742
5.57%, 5/25/36	(h)(n)771		775
5.60%, 2/25/46	(h)(n)769		771

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

18

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Equities Plus Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages - Other (cont’d)
Mastr Adjustable Rate Mortgages Trust
5.57%, 4/25/46	$	(h)(n)709	$	712
Novastar Mortgage-Backed Notes
5.56%, 9/25/46	(h)718		721
Residential Accredit Loans, Inc.
5.55%, 5/25/46	(h)(n)897		898
5.59%, 2/25/46	(h)(n)771		773
Sharps Sp I LLC Net Interest Margin Trust
7.00%, 10/25/46	(e)196		196
Structured Asset Mortgage Investments, Inc.
5.55%, 6/25/36	(h)(n)783		786
			19,679
Utilities (0.1%)
Kinder Morgan Finance Co.
5.70%, 1/5/16	40		37
Total Fixed Income Securities (Cost $24,908)			24,821

	No. of
	Contracts
Put Options Purchased (0.3%)
90 Day EuroDollar
6/07 @ $94.25	64	@—
6/07 @ $94.50	44	@—
6/07 @ $94.75	40	7
9/07 @ $94.75	255	40
12/07 @ $94.50	15	1
12/07 @ $94.75	249	40
Total Put Options Purchased (Cost $167)		88

	Face
	Amount
	(000)
Short-Term Investment (9.3%)
Repurchase Agreement (9.3%)
J.P. Morgan Securities, Inc. 5.28%, dated 3/30/07, due 4/2/07, repurchase price $2,551 (Cost $2,550)	$	(f)2,550	2,550
Total Investments (99.6%) (Cost $27,625)			27,459
Other Assets in Excess of Liabilities (0.4%)			115
Net Assets (100%)			$	27,574

(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 $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(n)	All or a portion of the security was pledged to cover securities sold short.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value is less than $500.
IO	Interest Only
PO	Principal Only

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:
EuroDollar CME	31	$	7,342	Jun-07	$	(3	)
S&P 500 Emini (U.S. Dollar)	6	429		Jun-07	4
S&P 500 Index (U.S. Dollar)	76	27,193		Jun-07	(227		)
U.S. Treasury 2 yr. Note	14	2,868		Jun-07	(4		)
U.S. Treasury 5 yr. Note	18	1,904		Jun-07	@—
U.S. Treasury 10 yr. Note	27	2,919		Jun-07	(6		)
U.S. Treasury Long Bond	4	445		Jun-07	(3		)
					$	(239)

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

19

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Equities Plus Portfolio

	Face
	Amount		Value
	(000)		(000)
Securities Sold Short - Debt Instruments
Federal National Mortgage Association,
April TBA,
5.00%, 4/25/36	$	2,150	$	2,078
5.50%, 4/25/37	2,700		2,672
6.00%, 4/25/37	4,400		4,433
May TBA,
5.00%, 5/25/36	2,150		2,077
5.50%, 5/25/36	1,100		1,088
(Total Proceeds $12,377)			$	12,348

TBATo Be Announced

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

20

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Mid Cap Growth Portfolio

		Value
	Shares	(000)
Common Stocks (98.0%)
Auto & Transportation (5.4%)
C.H. Robinson Worldwide, Inc.	1,496,708	$	71,468
Expeditors International Washington, Inc.	1,383,657	57,172
		128,640
Consumer Discretionary (44.0%)
Abercrombie & Fitch Co., Class A	928,310	70,254
Amazon.com, Inc.	(a)1,795,842	71,457
Apollo Group, Inc., Class A	(a)800,751	35,153
AutoZone, Inc.	(a)370,773	47,511
Choice Hotels International, Inc.	671,315	23,785
ChoicePoint, Inc.	(a)1,130,767	42,325
Corporate Executive Board Co.	1,126,616	85,578
Expedia, Inc.	(a)1,087,114	25,199
Focus Media Holding Ltd. ADR	(a)348,644	27,355
Grupo Televisa S.A. ADR	2,703,122	80,553
Hilton Hotels Corp.	718,504	25,837
Intercontinental Hotels Group plc ADR	1,927,374	47,664
Iron Mountain, Inc.	(a)2,070,979	54,115
ITT Educational Services, Inc.	(a)312,798	25,490
Lamar Advertising Co., Class A	552,336	34,781
Leucadia National Corp.	1,220,131	35,896
Li & Fung Ltd.	14,756,000	46,363
Monster Worldwide, Inc.	(a)1,453,872	68,870
PetSmart, Inc.	685,408	22,591
Urban Outfitters, Inc.	(a)908,198	24,076
Weight Watchers International, Inc.	493,198	22,731
Wendy’s International, Inc.	1,809,133	56,626
Wynn Resorts Ltd.	718,590	68,165
		1,042,375
Energy (8.2%)
Questar Corp.	272,226	24,286
Southwestern Energy Co.	(a)1,550,220	63,528
Ultra Petroleum Corp.	(a)2,018,224	107,228
		195,042
Financial Services (7.0%)
Alleghany Corp.	(a)90,646	33,865
Brown & Brown, Inc.	831,303	22,462
Calamos Asset Management, Inc., Class A	1,147,705	25,617
Fortress Investment Group LLC	100,262	2,876
Janus Capital Group, Inc.	2,243,232	46,906
Peoples Bank Of Bridgeport, CT	768,979	34,143
		165,869
Health Care (7.1%)
Dade Behring Holdings, Inc.	1,477,064	64,769
Stericycle, Inc.	(a)579,008	47,189
Techne Corp.	(a)967,632	55,252
		167,210
Investment Company (2.7%)
Aeroplan Income Fund	3,754,819	63,421
Materials & Processing (5.7%)
Cabot Corp.	553,627	26,425
Chaparral Steel Co.	500,572	29,118
MeadWestvaco Corp.	721,116	22,239
St. Joe Co. (The)	439,503	$	22,990
Texas Industries, Inc.	455,197	34,381
		135,153
Producer Durables (4.4%)
Desarrolladora Homex S.A. de C.V. ADR	(a)625,621	36,255
NVR, Inc.	(a)49,107	32,656
Pentair, Inc.	1,098,289	34,223
		103,134
Real Estate (0.7%)
Forest City Enterprises, Inc.	248,099	16,419
Technology (9.5%)
Baidu.com ADR	(a)270,191	26,087
Crown Castle International Corp.	(a)1,415,009	45,464
Equinix, Inc.	(a)408,590	34,988
NHN Corp.	161,268	23,655
Salesforce.com, Inc.	(a)865,341	37,054
Tencent Holdings Ltd.	8,377,000	27,339
Tessera Technologies, Inc.	(a)750,967	29,843
		224,430
Utilities (3.3%)
NII Holdings, Inc.	(a)1,070,252	79,391
Total Common Stocks (Cost $1,976,308)		2,321,084

	Face
	Amount
	(000)
Short-Term Investment (2.9%)
Repurchase Agreement (2.9%)
J.P. Morgan Securities, Inc., 5.28% dated 3/30/07, due 4/2/07, repurchase price $69,484 (Cost $69,453)	$	(f)69,453	69,453
Total Investments (100.9%) (Cost $2,045,761)			2,390,537
Liabilities in Excess of Other Assets (-0.9%)			(21,359		)
Net Assets (100%)			$	2,369,178

(a)	Non-income producing security.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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

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

21

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Mid Cap Growth Portfolio

Graphic Presentation of Portfolio Holdings

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

*Industries and/or investment types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled as “Other”.

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

22

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

U.S. Mid Cap Value Portfolio

		Value
	Shares	(000)
Common Stocks (95.1%)
Consumer Discretionary (12.1%)
Amazon.com, Inc.	(a)49,390	$	1,965
Apollo Group, Inc., Class A	(a)68,600	3,012
Dow Jones & Co., Inc.	78,630	2,710
Ford Motor Co.	200,600	1,583
Newell Rubbermaid, Inc.	103,220	3,209
Office Depot, Inc.	(a)107,510	3,778
Snap-On, Inc.	56,770	2,731
		18,988
Consumer Staples (7.1%)
ConAgra Foods, Inc.	146,860	3,658
Estee Lauder Cos., Inc. (The)	78,000	3,810
Rite Aid Corp.	(a)632,050	3,647
		11,115
Energy (6.4%)
Amerada Hess Corp.	77,340	4,290
Cameron International Corp.	(a)42,490	2,668
El Paso Corp.	209,300	3,029
		9,987
Financials (25.7%)
A.G. Edwards, Inc.	46,100	3,189
ACE Ltd.	67,380	3,845
Allied World Assurance Holdings Ltd. (Bermuda)	90,360	3,863
Amvescap plc ADR	134,440	2,971
Aspen Insurance Holdings Ltd.	119,220	3,125
Charles Schwab Corp. (The)	153,630	2,810
Conseco, Inc.	(a)112,470	1,946
Hudson City Bancorp, Inc.	268,520	3,673
KKR Financial Corp. REIT	151,970	4,168
Lazard Ltd.	69,780	3,502
Marsh & McLennan Cos., Inc.	140,320	4,110
Northern Trust Corp.	49,290	2,964
		40,166
Health Care (8.9%)
Affymetrix, Inc.	(a)111,500	3,353
Applera Corp. - Applied Biosystems Group (Tracking Stock)	24,490	724
Beckman Coulter, Inc.	63,740	4,072
HealthSouth Corp.	(a)123,898	2,603
Owens & Minor, Inc.	71,300	2,619
Tenet Healthcare Corp.	(a)75,664	487
		13,858
Industrials (7.8%)
Goodrich Corp.	77,950	4,013
McDermott International, Inc.	(a)51,070	2,501
Pitney Bowes, Inc.	76,270	3,462
Valspar Corp.	80,550	2,242
		12,218
Information Technology (10.1%)
Andrew Corp.	(a)287,030	3,040
Diebold, Inc.	104,300	4,976
Flextronics International Ltd.	(a)214,907	2,351
Juniper Networks, Inc.	(a)186,740	3,675
Linear Technology Corp.	54,210	$	1,712
		15,754
Materials (7.4%)
International Flavors & Fragrances, Inc.	83,248	3,931
Nalco Holding Co.	147,336	3,521
Sealed Air Corp.	132,040	4,173
		11,625
Telecommunication Services (2.5%)
CenturyTel, Inc.	86,350	3,902
Utilities (7.1%)
Constellation Energy Group, Inc.	49,915	4,340
NiSource, Inc.	132,310	3,234
Wisconsin Energy Corp.	72,600	3,522
		11,096
Total Common Stocks (Cost $127,587)		148,709
Investment Company (1.2%)
StreetTRACKS Gold Trust ($1,568)	29,130	1,916

	Face
	Amount
	(000)
Short-Term Investment (4.1%)
Repurchase Agreement (4.1%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 4/2/07, repurchase price $6,437 (Cost $6,434)	$	(f)6,434	6,434
Total Investments (100.4%) (Cost $135,589)			157,059
Liabilities in Excess of Other Assets (-0.4%)			(674		)
Net Assets (100%)			$	156,385

(a)	Non-income producing security.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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

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

23

2007 Semi-Annual Report

March 31, 2007 (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 and/or security type, as a percentage of total investments.

* Industries and/or security types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

24

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

U.S. Small Cap Value Portfolio

		Value
	Shares	(000)
Common Stocks (94.6%)
Basic Resources (5.8%)
Albany International Corp., Class A	311,400	$	11,192
Cytec Industries, Inc.	200,600	11,282
Hercules, Inc.	(a)578,235	11,299
Rock-Tenn Co., Class A	237,400	7,881
Silgan Holdings, Inc.	155,800	7,963
		49,617
Consumer Durables (2.5%)
Dayton Superior Corp.	(a)492,600	5,093
General Cable Corp.	(a)136,400	7,288
Jarden Corp.	(a)235,300	9,012
		21,393
Consumer Services (4.5%)
Cenveo, Inc.	(a)591,000	14,361
Consolidated Graphics, Inc.	(a)155,200	11,493
Lin Television Corp., Class A	(a)146,000	2,321
Sinclair Broadcast Group, Inc., Class A	716,300	11,067
		39,242
Energy (4.9%)
Denbury Resources, Inc.	(a)296,000	8,818
St. Mary Land & Exploration Co.	261,760	9,601
Superior Energy Services, Inc.	(a)354,030	12,204
Universal Compression Holdings, Inc.	(a)176,720	11,960
		42,583
Financial Services (18.5%)
AerCap Holdings N.V.	(a)247,100	7,193
Alabama National Bancorporation	59,800	4,234
Anthracite Capital, Inc. REIT	869,900	10,439
Conseco, Inc.	(a)628,500	10,873
Employers Holdings, Inc.	(a)387,300	7,754
First Niagara Financial Group, Inc.	532,200	7,403
FTI Consulting, Inc.	(a)326,300	10,960
Greater Bay Bancorp.	203,600	5,475
Integra Bank Corp.	210,100	4,683
LaSalle Hotel Properties, REIT	147,800	6,852
Max Re Capital Ltd.	614,940	15,669
MB Financial, Inc.	207,200	7,461
National Financial Partners Corp.	149,600	7,018
NYMAGIC, Inc.	151,100	6,172
Platinum Underwriters Holdings Ltd.	301,000	9,656
ProAssurance Corp.	(a)204,951	10,483
Provident New York Bancorp., Inc.	420,700	5,953
TAL International Group, Inc.	316,602	7,599
United America Indemnity Ltd., Class A	(a)607,930	14,104
		159,981
Food & Tobacco (1.6%)
Corn Products International, Inc.	379,200	13,496
Health Care (6.8%)
Apria Healthcare Group, Inc.	(a)482,230	15,552
Bio-Rad Laboratories, Inc., Class A	(a)180,400	12,599
Perrigo Co.	616,183	10,882
PRA International	(a)284,900	6,143
Sciele Pharma, Inc.	(a)487,600	$	11,546
West Pharmaceutical Services, Inc.	44,700	2,076
		58,798
Heavy Industry & Transportation (24.5%)
AAR Corp.	(a)202,700	5,586
ACCO Brands Corp.	(a)1,345,920	32,423
Actuant Corp., Class A	151,100	7,670
Acuity Brands, Inc.	216,460	11,784
Brink’s Co. (The)	214,700	13,623
CIRCOR International, Inc.	299,372	10,688
DRS Technologies, Inc.	450,100	23,482
Gartner, Inc.	(a)416,900	9,985
Geo Group, Inc. (The)	(a)250,126	11,336
Gevity HR, Inc.	381,100	7,523
Global Imaging Systems, Inc.	(a)429,000	8,365
MAXIMUS, Inc.	701,670	24,193
Moog, Inc., Class A	(a)275,800	11,487
Pacer International, Inc.	321,500	8,661
Stantec, Inc.	(a)329,806	9,007
Watts Water Technologies, Inc., Class A	277,200	10,542
Wright Express Corp.	(a)164,000	4,974
		211,329
Retail (9.7%)
AFC Enterprises, Inc.	(a)699,400	14,023
Central Garden & Pet Co.	(a)457,214	6,753
Central Garden & Pet Co., Class A	(a)353,328	5,194
Denny’s Corp.	(a)2,424,500	11,880
Landry’s Restaurants, Inc.	223,000	6,601
Lithia Motors, Inc., Class A	296,155	8,117
Maidenform Brands, Inc.	(a)346,719	7,999
Stage Stores, Inc.	431,700	10,063
Tween Brands, Inc.	(a)360,600	12,881
		83,511
Technology (11.9%)
Adtran, Inc.	41,500	1,010
Belden CDT, Inc.	547,850	29,359
Electronics for Imaging, Inc.	(a)740,500	17,365
Microsemi Corp.	(a)350,600	7,296
MSC.Software Corp.	(a)974,400	13,398
MTC Technologies, Inc.	(a)294,727	6,198
Paxar Corp.	(a)453,300	13,010
Tekelec	(a)992,200	14,794
		102,430
Utilities (3.9%)
AGL Resources, Inc.	40,200	1,718
Avista Corp.	292,821	7,095
Cellcom Israel Ltd.	(a)266,400	4,859
PNM Resources, Inc.	254,650	8,225
Syniverse Holdings, Inc.	(a)381,800	4,024
UGI Corp.	268,900	7,182
		33,103
Total Common Stocks (Cost $652,546)		$	815,483

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

25

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

U.S. Small Cap Value Portfolio

	Face
	Amount		Value
	(000)		(000)
Short-Term Investment (5.8%)
Repurchase Agreement (5.8%)
J.P. Morgan Securities, Inc., 5.28% dated 3/30/07, due 04/02/07, repurchase price $49,745 (Cost $49,723)	$	(f)49,723	$	49,723
Total Investments (100.4%) (Cost $702,269)			865,206
Liabilities in Excess of Other Assets (-0.4%)			(3,317)
Net Assets (100%)			$	861,889

(a)	Non-income producing security.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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

Graphic Presentation of Portfolio Holdings

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

* Industries and/or security types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

26

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Value Portfolio

		Value
	Shares	(000)
Common Stocks (97.1%)
Consumer Discretionary (11.7%)
Clear Channel Communications, Inc.	100,099	$	3,507
Comcast Corp., Class A	(a)(c)495,300	12,853
Gannett Co., Inc.	49,600	2,792
Home Depot, Inc.	54,200	1,991
Liberty Media Holding Corp. - Capital, Class A	(a)53,600	5,928
Liberty Media Holding Corp. Interactive, Class A	(a)291,000	6,932
Live Nation, Inc.	(a)(c)1	@—
Lowe’s Cos., Inc.	74,200	2,337
News Corp., Inc., Class B	(c)282,300	6,908
Time Warner, Inc.	642,400	12,668
Viacom, Inc., Class B	(a)308,050	12,664
Walt Disney Co.	15,400	530
		69,110
Consumer Staples (16.7%)
Altria Group, Inc.	121,600	10,678
Anheuser-Busch Cos., Inc.	86,550	4,367
Cadbury Schweppes plc ADR	211,000	10,839
Coca-Cola Co. (The)	312,200	14,986
CVS/Caremark Corp.	240,000	8,194
Kimberly-Clark Corp.	181,500	12,431
Kraft Foods, Inc., Class A	(c)273,800	8,668
Unilever N.V. (NY Shares)	464,900	13,584
Wal-Mart Stores, Inc.	314,600	14,770
		98,517
Financials (26.8%)
Aflac, Inc.	72,200	3,398
American International Group, Inc.	94,000	6,319
Bank of America Corp.	378,300	19,301
Bank of New York Co., Inc. (The)	199,400	8,086
Barclays plc	(c)21,500	1,224
Berkshire Hathaway, Inc., Class B	(a)(c)950	3,458
Chubb Corp.	213,980	11,056
Citigroup, Inc.	450,400	23,123
Fannie Mae	63,100	3,444
Freddie Mac	232,300	13,819
Genworth Financial, Inc.	56,500	1,974
Hartford Financial Services Group, Inc.	25,500	2,437
JPMorgan Chase & Co.	156,300	7,562
Merrill Lynch & Co., Inc.	77,600	6,338
Metlife, Inc.	79,700	5,033
PNC Financial Services Group, Inc.	73,900	5,319
SunTrust Banks, Inc.	22,900	1,902
Torchmark Corp.	52,900	3,470
Travelers Cos., Inc.	79,615	4,122
U.S. Bancorp	91,200	3,189
Wachovia Corp.	266,000	14,643
Wells Fargo & Co.	(c)261,500	9,003
		158,220
Health Care (19.2%)
Abbott Laboratories	154,100	8,599
Boston Scientific Corp.	(a)303,800	4,417
Bristol-Myers Squibb Co.	623,700	$	17,314
Cardinal Health, Inc.	90,500	6,602
Eli Lilly & Co.	218,100	11,714
GlaxoSmithKline plc ADR	254,800	14,080
Pfizer, Inc.	390,200	9,856
Roche Holding AG ADR	109,800	9,669
Sanofi-Aventis ADR	104,500	4,547
Schering-Plough Corp.	500,400	12,765
Wyeth	277,500	13,883
		113,446
Industrials (1.4%)
General Electric Co.	176,300	6,234
Southwest Airlines Co.	141,800	2,084
		8,318
Information Technology (6.7%)
Cisco Systems, Inc.	(a)67,300	1,718
Dell, Inc.	(a)323,100	7,499
First Data Corp.	66,600	1,792
Flextronics International Ltd.	(a)99,600	1,090
Hewlett-Packard Co.	64,900	2,605
Intel Corp.	268,100	5,129
International Business Machines Corp.	53,600	5,052
KLA-Tencor Corp.	34,200	1,824
McAfee, Inc.	(a)98,900	2,876
Microsoft Corp.	109,500	3,052
Telefonaktiebolaget LM Ericsson ADR	52,400	1,943
Texas Instruments, Inc.	99,200	2,986
Western Union Co. (The)	101,800	2,234
		39,800
Materials (9.1%)
Alcoa, Inc.	424,300	14,384
E.I. du Pont de Nemours & Co.	293,000	14,483
International Paper Co.	556,723	20,265
Rohm & Haas Co.	85,200	4,406
		53,538
Telecommunication Services (5.3%)
AT&T, Inc.	263,800	10,402
Sprint Nextel Corp.	124,300	2,357
Verizon Communications, Inc.	486,900	18,463
		31,222
Utilities (0.2%)
American Electric Power Co., Inc.	29,900	1,458
Total Common Stocks (Cost $505,479)		573,629

	Face
	Amount
	(000)
Short-Term Investments (5.6%)
Short-Term Debt Securities held as Collateral on Loaned Securities (3.2%)
AIG Match Funding Corp., 5.30%, 4/17/07	$	(h)419	419
Alliance & Leicester plc, 5.33%, 4/10/07	(h)299		299
Anglo Irish Bank Corp., plc, 5.35%, 7/9/07	146		146
Bancaja, 5.36%, 4/19/07	(h)150		150
Bank of America Corp., 5.32%, 4/2/07	(h)479		479

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

27

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Value Portfolio

	Face
	Amount		Value
	(000)		(000)
Short-Term Debt Securities held as Collateral on Loaned Securities (cont’d)
Bank of New York Co., Inc., 5.32%, 4/10/07	$	(h)150	$	150
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)300		300
BNP Paribas plc, 5.33%, 5/21/07	(h)300		300
CAM US Finance S.A. Unipersonal,
5.36%, 7/3/07	(h)599		599
CIC, New York,
5.30%, 4/3/07	(h)210		210
5.34%, 4/2/07	(h)300		300
CIT Group Holdings, 5.37%, 7/18/07	(h)539		539
Credit Suisse First Boston, New York,
5.29%, 5/15/07	300		300
5.32%, 4/2/07	(h)180		180
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	2,876		2,876
5.46%, 4/2/07	1,198		1,198
Dexia Bank, New York, 5.32%, 4/2/07	(h)299		299
First Tennessee Bank, 5.33%, 4/17/07	(h)150		150
Gemini Securitization Corp., 5.41%, 4/2/07	431		431
Goldman Sachs Group, Inc.,
5.37%, 4/16/07	(h)150		150
5.55%, 4/2/07	(h)282		282
HSBC Finance Corp., 5.33%, 4/10/07	(h)150		150
Mane Funding Corp., 5.29%, 4/10/07	215		215
Manufacturers & Traders, 5.30%, 4/16/07	(h)180		180
Marshall & Ilsley Bank, 5.37%, 12/17/07	300		300
Merrill Lynch & Co., 5.33%, 4/26/07	(h)157		157
Metropolitan Life Global Funding,
5.31%, 4/23/07	(h)449		449
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)300		300
5.34%, 4/2/07	(h)300		300
National Australia Bank Ltd., 5.31%, 4/10/07	(h)228		228
National City Bank Cleveland, 5.32%, 4/2/07	(h)150		150
National Rural Utilities Cooperative Finance Corp.,
5.31%, 4/2/07	(h)599		599
Nationwide Building Society, 5.43%, 6/28/07	(h)348		348
Nordea Bank, New York, 5.31%, 4/2/07	(h)449		449
Raiffeisen Zentralbank Oesterreich,
5.31%, 6/19/07	177		177
Rheingold Securitization, 5.32%, 5/15/07	266		266
Sedna Finance, Inc., 5.32%, 5/15/07	77		77
Skandi, New York, 5.32%, 4/10/07	(h)300		300
Toronto Dominion, New York, 5.32%, 5/29/07	(h)300		300
Tulip Funding Corp., 5.36%, 4/30/07	596		596
UBS Securities LLC, 5.40%, 4/2/07	2,944		2,944
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)329		329
Unicredito Italiano Bank (Ireland) plc, 5.34%, 4/10/07	(h)210		210
			18,781
Repurchase Agreement (2.4%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 04/2/07, repurchase price $13,971	$	(f)13,965	$	13,965
Total Short-Term Investments (Cost $32,746)			32,746
Total Investments (102.7%) (Cost $538,225) — Including $18,537 of Securities Loaned			606,375
Liabilities in Excess of Other Assets (-2.7%)			(15,874		)
Net Assets (100%)			$	590,501

(a)	Non-income producing security.
(c)	All or a portion of security on loan at March 31, 2007.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
@	Value is less than $500.
ADR	American Depositary Receipt

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

28

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (89.2%)
Agency Adjustable Rate Mortgages (0.3%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
5.38%, 2/20/25 - 1/20/28	$	820	$	830
5.75%, 8/20/25 - 9/20/27	217		219
6.13%, 10/20/27 - 12/20/27	28		29
			1,078
Agency Fixed Rate Mortgages (12.2%)
Federal Home Loan Mortgage Corp.,
Conventional Pools:
5.25%, 3/1/37	1,500		1,504
5.70%, 4/1/37	1,550		1,557
5.76%, 1/1/37	2,350		2,367
5.86%, 10/1/36	1,659		1,674
10.00%, 10/1/12 - 11/1/20	27		29
11.50%, 8/1/19	24		27
Gold Pools:
6.50%, 2/1/29 - 4/1/29	83		86
7.50%, 2/1/30 - 11/1/31	509		533
8.00%, 10/1/29 - 10/1/31	470		496
8.50%, 3/31/30 - 7/1/31	197		212
10.00%, 6/1/17 - 3/1/21	87		94
Federal National Mortgage Association,
Conventional Pools:
6.50%, 7/1/29 - 2/1/33	2,075		2,139
7.00%, 2/1/26 - 6/1/36	8,425		8,752
7.46%, 5/1/36	1,592		1,636
7.47%, 7/1/36	1,315		1,356
7.49%, 7/1/36	1,656		1,702
7.50%, 7/1/29 - 9/1/35	3,000		3,138
8.00%, 4/1/25 - 8/1/32	2,127		2,250
8.50%, 5/1/23 - 5/1/32	1,459		1,569
9.00%, 4/1/26	398		428
9.50%, 2/1/20 - 8/1/21	148		162
10.00%, 8/1/18 - 2/1/25	34		37
10.50%, 11/1/10 - 10/1/18	39		43
11.00%, 9/1/19 - 9/1/20	55		62
11.50%, 11/1/19	48		53
April TBA
7.00%, 4/25/37	(i)1,225		1,264
May TBA
7.00%, 5/25/37	(i)3,925		4,045
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/17	36		39
9.50%, 7/15/18 - 12/15/21	248		271
10.00%, 9/15/18 - 4/15/25	249		275
10.50%, 11/15/14 - 2/15/25	452		509
11.00%, 12/15/09 - 7/15/20	44		49
11.50%, 4/15/13 - 8/15/13	30		34
12.00%, 12/15/12 - 3/15/14	7		8
			38,400
Asset Backed Corporates (26.0%)
Argent Securities, Inc.
5.37%, 10/25/36	$	(h)1,781	$	1,782
American Express Credit Account Master Trust
5.32%, 10/15/12	(h)1,425		1,425
Banc of America Securities Auto Trust
3.99%, 8/18/09	1,320		1,312
Bayview Financial Acquisition Trust
5.43%, 11/28/36	(h)1,043		1,043
Bear Stearns Asset Backed Securities, Inc.
5.44%, 8/25/35	(h)178		178
5.52%, 9/25/34	(h)262		263
5.54%, 3/25/35	(h)334		335
Capital Auto Receivables Asset Trust
3.35%, 2/15/08	176		175
4.05%, 7/15/09	1,449		1,443
4.98%, 5/15/11	2,275		2,275
5.03%, 10/15/09	1,400		1,398
5.31%, 10/20/09	(e)2,700		2,703
5.40%, 1/15/08	(h)95		95
Capital One Auto Finance Trust
5.07%, 7/15/11	1,200		1,200
Carrington Mortgage Loan Trust
5.44%, 10/25/35	(h)28		28
5.47%, 9/25/35	(h)179		179
Caterpillar Financial Asset Trust
3.90%, 2/25/09	773		769
5.57%, 5/25/10	1,500		1,511
CIT Equipment Collateral
3.50%, 9/20/08	173		172
5.07%, 2/20/10	1,250		1,251
Citibank Credit Card Issuance Trust
5.34%, 3/22/12	(h)1,725		1,725
6.88%, 11/16/09	1,240		1,253
Citicorp Residential
5.40%, 9/25/36	(h)1,513		1,513
CNH Equipment Trust
4.02%, 4/15/09	840		836
4.27%, 1/15/10	1,533		1,522
5.20%, 6/15/10	1,050		1,053
Countrywide Asset-Backed Certificates
5.43%, 6/25/35	(h)682		682
5.47%, 7/25/25	(h)715		715
Daimler Chrysler Auto Trust
4.04%, 9/8/09	813		809
Fieldstone Mortgage Investment Corp.
5.39%, 11/25/36	(h)1,951		1,952
First Franklin Mortgage Loan Asset Backed Certificates
5.37%, 7/25/36	(h)1,429		1,430
5.39%, 2/25/36	(h)1,065		1,066
5.42%, 7/25/35	(h)336		337
5.44%, 10/25/35	(h)627		628
Ford Credit Auto Owner Trust
4.17%, 1/15/09	487		485

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

29

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
5.26%, 10/15/10	$	2,150	$	2,156
Fremont Home Loan Owner Trust
5.37%, 10/25/36	(h)2,102		2,103
GE Dealer Floorplan Master Note Trust
5.40%, 7/20/09	(h)1,300		1,301
GE Equipment Small Ticket LLC
4.38%, 7/22/09	(e)1,101		1,095
4.88%, 10/22/09	(e)1,375		1,372
GSAMP Trust
5.39%, 1/25/37	(h)1,416		1,417
GS Auto Loan Trust
5.37%, 12/15/10	2,300		2,309
Harley-Davidson Motorcycle Trust
3.76%, 12/17/12	1,750		1,715
4.07%, 2/15/12	1,125		1,110
Hertz Vehicle Financing LLC
4.93%, 2/25/10	(e)825		823
Honda Auto Receivables Owner Trust
3.87%, 4/20/09	1,054		1,047
3.93%, 1/15/09	478		475
4.85%, 10/19/09	1,125		1,123
Hyundai Auto Receivables Trust
3.98%, 11/16/09	950		943
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.44%, 9/15/21	(e)(h)1,387		1,389
Long Beach Mortgage Loan Trust
5.41%, 1/25/36	(h)408		408
MBNA Master Credit Card Trust USA
7.80%, 10/15/12	1,480		1,605
National City Auto Receivables Trust
2.88%, 5/15/11	1,178		1,159
Nationstar Home Equity Loan Trust
6.02%, 9/25/36	(h)1,487		1,488
Nissan Auto Receivables Owner Trust
3.99%, 7/15/09	1,256		1,248
Novastar Home Equity Loan
5.39%, 11/25/36	(h)1,644		1,645
RAAC Series
5.42%, 9/25/45	(h)491		491
Residential Asset Mortgage Products, Inc.
5.39%, 6/25/29	(h)1,669		1,670
Residential Asset Securities Corp.
5.40%, 5/25/30	(h)1,113		1,113
Securitized Asset Backed Receivables LLC Trust
5.40%, 11/25/36	(h)1,600		1,600
SLM Student Loan Trust
5.32%, 10/25/14	(h)2,900		2,902
Soundview Home Equity Loan Trust
5.40%, 1/25/37	(h)1,423		1,424
5.43%, 2/25/37	(h)1,450		1,449
Structured Asset Securities Corp.
5.52%, 6/25/35	(h)387		387
Terwin Mortgage Trust
5.44%, 7/25/35	$	(e)(h)1	$	1
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	300		299
USAA Auto Owner Trust
3.16%, 2/17/09	185		184
3.58%, 2/15/11	1,850		1,834
3.90%, 7/15/09	590		587
Volkswagen Auto Lease Trust
3.82%, 5/20/08	358		357
Volkswagen Auto Loan Enhanced Trust
4.80%, 7/20/09	1,446		1,443
Wachovia Auto Owner Trust
2.91%, 4/20/09	170		168
4.06%, 9/21/09	612		608
Wachovia Bank Commercial Mortgage Trust
5.44%, 9/15/21	(e)(h)1,475		1,476
World Omni Auto Receivables Trust
3.29%, 11/12/08	92		92
			81,559
Collateralized Mortgage Obligations — Agency Collateral Series (1.1%)
Federal Home Loan Mortgage Corp.,
Inv Fl IO
0.63%, 3/15/24	523		13
Inv Fl IO PAC
3.23%, 10/15/29	43		1
IO
5.00%, 12/15/16	1,160		103
6.00%, 5/1/31	687		133
6.50%, 4/1/28 - 5/15/33	1,293		275
8.00%, 1/1/28 - 6/1/31	78		17
Federal National Mortgage Association,
5.38%, 12/25/36	1,290		1,290
Inv Fl IO
2.23%, 2/17/31	375		20
2.78%, 12/25/29	23		@—
2.88%, 10/25/28	421		15
IO
1.93%, 3/25/36	6,620		140
6.00%, 8/25/32 - 11/25/32	1,010		128
6.50%, 2/25/33 - 5/25/33	1,692		357
7.00%, 4/25/33	616		145
8.00%, 4/1/24 - 12/1/31	553		131
9.00%, 11/1/26	35		8
IO PAC
8.00%, 8/18/27	33		7
Government National Mortgage Association,
Inv Fl IO
2.26%, 9/16/31	79		4
2.63%, 12/16/25 - 9/16/27	692		44
3.18%, 9/20/30	87		6
3.28%, 8/16/29	447		29

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

30

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Collateralized Mortgage Obligations — Agency Collateral Series (cont’d)
Washington Mutual, Inc.
IO
0.34%, 9/25/46	$	57,373	$	576
			3,442
Collateralized Mortgage Obligations — Non Agency Collateral Series (1.8%)
Countrywide Alternative Loan Trust
IO
1.08%, 9/25/35	11,109		245
1.54%, 2/25/37	5,810		307
1.70%, 9/25/46	16,676		829
1.73%, 12/20/35	(e)(h)6,867		187
1.78%, 3/20/46	5,572		256
1.85%, 8/25/46	(h)3,970		159
1.95%, 3/20/47	15,333		851
2.25%, 10/25/46	10,150		508
2.71%, 12/20/35	(e)(h)7,545		362
6.50%, 10/25/46	(e)736		735
Greenpoint Mortgage Funding Trust
IO
1.10%, 8/25/45	3,666		112
1.91%, 10/25/45	4,365		131
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)4,353		99
1.26%, 5/19/35	(h)6,579		157
1.63%, 3/19/37	(h)5,436		240
1.69%, 7/19/46	(h)9,572		345
PO
3/19/37	3		2
7/19/47	@—		@—
Indymac Index Mortgage Loan Trust
IO
0.91%, 7/25/35	(h)4,025		128
			5,653
Finance (6.6%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)1,185		1,238
American General Finance Corp.
4.63%, 5/15/09	110		108
4.63%, 9/1/10	(c)680		668
AXA Financial, Inc.
6.50%, 4/1/08	230		233
Bank of New York Co., Inc. (The)
3.80%, 2/1/08	250		247
5.20%, 7/1/07	165		165
Catlin Insurance Co. Ltd
7.25%	(e)(h)(o)555		552
CIT Group, Inc.
4.75%, 8/15/08	215		214
Countrywide Home Loans, Inc.
3.25%, 5/21/08	640		626
Farmers Exchange Capital
7.05%, 7/15/28	(c)(e)165		170
Farmers Insurance Exchange
8.63%, 5/1/24	$	(e)475	$	566
General Electric Capital Corp.
4.25%, 12/1/10	(c)230		223
4.75%, 9/15/14	60		58
5.88%, 2/15/12	(c)50		52
HSBC Finance Corp.
4.13%, 12/15/08	100		98
5.88%, 2/1/09	290		293
6.38%, 10/15/11	570		595
6.75%, 5/15/11	235		248
8.00%, 7/15/10	150		163
Huntington National Bank
4.38%, 1/15/10	250		244
iStar Financial, Inc.
5.69%, 3/9/10	(h)705		706
JPMorgan Chase & Co.
6.00%, 2/15/09	635		644
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	575		568
Mantis Reef Ltd.
4.69%, 11/14/08	(e)400		396
MBNA Corp.
5.79%, 5/5/08	(h)615		618
Nationwide Building Society
4.25%, 2/1/10	(e)615		601
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17	265		281
Platinum Underwriters Holdings Ltd.
6.37%, 11/16/07	260		259
Popular North American, Inc.
5.65%, 4/15/09	310		312
Residential Capital Corp.
5.84%, 6/9/08	(h)630		624
6.38%, 6/30/10	925		925
SLM Corp.
4.00%, 1/15/10	485		472
Sovereign Bancorp
5.58%, 3/23/10	(h)935		935
Sovereign Bank
4.00%, 2/1/08	100		99
St. Paul Travelers Cos., Inc. (The)
5.01%, 8/16/07	415		414
Two-Rock Pass Through Trust
6.30%	(e)(h)(o)315		310
Unicredit Luxembourg Finance S.A.
5.41%, 10/24/08	(e)(h)985		986
USB Capital IX
6.19%	(h)(o)760		780
Wachovia Capital Trust III
5.80%	(h)(o)1,535		1,555
Washington Mutual Preferred Funding II
6.67%	(e)(h)(o)300		295

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

31

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
Washington Mutual, Inc.
8.25%, 4/1/10	$	664	$	718
World Financial Properties
6.91%, 9/1/13	(e)144		151
6.95%, 9/1/13	(e)582		612
Xlliac Global Funding
4.80%, 8/10/10	(e)630		622
			20,644
Industrials (5.6%)
America West Airlines, Inc.
7.10%, 4/2/21	577		614
AT&T Corp.
8.00%, 11/15/31	50		62
Brookfield Asset Management, Inc.
7.13%, 6/15/12	520		557
Burlington Northern Santa Fe Corp.
6.13%, 3/15/09	260		264
Caterpillar Financial Services Corp.
3.63%, 11/15/07	110		109
5.43%, 8/20/07	(h)580		580
Clorox Co.
5.48%, 12/14/07	(h)620		620
Comcast Cable Communications, Inc.
6.75%, 1/30/11	265		279
7.13%, 6/15/13	175		190
ConAgra Foods, Inc.
7.00%, 10/1/28	120		128
8.25%, 9/15/30	(c)285		348
Consumers Energy Co.
4.80%, 2/17/09	380		377
Cooper Industries, Inc.
5.25%, 7/1/07	405		404
5.25%, 11/15/12	295		295
CVS/Caremark Corp.
5.75%, 8/15/11	140		143
6.04%, 12/10/28	(e)746		757
DaimlerChrysler N.A. Holding Corp.
8.50%, 1/18/31	265		332
FBG Finance Ltd.
5.13%, 6/15/15	(c)(e)490		471
Federated Department Stores, Inc.
6.63%, 9/1/08	120		122
FedEx Corp.
2.65%, 4/1/07	215		215
France Telecom S.A.
8.50%, 3/1/31	505		658
Fred Meyer, Inc.
7.45%, 3/1/08	450		459
Hewlett Packard Co.
5.49%, 5/22/09	(h)460		461
Hyatt Equities LLC
6.88%, 6/15/07	(e)280		280
ICI Wilmington, Inc.
4.38%, 12/1/08	$	300	$	296
LG Electronics, Inc.
5.00%, 6/17/10	(e)210		207
May Department Stores Co. (The)
6.70%, 7/15/34	(c)455		450
Miller Brewing Co.
4.25%, 8/15/08	(e)475		468
Mohawk Industries, Inc.
7.20%, 4/15/12	295		313
Norfolk Southern Corp.
7.35%, 5/15/07	245		245
Raytheon Co.
6.15%, 11/1/08	46		47
Sara Lee Corp.
6.13%, 11/1/32	515		477
SBC Communications, Inc.
6.15%, 9/15/34	250		247
Sprint Capital Corp.
8.75%, 3/15/32	80		95
Systems 2001 Asset Trust LLC
6.66%, 9/15/13	(e)370		390
Telecom Italia Capital S.A.
4.00%, 11/15/08 - 1/15/10	650		630
Telefonica Europe BV
8.25%, 9/15/30	525		631
Textron Financial Corp.
4.13%, 3/3/08	230		228
5.13%, 2/3/11	550		550
The Home Depot, Inc.
5.48%, 12/16/09	(h)280		281
Time Warner, Inc.
5.59%, 11/13/09	(h)895		897
Union Pacific Corp.
6.63%, 2/1/08	305		308
UnitedHealth Group, Inc.
4.13%, 8/15/09	265		260
5.43%, 3/2/09	(h)365		365
Valero Energy Corp.
3.50%, 4/1/09	345		335
Viacom, Inc.
6.88%, 4/30/36	475		480
Vodafone Group plc
5.44%, 12/28/07	(h)335		335
Yum! Brands, Inc.
8.88%, 4/15/11	295		331
			17,591
Mortgages — Other (28.2%)
American Home Mortgage Assets
5.45%, 3/25/47	(h)2,025		2,022
5.55%, 9/25/46	(h)1,472		1,477
5.58%, 10/25/46	(h)2,354		2,363
Banc of America Funding Corp.
5.67%, 9/20/35	(h)521		523

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

32

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages — Other (cont’d)
Bear Stearns Mortgage Funding Trust
5.45%, 2/25/37	$	(h)1,875	$	1,875
5.49%, 3/25/37	(h)1,750		1,750
5.50%, 10/25/36	(h)1,766		1,756
5.52%, 9/25/36	(h)2,106		2,100
5.57%, 7/25/36	(h)1,210		1,208
Countrywide Alternative Loan Trust
5.48%, 7/25/46	(h)773		774
5.49%, 5/25/47	(h)2,200		2,200
5.57%, 10/25/46	(h)2,277		2,277
5.58%, 11/20/35	(h)535		536
5.63%, 3/20/46	(h)823		824
5.71%, 12/20/35	(h)1,936		1,944
5.73%, 11/20/35	(h)787		791
6.68%, 2/25/36	(h)1,166		1,178
Deutsche ALT-A Securities Alternate Loan Trust
5.47%, 2/25/47	(h)2,437		2,437
Deutsche ALT-A Securities NIM Trust
6.75%, 2/25/47	(e)941		937
Downey Savings & Loan Association Mortgage Loan Trust
5.52%, 10/19/36	(h)1,951		1,956
5.92%, 4/19/46	(h)1,259		1,260
Gemsco Mortgage Pass Through Certificate
8.70%, 11/25/10	(d)(k)4		4
Greenpoint Mortgage Funding Trust
5.50%, 1/25/37	(h)1,540		1,538
5.50%, 5/25/47	2,000		2,000
5.64%, 3/25/36	(h)1,110		1,112
GS Mortgage Securities Corp.
6.25%, 1/25/37	(e)916		913
GSR Mortgage Loan Trust
5.58%, 8/25/46	(h)1,925		1,930
Harborview Mortgage Loan Trust
5.41%, 1/19/38	(h)681		682
5.45%, 3/19/37	(h)1,521		1,523
5.47%, 3/19/38	(h)1,557		1,558
5.50%, 11/19/36	(h)2,033		2,026
5.51%, 12/19/37	(h)2,364		2,367
5.52%, 7/21/36 - 3/19/38	(h)2,797		2,794
5.55%, 7/19/46	(h)1,081		1,083
5.57%, 10/19/37	(h)1,177		1,180
5.60%, 11/19/36	(h)2,001		2,010
5.61%, 7/19/45	(h)350		351
5.70%, 11/19/35	(h)611		613
Harborview NIM Corp.
6.41%, 3/19/37 - 3/19/38	(e)1,346		1,312
Indymac Index Mortgage Loan Trust
5.44%, 7/25/46	(h)1,625		1,632
5.53%, 11/25/36	(h)1,634		1,637
5.54%, 4/25/46	(h)1,671		1,675
Luminent Mortgage Trust
5.52%, 10/25/46	(h)1,356		1,360
5.55%, 5/25/46	(h)953		956
5.56%, 4/25/36	(h)857		860
Mastr Adjustable Rate Mortgage Trust
5.57%, 4/25/46	$	(h)904	$	907
Merrill Lynch Mortgage Investors, Inc.
5.44%, 8/25/35	(h)324		325
Residential Accredit Loans, Inc.
5.48%, 3/25/47	(h)2,850		2,850
5.51%, 12/25/36	(h)1,671		1,680
5.58%, 2/25/46	(h)381		381
5.59%, 2/25/46	(h)427		427
5.72%, 10/25/45	(h)1,557		1,565
Structured Asset Mortgage Investments, Inc.
5.51%, 2/25/36	(h)405		405
5.52%, 10/25/36	(h)2,051		2,056
5.55%, 7/25/36 - 8/25/36	(h)4,069		4,083
5.59%, 4/25/36	(h)1,512		1,519
Wamu Alternative Mortgage Pass-Through Certificates
4.98%, 8/25/46	(h)1,161		1,163
5.92%, 4/25/46	(h)1,030		1,032
Washington Mutual, Inc.
5.40%, 6/25/46	(h)749		750
5.57%, 11/25/45 - 12/25/45	(h)1,171		1,173
5.58%, 7/25/44 - 10/25/45	(h)474		475
5.61%, 8/25/45	(h)224		225
5.92%, 5/25/46	(h)1,047		1,047
Zuni Mortgage Loan Trust
5.45%, 8/25/36	(h)975		974
			88,341
U.S. Treasury Securities (5.9%)
U.S. Treasury Strips
IO
4.92%, 2/15/21	(c)500		252
5.08%, 5/15/21	(c)36,705		18,226
			18,478
Utilities (1.5%)
Ameren Corp.
4.26%, 5/15/07	460		459
Arizona Public Service Co.
5.80%, 6/30/14	500		505
Carolina Power & Light Co.
5.13%, 9/15/13	340		336
CenterPoint Energy Resources Corp.
6.25%, 2/1/37	135		135
Consolidated Natural Gas Co.
6.25%, 11/1/11	175		182
Detroit Edison Co.
6.13%, 10/1/10	235		242
Entergy Gulf States, Inc.
3.60%, 6/1/08	320		314
5.76%, 12/1/09	(h)155		155
NiSource Finance Corp.
5.93%, 11/23/09	(h)240		241
Ohio Power Corp.
6.00%, 6/1/16	460		478

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

33

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Plains All American Pipeline LP
6.70%, 5/15/36	$	465	$	477
Public Service Electric & Gas Co.
5.00%, 1/1/13	230		226
Sempra Energy
4.62%, 5/17/07	230		230
Texas Eastern Transmission LP
7.00%, 7/15/32	(c)280		313
Wisconsin Electric Power Co.
3.50%, 12/1/07	250		247
			4,540
Total Fixed Income Securities (Cost $281,040)			279,726

	No. of
	Contracts
Put Option Purchased (0.1%)
90 Day EuroDollar
6/07 @ $94.25	690	$	3
6/07 @ $94.50	104	1
6/07 @ $94.75	45	8
9/07 @ $94.75	167	26
12/07 @ $94.50	50	2
12/07 @ $94.75	911	148
Total Put Options Purchased (Cost $467)		188

	Shares
Preferred Stocks (0.1%)
Mortgages — Other (0.1%)
Home Ownership Funding Corp. 13.33% (Cost $458)	(e)2,975	440

	Face
	Amount
	(000)
Short-Term Investments (19.9%)
Short-Term Debt Securities held as Collateral on Loaned Securities (6.5%)
AIG Match Funding Corp., 5.30%, 4/17/07	$	(h)459	459
Alliance & Leicester plc, 5.33%, 4/10/07	(h)328		328
Anglo Irish Bank Corp., plc, 5.35%, 7/9/07	159		159
Bancaja, 5.36%, 4/19/07	(h)164		164
Bank of America Corp., 5.32%, 4/2/07	(h)524		524
Bank of New York Co., Inc., 5.32%, 4/10/07	(h)164		164
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)328		328
BNP Paribas plc, 5.33%, 5/21/07	(h)328		328
CAM US Finance S.A. Unipersonal,
5.36%, 7/3/07	(h)656		656
CIC, New York,
5.30%, 4/3/07	(h)229		229
5.34%, 4/2/07	(h)328		328
CIT Group Holdings, 5.37%, 7/18/07	(h)590		590
Credit Suisse First Boston, New York,
5.29%, 5/15/07	197		197
5.32%, 4/2/07	(h)328		328
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	$	1,311	$	1,311
5.46%, 4/2/07	3,147		3,147
Dexia Bank, New York, 5.32%, 4/2/07	(h)328		328
First Tennessee Bank, 5.33%, 4/17/07	(h)164		164
Gemini Securitization Corp., 5.41%, 4/2/07	471		471
Goldman Sachs Group, Inc.,
5.37%, 4/16/07	(h)164		164
5.55%, 4/2/07	(h)308		308
HSBC Finance Corp., 5.33%, 4/10/07	(h)164		164
Mane Funding Corp., 5.29%, 4/10/07	235		235
Manufacturers & Traders, 5.30%, 4/16/07	(h)197		197
Marshall & Ilsley Bank, 5.37%, 12/17/07	329		329
Merrill Lynch & Co., 5.33%, 4/26/07	(h)172		172
Metropolitan Life Global Funding,
5.31%, 4/23/07	(h)492		492
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)328		328
5.34%, 4/2/07	(h)328		328
National Australia Bank Ltd., 5.31%, 4/10/07	(h)249		249
National City Bank Cleveland, 5.32%, 4/2/07	(h)164		164
National Rural Utilities Cooperative Finance Corp.,
5.31%, 4/2/07	(h)655		655
Nationwide Building Society, 5.43%, 6/28/07	(h)380		380
Nordea Bank, New York, 5.31%, 4/2/07	(h)492		492
Raiffeisen Zentralbank Oesterreich,
5.31%, 6/19/07	194		194
Rheingold Securitization, 5.32%, 5/15/07	291		291
Sedna Finance, Inc., 5.32%, 5/15/07	84		84
Skandi, New York, 5.32%, 4/10/07	(h)328		328
Toronto Dominion, New York, 5.32%, 5/29/07	(h)328		328
Tulip Funding Corp., 5.36%, 4/30/07	652		652
UBS Securities LLC, 5.40%, 4/2/07	3,221		3,221
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)361		361
Unicredito Italiano Bank (Ireland) plc, 5.34%
4/10/07	(h)229		229
			20,548
Repurchase Agreement (13.0%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 04/2/07, repurchase price $40,840	(f)40,822		40,822
U.S. Treasury Security (0.4%)
U.S. Treasury Bill
4.98%, 7/12/07	(j)1,105		1,090
Total Short-Term Investments (Cost $62,460)			62,460
Total Investments (109.3%) (Cost $344,425) — Including $19,914 of Securities Loaned			342,814
Liabilities in Excess of Other Assets (-9.3%)			(29,078)
Net Assets (100%)			$	313,736

(c)	All or portion of security on loan at March 31, 2007.
(d)	Security was valued at fair value — At March 31, 2007,the Portfolio held $4,000 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.

34

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Fixed Income Portfolio

(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(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 has been deemed illiquid at March 31, 2007.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value 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, 2007.
IO	Interest Only
PO	Principal Only
PAC	Planned Amortization Class
TBA	To 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 5yr. Note	713	$	75,433	Jun-07	$	11
U.S. Treasury 10 yr. Note	514	55,576		Jun-07	15
U.S. Treasury Long Bond	219	24,364		Jun-07	(170		)
U.S. Treasury 2 yr. Note	304	62,287		Jun-07	(114		)
					$	(258	)

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

35

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Core Plus Fixed Income Portfolio

	Face
	Amount			Value
	(000)			(000)
Fixed Income Securities (94.7%)
Agency Adjustable Rate Mortgages (4.4%)
Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages:
5.35%, 4/1/37	$	12,063		$	12,043
5.70%, 3/1/37	11,353			11,469
5.76%, 1/1/37	18,777			18,915
Federal National Mortgage Association, Adjustable Rate Mortgages:
4.74%, 6/1/36	12,472			12,294
7.45%, 5/1/36	20,930			21,584
7.47%, 7/1/36	14,270			14,716
7.48%, 4/1/36	13,405			13,823
7.49%, 7/1/36 - 8/1/36	1,226			1,261
Government National Mortgage Association, Adjustable Rate Mortgages:
5.38%, 1/20/25 - 1/20/28	10,813			10,953
5.75%, 7/20/25 - 9/20/27	1,180			1,194
6.13%, 10/20/25 - 12/20/27	1,721			1,743
				119,995
Agency Fixed Rate Mortgages (12.4%)
Federal Home Loan Mortgage Corp., Conventional Pools:
10.00%, 10/1/10 - 11/1/20	1,284			1,419
10.50%, 8/1/09 - 10/1/20	336			365
11.00%, 12/1/10 - 9/1/20	337			371
11.25%, 10/1/11 - 12/1/15	155			168
11.50%, 1/1/11 - 12/1/15	3			3
11.75%, 4/1/19	11			11
12.00%, 10/1/09 - 2/1/15	13			14
13.00%, 6/1/19	3			4
14.75%, 3/1/10	1			1
Gold Pools:
6.50%, 3/1/16 - 8/1/33	1,793			1,846
7.00%, 2/1/28 - 7/1/32	2,243			2,332
7.50%, 8/1/17 - 10/1/32	12,081			12,636
8.00%, 11/1/25 - 12/1/31	3,494			3,679
8.50%, 3/1/09 - 8/1/31	7,510			8,070
9.00%, 7/1/17	535			573
9.50%, 1/1/21 - 12/1/22	629			682
10.00%, 6/1/17 - 3/1/21	424			472
10.50%, 11/1/15 - 4/1/21	216			234
12.00%, 10/1/10	5			5
Federal National Mortgage Association, Conventional Pools:
6.50%, 11/1/23 - 1/1/34	27,852			28,690
7.00%, 11/1/13 - 4/1/36	73,029			72,136
7.50%, 11/1/22 - 9/1/35	29,260			30,627
8.00%, 2/1/12 - 10/1/32	22,648			23,939
8.50%, 11/1/08 - 5/1/32	19,931			21,474
9.00%, 12/1/08 - 1/1/22	1,195			1,265
10.00%, 9/1/10 - 10/1/25	898			989
10.50%, 5/1/12 - 7/1/25	880			978
11.00%, 7/1/20 - 11/1/20	123			136
9.50%, 11/1/13 - 4/1/30	5,160			5,613
11.50%, 1/1/13 - 2/1/20	$		218	$	242
12.00%, 11/1/15	254			280
12.50%, 9/1/15 - 2/1/16	39			43
April TBA
7.00%, 4/25/37	(i)3,575			3,688
7.50%, 4/25/36	(i)11,600			12,024
May TBA
7.00%, 5/25/37	(i)70,950			73,123
Government National Mortgage Association, Various Pools:
9.00%, 12/15/21 - 11/15/24	2,126			2,291
9.50%, 8/15/09 - 12/15/19	2,074			2,252
10.00%, 11/15/09 - 1/15/26	13,498			15,064
10.50%, 7/15/13 - 4/15/25	1,594			1,785
11.00%, 12/15/09 - 2/15/25	3,576			3,969
11.50%, 4/15/13 - 4/20/19	105			117
12.00%, 3/15/11 - 11/15/19	1,704			1,926
12.50%, 6/15/10 - 12/15/13	8			9
				335,545
Asset Backed Corporates (17.2%)
ACE Securities Corp.
5.43%, 7/25/35	(h)9			9
5.64%, 5/25/34	(h)2,710			2,717
Aegis Asset Backed Securities Trust
5.43%, 10/25/35	(h)3			3
American Express Credit Account Master Trust
5.32%, 10/15/12	(h)13,550			13,550
5.43%, 11/16/09 - 12/15/09	(h)34,700			34,726
Argent Securities, Inc.
5.37%, 10/15/46	(h)14,455			14,465
Bayview Financial Acquisition Trust
6.07%, 9/28/43	(h)@—			@—
Bear Stearns Asset Backed Securities, Inc.
5.44%, 8/25/35 - 11/25/35	(h)42			42
5.52%, 9/25/34	(h)3,035			3,038
5.54%, 3/25/35	(h)3,933			3,936
Capital Auto Receivables Asset Trust
3.35%, 2/15/08	1,706			1,705
5.38%, 5/15/11	(h)21,375			21,388
5.40%, 1/15/08	(h)907			907
Carrington Mortgage Loan Trust
5.40%, 3/25/47	10,500			10,500
5.44%, 10/25/35	(h)319			319
5.47%, 9/25/35	(h)14			14
Citibank Credit Card Issuance Trust
5.34%, 3/22/12	(c)(h)14,550			14,550
5.53%, 2/7/10	(h)14,100			14,131
6.88%, 11/16/09	18,410			18,602
Citicorp Residential Mortgage
5.40%, 9/25/36	(h)102			102
Citigroup Mortgage Loan Trust, Inc.
5.39%, 1/25/37	(h)12,919			12,919
5.73%, 10/25/34	(h)14			14

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

36

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Conti Mortgage Home Equity Loan Trust
8.10%, 8/15/25	$	120	$	124
Countrywide Asset-Backed Certificates
5.47%, 5/25/36	(h)8,105		8,111
Credit-Based Asset Servicing & Securitization
5.42%, 8/25/35	(h)21		21
5.43%, 8/25/35	(h)6		6
First Franklin Mortgage Loan Asset Backed Certificates
5.37%, 7/25/36	(h)9,797		9,802
5.39%, 2/25/36	(h)7,891		7,898
5.42%, 7/25/35	(h)2,835		2,837
5.44%, 10/25/35	(h)6,118		6,123
Fremont Home Loan Owner Trust
5.37%, 10/25/36	(h)15,145		15,146
GE Capital Credit Card Master Note Trust
5.36%, 9/15/10	(h)10,825		10,835
5.37%, 6/15/10	(h)150		150
GE Dealer Floorplan Master Note Trust
5.40%, 7/20/09	(h)15,100		15,114
GSAMP Trust
5.39%, 1/25/37	(h)11,968		11,973
5.44%, 3/25/47	(h)16,175		16,175
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.44%, 9/15/21	(e)(h)13,492		13,503
Lehman XS Trust
5.62%, 2/25/46	(h)9,835		9,864
Long Beach Mortgage Loan Trust
5.41%, 1/25/36	(h)37		37
MBNA Credit Card Master Note Trust
5.46%, 2/16/10	(h)16,125		16,147
MBNA Master Credit Card Trust USA
5.52%, 9/15/09	(h)125		125
5.90%, 8/15/11	19,530		19,896
7.80%, 10/15/12	15,505		16,813
Nationstar Home Equity Loan Trust
6.02%, 9/25/36	(h)104		104
Novastar Home Equity Loan
5.39%, 11/25/36	(h)76		76
RAAC Series
5.42%, 9/25/45	(h)5,481		5,486
Residential Asset Mortgage Products, Inc.
5.39%, 6/25/29	(h)14,559		14,568
Securitized Asset Backed Receivables LLC Trust
5.39%, 12/25/35	(h)4,394		4,397
5.40%, 11/25/36	(h)13,701		13,707
SLM Student Loan Trust
5.32%, 10/25/14	(h)26,215		26,231
Soundview Home Equity Loan Trust
5.43%, 2/25/37	(h)14,825		14,820
Specialty Underwriting & Residential Finance
5.44%, 6/25/36	(h)1,810		1,811
Structured Asset Investment Loan Trust
5.39%, 3/25/36	$	(h)41	$	41
Structured Asset Securities Corp.
5.41%, 4/25/37	(h)13,025		13,025
5.52%, 6/25/35	(h)5,312		5,316
5.67%, 12/25/34	(h)34		35
Terwin Mortgage Trust
5.44%, 7/25/35	(e)(h)8		8
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	3,115		3,103
Wachovia Bank Commercial Mortgage Trust
5.44%, 9/15/21	(e)(h)13,125		13,133
			464,198
Collateralized Mortgage Obligations — Agency Collateral Series (2.0%)
Bear Stearns Asset Backed Securities
IO
Zero Coupon, 3/27/36 - 5/25/36	(e)295,554		6,669
Bear Stearns Structured Products, Inc.
1.00%, 3/27/36	(e)193,165		7,288
IO
1.27%, 2/27/36	(e)140,273		4,229
1.91%, 7/27/36	(e)204,288		8,092
6.00%, 4/25/37	(e)255,272		9,945
Federal Home Loan Mortgage Corp.,
Inv Fl IO
20.38%, 11/15/07	22		1
Inv Fl IO PAC
4.23%, 3/15/08	164		2
4.89%, 2/15/08	329		4
Inv Fl IO REMIC
2.18%, 8/15/30	258		10
IO
6.00%, 5/1/31	7,180		1,389
7.50%, 12/1/29	416		112
8.00%, 1/1/28 - 6/1/31	3,027		663
Federal National Mortgage Association,
Inv Fl IO
1.08%, 7/25/34	8,832		249
2.88%, 10/25/28	6,711		240
3.18%, 7/25/30	4,425		244
3.23%, 10/18/30	2,505		132
3.86%, 10/25/07	388		3
Inv Fl IO REMIC
30.76%, 9/25/20	58		98
35.16%, 9/25/22	97		90
IO
1.93%, 3/25/36	76,777		1,632
6.00%, 8/25/32 - 7/25/33	4,778		935
6.50%, 9/1/29 - 6/25/33	27,237		6,097
7.00%, 4/1/32	5,558		1,350
8.00%, 4/1/24 - 12/1/31	9,980		2,356
8.50%, 10/1/25	304		83
9.00%, 11/1/26	483		116

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

37

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Collateralized Mortgage Obligations — Agency Collateral Series (cont’d)
IO PAC
8.00%, 9/18/27	$	1,602	$	337
Government National Mortgage Association,
Inv Fl IO
2.83%, 5/16/31	7,214		533
2.88%, 8/16/31	2,516		138
3.28%, 8/16/29	360		25
GS Mortgage Securities Corp.
IO
2.57%, 3/25/36	(e)(h)28,124		1,107
Kidder Peabody Mortgage Assets Trust
IO
9.50%, 4/22/18	4		1
			54,170
Collateralized Mortgage Obligations — Non Agency Collateral Series (2.2%)
Countrywide Alternative Loan Trust
Zero Coupon, 4/25/47	64,175		3,299
1.83%, 2/25/47	(e)172,682		9,415
IO
1.54%, 2/25/37	67,964		3,589
1.70%, 9/25/46	140,629		6,989
1.73%, 12/20/35	(e)(h)74,026		2,016
1.78%, 3/20/46	63,865		2,942
1.95%, 3/20/47	127,708		7,090
2.71%, 12/20/35	(e)(h)87,997		4,228
Greenpoint Mortgage Funding Trust
IO
1.10%, 8/25/45	42,787		1,304
1.91%, 10/25/45	52,774		1,592
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)54,758		1,240
1.26%, 5/19/35	(h)74,232		1,774
1.63%, 3/19/37	(h)61,521		2,711
PO
3/19/37	29		22
Harborview NIM Corp.
Zero Coupon, 10/20/45	(e)(h)7,542		4,818
Indymac Index Mortgage Loan Trust
IO
0.91%, 7/25/35	(h)47,358		1,502
Residential Accredit Loans, Inc.
Zero Coupon, 4/25/47	(e)99,894		5,744
			60,275
Finance (5.7%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)9,957		10,404
American General Finance Corp.
4.63%, 5/15/09 - 9/1/10	2,415		2,383
AXA Financial, Inc.
6.50%, 4/1/08	5,450		5,510
Catlin Insurance Co., Ltd.
7.25%	(e)(h)4,980		4,953
CIT Group, Inc.
3.65%, 11/23/07	$	2,385	$	2,360
7.38%, 4/2/07	5		5
Countrywide Home Loans, Inc.
3.25%, 5/21/08	5,150		5,034
Farmers Exchange Capital
7.05%, 7/15/28	(c)(e)100		103
Farmers Insurance Exchange
8.63%, 5/1/24	(e)6,970		8,309
General Electric Capital Corp.
4.25%, 12/1/10	(c)2,180		2,118
HSBC Finance Corp.
4.13%, 12/15/08	10		10
5.88%, 2/1/09	9,960		10,078
6.38%, 10/15/11	60		63
6.75%, 5/15/11	735		775
8.00%, 7/15/10	1,100		1,193
JPMorgan Chase & Co.
6.00%, 2/15/09	7,660		7,772
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	6,390		6,315
Mantis Reef Ltd.
4.69%, 11/14/08	(e)4,615		4,572
MBNA Corp.
5.79%, 5/5/08	(c)(h)4,775		4,799
Metlife, Inc.
6.13%, 12/1/11	45		47
Nationwide Building Society
4.25%, 2/1/10	(e)5,000		4,883
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17	(c)3,015		3,196
Platinum Underwriters Holdings Ltd.
6.37%, 11/16/07	2,900		2,888
Residential Capital Corp.
6.38%, 6/30/10	7,720		7,724
SLM Corp.
4.00%, 1/15/10	(c)3,595		3,501
St. Paul Travelers Cos., Inc. (The)
5.01%, 8/16/07	4,070		4,063
Two-Rock Pass Through Trust
6.30%	(e)(h)(o)2,930		2,886
Unicredit Luxembourg Finance S.A.
5.41%, 10/24/08	(e)(h)8,220		8,225
USB Capital IX
6.19%	(h)(o)6,735		6,912
Wachovia Capital Trust Ill
5.80%	(h)(o)13,065		13,232
Washington Mutual Bank FA
5.50%, 1/15/13	25		25
Washington Mutual, Inc.
8.25%, 4/1/10	5,330		5,762
Washington Mutual Preferred Funding II
6.66%	(e)(h)(o)1,300		1,278

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

38

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
World Financial Properties
6.91%, 9/1/13	$	(e)1,148	$	1,206
6.95%, 9/1/13	(e)7,243		7,617
Xlliac Global Funding
4.80%, 8/10/10	(e)5,360		5,290
			155,491
Industrials (6.4%)
America West Airlines, Inc.
7.10%, 4/2/21	44		47
ArvinMeritor, Inc.
8.75%, 3/1/12	(c)3,695		3,834
AT&T Corp.
8.00%, 11/15/31	5,300		6,569
Brookfield Asset Management, Inc.
7.13%, 6/15/12	4,680		5,016
Caterpillar Financial Services Corp.
3.63%, 11/15/07	1,090		1,079
5.43%, 8/20/07	(h)4,545		4,547
Clorox Co.
5.48%, 12/14/07	(h)5,160		5,164
Comcast Cable Communications, Inc.
6.75%, 1/30/11	2,515		2,651
7.13%, 6/15/13	1,000		1,085
ConAgra Foods, Inc.
7.00%, 10/1/28	1,505		1,607
8.25%, 9/15/30	1,920		2,344
Consumers Energy Co.
4.00%, 5/15/10	1,410		1,362
4.80%, 2/17/09	2,100		2,082
Cooper Industries, Inc.
5.25%, 7/1/07	30		30
5.25%, 11/15/12	3,490		3,487
CVS/Caremark Corp.
5.75%, 8/15/11	1,130		1,152
6.04%, 12/10/28	(e)6,362		6,455
DaimlerChrysler N.A. Holding Corp.
7.20%, 9/1/09	25		26
8.50%, 1/18/31	(c)2,320		2,906
Delhaize America, Inc.
9.00%, 4/15/31	2,790		3,366
Echostar DBS Corp.
6.38%, 10/1/11	4,850		4,892
6.63%, 10/1/14	1,275		1,286
FBG Finance Ltd.
5.13%, 6/15/15	(e)3,825		3,676
FedEx Corp.
2.65%, 4/1/07	2,565		2,565
Ford Motor Credit Co.
7.25%, 10/25/11	3,985		3,877
France Telecom S.A.
8.50%, 3/1/31	4,130		5,383
General Mills, Inc.
3.88%, 11/30/07	20		20
General Motors Acceptance Corp.
6.88%, 9/15/11	$	13,285	$	13,310
Hewlett Packard Co.
5.48%, 5/22/09	(h)3,825		3,830
Home Depot, Inc.
5.47%, 12/16/09	(h)2,365		2,369
Hospira, Inc.
5.83%, 3/30/10	(h)5,425		5,441
Hyatt Equities LLC
6.88%, 6/15/07	(e)3,370		3,376
ICI Wilmington, Inc.
4.38%, 12/1/08	2,040		2,011
Interpublic Group of Cos., Inc.
6.25%, 11/15/14	2,365		2,235
LG Electronics, Inc.
5.00%, 6/17/10	(e)2,765		2,728
May Department Stores Co. (The)
6.70%, 7/15/34	3,770		3,730
Miller Brewing Co.
4.25%, 8/15/08	(e)3,885		3,827
Mohawk Industries, Inc.
7.20%, 4/15/12	2,590		2,747
Norfolk Southern Corp.
7.35%, 5/15/07	2,390		2,394
Pilgrim’s Pride Corp.
7.63%, 5/1/15	2,540		2,546
9.63%, 9/15/11	(c)1,240		1,296
Sara Lee Corp.
6.13%, 11/1/32	4,150		3,848
SBC Communications, Inc.
6.15%, 9/15/34	3,110		3,071
Sprint Capital Corp.
8.75%, 3/15/32	845		999
Starwood Hotels & Resorts Worldwide, Inc.
7.38%, 5/1/07	1,740		1,742
Systems 2001 Asset Trust LLC
6.66%, 9/15/13	(e)5,459		5,758
Telecom Italia Capital S.A.
4.00%, 11/15/08	5		5
4.00%, 1/15/10	5,340		5,162
Telefonica Europe BV
8.25%, 9/15/30	4,380		5,262
Time Warner, Inc.
5.59%, 11/13/09	(h)7,390		7,407
Union Pacific Corp.
6.63%, 2/1/08	1,225		1,238
6.79%, 11/9/07	1,020		1,027
Verizon New England, Inc.
6.50%, 9/15/11	2,100		2,192
Viacom, Inc.
6.88%, 4/30/36	3,720		3,762
WellPoint, Inc.
3.75%, 12/14/07	1,010		999

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

39

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Yum! Brands, Inc.
8.88%, 4/15/11	$	2,390	$	2,686
			173,506
Mortgages - Other (30.1%)
American Express Co.
9.63%, 12/1/12	(d)(k)24		24
American Home Mortgage Assets
5.45%, 3/25/47	(h)15,625		15,599
5.51%, 10/25/46	(h)22,419		22,461
5.55%, 5/25/46 - 9/25/46	(h)25,104		25,163
American Home Mortgage Investment Trust
5.51%, 4/25/37	(h)13,000		12,996
American Housing Trust
9.55%, 9/25/20	32		31
Asset Securitization Corp.
7.10%, 8/13/29	3		3
Banc of America Funding Corp.
5.67%, 9/20/35	(h)5,745		5,768
Bear Stearns Mortgage Funding Trust
5.49%, 3/25/37	(h)10,194		10,194
5.52%, 9/25/36	(h)98		98
5.53%, 12/25/36	(h)17,779		17,804
5.57%, 7/25/36	(h)12,678		12,663
Bear Stearns Structured Products
6.50%, 3/25/36 - 5/27/36	(e)5,050		4,836
Countrywide Alternative Loan Trust
5.47%, 5/20/46	(h)86		86
5.49%, 5/25/47	(h)18,475		18,475
5.51%, 10/25/46	(h)18,932		18,894
5.55%, 7/25/46	(h)14,176		14,224
5.58%, 11/20/35	(h)5,934		5,941
5.59%, 5/20/46 - 7/25/46	(h)15,785		15,861
5.61%, 11/20/35	(h)5,830		5,837
6.68%, 2/25/36	(h)90		91
Countrywide Home Loan Mortgage Pass Through Trust
5.59%, 4/25/46	(h)9,580		9,609
5.62%, 4/25/46	(h)89		90
Deutsche ALT-A Securities, Inc., Alternate Loan Trust
5.47%, 2/25/47	(h)20,766		20,766
Deutsche ALT-A Securities NIM Trust
6.75%, 2/25/47	(e)5,305		5,287
Downey Savings & Loan Association Mortgage Loan Trust
5.52%, 10/19/36	(h)16,035		16,076
5.92%, 4/19/46	(h)10,830		10,840
Federal Home Loan Mortgage Corp.,
5.59%, 10/1/36	14,697		14,829
PAC
9.50%, 4/15/20	3		3
Federal National Mortgage Association, Conventional Pools:
7.00%, 9/25/32	3,637		3,774
Greenpoint Mortgage Funding Trust
5.50%, 5/25/47	$	14,000	$	14,000
5.64%, 3/25/36	(h)13,687		13,714
GSR Mortgage Loan Trust
5.51%, 8/25/46	(h)134		134
5.58%, 8/25/46	(h)15,799		15,843
Harborview Mortgage Loan Trust
5.41%, 1/19/38	(h)5,621		5,629
5.47%, 2/19/46	(h)12,354		12,365
5.50%, 11/19/36	(h)22,218		22,139
5.51%, 12/19/37	(h)19,174		19,202
5.52%, 7/21/36 - 2/19/46	(h)26,282		26,260
5.53%, 11/19/36	(h)17,162		17,214
5.55%, 7/19/46	(h)11,351		11,366
5.56%, 11/19/36 - 3/19/37	(h)4,364		4,352
5.57%, 10/19/37	(h)13,934		13,970
5.66%, 1/19/36	(h)64		64
5.70%, 11/19/35	(h)6,718		6,746
Harborview NIM Corp.
6.41%, 3/19/37 - 3/19/38	(e)12,496		12,458
Household Bank
8.24%, 7/1/08	(d)(k)@—		@—
Impac CMB Trust
5.57%, 6/25/34	(h)30		30
Indymac Index Mortgage Loan Trust
5.42%, 2/25/37	(h)13,102		13,115
5.44%, 7/25/46	(h)16,843		16,916
5.53%, 11/25/36	(h)17,624		17,654
5.57%, 6/25/46	(h)106		106
5.60%, 7/25/35	(h)3,524		3,545
5.70%, 10/25/36	(h)8,565		8,613
Lehman XS Net Interest Margin Notes
6.25%, 6/28/46	(e)4,507		4,496
Luminent Mortgage Trust
5.52%, 10/25/46	(h)15,330		15,372
5.54%, 12/25/36	(h)19,465		19,488
5.56%, 4/25/36	(h)9,662		9,696
5.60%, 2/25/46	(h)77		77
Mastr Adjustable Rate Mortgages Trust
5.57%, 4/25/46	(h)70		70
Merrill Lynch Mortgage Investors, Inc.
5.44%, 8/25/35	(h)3,722		3,726
Mid-State Trust
8.33%, 4/1/30	82		87
Mortgage Equity Conversion Asset Trust
5.46%, 2/25/42	(h)12,000		12,000
Pelican Homestead Savings Association
9.36%, 10/1/07	(d)(k)23		23
Residential Accredit Loans, Inc.
5.46%, 2/25/37	(h)13,325		13,321
5.48%, 2/25/37 - 3/25/47	(h)40,755		40,739
5.51%, 12/25/36	(h)14,744		14,823
5.55%, 6/25/46	(h)115		115
5.58%, 2/25/46	(h)5,470		5,477
5.59%, 2/25/46	(h)4,457		4,459

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

40

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

		Face
		Amount					Value
		(000)					(000)
Mortgages - Other (cont’d)
Ryland Acceptance Corp. IV
6.65%, 7/1/11		$		347			$	346
Structured Adjustable Rate Mortgage Loan Trust
5.62%, 9/25/34		(h)1,586					1,590
Structured Asset Mortgage Investments, Inc.
5.51%, 2/25/36		(h)7,492					7,508
5.52%, 10/25/36		(h)95					96
5.55%, 8/25/36		(h)12,506					12,548
5.58%, 5/25/36		(h)7,130					7,154
5.59%, 4/25/36		(h)18,134					18,219
Wamu Alternative Mortgage Pass-Through Certificates
4.98%, 8/25/46		(h)11,606					11,627
5.51%, 7/25/46		(h)66					66
5.52%, 12/25/46		(h)11,944					11,938
5.92%, 4/25/46 - 5/25/46		(h)21,146					21,167
Washington Mutual, Inc.
5.40%, 6/25/46		(h)67					67
5.57%, 11/25/45 - 12/25/45		(h)14,483					14,513
5.58%, 7/25/44 - 10/25/45		(h)5,246					5,258
5.59%, 4/25/45		(h)63					63
5.61%, 8/25/45		(h)2,429					2,432
5.68%, 7/25/45		(h)43					44
Zuni Mortgage Loan Trust
5.45%, 8/25/36		(h)10,289					10,285
							812,648
Sovereign (1.5%)
Citigroup, Inc.
Zero Coupon, 7/17/08		2,560					3,033
Government of Argentina
5.83%, 12/31/33	��	9,855					4,730
Government of Japan
0.30%, 3/20/08		JPY			3,045,000		25,761
United Mexican States
9.50%, 12/18/14		MXN				75,635	7,632
							41,156
U.S. Treasury Securities (11.2%)
U.S. Treasury Bonds
5.50%, 8/15/28		$		(c)75			81
6.13%, 8/15/29		(c)64,745					75,322
6.38%, 8/15/27		(c)16,140					19,121
7.63%, 2/15/25		(c)655					863
8.13%, 8/15/19 - 8/15/21		(c)46,325					60,519
U.S. Treasury Notes
4.00%, 2/15/14		(c)300					289
4.25%, 8/15/13		1,135					1,116
4.25%, 11/15/13		(c)1,910					1,875
4.50%, 2/28/11		(c)1,075					1,074
U.S. Treasury Strips
IO
4.97%, 11/15/21		(c)46,300					22,428
5.17%, 5/15/21		(c)140,140					69,588
U.S. Treasury Strips
PO
5/15/21		$	(c)100,600				$	50,161
							302,437
Utilities (1.6%)
Arizona Public Service Co.
5.80%, 6/30/14		3,935					3,975
CenterPoint Energy Resources Corp.
6.25%, 2/1/37		1,130					1,126
Consolidated Natural Gas Co.
6.25%, 11/1/11		1,760					1,831
Detroit Edison Co.
6.13%, 10/1/10		2,035					2,099
Entergy Gulf States, Inc.
3.60%, 6/1/08		1,705					1,672
5.76%, 12/1/09		(h)1,995					1,994
6.09%, 12/8/08		(e)(h)4,225					4,237
Kinder Morgan Finance
5.70%, 1/5/16		3,970					3,729

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

41

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

NiSource Finance Corp.
5.93%, 11/23/09	(h)2,785	2,790
Ohio Power Corp.
6.00%, 6/1/16	3,605	3,745
Plains All American Pipeline LP
6.70%, 5/15/36	(c)3,635	3,732
PSEG Energy Holdings LLC
8.63%, 2/15/08	(c)2,547	2,607
Public Service Electric & Gas Co.
5.00%, 1/1/13	20	20
Sempra Energy
4.62%, 5/17/07	2,565	2,562
Texas Eastern Transmission LP
7.00%, 7/15/32	2,295	2,567
TXU Energy Co. LLC
7.00%, 3/15/13	3,155	3,283
Wisconsin Electric Power Co.
3.50%, 12/1/07	565	558
		42,527
Total Fixed Income Securities (Cost $2,572,157)		2,561,948

	No. of
	Contracts
Put Options Purchased (0.1%)
90 Day EuroDollar
6/07 @ $94.25	6,255	32
6/07 @ $94.50	854	4
6/07 @ $94.75	2,057	360
9/07 @ $94.75	4,585	711
12/07 @ $94.50	545	23
12/07 @ $94.75	11,306	1,837
Total Put Options Purchased (Cost $6,429)		2,967

		Value
	Shares	(000)
Preferred Stock (0.4%)
Mortgages -— Other (0.4%)
Home Ownership Funding Corp.
13.33% (Cost $8,817)	(e)64,625	$	9,564

	Face
	Amount
	(000)
Short-Term Investments (19.8%)
Short-Term Debt Securities held as Collateral on Loaned Securities (10.0%)
AIG Match Funding Corp., 5.30%, 4/17/07	$		(h)6,016	6,016
Alliance & Leicester plc, 5.33%, 4/10/07	(h)4,297			4,297
Anglo Irish Bank Corp., plc, 5.35%, 7/9/07	2,092			2,092
Bancaja, 5.36%, 4/19/07	(h)2,148			2,148
Bank of America Corp., 5.32%, 4/2/07	(h)6,875			6,875
Bank of New York Co., Inc., 5.32%, 4/10/07	(h)2,148			2,148
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)4,297			4,297
BNP Paribas plc, 5.33%, 5/21/07	(h)4,297			4,297
CAM US Finance S.A. Unipersonal, 5.36%, 7/3/07	(h)8,593			8,593
CIC, New York,
5.30%, 4/3/07	(h)3,007			3,007
5.34%, 4/2/07	(h)4,297			4,297
CIT Group Holdings, 5.37%, 7/18/07	(h)7,734			7,734
Credit Suisse First Boston, New York,
5.29%, 5/15/07	2,578			2,578
5.32%, 4/2/07	(h)4,297			4,297
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	17,187			17,187
5.46%, 4/2/07	41,249			41,249
Dexia Bank, New York, 5.32%, 4/2/07	(h)4,296			4,296
First Tennessee Bank, 5.33%, 4/17/07	(h)2,148			2,148
Gemini Securitization Corp., 5.41%, 4/2/07	6,180			6,180
Goldman Sachs Group, Inc.,
5.37%, 4/16/07	(h)2,148			2,148
5.55%, 4/2/07	(h)4,039			4,039
HSBC Finance Corp., 5.33%, 4/10/07	(h)2,148			2,148
Mane Funding Corp., 5.29%, 4/10/07	3,078			3,078
Manufacturers & Traders, 5.30%, 4/16/07	(h)2,578			2,578
Marshall & Ilsley Bank, 5.37%, 12/17/07	4,309			4,309
Merrill Lynch & Co., 5.33%, 4/26/07	(h)2,258			2,258
Metropolitan Life Global Funding,
5.31%, 4/23/07	(h)6,445			6,445
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)4,297			4,297
5.34%, 4/2/07	(h)4,297			4,297
National Australia Bank Ltd., 5.31%, 4/10/07	(h)3,266			3,266
National City Bank Cleveland, 5.32%, 4/2/07	(h)2,148			2,148
National Rural Utilities Cooperative Finance Corp.,
5.31%, 4/2/07	(h)8,594			8,594
Nationwide Building Society, 5.43%, 6/28/07	(h)4,984			4,984
Nordea Bank, New York, 5.31%, 4/2/07	(h)6,445			6,445
Raiffeisen Zentralbank Oesterreich,
5.31%, 6/19/07	2,544			2,544
Rheingold Securitization, 5.32%, 5/15/07	3,817			3,817
Sedna Finance, Inc., 5.32%, 5/15/07	1,103			1,103
Skandi, New York, 5.32%, 4/10/07	(h)4,297			4,297
Toronto Dominion, New York, 5.32%, 5/29/07	(h)4,297			4,297
Tulip Funding Corp., 5.36%, 4/30/07	$	8,554		$	8,554
UBS Securities LLC, 5.40%, 4/2/07	42,227			42,227
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)4,727			4,727
Unicredito Italiano Bank (Ireland) plc,
5.34%, 4/10/07	(h)3,007			3,007
				269,343
Repurchase Agreement (9.6%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 4/2/07, repurchase price $259,884	(f)259,770			259,770
U.S. Treasury Security (0.2%)
U. S. Treasury Bill
4.98%, 7/12/07	(j)5,580			5,504
Total Short-Term Investments (Cost $534,615)				534,617
Total Investments (115.0%) (Cost $3,122,018) —
Including $287,205 of Securities Loaned				3,109,096
Liabilities in Excess of Other Assets (-15.0%)				(404,442		)
Net Assets (100%)				$	2,704,654

(c)	All or a portion of security on loan at March 31, 2007.
(d)	Security was valued at fair value — At March 31, 2007,the Portfolio held $47,000 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 $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(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 has been deemed illiquid at March 31, 2007.
(o)	Perpetual — Security does not have a predetermined maturity date.Rates for these securities are fixed for a period of time then revert to afloating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value 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, 2007.
IO	Interest Only
JPY	Japanese Yen
MXN	Mexican Peso
PAC	Planned Amortization Class

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

42

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Core Plus Fixed Income Portfolio

PO	Principal Only
REMIC	Real Estate Mortgage Investment Conduit
TBA	To Be Announced

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)
EUR	19,754	$	26,432	5/14/07	USD	25,758	$	25,758	$	(674	)

EUR	Euro
USD	United States 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:
U.S. Treasury 10 yr. Note	8,281	$	895,383	Jun-07	$	1,705
U.S. Treasury 5 yr. Note	3,841	406,366		Jun-07	(250		)
U.S. Treasury 2 yr. Note	3,050	624,916		Jun-07	(1,170		)
Short:
U.S. Treasury Bond	2,067	229,954		Jun-07	299
					$	584

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

43

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

High Yield Portfolio

	Face
	Amount					Value
	(000)					(000)
Fixed Income Securities (92.2%)
Aerospace (2.0%)
Hexcel Corp.
6.75%, 2/1/15	$	(c)1,655				$	1,643
K&F Acquisition, Inc.
7.75%, 11/15/14	2,400					2,562
						4,205
Broadcasting (0.4%)
Univision Communications, Inc. PIK
9.75%, 3/15/15	(c)(e)945					946
Cable (4.0%)
Cablecom Luxembourg SCA
9.38%, 4/15/14	EUR				(e)900	1,319
Cablevision Systems Corp.
9.87%, 4/1/09	$	(h)1,930				2,055
CCH I LLC
11.00%, 10/1/15	652					680
Echostar DBS Corp.
6.38%, 10/1/11	1,115					1,125
Intelsat Bermuda Ltd.
8.87%, 1/15/15	(e)(h)305					313
Intelsat Subsidiary Holding Co., Ltd.
8.63%, 1/15/15	(c)2,045					2,198
Virgin Media Finance plc
8.75%, 4/15/14	230					240
9.13%, 8/15/16	145					154
PanAmSat Corp.
9.00%, 8/15/14	307					334
						8,418
Chemicals (7.7%)
Berry Plastics Holding Corp.
8.88%, 9/15/14	(c)2,055					2,112
Cognis Deutschland GmbH & Co. KG
8.48%, 11/15/13	EUR		(e)(h)915			1,241
Equistar Chemicals LP
10.13%, 9/1/08	$	2,055				2,173
Innophos, Inc.
8.88%, 8/15/14	(c)1,050					1,092
Innophos Investments Holdings, Inc. PIK
13.37%, 2/15/15	(h)502					527
Koppers, Inc.
9.88%, 10/15/13	490					534
Koppers Industry, Inc.
Zero Coupon, 11/15/14	(c)(g)1,155					978
Millennium America, Inc.
9.25%, 6/15/08	1,294					1,349
Nalco Co.
7.75%, 11/15/11	(c)975					1,004
8.88%, 11/15/13	(c)1,375					1,468
Rockwood Specialties Group, Inc.
7.63%, 11/15/14	EUR			700		977
10.63%, 5/15/11	$	645				684
Terra Capital, Inc.
7.00%, 2/1/17	$	(c)(e)1,080				$	1,080
Westlake Chemical Corp.
6.63%, 1/15/16	(c)1,130					1,107
						16,326
Collateralized Mortgage Obligations — Non Agency Collateral Series (1.7%)
Bear Stearns Structured Products, Inc.
1.00%, 3/27/36	(e)23,815					899
1.91%, 7/27/36	(e)18,107					717
6.00%, 4/25/37	(e)18,450					719
IO
1.27%, 2/27/36	(e)17,384					524
Countrywide Alternative Loan Trust
1.83%, 2/25/47	(e)14,170					772
						3,631
Consumer Products (2.5%)
Jarden Corp.
7.50%, 5/1/17	(c)1,310					1,330
Levi Strauss & Co.
10.11%, 4/1/12	(c)(h)2,820					2,876
Oxford Industries, Inc.
8.88%, 6/1/11	1,145					1,191
						5,397
Diversified Media (3.4%)
Advanstar Communications, Inc.
10.75%, 8/15/10	515					560
CanWest Media, Inc.
8.00%, 9/15/12	(c)2,052					2,134
Dex Media East LLC/Dex Media East Finance Co.
12.13%, 11/15/12	872					956
Dex Media West LLC/Dex Media Finance Co.
9.88%, 8/15/13	1,030					1,129
Idearc, Inc.
8.00%, 11/15/16	(e)400					414
Interpublic Group of Companies, Inc.
6.25%, 11/15/14	750					709
Valassis Communications, Inc.
8.25%, 3/1/15	(c)(e)1,410					1,392
						7,294
Energy (11.7%)
Chaparral Energy, Inc.
8.50%, 12/1/15	1,735					1,722
8.88%, 2/1/17	(c)(e)240					242
CHC Helicopter Corp.
7.38%, 5/1/14	2,455					2,400
Chesapeake Energy Corp.
6.63%, 1/15/16	1,025					1,038
7.50%, 9/15/13	(c)1,090					1,145
CIE Generale De Geophysique
7.50%, 5/15/15	(c)760					787
El Paso Production Holding Co.
7.75%, 6/1/13	1,760					1,848

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

44

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount			Value
	(000)			(000)
Energy (cont’d)
Hanover Compressor Co.
8.63%, 12/15/10	$	45		$	47
9.00%, 6/1/14	450			489
Hanover Equipment Trust
8.50%, 9/1/08	972			982
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/1/15	(e)2,275			2,247
Husky Oil Co.
8.90%, 8/15/28	(h)1,530			1,600
Kinder Morgan Finance Co. ULC
5.70%, 1/5/16	1,900			1,784
Magnum Hunter Resources, Inc.
9.60%, 3/15/12	933			980
Massey Energy Co.
6.88%, 12/15/13	2,205			2,103
OPTI Canada, Inc.
8.25%, 12/15/14	(e)1,425			1,489
Pacific Energy Partners LP/Pacific Energy Finance Corp.
7.13%, 6/15/14	1,415			1,479
Pogo Producing Co.
6.88%, 10/1/17	(c)1,440			1,411
Sandridge Energy Debt Conversion Note
8.63%, 4/1/15	970			987
				24,780
Financial (0.8%)
Residential Accredit Loans, Inc.
Zero Coupon, 4/25/47	(e)6,750			388
Residential Capital Corp.
6.38%, 6/30/10	1,270			1,271
				1,659
Food & Drug (1.3%)
CA FM Lease Trust
8.50%, 7/15/17	(e)1,053			1,137
Delhaize America, Inc.
9.00%, 4/15/31	445			537
8.13%, 4/15/11	965			1,060
				2,734
Food & Tobacco (4.1%)
Michael Foods, Inc.
8.00%, 11/15/13	1,170			1,193
Pilgrim’s Pride Corp.
7.63%, 5/1/15	1,670			1,674
9.63%, 9/15/11	2,475			2,586
Reynolds American, Inc.
6.50%, 7/15/10	1,045			1,077
Smithfield Foods, Inc.
7.00%, 8/1/11	160			163
7.75%, 5/15/13	(c)1,000			1,038
8.00%, 10/15/09	885			927
				8,658
Forest Products (5.1%)
Crown Americas LLC and Crown Americas Capital Corp.
7.63%, 11/15/13	$	965		$	998
Crown European Holdings S.A.
6.25%, 9/1/11	EUR		520	719
Glatfelter
7.13%, 5/1/16	$	205		209
Graham Packaging Co., Inc.
8.50%, 10/15/12	(c)615			627
Graphic Packaging International Corp.
9.50%, 8/15/13	(c)1,745			1,865
Owens-Illinois, Inc.
7.50%, 5/15/10	(c)3,030			3,091
7.35%, 5/15/08	60			61
Packaging Corp. Of America
4.38%, 8/1/08	2,500			2,461
Smurfit Kappa Group
10.13%, 10/1/12	EUR		480	695
				10,726
Gaming & Leisure (4.7%)
Isle of Capri Casinos, Inc.
7.00%, 3/1/14	$	2,465		2,428
Las Vegas Sands Corp.
6.38%, 2/15/15	(c)1,340			1,286
MGM Mirage
6.00%, 10/1/09	3,375			3,396
Station Casinos, Inc.
6.00%, 4/1/12	970			945
6.88%, 3/1/16	1,580			1,456
7.75%, 8/15/16	365			376
				9,887
Health Care (8.2%)
Community Health Systems, Inc.
6.50%, 12/15/12	1,160			1,201
DaVita, Inc.
6.63%, 3/15/13	(c)1,170			1,176
Fisher Scientific International, Inc.
6.13%, 7/1/15	2,450			2,459
Fresenius Medical Care Capital Trust II
7.88%, 2/1/08	1,361			1,381
Fresenius Medical Care Capital Trust IV
7.88%, 6/15/11	1,095			1,155
Fresenius Medical Care Capital Trust V
7.38%, 6/15/11	EUR		450	654
HCA, Inc.
5.75%, 3/15/14	$	625		535
6.25%, 2/15/13	(c)1,570			1,431
6.30%, 10/1/12	(c)645			605
6.50%, 2/15/16	(c)1,250			1,070
Ivacare Corp.
9.75%, 2/15/15	(e)235			237
National Mentor Holdings, Inc.
11.25%, 7/1/14	975			1,070

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

45

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount					Value
	(000)					(000)
Health Care (cont’d)
Omnicare, Inc.
6.75%, 12/15/13	$	880				$	888
Sun Healthcare Group, Inc.
9.13%, 4/15/15	(e)775					798
Tenet Healthcare Corp.
7.38%, 2/1/13	670					626
9.88%, 7/1/14	(c)425					431
VWR International, Inc.
6.88%, 4/15/12	1,740					1,766
						17,483
Housing (1.0%)
Goodman Global Holding Co., Inc.
8.36%, 6/15/12	(h)441					445
Nortek, Inc.
8.50%, 9/1/14	(c)1,780					1,740
						2,185
Information Technology (3.1%)
Freescale Semiconductor, Inc.
10.13%, 12/15/16	(c)(e)1,650					1,662
Iron Mountain, Inc.
7.75%, 1/15/15	790					810
8.63%, 4/1/13	2,085					2,156
PGS Solutions, Inc.
9.63%, 2/15/15	(e)775					785
SunGard Data Systems, Inc.
9.13%, 8/15/13	(c)990					1,067
						6,480
Manufacturing (2.3%)
Baldor Electric Co.
8.63%, 2/15/17	560					595
JohnsonDiversey, Inc.
9.63%, 5/15/12	(c)2,095					2,200
9.63%, 5/15/12	EUR			55		77
Propex Fabrics, Inc.
10.00%, 12/1/12	$	1,210				1,062
RBS Global, Inc., and Rexnord Corp.
8.88%, 9/1/16	(c)(e)1,000					1,015
						4,949
Metals (0.8%)
Foundation PA Coal Co.
7.25%, 8/1/14	(c)575					585
GrafTech Finance, Inc.
10.25%, 2/15/12	1,031					1,088
						1,673
Retail (1.3%)
Brown Shoe Co., Inc.
8.75%, 5/1/12	1,145					1,219
Phillips - Van Heusen
7.25%, 2/15/11	(c)1,400					1,439
						2,658
Services (0.4%)
Aramark Corp.
8.50%, 2/1/15	$	(e)175				$	183
8.86%, 2/1/15	(e)(h)85					88
Aramark Services, Inc.
5.00%, 6/1/12	595					537
						808
Sovereign (0.4%)
Mexican Bonos
9.50%, 12/18/14	MXN			9,120		920
Telecommunications (3.0%)
Axtel S.A.
11.00%, 12/15/13	$	(c)1,438				1,607
Esprit Telecom Group plc
10.88%, 6/15/08	(b)(d)(k)965					@—
11.00%, 6/15/08	DEM		(d)(k)2,608			@—
11.50%, 12/15/07	EUR		(d)(k)1,669			@—
11.50%, 12/15/07	$	(b)(d)(k)600				@—
EXDS, Inc.
11.63%, 7/15/10	(b)(c)(d)(k)3,899					@—
Nordic Telephonen Co. Holdings ApS
8.88%, 5/1/16	(e)465					500
Qwest Communications International, Inc.
8.86%, 2/15/09	(h)1,495					1,517
Qwest Corp.
5.63%, 11/15/08	355					357
Rhythms NetConnections, Inc.
12.75%, 4/15/09	(b)(d)(k)433					@—
13.88%, 5/15/08	(b)(d)(k)12,869					@—
14.00%, 2/15/10	(b)(d)(k)11,487					@—
TDC A/S
6.50%, 4/19/12	EUR				380	531
Wind Acquisition Finance S.A.
10.75%, 12/1/15	$	(c)(e)1,620				1,863
						6,375
Transportation (10.5%)
ArvinMeritor, Inc.
8.75%, 3/1/12	1,705					1,769
Asbury Automotive Group, Inc.
7.63%, 3/15/17	(e)555					559
Ford Motor Credit Co.
5.80%, 1/12/09	1,340					1,315
7.00%, 10/1/13	(c)2,000					1,862
7.25%, 10/25/11	1,475					1,435
General Motors Acceptance Corp.
4.38%, 12/10/07	1,615					1,595
6.88%, 9/15/11	5,285					5,295
6.88%, 8/28/12	375					374
General Motors Corp.
7.13%, 7/15/13	(c)710					666
8.38%, 7/15/33	(c)1,370					1,236
Petro Stopping Centers LP/Petro Financial Corp.
9.00%, 2/15/12	(c)1,955					2,023

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

46

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

	Face
	Amount		Value
	(000)		(000)
Transportation (cont’d)
Sonic Automotive, Inc.
8.63%, 8/15/13	$	2,945	$	3,077
United Auto Group, Inc.
7.75%, 12/15/16	(e)1,060		1,076
			22,282
Utilities (10.4%)
AES Corp. (The)
7.75%, 3/1/14	(c)905		955
8.88%, 2/15/11	243		262
9.00%, 5/15/15	(e)105		113
9.38%, 9/15/10	396		433
CMS Energy Corp.
7.50%, 1/15/09	(c)2,785		2,872
Colorado Interstate Gas Co.
6.80%, 11/15/15	2,880		3,077
Ipalco Enterprises, Inc.
8.38%, 11/14/08	640		664
8.63%, 11/14/11	730		791
Nevada Power Co.
8.25%, 6/1/11	950		1,049
9.00%, 8/15/13	1,045		1,133
Northwest Pipeline Corp.
8.13%, 3/1/10	475		497
NRG Energy, Inc.
7.38%, 1/15/17	(c)1,200		1,234
Ormat Funding Corp.
8.25%, 12/30/20	(c)1,524		1,551
PSEG Energy Holdings LLC
8.63%, 2/15/08	1,145		1,172
TXU Corp.
6.38%, 1/1/08	1,000		1,008
Transcontinental Gas Pipe Line Corp.
6.25%, 1/15/08	2,300		2,317
TXU Energy Co. LLC
7.00%, 3/15/13	515		536
Williams Cos., Inc.
7.88%, 9/1/21	2,160		2,387
			22,051
Wireless Communications (1.4%)
American Tower Corp.
7.13%, 10/15/12	(c)900		931
7.50%, 5/1/12	1,475		1,538
Rural Cellular Corp.
8.25%, 3/15/12	(c)500		525
			2,994
Total Fixed Income Securities (Cost $215,189)			195,519

	Shares
Common Stocks (0.0%)
Media (0.0%)
Cyprion Media Network	94,396	8
Telecommunications (0.0%)
Viatel Holding Bermuda Ltd.	(a)7,617	@—

			Value
	Shares		(000)
XO Holdings, Inc.	$	(a)(c)6,978	$	35
			35
Utilities (0.0%)
PNM Resources, Inc.	854		28
Total Common Stocks (Cost $10,801)			71
Preferred Stocks (0.3%)
Broadcasting (0.0%)
ION Media Networks, Inc. (Convertible) PIK	(e)44,555		11
Financial (0.3%)
Harborview NIM Corp.
Zero Coupon, 10/20/45	(e)(h)1,079		689
Total Preferred Stocks (Cost $699)			700

	No. of
	Contracts
Put Option Purchased (0.1%)
90 Day EuroDollar
9/07 @ 94.75	438	67
12/07 @ 94.50	16	1
12/07 @ 94.75	411	67
Total Put Option Purchased (Cost $217)		135

	No. of
	Warrants
Warrants (0.0%)
Telecommunications (0.0%)
XO Holdings, Inc., Series A expiring 1/16/10	(a)(c)13,962	13
XO Holdings, Inc., Series B expiring 1/16/10	(a)(c)10,470	5
XO Holdings, Inc., Series C expiring 1/16/10	(a)(c)10,471	3
		21
Utilities (0.0%)
SW Acquisition LP, expiring 4/1/11	(a)(d)(e)(k)8,020	@—
Total Warrants (Cost $26)		21

	Face
	Amount
	(000)
Short-Term Investments (29.6%)
Short-Term Debt Securities held as Collateral on Loaned Securities (23.2%)
AIG Match Funding Corp., 5.30%, 4/17/07	$	(h)1,101	1,101
Alliance & Leicester plc, 5.33%, 4/10/07	(h)786		786
Anglo Irish Bank Corp., plc, 5.35%, 7/9/07	383		383
Bancaja, 5.36%, 4/19/07	(h)393		393
Bank of America Corp., 5.32%, 4/2/07	(h)1,258		1,258
Bank of New York Co., Inc., 5.32%,
4/10/07	(h)393		393
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)787		787
BNP Paribas plc, 5.33%, 5/21/07	(h)787		787
CAM US Finance S.A. Unipersonal,
5.36%, 7/3/07	(h)1,573		1,573
CIC, New York,
5.30%, 4/3/07	(h)551		551
5.34%, 4/2/07	(h)786		786
CIT Group Holdings, 5.37%, 7/18/07	(h)1,416		1,416

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

47

2007 Semi-Annual Report

March 31, 2007 (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)
Credit Suisse First Boston, New York,
5.29%, 5/15/07	$	472	$	472
5.32%, 4/2/07	(h)786		786
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	3,146		3,146
5.46%, 4/2/07	7,550		7,550
Dexia Bank, New York, 5.32%, 4/2/07	(h)786		786
First Tennessee Bank, 5.33%, 4/17/07	(h)393		393
Gemini Securitization Corp., 5.41%, 4/2/07	1,131		1,131
Goldman Sachs Group, Inc.,
5.37%, 4/16/07	(h)393		393
5.55%, 4/2/07	(h)739		739
HSBC Finance Corp., 5.33%, 4/10/07	(h)393		393
Mane Funding Corp., 5.29%, 4/10/07	563		563
Manufacturers & Traders, 5.30%, 4/16/07	(h)472		472
Marshall & Ilsley Bank, 5.37%, 12/17/07	789		789
Merrill Lynch & Co., 5.33%, 4/26/07	(h)413		413
Metropolitan Life Global Funding, 5.31%, 4/23/07	(h)1,180		1,180
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)787		787
5.34%, 4/2/07	(h)787		787
National Australia Bank Ltd., 5.31%, 4/10/07	(h)598		598
National City Bank Cleveland, 5.32%, 4/2/07	(h)393		393
National Rural Utilities Cooperative Finance
Corp., 5.31%, 4/2/07	(h)1,573		1,573
Nationwide Building Society, 5.43%, 6/28/07	(h)912		912
Nordea Bank, New York, 5.31%, 4/2/07	(h)1,180		1,180
Raiffeisen Zentralbank Oesterreich, 5.31%, 6/19/07	466		466
Rheingold Securitization, 5.32%, 5/15/07	699		699
Sedna Finance, Inc., 5.32%, 5/15/07	202		202
Skandi, New York, 5.32%, 4/10/07	(h)787		787
Toronto Dominion, New York, 5.32%, 5/29/07	(h)786		786
Tulip Funding Corp., 5.36%, 4/30/07	1,566		1,566
UBS Securities LLC, 5.40%, 4/2/07	7,729		7,729
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)865		865
Unicredito Italiano Bank (Ireland) plc, 5.34%
4/10/07	(h)550		550
			49,300
Repurchase Agreement (6.3%)
J.P. Morgan Securities, Inc.,
5.28%, dated 3/30/07, due 4/2/07,
repurchase price $13,336	(f)13,330		13,330
U.S. Treasury Security (0.1%)
U.S. Treasury Bill
4.98%, 7/12/07	(j)160		158
Total Short-Term Investments (Cost $62,788)			62,788
Total Investments (122.2%) (Cost $289,720) —
Including $48,378 of Securities Loaned			259,234
Liabilities in Excess of Other Assets (-22.2%)			(47,112)
Net Assets (100%)			$	212,122

(a)	Non-income producing security
(b)	Issuer is in default.
(c)	All or portion of security on loan at March 31, 2007.
(d)	Security was valued at fair value — At March 31, 2007, 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 $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007. 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, 2007.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(k)	Security has been deemed illiquid at March 31, 2007.
@	Face Amount/Value is less than $500.
EUR	Euro
DEM	German Mark
MXN	Mexican Peso
PIK	Payment-in-Kind

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)
EUR	1,754	$	2,346	4/30/07	USD	2,285	$	2,285	$	(60	)
EUR	2,864	3,830		4/30/07	USD	3,732	3,732		(98		)
		$	6,176				$	6,017	$	(158	)

EUR — Euro

USD — United States Dollar

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

48

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

High Yield Portfolio

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 2yr. Note	28	$	5,737	Jun-07	$	(11)
U.S. Treasury 5 yr. Note	264	27,930		Jun-07	(17)
U.S. Treasury 10 yr. Note	235	25,409		Jun-07	(23)
Short:
U.S. Treasury Bonds	139	15,464		Jun-07	20
					$	(31)

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

49

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (98.4%)
Agency Adjustable Rate Mortgages (0.2%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
5.38%, 3/20/25-1/20/28	$	163	$	165
5.75%, 7/20/25-9/20/27	47		47
6.13%, 11/20/25-11/20/27	58		58
			270
Agency Fixed Rate Mortgages (10.2%)
Federal Home Loan Mortgage Corp.,
Conventional Pools:
5.35%, 4/1/37	(h)575		574
5.76%, 1/1/37	(h)1,050		1,058
11.00%, 7/1/13	4		5
Gold Pools:
7.00%, 6/1/28-6/1/32	103		107
7.50%, 8/1/30-1/1/31	120		125
8.00%, 6/1/30-9/1/31	505		532
8.50%, 7/1/30-7/1/31	78		83
9.50%, 12/1/22	20		22
10.00%, 6/1/17	21		23
Federal National Mortgage Association,
Conventional Pools:
6.50%, 7/1/30-5/1/33	403		415
7.00%, 1/1/32-11/1/34	1,734		1,807
7.50%, 8/1/29-3/1/32	896		938
8.00%, 10/1/30-9/1/31	130		137
8.50%, 8/1/30	8		9
9.50%, 12/1/17-12/1/21	401		436
10.00%, 7/1/18-5/1/22	13		15
April TBA
7.00%, 4/25/35	(i)1,725		1,780
May TBA
7.00%, 5/25/37	(i)5,725		5,900
Government National Mortgage Association,
Various Pools:
9.50%, 11/15/16-12/15/21	147		160
10.00%, 4/15/16-3/15/25	257		286
10.50%, 9/15/17-2/15/18	40		45
11.00%, 3/15/10-6/15/20	99		109
11.50%, 6/15/13	6		7
12.00%, 5/15/14	7		8
12.50%, 12/15/10	1		1
			14,582
Asset Backed Corporates (30.6%)
ACE Securities Corp.
5.43%, 7/25/35	(h)173		173
Argent Securities, Inc.
5.37%, 10/15/46	(h)823		824
Bayview Financial Acquisition Trust
5.42%, 11/28/36	(h)496		496
Bear Stearns Asset Backed Securities, Inc.
5.44%, 8/25/35	$	(h)222	$	222
5.52%, 9/25/34	(h)213		213
Capital Auto Receivables Asset Trust
3.35%, 2/15/08	110		110
4.05%, 7/15/09	1,313		1,308
4.98%, 5/15/11	1,075		1,075
5.31%, 10/20/09	(e)1,250		1,252
Capital One Auto Finance Trust
5.07%, 7/15/11	575		575
Carrington Mortgage Loan Trust
5.47%, 9/25/35	(h)286		286
Caterpillar Financial Asset Trust
3.90%, 2/25/09	684		681
5.57%, 5/25/10	925		931
CIT Equipment Collateral
5.07%, 2/20/10	600		601
Citibank Credit Card Issuance Trust
5.34%, 3/22/12	(h)900		900
Citigroup Mortgage Loan Trust, Inc.
5.39%, 8/25/36-1/25/37	(h)1,193		1,193
CNH Equipment Trust
4.02%, 4/15/09	758		754
4.27%, 1/15/10	2,190		2,174
5.20%, 6/15/10	500		501
Countrywide Asset-Backed Certificates
5.43%, 6/25/35	(h)827		827
Credit-Based Asset Servicing and Securitization LLC
5.38%, 6/25/36	(h)521		522
5.39%, 1/25/37	(h)1,005		1,005
Ford Credit Auto Owner Trust
5.26%, 10/15/10	1,000		1,003
Fremont Home Loan Owner Trust
5.37%, 10/25/36	(h)798		798
GE Equipment Small Ticket LLC
4.38%, 7/22/09	(e)1,446		1,439
4.88%, 10/22/09	(e)2,125		2,120
GMASMP Trust
5.39%, 1/25/37	685		685
GS Auto Loan Trust
5.37%, 12/15/10	925		928
GSAMP Trust
5.39%, 12/25/36-1/25/37	(h)1,504		1,504
Harley-Davidson Motorcycle Trust
2.63%, 11/15/10	219		217
2.76%, 5/15/11	837		829
3.09%, 6/15/10	152		152
3.76%, 12/17/12	550		539
4.07%, 2/15/12	1,150		1,135
4.41%, 6/15/12	1,500		1,488
Hertz Vehicle Financing LLC
4.93%, 2/25/10	(e)1,325		1,322

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

50

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Honda Auto Receivables Owner Trust
4.85%, 10/19/09	$	1,700	$	1,696
Hyundai Auto Receivables Trust
3.98%, 11/16/09	975		968
Irwin Home Equity Corp.
5.46%, 6/25/35	(h)@—		@—
Nationstar Home Equity Loan Trust
6.02%, 9/25/36	(h)692		692
Nissan Auto Receivables Grantor Trust
5.44%, 4/15/10	1,150		1,157
Nissan Auto Receivables Owner Trust
3.99%, 7/15/09	1,220		1,213
Residential Asset Securities Corp.
5.40%, 5/25/30	(h)483		483
Securitized Asset Backed Receivables LLC Trust
5.40%, 11/25/36	(h)835		835
SLM Student Loan Trust
5.32%, 10/25/14	(h)950		951
Soundview Home Equity Loan Trust
5.40%, 1/25/37	(h)689		689
Structured Asset Securities Corp.
5.52%, 6/25/35	(h)76		76
Terwin Mortgage Trust
5.44%, 7/25/35	(e)(h)1		1
5.50%, 7/25/36	(h)8		8
5.79%, 12/25/34	(h)151		151
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	175		174
USAA Auto Owner Trust
2.67%, 10/15/10	692		686
Volkswagen Auto Lease Trust
3.82%, 5/20/08	295		295
Volkswagen Auto Loan Enhanced Trust
4.80%, 7/20/09	2,097		2,092
Wachovia Auto Owner Trust
4.06%, 9/21/09	556		553
Whole Auto Loan Trust
2.58%, 3/15/10	417		416
World Omni Auto Receivables Trust
3.29%, 11/12/08	81		81
			43,999
Collateralized Mortgage Obligations- Agency Collateral Series (2.2%)
Countrywide Alternative Loan Trust
IO
1.54%, 2/25/37	(h)9,825		519
1.73%, 12/20/35	(h)10,134		276
1.95%, 3/20/47	(h)6,010		334
2.71%, 12/20/35	(h)11,153		536
Federal Home Loan Mortgage Corporation
Inv Fl IO
2.68%, 3/15/32	(h)497		42
IO
5.00%, 9/15/14	$	430	$	13
6.00%, 5/1/31	245		47
6.50%, 4/1/28-8/1/28	557		118
7.00%, 2/15/32	93		21
8.00%, 1/1/28-6/1/31	20		4
IO PAC
6.00%, 4/15/32	257		31
Federal National Mortgage Association
Inv Fl IO
2.78%, 12/25/29	(h)8		@—
IO
6.00%, 5/25/33-6/25/33	703		150
6.50%, 6/1/31	160		35
7.00%, 4/25/33	305		72
8.00%, 5/1/30	11		3
9.00%, 11/1/26	37		9
IO PAC
8.00%, 8/18/27	37		8
Government National Mortgage Association
Inv Fl IO
2.63%, 12/16/25-9/16/27	(h)302		20
2.68%, 5/16/32	(h)106		5
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)8,763		199
1.26%, 5/19/35	(h)11,271		269
1.63%, 3/19/37	(h)9,186		405
PO
3/19/37	4		3
			3,119
Finance (12.3%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)610		637
American General Finance Corp.
4.63%, 5/15/09	755		746
AXA Financial, Inc.
6.50%, 4/1/08	295		298
Bank of America Corp.
3.38%, 2/17/09	245		238
3.88%, 1/15/08	165		163
Bank of New York Co., Inc. (The)
3.80%, 2/1/08	250		247
5.20%, 7/1/07	85		85
Bank One Corp.
6.00%, 2/17/09	455		462
Catlin Insurance Co., Ltd
7.25%	(e)(h)(o)250		249
CIT Group, Inc.
3.65%, 11/23/07	285		282
4.75%, 8/15/08	100		99
Countrywide Home Loans, Inc.
3.25%, 5/21/08	327		320

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

51

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
Farmers Insurance Exchange
8.63%, 5/1/24	$	(e)300	$	358
General Electric Capital Corp.
4.75%, 9/15/14	95		92
5.37%, 3/12/10	(h)515		515
HSBC Finance Corp.
4.13%, 12/15/08	90		88
6.40%, 6/17/08	270		274
6.75%, 5/15/11	285		301
Huntington National Bank (The)
4.38%, 1/15/10	300		293
iStar Financial, Inc.
5.69%, 3/9/10	(h)320		320
John Hancock Global Funding II
7.90%, 7/2/10	(e)715		774
JPMorgan Chase & Co.
6.00%, 2/15/09	275		279
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	410		405
Mantis Reef Ltd.
4.69%, 11/14/08	(e)255		253
MBNA Corp.
5.79%, 5/5/08	(h)625		628
Monumental Global Funding II
3.85%, 3/3/08	(e)760		750
Nationwide Building Society
4.25%, 2/1/10	(e)325		317
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17	10		11
Platinum Underwriters Holdings Ltd.
6.37%, 11/16/07	350		349
Popular North America, Inc.
5.65%, 4/15/09	155		156
Pricoa Global Funding I
3.90%, 12/15/08	(e)795		777
Residential Capital LLC
5.84%, 6/9/08	(h)300		297
6.38%, 6/30/10	425		425
Simon Property Group LP
6.38%, 11/15/07	355		357
SLM Corp.
4.00%, 1/15/10	230		224
Sovereign Bancorp, Inc.
5.58%, 3/23/10	(h)425		425
Sovereign Bank
4.00%, 2/1/08	100		99
TIAA Global Markets, Inc.
4.13%, 11/15/07	(e)630		625
Travelers Cos., Inc. (The)
5.01%, 8/16/07	311		311
Two-Rock Pass Through Trust
6.30%	(e)(h)(o)290		286
U.S. Bancorp
5.10%, 7/15/07	$	125	$	125
Unicredit Luxembourg Finance S.A.
5.41%, 10/24/08	(e)(h)470		470
USB Capital IX
6.19%	(h)(o)360		369
Wachovia Capital Trust Ill
5.80%	(h)(o)720		729
Washington Mutual Preferred Funding II
6.66%	(e)(h)(o)300		295
Washington Mutual, Inc.
8.25%, 4/1/10	365		395
World Financial Properties
6.91%, 9/1/13	(e)876		920
6.95%, 9/1/13	(e)212		223
Xlliac Global Funding
4.80%, 8/10/10	(e)375		370
			17,711
Industrials (8.7%)
America West Airlines, Inc.
7.10%, 4/2/21	233		247
American Honda Finance Corp.
3.85%, 11/6/08	(e)325		319
AT&T, Inc.
5.30%, 11/15/10	160		161
Brookfield Asset Management, Inc.
7.13%, 6/15/12	300		322
Burlington Northern Santa Fe Corp.
6.13%, 3/15/09	140		142
Caterpillar Financial Services Corp.
5.43%, 8/20/07	(h)280		280
Clorox Co.
5.48%, 12/14/07	(h)485		485
Comcast Cable Communications LLC
6.75%, 1/30/11	235		248
8.38%, 5/1/07	105		105
Comcast LCI Holdings
7.63%, 2/15/08	40		41
Consumers Energy Co.
4.00%, 5/15/10	100		97
4.80%, 2/17/09	175		174
Cooper Industries, Inc.
5.25%, 7/1/07-11/15/12	385		385
CVS Lease Pass Through
6.04%, 12/10/28	(e)363		368
CVS/Caremark Corp.
3.88%, 11/1/07	65		65
5.75%, 8/15/11	65		66
Deutsche Telekom International Finance BV
7.99%, 6/15/10	435		472
FBG Finance Ltd.
5.13%, 6/15/15	(e)255		245

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

52

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
Federated Department Stores, Inc.
6.63%, 9/1/08	$	80	$	81
6.30%, 4/1/09	265		271
Federated Retail Holdings, Inc.
5.90%, 12/1/16	380		379
FedEx Corp.
5.50%, 8/15/09	145		146
France Telecom S.A.
7.75%, 3/1/11	290		316
Fred Meyer, Inc.
7.45%, 3/1/08	300		306
General Mills, Inc.
3.88%, 11/30/07	85		84
Hewlett Packard Co.
5.48%, 5/22/09	(h)215		215
Home Depot, Inc.
5.47%, 12/16/09	(h)105		105
Hyatt Equities LLC
6.88%, 6/15/07	(e)330		331
ICI Wilmington, Inc.
4.38%, 12/1/08	125		123
Kraft Foods, Inc.
5.25%, 6/1/07	115		115
LG Electronics, Inc.
5.00%, 6/17/10	(e)165		163
Masco Corp.
4.63%, 8/15/07	240		239
May Department Stores Co. (The)
5.95%, 11/1/08	295		298
Miller Brewing Co.
4.25%, 8/15/08	(e)280		276
Mohawk Industries, Inc.
7.20%, 4/15/12	235		249
Norfolk Southern Corp.
7.35%, 5/15/07	240		240
Raytheon Co.
6.15%, 11/1/08	130		132
Sara Lee Corp.
2.75%, 6/15/08	380		368
Systems 2001 Asset Trust LLC
6.66%, 9/15/13	(e)249		263
Telecom Italia Capital S.A.
4.00%, 1/15/10	335		324
Textron Financial Corp.
4.13%, 3/3/08	305		302
5.13%, 2/3/11	95		95
Time Warner, Inc.
5.59%, 11/13/09	(h)445		446
Union Pacific Corp.
6.63%, 2/1/08	416		420
UnitedHealth Group, Inc.
4.13%, 8/15/09	150		147
5.43%, 3/2/09	(h)145		145
Valero Energy Corp.
3.50%, 4/1/09	$	155	$	150
Verizon Global Funding Corp.
6.13%, 6/15/07	445		446
7.25%, 12/1/10	140		150
Verizon New England, Inc.
6.50%, 9/15/11	200		209
Viacom, Inc.
5.75%, 4/30/11	300		304
Vodafone Group plc
5.44%, 12/28/07	(h)215		215
Yum! Brands, Inc.
8.88%, 4/15/11	190		214
			12,489
Mortgages - Other (27.8%)
American Home Mortgage Assets
5.45%, 3/25/47	(h)925		923
American Home Mortgage Investment
5.51%, 4/25/37	(h)700		700
Banc of America Funding Corp.
5.67%, 9/20/35	(h)391		392
Bear Stearns Mortgage Funding Trust
5.48%, 12/25/36	(h)672		673
5.49%, 3/25/37	(h)1,025		1,025
5.50%, 10/25/36	(h)858		854
5.52%, 9/25/36	(h)980		977
Citigroup Mortgage Loan Trust, Inc.
5.40%, 1/25/37	(h)580		579
Countrywide Alternative Loan Trust
5.25%, 7/25/46	(e)241		240
5.46%, 4/25/47	(h)995		994
5.51%, 11/25/46	(h)662		663
5.58%, 11/20/35	(h)734		735
5.60%, 10/25/35	(h)103		103
5.71%, 12/20/35	(e)(h)909		912
6.50%, 10/25/46	(e)324		323
Countrywide Home Loan Mortgage Pass Through Trust
5.59%, 4/25/35	(h)831		833
5.62%, 3/25/35	(h)241		242
Deutsche ALT-A Securities, Inc., Alternate Loan Trust
5.47%, 2/25/47	(h)1,097		1,097
Deutsche ALT-A Securities, NIM Trust
6.75%, 2/25/47	(e)434		433
Federal National Mortgage Association
5.38%, 12/25/36	(h)601		600
5.51%, 4/25/37	725		728
Greenpoint Mortgage Fund
5.50%, 5/25/47	1,000		1,000
Greenpoint Mortgage Funding Trust
5.51%, 3/25/47	(h)750		750
5.64%, 3/25/36	(h)1,844		1,848
GS Mortgage Securities Corp.
6.25%, 1/25/37	(e)410		409

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

53

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages - Other (cont’d)
GSR Mortgage Loan Trust
5.58%, 8/25/46	$	(h)895	$	898
Harborview Mortgage Loan Trust
5.41%, 1/19/38	(h)329		330
5.45%, 3/19/37	(h)711		712
5.47%, 2/19/46	(h)766		767
5.50%, 11/19/36	(h)968		965
5.51%, 12/19/37	(h)1,075		1,076
5.56%, 3/19/37	(h)1,510		1,513
5.61%, 7/19/45	(h)450		451
5.70%, 11/19/35	(h)779		782
Harborview NIM Corp.
6.41%, 3/19/37	(e)284		283
Indymac Index Mortgage Loan Trust
5.42%, 2/25/37	(h)733		734
5.53%, 11/25/36	(h)697		698
5.54%, 4/25/46	(h)807		808
Luminent Mortgage Trust
5.56%, 4/25/36-10/25/46	(h)2,316		2,325
Merrill Lynch Mortgage Investors, Inc.
5.44%, 8/25/35	(h)412		413
Residential Accredit Loans, Inc.
5.48%, 2/25/46-3/25/47	(h)2,323		2,323
5.51%, 12/25/36	(h)811		815
5.58%, 2/25/46	(h)653		654
5.59%, 2/25/46	(h)687		687
Structured Asset Mortgage Investments, Inc.
5.52%, 10/25/36	(h)954		956
Washington Mutual, Inc.
5.57%, 11/25/45-12/25/45	(h)1,739		1,743
5.58%, 10/25/45	(h)636		637
5.59%, 4/25/45	(h)1,012		1,014
5.61%, 8/25/45	(h)282		282
			39,899
Sovereign (0.4%)
Province of Quebec Canada
6.13%, 1/22/11	550		573
U.S. Treasury Security (3.9%)
U.S. Treasury Note
3.88%, 2/15/13	5,825		5,628
Utilities (2.1%)
Ameren Corp.
4.26%, 5/15/07	220		220
Appalachian Power Co.
3.60%, 5/15/08	355		348
Arizona Public Service Co.
5.80%, 6/30/14	330		333
Carolina Power & Light Co.
5.13%, 9/15/13	245		242
Columbus Southern Power Co.
4.40%, 12/1/10	100		97
Consolidated Natural Gas Co.
6.25%, 11/1/11	$	160	$	167
Detroit Edison Co.
6.13%, 10/1/10	155		160
Entergy Gulf States, Inc.
5.76%, 12/1/09	(h)215		215
NiSource Finance Corp.
5.93%, 11/23/09	(h)165		165
Ohio Power Co.
6.00%, 6/1/16	190		197
Public Service Electric & Gas Co.
5.00%, 1/1/13	145		143
Sempra Energy
4.62%, 5/17/07	145		145
TXU Energy Co. LLC
6.13%, 3/15/08	125		126
Wisconsin Electric Power Co.
3.50%, 12/1/07	395		391
			2,949
Total Fixed Income Securities (Cost $141,680)			141,219
Preferred Stock (0.1%)
Mortgages - Other (0.1%)
Home Ownership Funding Corp.
13.33%, (Cost $90)	(e)650		97

	No. of
	Contracts
Put Options Purchased (0.1%)
90 Day EuroDollar
6/07 @ $94.25	498	2
6/07 @ $94.75	470	76
9/07 @ $94.75	37	6
12/07 @ $94.50	27	1
Total Put Options Purchased (Cost $267)		85

	Face
	Amount
	(000)
Short-Term Investments (7.7%)
Repurchase Agreement (7.0%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 4/2/07, repurchase price $10,087 (Cost $10,083)	$	(f)10,083	10,083
U.S. Treasury Security (0.7%)
U.S. Treasury Bill
4.92%, 7/12/07	(j)1,035		1,021
Total Short-Term Investments (Cost $11,104)			11,104
Total Investments (106.3%) (Cost $153,141)			152,505
Liabilities in Excess of Other Assets (-6.3%)			(9,052)
Net Assets (100%)			$	143,543

(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.

54

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Intermediate Duration Portfolio

(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(i)	Security is subject to delayed delivery.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value 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, 2007.
IO	Interest Only
PO	Principal Only
PAC	Planned Amortization Class
TBA	To 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	195	$	39,954	Jun-07	$	(73	)
U.S. Treasury 5 yr. Note	168	17,774		Jun-07	(11		)
U.S. Treasury 10 yr. Note	463	50,062		Jun-07	135
Short:
U.S. Treasury Short Bond	121	13,461		Jun-07	17
					$	68

Graphic Presentation of Portfolio Holdings

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

*Industries and/or investment types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”

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

55

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

International Fixed Income Portfolio

	Face
	Amount			Value
	(000)			(000)
Fixed Income Securities (93.9%)
Australia (0.6%)
New South Wales Treasury Corp.
6.00%, 5/1/12	AUD		1,000	$	796
Telstra Corp Ltd.
6.38%, 6/29/11	EUR		300	430
				1,226
Austria (4.3%)
Oesterreichische Kontrollbank AG
1.80%, 3/22/10	JPY	300,000		2,611
Republic of Austria
3.50%, 7/15/15	EUR		5,000	6,413
				9,024
Belgium (3.7%)
Government of Belgium
3.00%, 9/28/08	5,900			7,770
Canada (5.1%)
Government of Canada
1.90%, 3/23/09	JPY		5,500	4,755
3.00%, 6/1/07	CAD		500,000	4,332
Quebec Province
1.60%, 5/9/13	JPY		180,000	1,540
				10,627
Cayman Islands (0.3%)
MBNA America European Structured Offerings
5.13%, 4/19/08	EUR		511	689
Denmark (2.0%)
Kingdom of Denmark
4.00%, 8/15/08	DKK		12,500	2,237
6.00%, 11/15/11	10,000			1,941
				4,178
France (8.6%)
Alcatel-Lucent
4.75%, 1/1/11	EUR		2,808	624
Compagnie Generale des Etablissements
Michelin
6.38%, 12/3/33	(h)300			423
Crown European Holdings S.A.
6.25%, 9/1/11	295			408
France Telecom S.A.
1.60%, 1/1/09	330			447
8.13%, 1/28/33	170			308
Government of France O.A.T.
5.50%, 4/25/29	4,000			6,255
6.50%, 4/25/11	6,400			9,324
				17,789
Germany (9.4%)
Bundesrepublik Deutschland
5.50%, 1/4/31	1,900			2,996
6.25%, 1/4/24	6,100			10,115
Cognis Deutschland GmbH & Co. KG
8.48%, 11/15/13	(h)440			597
Kreditanstalt fuer Wiederaufbau
0.75%, 8/8/08	EUR		500	$	652
2.05%, 9/21/09	JPY		440,000	3,840
2.05%, 2/16/26	160,000			1,358
				19,558
Ireland (6.0%)
Depfa ACS Bank
0.75%, 9/22/08	430,000			3,652
Government of Ireland
4.25%, 10/18/07	EUR		6,600	8,826
				12,478
Italy (3.0%)
Republic of Italy
0.65%, 3/20/09	JPY		740,000	6,269
Japan (14.6%)
Development Bank of Japan
1.60%, 6/20/14	600,000			5,141
Government of Japan
0.30%, 12/20/07	400,000			3,385
1.10%, 9/20/12	1,000,000			8,424
1.70%, 6/20/33	480,000			3,596
2.40%, 3/20/34	430,000			3,712
Japan Bank for International Co-operation
0.35%, 3/19/08	300,000			2,540
Japan Finance Corp. for Municipal Enterprises
2.00%, 5/9/16	330,000			2,904
Sharp Corp.
Zero Coupon, 9/30/13	48,000			438
Sony Corp.
Zero Coupon, 12/18/08	20,000			198
				30,338
Luxembourg (0.5%)
Gaz Capital for Gazprom
4.56%, 12/9/12	EUR		170	223
Telecom Italia Finance S.A.
7.75%, 1/24/33	265			428
Tyco International Group S.A.
6.13%, 4/4/07	270			361
				1,012
Mexico (0.8%)
Mexican Bonos
9.50%,12/18/14	MXN		16,100	1,625
Multi-Country (2.3%)
Inter-American Development Bank
1.90%, 7/8/09	JPY		545,000	4,734
Netherlands (9.2%)
Bank Nederlandse Gemeenten
0.80%, 9/22/08	250,000			2,125
Government of Netherlands
4.00%, 1/15/37	EUR		5,600	7,143
5.00%, 7/15/12	5,000			6,980
3.75%, 1/15/23	1,800			2,276
Impress Holdings
6.88%, 9/15/13	155			214

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

56

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

International Fixed Income Portfolio

	Face
	Amount				Value
	(000)				(000)
Netherlands (cont’d)
Telefonica Europe B.V.
5.88%, 2/14/33	EUR			320	$	450
					19,188
Norway (0.8%)
Kingdom of Norway
5.50%, 5/15/09	NOK			9,400	1,570
Philippines (0.3%)
Government of Philippines
9.50%, 2/2/30	$	455			605
Poland (2.2%)
Poland Government Bond
6.25%, 10/24/15	PLN			12,300	4,561
Spain (2.0%)
Government of Spain
5.15%, 7/30/09	EUR			3,000	4,106
Sweden (1.5%)
Government of Sweden
4.00%, 12/1/09	SEK			14,000	2,012
Kingdom of Sweden
5.25%, 3/15/11	5,600				840
Telefonaktiebolaget LM Ericsson
6.75%, 11/28/10	EUR			230	323
					3,175
United Kingdom (11.9%)
Allied Domecq
6.63%, 4/18/11	GBP			190	382
BAA plc
4.50%, 2/15/18	EUR			170	222
British Telecommunications plc
7.38%, 2/15/11	220				325
Government of United Kingdom
4.00%, 3/7/09	GBP			2,700	5,177
4.25%, 6/7/32	800				1,516
United Kingdom Treasury Bond
5.00%, 9/7/14	8,700				17,040
					24,662
United States (4.8%)
Federal National Mortgage Association
1.75%, 3/26/08	JPY		700,000		6,005
Ford Motor Credit Co.
5.75%, 1/12/09	EUR			320	422
General Electric Capital Corp.
0.75%, 2/5/09	JPY		250,000		2,116
General Motors Acceptance Corp.
5.38%, 6/6/11	EUR			190	249
6.00%, 7/3/08	260				350
Omnicom Group, Inc.
Zero Coupon, 7/31/32	$	400			414
Wyeth
4.88%, 1/15/24	(h)390				418
					9,974
Total Fixed Income Securities (Cost $190,712)					195,158
Short-Term Investment (4.3%)
Repurchase Agreement (4.3%)
J.P.Morgan Securities, Inc., 5.28% dated 3/30/07, due 4/2/07, repurchase price $8,845 (Cost $8,841)	$	(f)8,841			$	8,841
Total Investments (98.2%) (Cost $199,553)					203,999
Other Assets in Excess of Liabilities (1.8%)					3,770
Net Assets (100%)					$	207,769

(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
AUD	Australian Dollar
CAD	Canadian Dollar
DKK	Danish Krone
EUR	Euro
GBP	British Pound
JPY	Japanese Yen
MXN	Mexican New Peso
NOK	Norwegian Krone
PLN	Polish Zloty
SEK	Swedish Krona

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

57

2007 Semi-Annual Report

March 31, 2007 (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:

									Net
Currency					In				Unrealized
to					Exchange				Appreciation
Deliver		Value		Settlement	For		Value		(Depreciation)
(000)		(000)		Date	(000)		(000)		(000)
CAD	1,100	$	953	4/10/07	USD	937	$	937	$	(16	)
CAD	1,200	1,040		4/10/07	USD	1,042	1,042		2
CHF	2,365	1,948		4/11/07	USD	1,936	1,936		(12		)
DKK	7,400	1,327		4/11/07	USD	1,296	1,296		(31		)
DKK	7,000	1,255		4/11/07	USD	1,217	1,217		(38		)
EUR	500	668		4/12/07	USD	651	651		(17		)
EUR	385	514		4/16/07	USD	500	500		(14		)
EUR	500	668		4/16/07	USD	652	652		(16		)
EUR	135	180		4/16/07	USD	176	176		(4		)
EUR	300	401		4/16/07	USD	392	392		(9		)
EUR	1,750	2,338		4/16/07	USD	2,294	2,294		(44		)
GBP	775	1,525		4/18/07	USD	1,524	1,524		(1		)
GBP	2,650	5,215		4/18/07	USD	5,222	5,222		7
GBP	1,625	3,198		4/18/07	USD	3,168	3,168		(30		)
GBP	500	984		4/18/07	USD	978	978		(6		)
JPY	50,000	425		4/12/07	USD	419	419		(6		)
JPY	125,000	1,062		4/12/07	USD	1,041	1,041		(21		)
JPY	995,000	8,454		4/12/07	USD	8,312	8,312		(142		)
JPY	120,000	1,020		4/12/07	USD	997	997		(23		)
MXN	6,875	623		4/10/07	USD	614	614		(9		)
PLN	9,775	3,378		4/12/07	USD	3,270	3,270		(108		)
TWD	26,775	809		4/11/07	USD	812	812		3
USD	226	226		4/02/07	EUR	170	227		1
USD	436	436		4/4/07	NOK	2,662	438		2
USD	509	509		4/8/07	KRW	475,000	505		(4		)
USD	39	39		4/10/07	AUD	50	40		1
USD	625	625		4/10/07	MXN	6,875	623		(2		)
USD	510	510		4/10/07	MYR	1,775	514		4
USD	1,921	1,921		4/11/07	CHF	2,365	1,948		27
USD	96	96		4/11/07	SEK	675	97		1
USD	8,450	8,450		4/12/07	JPY	1,000,000	8,497		47
USD	8,669	8,669		4/12/07	JPY	1,025,000	8,710		41
USD	1,259	1,259		4/12/07	JPY	150,000	1,275		16
USD	2,138	2,138		4/12/07	JPY	260,000	2,209		71
USD	413	413		4/12/07	JPY	50,000	425		12
USD	1,000	1,000		4/12/07	JPY	120,000	1,020		20
USD	500	500		4/12/07	JPY	60,000	510		10
USD	553	553		4/12/07	JPY	65,000	552		(1		)
USD	2,119	2,119		4/12/07	JPY	250,000	2,122		3
USD	784	784		4/12/07	SGD	1,200	791		7
USD	448	448		4/12/07	SGD	685	452		4
USD	9,544	9,544		4/16/07	EUR	7,355	9,830		286
USD	403	403		4/16/07	EUR	310	414		11
USD	699	699		4/16/07	EUR	535	715		16
USD	1,029	1,029		4/16/07	EUR	780	1,043		14
USD	211	211		4/16/07	EUR	160	214		3
USD	2,011	2,011		4/16/07	EUR	1,525	2,038		27
USD	1,009	1,009		4/16/07	EUR	765	1,022		13
USD	627	627		4/16/07	EUR	475	635		8
USD	318	318		4/16/07	EUR	240	321		3
USD	960	960		4/16/07	EUR	725	969		9
USD	2,105	2,105		4/16/07	EUR	1,600	2,137		32
USD	1,022	1,022		4/16/07	HUF	190,000	1,023		1
USD	1,506	1,506		4/16/07	PLN	4,375	1,512		6
USD	930	930		4/16/07	PLN	2,700	933		3
		$	91,054				$	91,211	$	157

CHF — Swiss Franc

HUF — Hungarian Forint

KRW — Korean Won

MYR — Malaysian Ringgit

SGD — Singapore Dollar

TWD — Taiwan Dollar

USD — United States 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)
Short:
Euro-Bund	23	$	3,531	Jun - 07	$	35

Graphic Presentation of Portfolio Holdings

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

*Countries and/or investment types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

58

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (97.1%)
Agency Adjustable Rate Mortgages (0.5%)
Government National Mortgage Association,
Adjustable Rate Mortgages:
5.38%, 2/20/25 - 2/20/28	$	2,038	$	2,064
5.75%, 7/20/25	36		37
6.13%, 11/20/25 - 12/20/27	461		468
			2,569
Agency Fixed Rate Mortgages (16.9%)
Federal Home Loan Mortgage Corp.,
Conventional Pools:
4.77%, 7/1/35	2,613		2,595
5.70%, 4/1/37	2,475		2,486
5.76%, 1/1/37	3,925		3,954
10.00%, 9/1/17 - 11/1/20	42		45
10.25%, 7/1/09	6		7
11.00%, 1/1/16	16		17
13.00%, 9/1/10
Gold Pools:
5.86%, 10/1/36	2,950		2,976
6.00%, 2/1/32 - 4/1/32	85		86
6.50%, 7/1/25 - 3/1/32	408		420
7.00%, 2/1/26	23		24
7.50%, 5/1/16 - 6/1/32	3,683		3,855
8.00%, 11/1/29 - 10/1/31	749		788
8.50%, 12/1/30	147		158
10.00%, 10/1/19 - 1/1/21	64		71
10.50%, 3/1/16	36		38
Federal National Mortgage Association,
5.38%, 12/25/36	2,113		2,112
7.50%, 9/1/35	2,231		2,335
Conventional Pools:
6.00%, 10/1/31 - 12/1/31	134		136
6.50%, 6/1/26 - 9/1/32	1,463		1,506
7.00%, 11/1/25 - 6/1/36	24,162		25,084
7.46%, 5/1/36	3,735		3,838
7.49%, 7/1/36 - 8/1/36	5,877		6,050
7.50%, 5/1/23 - 12/1/32	4,052		4,240
8.00%, 2/1/12 - 4/1/32	2,849		3,008
8.50%, 4/1/30 - 5/1/32	2,482		2,673
9.00%, 2/1/17	86		92
9.50%, 8/1/22	113		122
10.00%, 3/1/20 - 5/1/22	159		174
10.50%, 12/1/17 - 10/1/18	41		45
11.00%, 4/1/21	62		68
11.25%, 8/1/13	45		50
11.50%, 1/1/17 - 11/1/19	34		37
April TBA
7.00%, 4/25/37	(i)3,650		3,765
May TBA
7.00%, 5/25/37	(i)11,875		12,239
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/17	$	193	$	207
9.50%, 12/15/17 - 9/15/22	727		791
10.00%, 11/15/09 - 2/15/25	1,146		1,275
10.50%, 3/15/19	4		4
11.00%, 3/15/10 - 2/15/16	125		140
11.50%, 1/20/18	2		2
			87,513
Asset Backed Corporates (27.5%)
Aegis Asset Backed Securities Trust
5.43%, 10/25/35	(h)104		104
American Express Credit Account Master Trust
5.32%, 10/15/12	(h)2,375		2,375
5.43%, 12/15/09	(h)2,000		2,002
Argent Securities, Inc.
5.37%, 10/25/36	(h)3,006		3,008
Banc of America Securities Auto Trust
3.99%, 8/18/09	2,816		2,800
Bear Stearns Asset Backed Securities, Inc.
5.44%, 8/25/35	(h)438		439
5.52%, 9/25/34	(h)593		594
5.54%, 3/25/35	(h)731		731
Capital Auto Receivables Asset Trust
4.05%, 7/15/09	2,921		2,908
4.98%, 5/15/11	3,825		3,825
5.31%, 10/20/09	(e)4,600		4,606
5.40%, 1/15/08	(h)209		209
Capital One Auto Finance Trust
5.07%, 7/15/11	2,025		2,026
Carrington Mortgage Loan Trust
5.40%, 3/25/47	(h)2,700		2,700
5.44%, 10/25/35	(h)64		64
Caterpillar Financial Asset Trust
3.90%, 2/25/09	1,636		1,628
5.57%, 5/25/10	3,200		3,223
CIT Equipment Collateral
3.50%, 9/20/08	374		371
Citibank Credit Card Issuance Trust
5.34%, 3/22/12	(c)(h)2,900		2,900
CNH Equipment Trust
4.02%, 4/15/09	1,779		1,771
4.27%, 1/15/10	3,894		3,865
5.20%, 6/15/10	1,775		1,779
Countrywide Asset-Backed Certificates
5.47%, 7/25/25	(h)1,589		1,590
Daimler Chrysler Auto Trust
4.04%, 9/8/09	1,626		1,618
First Franklin Mortgage Loan Asset Backed Certificates
5.37%, 7/25/36	(h)2,135		2,136
5.39%, 2/25/36	(h)1,534		1,535
5.42%, 7/25/35	(h)579		580
5.44%, 10/25/35	(h)1,267		1,268

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

59

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Ford Credit Auto Owner Trust
4.17%, 1/15/09	$	1,049	$	1,045
5.05%, 3/15/10	1,750		1,748
5.26%, 10/15/10	4,000		4,011
Fremont Home Loan Owner Trust
5.37%, 10/25/36	(h)3,504		3,504
GE Dealer Floorplan Master Note Trust
5.40%, 7/20/09	(h)2,500		2,502
GE Equipment Small Ticket LLC
4.38%, 7/22/09	(e)2,591		2,577
4.88%, 10/22/09	(e)3,075		3,068
GS Auto Loan Trust
5.37%, 12/15/10	3,375		3,388
GSAMP Trust
5.39%, 1/25/37	(h)2,330		2,331
5.40%, 4/25/47	3,100		3,100
Harley-Davidson Motorcycle Trust
3.76%, 12/17/12	3,800		3,724
4.07%, 2/15/12	2,300		2,270
Hertz Vehicle Financing LLC
4.93%, 2/25/10	(e)1,825		1,820
Honda Auto Receivables Owner Trust
3.87%, 4/20/09	2,127		2,113
3.93%, 1/15/09	1,000		995
4.85%, 10/19/09	2,475		2,470
Hyundai Auto Receivables Trust
3.98%, 11/16/09	2,200		2,184
Indymac Residential Asset Backed Trust
5.45%, 4/25/37	(h)2,450		2,450
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.44%, 9/15/21	(h)2,296		2,298
Long Beach Mortgage Loan Trust
5.41%, 1/25/36	(h)880		881
MBNA Credit Card Master Note Trust
5.46%, 2/15/10	(h)3,200		3,204
MBNA Master Credit Card Trust USA
5.90%, 8/15/11	940		958
7.80%, 10/15/12	2,715		2,944
Merrill Auto Trust Securitization
4.10%, 8/25/09	2,957		2,941
National City Auto Receivables Trust
2.88%, 5/15/11	2,307		2,269
Nationstar Home Equity Loan Trust
6.02%, 9/25/36	(h)2,196		2,198
Nissan Auto Receivables Owner Trust
3.99%, 7/15/09	2,584		2,568
RAAC Series
5.42%, 9/25/45	(h)993		994
Residential Asset Mortgage Products, Inc.
5.39%, 6/25/29	(h)2,816		2,818
5.43%, 2/25/30	2,400		2,400
Securitized Asset Backed Receivables LLC Trust
5.39%, 12/25/35	$	(h)838	$	838
SLM Student Loan Trust
5.32%, 10/25/14	(h)3,525		3,527
Soundview Home Equity Loan Trust
5.43%, 2/25/37	(h)2,625		2,624
Specialty Underwriting & Residential Finance
5.44%, 6/25/36	(h)375		375
Structured Asset Securities Corp.
5.52%, 6/25/35	(h)870		870
Terwin Mortgage Trust
5.44%, 7/25/35	(e)(h)2		2
5.79%, 12/25/34	(h)410		411
TXU Electric Delivery Transition Bond Co.
4.81%, 11/17/14	700		697
USAA Auto Owner Trust
3.90%, 7/15/09	1,376		1,369
Volkswagen Auto Loan Enhanced Trust
4.80%, 7/20/09	3,109		3,102
Wachovia Auto Owner Trust
2.91%, 4/20/09	359		356
4.06%, 9/21/09	1,260		1,253
Wachovia Bank Commercial Mortgage Trust
5.44%, 9/15/21	(h)2,450		2,451
World Omni Auto Receivables Trust
3.29%, 11/12/08	(c)206		206
			142,509
Collateralized Mortgage Obligations — Agency Collateral Series (0.7%)
Federal Home Loan Mortgage Corp.
Inv Fl IO
0.63%, 3/15/24	2,615		67
2.68%, 3/15/32	520		44
IO
6.00%, 5/1/31	1,072		207
6.50%, 4/1/28 - 5/15/33	2,003		426
8.00%, 1/1/28 - 6/1/31	207		46
IO PAC
6.00%, 5/15/30 - 4/15/32	1,835		177
PAC
10.00%, 6/15/20	15		16
Federal National Mortgage Association
Inv Fl IO
2.78%, 12/25/29	37
2.88%, 10/25/28	404		14
3.13%, 5/18/27	787		72
3.20%, 10/25/30	206		10
IO
6.00%, 8/25/32 - 11/25/32	1,569		197
6.50%, 2/25/33 - 6/25/33	5,211		1,131
7.00%, 4/25/33	768		181
7.50%, 11/1/29	1,061		305
8.00%, 4/1/24 - 12/1/31	855		203
9.00%, 11/1/26	92		22

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

60

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Collateralized Mortgage Obligations — Agency Collateral Series (cont’d)
Government National Mortgage Association
Inv Fl IO
3.28%, 8/16/29	$	551	$	34
GS Mortgage Securities Corp.
IO
2.57%, 3/25/36	(e)(h)6,312		249
			3,401
Collateralized Mortgage Obligations — Non Agency Collateral Series (1.7%)
Countrywide Alternative Loan Trust
1.95%, 3/20/47	24,978		1,387
2.25%, 10/25/46	17,101		856
IO
1.54%, 2/25/37	12,815		677
1.70%, 12/20/46	28,197		1,401
1.73%, 12/20/35	(e)(h)15,110		412
1.78%, 3/20/46	12,330		568
2.71%, 12/20/35	(e)(h)16,648		800
Greenpoint Mortgage Funding Trust
IO
1.10%, 8/25/45	8,677		264
1.91%, 10/25/45	9,672		292
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)10,006		227
1.26%, 5/19/35	(h)14,658		350
1.63%, 3/19/37	(h)12,051		531
1.69%, 7/19/46	(h)20,586		743
PO
3/19/37	6		4
7/19/47	@—		@—
Indymac Index Mortgage Loan Trust
IO
0.91%, 7/25/35	(h)8,998		285
			8,797
Finance (7.7%)
AIG SunAmerica Global Financing VI
6.30%, 5/10/11	(e)1,910		1,996
American General Finance Corp.
4.63%, 9/1/10	(c)915		898
AXA Financial, Inc.
6.50%, 4/1/08	760		768
Bank of New York Co., Inc. (The)
3.80%, 2/1/08	250		247
5.20%, 7/1/07	285		285
Bank One Corp.
6.00%, 2/17/09	1,350		1,370
Caterpillar Financial Services Corp.
3.63%, 11/15/07	190		188
5.43%, 8/20/07	(h)895		895
Catlin Insurance Co., Ltd.
7.25%	(e)(h)(o)925		920
CIT Group, Inc.
4.75%, 8/15/08	490		487
7.38%, 4/2/07	$	(c)195	$	195
Citicorp Inc.
6.38%, 11/15/08	705		719
Countrywide Home Loans, Inc.
3.25%, 5/21/08	1,150		1,124
Farmers Exchange Capital
7.05%, 7/15/28	(c)(e)675		694
Farmers Insurance Exchange
8.63%, 5/1/24	(e)725		864
General Electric Capital Corp.
4.25%, 12/1/10	(c)445		433
HSBC Finance Corp.
4.13%, 12/15/08	450		442
5.88%, 2/1/09	345		349
6.38%, 10/15/11	688		718
6.40%, 6/17/08	465		471
6.75%, 5/15/11	365		385
Huntington National Bank
4.38%, 1/15/10	520		508
International Lease Finance Corp.
3.75%, 8/1/07	500		497
iStar Financial, Inc.
5.69%, 3/9/10	(h)1,175		1,176
JPMorgan Chase & Co.
6.00%, 2/15/09	640		649
M&I Marshall & Ilsley Bank
3.80%, 2/8/08	1,365		1,349
Mantis Reef Ltd.
4.69%, 11/14/08	(e)1,100		1,090
MBNA Corp.
5.79%, 5/5/08	(h)995		1,000
Nationwide Building Society
4.25%, 2/1/10	(e)1,065		1,040
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17	550		583
Platinum Underwriters Holdings Ltd.
6.37%, 11/16/07	585		583
Popular North America, Inc.
5.65%, 4/15/09	455		458
Residential Capital Corp.
5.84%, 6/9/08	(h)1,125		1,114
6.38%, 6/30/10	1,460		1,461
SLM Corp.
4.00%, 1/15/10	705		687
Sovereign Bancorp Inc.
5.58%, 3/23/10	(h)1,540		1,541
Sovereign Bank
4.00%, 2/1/08	105		104
St. Paul Travelers Cos., Inc. (The)
5.01%, 8/16/07	855		854
Two-Rock Pass Through Trust
6.30%	(e)(h)(o)645		635
Unicredit Luxembourg Finance S.A.
5.41%, 10/24/08	(e)(h)1,665		1,666

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

61

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
USB Capital IX
6.19%	$	(h)(o)1,255	$	1,288
Wachovia Capital Trust Ill
5.80%	(e)(h)(o)2,545		2,578
Washington Mutual Bank FA
5.50%, 1/15/13	170		170
Washington Mutual, Inc.
6.67%	(e)(h)(o)300		295
8.25%, 4/1/10	920		995
World Financial Properties
6.91%, 9/1/13	(e)1,826		1,918
Xlliac Global Funding
4.80%, 8/10/10	(e)1,110		1,095
			39,782
Industrials (5.9%)
America West Airlines, Inc.
7.10%, 4/2/21	1,107		1,176
Brookfield Asset Management, Inc.
7.13%, 6/15/12	865		927
Burlington Northern Santa Fe Corp.
6.13%, 3/15/09	540		548
Clorox Co.
5.48%, 12/14/07	(h)920		921
Comcast Cable Communications, Inc.
6.75%, 1/30/11	440		464
7.13%, 6/15/13	145		157
ConAgra Foods, Inc.
7.00%, 10/1/28	280		299
8.25%, 9/15/30	365		446
Consumers Energy Co.
4.80%, 2/17/09	625		620
Cooper Industries, Inc.
5.25%, 7/1/07-11/15/12	1,430		1,428
CVS/Caremark Corp.
5.75%, 8/15/11	235		240
6.04%, 12/10/28	(e)1,278		1,297
DaimlerChrysler N.A. Holding Corp.
8.50%, 1/18/31	430		539
FBG Finance Ltd.
5.13%, 6/15/15	(e)795		764
Federated Department Stores, Inc.
6.30%, 4/1/09	370		378
FedEx Corp.
2.65%, 4/1/07	550		550
France Telecom S.A.
8.50%, 3/1/31	(c)790		1,030
Fred Meyer, Inc.
7.45%, 3/1/08	765		780
Hewlett Packard Co.
5.49%, 5/22/09	(h)785		786
Hyatt Equities LLC
6.88%, 6/15/07	(e)680		681
ICI Wilmington, Inc.
4.38%, 12/1/08	$	505	$	498
LG Electronics, Inc.
5.00%, 6/17/10	(e)520		513
May Department Stores Co.
6.70%, 7/15/34	(c)770		762
Miller Brewing Co.
4.25%, 8/15/08	(e)800		788
Mohawk Industries, Inc.
7.20%, 4/15/12	450		477
Norfolk Southern Corp.
7.35%, 5/15/07	505		506
Sara Lee Corp.
6.13%, 11/1/32	(c)850		788
SBC Communications, Inc.
6.15%, 9/15/34	(c)545		538
Sprint Capital Corp.
8.75%, 3/15/32	220		260
Systems 2001 Asset Trust LLC
6.66%, 9/15/13	(e)1,173		1,237
Telecom Italia Capital S.A.
4.00%, 1/15/10	1,100		1,063
Telefonica Europe BV
8.25%, 9/15/30	885		1,063
Textron Financial Corp.
4.13%, 3/3/08	510		505
5.13%, 2/3/11	(c)750		750
The Home Depot, Inc.
5.48%, 12/16/09	(h)475		476
Time Warner, Inc.
5.59%, 11/13/09	(h)1,580		1,584
Union Pacific Corp.
6.63%, 2/1/08	370		374
6.79%, 11/9/07	225		227
UnitedHealth Group, Inc.
4.13%, 8/15/09	440		431
5.43%, 3/2/09	(h)615		615
Valero Energy Corp.
3.50%, 4/1/09	575		558
Verizon New England, Inc.
6.50%, 9/15/11	610		637
Viacom, Inc.
6.88%, 4/30/36	755		763
Vodafone Group plc
5.44%, 12/28/07	(h)745		745
Yum! Brands, Inc.
8.88%, 4/15/11	450		506
			30,695
Mortgages — Other (28.6%)
American Home Mortgage Assets
5.45%, 3/25/47	(h)3,400		3,394
5.51%, 10/25/46	(h)4,208		4,216
5.55%, 9/25/46	(h)3,212		3,224

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

62

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages - Other (cont’d)
Banc of America Funding Corp.
5.67%, 9/20/35	$	(h)1,119	$	1,124
Bear Stearns Mortgage Securities, Inc.
5.45%, 2/25/37	(h)3,125		3,125
5.52%, 9/25/36	(h)2,547		2,539
5.57%, 7/25/36	(h)2,661		2,658
California Federal Savings & Loan Association
8.80%, 1/25/14	(k)2		2
Countrywide Alternative Loan Trust
5.51%, 10/25/46 - 11/25/46	(h)5,757		5,756
5.58%, 11/20/35	(h)1,219		1,220
5.59%, 7/25/46	(h)1,868		1,876
5.63%, 3/20/46	(h)1,837		1,841
5.71%, 12/20/35	(h)2,528		2,539
5.73%, 11/20/35	(h)1,788		1,799
6.50%, 10/25/46	(e)1,148		1,147
6.68%, 2/25/36	(h)2,528		2,555
Deutsche ALT-A Securities Alternate Loan Trust
5.47%, 2/25/47	(h)4,070		4,070
Deutsche ALT-A Securities NIM Trust
6.75%, 2/25/47	(e)1,568		1,562
Downey Savings & Loan Association Mortgage Loan Trust
5.52%, 10/19/36	(h)3,311		3,320
5.92%, 4/19/46	(h)2,809		2,812
Greenpoint Mortgage Funding Trust
5.50%, 1/25/37	(h)3,603		3,597
5.50%, 5/25/47	3,800		3,800
5.51%, 3/25/47	(h)3,550		3,551
5.64%, 3/25/36	(h)2,391		2,395
GS Mortgage Securities Corp.
6.25%, 1/25/37	(e)1,519		1,514
GSR Mortgage Loan Trust
5.51%, 8/25/46	(h)3,133		3,137
Harborview Mortgage Loan Trust
5.41%, 1/19/38	(h)1,142		1,143
5.45%, 3/19/37	(h)2,551		2,554
5.47%, 3/19/38	(h)2,471		2,473
5.50%, 11/19/36	(h)3,437		3,425
5.51%, 12/19/37	(h)3,773		3,778
5.52%, 7/21/36 - 3/19/38	(h)4,712		4,706
5.55%, 7/19/46	(h)2,320		2,323
5.57%, 10/19/37	2,568		2,575
5.60%, 11/19/36	(h)3,312		3,328
5.61%, 7/19/45	(h)799		802
5.70%, 11/19/35	(h)1,405		1,411
Harborview NIM Corp.
6.41%, 3/19/37 - 3/19/38	(e)2,095		2,089
Indymac Index Mortgage Loan Trust
5.42%, 2/25/37	(h)3,031		3,034
5.44%, 7/25/46	(h)3,450		3,465
5.53%, 11/25/36	(h)2,019		2,022
5.70%, 10/25/36	(h)1,668		1,677
Luminent Mortgage Capital, Inc.
5.56%, 4/25/36	(h)1,909		1,916
Mastr Adjustable Rate Mortgages Trust
5.57%, 4/25/46	$	(h)2,038	$	2,046
Merrill Lynch Mortgage Investors, Inc.
5.44%, 8/25/35	(h)748		749
Residential Accredit Loans, Inc.
5.48%, 3/25/47	(h)4,750		4,750
5.51%, 12/25/36	(h)2,580		2,594
5.55%, 5/25/46	(h)1,679		1,681
5.58%, 2/25/46	(h)870		872
5.59%, 2/25/46	(h)929		929
Ryland Acceptance Corp. IV
6.65%, 7/1/11	45		45
Structured Asset Mortgage Investments, Inc.
5.51%, 2/25/36	(h)879		881
5.52%, 10/25/36	(h)2,480		2,486
5.55%, 8/25/36	(h)2,743		2,752
5.59%, 4/25/36	(h)3,382		3,398
Wamu Alternative Mortgage Pass-Through Certificates
4.98%, 8/25/46	(h)2,418		2,422
5.92%, 4/25/46	(h)2,263		2,266
Washington Mutual, Inc.
5.40%, 6/25/46	(h)1,580		1,582
5.42%, 5/25/46	(h)953		953
5.57%, 11/25/45 - 12/25/45	(h)2,568		2,573
5.58%, 7/25/44 - 10/25/45	(h)1,074		1,076
5.61%, 8/25/45	(h)519		520
Zuni Mortgage Loan Trust
5.45%, 8/25/36	(h)2,099		2,098
			148,167
U.S. Treasury Security (6.0%)
U.S. Treasury Strip
IO
Zero Coupon, 5/15/21	(c)62,315		30,943
Utilities (1.6%)
Ameren Corp.
4.26%, 5/15/07	685		684
Arizona Public Service Co.
5.80%, 6/30/14	745		753
Carolina Power & Light Co.
5.13%, 9/15/13	760		752
CenterPoint Energy Resources Corp.
6.25%, 2/1/37	225		224
Consolidated Natural Gas Co.
6.25%, 11/1/11	355		369
Detroit Edison Co.
6.13%, 10/1/10	380		392
Entergy Gulf States, Inc.
3.60%, 6/1/08	345		338
5.76%, 12/1/09	(h)455		455
NiSource Finance Corp.
5.93%, 11/23/09	(h)535		536
Ohio Power Corp.
6.00%, 6/1/16	740		769

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

63

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Plains All American Pipeline LP
6.70%, 5/15/36	$	750	$	770
Public Service Electric & Gas Co.
5.00%, 1/1/13	580		571
Sempra Energy
4.62%, 5/17/07	530		529
Texas Eastern Transmission LP
7.00%, 7/15/32	(c)425		475
Wisconsin Electric Power Co.
3.50%, 12/1/07	540		534
			8,151
Total Fixed Income Securities (Cost $504,066)			502,527

	Shares
Preferred Stock (0.2%)
Mortgages — Other (0.2%)
Home Ownership Funding Corp.
13.33% (Cost $1,110)	(e)7,150	1,058
Put Options Purchased (0.1%)
90 Day EuroDollar
6/07 @ $94.25	1,287	6
6/07 @ $94.50	176	1
9/07 @ $94.75	276	43
12/07 @ $94.50	83	4
12/07 @ $94.75	1,479	240
Total Put Options Purchased (Cost $797)		294

	Face
	Amount
	(000)
Short-Term Investments (12.8%)
Short-Term Debt Securities held as Collateral on Loaned Securities (5.2%)
AIG Match Funding Corp., 5.30%, 4/17/07	$	(h)603	603
Alliance & Leicester plc, 5.33%, 4/10/07	(h)431		431
Anglo Irish Bank Corp., plc, 5.35%, 7/9/07	210		210
Bancaja, 5.36%, 4/19/07	(h)215		215
Bank of America Corp., 5.32%, 4/2/07	(h)689		689
Bank of New York Co., Inc., 5.32%,
4/10/07	(h)215		215
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)431		431
BNP Paribas plc, 5.33%, 5/21/07	(h)431		431
CAM US Finance S.A. Unipersonal,
5.36%, 7/3/07	(h)861		861
CIC, New York,
5.30%, 4/3/07	(h)301		301
5.34%, 4/2/07	(h)431		431
CIT Group Holdings, 5.37%, 7/18/07	(h)775		775
Credit Suisse First Boston, New York,
5.29%, 5/15/07	258		258
5.32%, 4/2/07	(h)431		431
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	1,722		1,722
5.46%, 4/2/07	4,133		4,133
Dexia Bank, New York, 5.32%, 4/2/07	(h)431		431
First Tennessee Bank, 5.33%, 4/17/07	(h)215		215

	Face
	Amount		Value
	(000)		(000)
Gemini Securitization Corp., 5.41%,
4/2/07	$	619	$	619
Goldman Sachs Group, Inc.,
5.37%, 4/16/07	(h)215		215
5.55%, 4/2/07	(h)405		405
HSBC Finance Corp., 5.33%, 4/10/07	(h)215		215
Mane Funding Corp., 5.29%, 4/10/07	308		308
Manufacturers & Traders, 5.30%, 4/16/07	(h)258		258
Marshall & Ilsley Bank, 5.37%, 12/17/07	432		432
Merrill Lynch & Co., 5.33%, 4/26/07	(h)226		226
Metropolitan Life Global Funding,
5.31%, 4/23/07	(h)646		646
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)431		431
5.34%, 4/2/07	(h)431		431
National Australia Bank Ltd., 5.31%,
4/10/07	(h)327		327
National City Bank Cleveland, 5.32%, 4/2/07	(h)215		215
National Rural Utilities Cooperative Finance Corp.,
5.31%, 4/2/07	(h)861		861
Nationwide Building Society, 5.43%,
6/28/07	(h)499		499
Nordea Bank, New York, 5.31%, 4/2/07	(h)646		646
Raiffeisen Zentralbank Oesterreich,
5.31%, 6/19/07	255		255
Rheingold Securitization, 5.32%, 5/15/07	382		382
Sedna Finance, Inc., 5.32%, 5/15/07	110		110
Skandi, New York, 5.32%, 4/10/07	(h)431		431
Toronto Dominion, New York, 5.32%, 5/29/07	(h)431		431
Tulip Funding Corp., 5.36%, 4/30/07	857		857
UBS Securities LLC, 5.40%, 4/2/07	4,231		4,231
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)474		474
Unicredito Italiano Bank (Ireland) plc, 5.34%
4/10/07	(h)301		301
			26,989
Repurchase Agreement (7.3%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 04/2/07, repurchase price $37,997	(f)37,980		37,980
U.S. Treasury Security (0.3%)
U.S. Treasury Bill
4.98%, 7/12/07	(j)1,766		1,766
Total Short-Term Investments (Cost $66,735)			66,735
Total Investments (110.2%) (Cost $572,708)
— Including $26,372 of Securities Loaned			570,614
Liabilities in Excess of Other Assets (-10.2%)			(53,034)
Net Assets (100%)			$	517,580

(c)All or a portion of security on loan at March 31, 2007.

(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.

64

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Investment Grade Fixed Income Portfolio

(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(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 has been deemed illiquid at March 31, 2007.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value 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, 2007.
IO	Interest Only
PAC	Planned Amortization Class
PO	Principal Only
TBA	To 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	475	$	97,323	Jun - 07	$	(174	)
U.S. Treasury 5 yr. Note	1,137	120,291		Jun - 07	(22		)
U.S. Treasury 10 yr. Note	820	88,663		Jun - 07	59
U.S. Treasury Long Bond	344	38,270		Jun - 07	(271		)
					$	(408	)

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled as “Other”.

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

65

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (100.3%)
Agency Adjustable Rate Mortgages (4.9%)
Federal Home Loan Mortgage Corp.,
Adjustable Rate Mortgages:
3.54%, 7/1/34	$	1,375	$	1,366
4.35%, 10/1/33	6,107		6,126
4.38%, 7/1/35	7,809		7,763
Federal National Mortgage Association,
Adjustable Rate Mortgages:
3.61%, 7/1/34	1,444		1,445
3.75%, 6/1/34	984		993
4.11%, 2/1/35	1,039		1,037
4.21%, 5/1/35	4,348		4,413
4.47%, 5/1/35	7,691		7,669
4.57%, 4/1/35	1,673		1,675
4.71%, 9/1/35	4,781		4,743
6.97%, 3/1/36	7,482		7,707
7.49%, 8/1/36	6,646		6,855
Government National Mortgage Association,
Adjustable Rate Mortgages:
5.38%, 1/20/25 - 1/20/28	579		586
5.75%, 7/20/27 - 9/20/27	141		143
6.13%, 12/20/25 - 12/20/27	136		138
			52,659
Agency Fixed Rate Mortgages (3.5%)
Federal Home Loan Mortgage Corp.,
Conventional Pools:
10.00%, 3/1/11 - 10/1/20	113		124
11.00%, 5/1/20	7		7
11.50%, 1/1/18	19		20
Gold Pools:
6.50%, 9/1/19 - 11/1/29	213		220
7.00%, 3/1/32	4		4
7.50%, 11/1/19 - 11/1/32	2,720		2,847
8.50%, 8/1/28	76		82
10.00%, 10/1/21	10		11
10.50%, 1/1/19 - 10/1/20	29		32
11.50%, 8/1/10	9		10
12.00%, 6/1/15 - 9/1/15	34		38
Federal National Mortgage Association,
Conventional Pools:
6.50%, 3/1/18 - 10/1/32	3,279		3,378
7.00%, 5/1/26 - 12/1/34	4,667		4,853
7.50%, 9/1/29 - 7/1/32	4,136		4,325
8.00%, 12/1/29 - 8/1/31	270		285
9.50%, 11/1/20	29		31
10.00%, 12/1/15 - 9/1/16	102		110
10.50%, 12/1/16	15		17
11.00%, 7/1/20	11		12
11.50%, 11/1/19	30		33
12.50%, 2/1/15	21		23
April TBA
7.00%, 4/25/37	(i)4,375		4,513
May TBA
7.00%, 5/25/37	(i)14,075		14,506
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/16 - 1/15/17	$	125	$	135
9.50%, 12/15/17 - 12/15/21	222		241
10.00%, 11/15/09 - 7/15/22	518		577
10.50%, 8/15/21	27		31
11.00%, 1/15/10 - 1/15/21	238		264
11.50%, 2/15/13 - 11/15/19	154		170
			36,899
Asset Backed Corporates (16.3%)
ACE Securities Corp.
7.12%, 9/25/33	(h)567		544
Aegis Asset Backed Securities Trust
7.32%, 6/25/34	(h)2,325		2,303
Amortizing Residential Collateral Trust
9.07%, 1/25/33	(h)133		134
Capital Auto Receivables Asset Trust
4.05%, 7/15/09	5,683		5,659
4.98%, 5/15/11	8,375		8,374
5.31%, 10/20/09	(e)9,750		9,763
Capital One Auto Finance Trust
5.07%, 7/15/11	4,250		4,252
Caterpillar Financial Asset Trust
5.57%, 5/25/10	7,800		7,855
Chase Manhattan Auto Owner Trust
2.83%, 9/15/10	7,057		6,955
2.94%, 6/15/10	1,103		1,092
CIT Equipment Collateral
3.50%, 9/20/08	1,310		1,300
5.07%, 2/20/10	4,675		4,680
CNH Equipment Trust
5.20%, 6/15/10	3,650		3,659
Countrywide Asset-Backed Certificates
4.37%, 11/25/35	(h)5,561		5,519
4.50%, 8/25/36	(e)269		259
Daimler Chrysler Auto Trust
2.58%, 4/8/09	3,936		3,906
Ford Credit Auto Owner Trust
5.05%, 3/15/10	4,700		4,694
5.26%, 10/15/10	5,725		5,741
GE Equipment Small Ticket LLC
4.38%, 7/22/09	(e)5,181		5,153
4.88%, 10/22/09	(e)7,975		7,956
Harley-Davidson Motorcycle Trust
2.63%, 11/15/10	1,115		1,102
2.76%, 5/15/11	2,180		2,158
3.09%, 6/15/10	796		796
3.56%, 2/15/12	4,434		4,359
3.76%, 12/17/12	9,475		9,285
4.07%, 2/15/12	5,600		5,527
4.41%, 6/15/12	5,420		5,378
Hertz Vehicle Financing LLC
4.93%, 2/25/10	(e)4,550		4,539

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

66

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
Home Equity Asset Trust
7.42%, 8/25/34	$	(h)1,100	$	1,108
Honda Auto Receivables Owner Trust
4.85%, 10/19/09	6,950		6,935
Hyundai Auto Receivables Trust
2.97%, 5/15/09	1,772		1,759
Lehman XS Trust
5.62%, 2/25/46	(h)4,900		4,914
Long Beach Mortgage Loan Trust
5.41%, 1/25/36	(h)2,641		2,643
National City Auto Receivables Trust
2.88%, 5/15/11	5,909		5,812
New Century Home Equity Loan Trust
4.46%, 8/25/35	(g)2,755		2,732
Park Place Securities, Inc.
7.17%, 10/25/34	(h)3,125		2,761
Securitized Asset Backed Receivables LLC Trust
5.39%, 11/25/35 - 12/25/35	(h)4,673		4,677
Structured Asset Investment Loan Trust
8.32%, 6/25/33	(h)1,775		1,779
USAA Auto Owner Trust
2.67%, 10/15/10	7,669		7,601
3.58%, 2/15/11	3,000		2,974
Volkswagen Auto Lease Trust
3.82%, 5/20/08	1,325		1,321
Whole Auto Loan Trust
2.58%, 3/15/10	3,194		3,192
			173,150
Collateralized Mortgage Obligations — Agency Collateral Series (1.7%)
Banc of America Mortgage Securities
PAC
4.97%, 6/25/35	(h)1,200		1,199
Federal Home Loan Mortgage Corp.
7.50%, 9/15/29	4,181		4,391
PAC
3.50%, 5/15/22	2,101		2,075
Federal National Mortgage Association
PAC
5.50%, 1/25/24	3,376		3,371
6.50%, 6/25/35	2,680		2,772
GS Mortgage Securities Corp.
IO
2.57%, 3/25/36	(e)(h)17,437		686
Washington Mutual, Inc.
IO
Zero Coupon, 3/25/47	131,079		1,936
0.36%, 6/25/44	13,499		242
0.37%, 7/25/44	23,121		401
0.38%, 10/25/44	35,014		613
			17,686
Collateralized Mortgage Obligations — Non Agency Collateral Series (0.9%)
Countrywide Alternative Loan Trust
IO
1.54%, 2/25/37	$	21,701	$	1,146
1.78%, 3/20/46	29,561		1,362
Greenpoint Mortgage Funding Trust
IO
1.10%, 8/25/45	18,280		557
1.91%, 10/25/45	23,163		699
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)23,631		535
1.26%, 5/19/35	(h)28,808		688
1.58%, 1/19/36	(h)39,949		999
1.63%, 3/19/37	(h)28,991		1,277
1.69%, 7/19/46	(h)50,090		1,808
1.85%, 1/19/36	(h)15,465		440
PO
3/19/37	14		10
7/19/47	@—		@—
Indymac Index Mortgage Loan Trust
IO
0.91%, 7/25/35	(h)21,311		676
			10,197
Finance (11.3%)
Allstate Life Global Funding Trusts
4.50%, 5/29/09	690		683
American General Finance Corp.
4.63%, 5/15/09 - 9/1/10	1,485		1,463
AXA Financial, Inc.
6.50%, 4/1/08	870		880
Bank of America Corp.
3.38%, 2/17/09	3,095		3,005
3.88%, 1/15/08	1,100		1,088
Bank of New York Co., Inc. (The)
5.20%, 7/1/07	720		720
Bank One Corp.
6.00%, 2/17/09	664		674
Capital One Financial Corp.
5.62%, 9/10/09	(h)3,240		3,250
CIT Group, Inc.
4.75%, 8/15/08	2,270		2,256
Citicorp
6.38%, 11/15/08	1,055		1,076
Citigroup, Inc.
3.63%, 2/9/09	2,655		2,592
Countrywide Home Loans, Inc.
3.25%, 5/21/08	2,760		2,698
General Electric Capital Corp.
5.00%, 6/15/07	800		799
Goldman Sachs Group, Inc.
4.13%, 1/15/08	3,435		3,407

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

67

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Finance (cont’d)
Hartford Financial Services Group, Inc. (The)
5.55%, 8/16/08	$	3,700	$	3,717
HBOS Treasury Services
5.63%, 7/20/09	(e)5,400		5,472
HSBC Finance Corp.
4.13%, 12/15/08	760		747
5.88%, 2/1/09	1,580		1,599
6.38%, 10/15/11	285		297
6.40%, 6/17/08	1,470		1,489
6.75%, 5/15/11	630		664
International Lease Finance Corp.
4.63%, 6/2/08	4,015		3,991
istar Financial, Inc.
5.69%, 3/9/10	(h)2,380		2,383
John Hancock Financial Services, Inc.
5.63%, 12/1/08	3,365		3,387
John Hancock Global Funding II
7.90%, 7/2/10	(e)625		677
JPMorgan Chase & Co.
6.00%, 2/15/09	805		817
7.00%, 11/15/09	315		330
Mantis Reef Ltd.
4.69%, 11/14/08	(e)2,350		2,328
MBNA Corp.
5.63%, 11/30/07	1,250		1,253
5.79%, 5/5/08	(h)1,605		1,613
Metropolitan Life Global Funding I
4.63%, 8/19/10	(e)4,310		4,263
Monumental Global Funding II
3.85%, 3/3/08	(e)2,596		2,562
4.38%, 7/30/09	(e)2,335		2,298
Platinum Underwriters Holdings Ltd.
6.37%, 11/16/07	1,650		1,643
Popular North America, Inc.
5.65%, 4/15/09	2,245		2,260
Pricoa Global Funding I
3.90%, 12/15/08	(e)2,930		2,864
Prudential Funding LLC
6.60%, 5/15/08	(e)1,970		1,992
Residential Capital Corp.
6.00%, 2/22/11	3,220		3,179
6.38%, 6/30/10	3,095		3,096
Santander Central Hispano Issuance Ltd.
7.63%, 11/3/09	3,900		4,136
Simon Property Group LP
6.38%, 11/15/07	2,115		2,127
SLM Corp.
4.00%, 1/15/10	3,825		3,725
Sovereign Bancorp, Inc.
5.58%, 3/23/10	(h)3,160		3,161
Sovereign Bank
4.00%, 2/1/08	635		628
St. Paul Travelers Cos., Inc. (The)
5.01%, 8/16/07	$	1,930	$	1,927
Suntrust Bank
4.55%, 5/25/09	4,238		4,195
Unicredit Luxembourg Finance S.A.
5.41%, 10/24/08	(e)(h)4,310		4,313
U.S. Bank N.A.
3.70%, 8/1/07	350		348
Wachovia Capital Trust Ill
5.80%	(h)(o)3,170		3,211
Wachovia Corp.
3.63%, 2/17/09	1,030		1,004
Washington Mutual, Inc.
4.00%, 1/15/09	1,130		1,107
8.25%, 4/1/10	2,233		2,414
Wells Fargo & Co.
3.12%, 8/15/08	2,638		2,562
World Financial Properties
6.91%, 9/1/13	(e)2,555		2,684
6.95%, 9/1/13	(e)787		828
Xlliac Global Funding
4.80%, 8/10/10	(e)2,485		2,452
			120,334
Industrials (11.6%)
American Honda Finance Corp.
3.85%, 11/6/08	(e)2,650		2,599
AT&T, Inc.
5.46%, 2/5/10	(h)3,145		3,149
BAE Systems Holdings, Inc.
4.75%, 8/15/10	(e)2,200		2,170
Baxter International, Inc.
5.20%, 2/16/08	3,405		3,403
Brookfield Asset Management, Inc.
8.13%, 12/15/08	2,555		2,675
Burlington Northern Santa Fe Corp.
6.13%, 3/15/09	2,160		2,192
Clorox Co.
5.48%, 12/14/07	(h)2,820		2,822
Comcast Cable Communications Holdings, Inc.
6.88%, 6/15/09	1,110		1,150
8.38%, 5/1/07	1,410		1,413
Comcast Corp.
5.85%, 1/15/10	900		917
Consumers Energy Co.
4.80%, 2/17/09	2,345		2,325
Cooper Industries, Inc.
5.25%, 7/1/07	3,000		2,995
COX Communications, Inc.
5.91%, 12/14/07	(h)1,134		1,138
CVS/Caremark Corp.
3.88%, 11/1/07	50		50
4.00%, 9/15/09	2,710		2,639
DaimlerChrysler N.A. Holding Corp.
4.05%, 6/4/08	1,140		1,123

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

68

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Industrials (cont’d)
5.77%, 3/13/09	$	(h)2,425	$	2,434
8.00%, 6/15/10	85		92
Deutsche Telekom International Finance BV
8.00%, 6/15/10	2,245		2,435
Federated Department Stores, Inc.
6.30%, 4/1/09	790		806
6.63%, 9/1/08	1,790		1,818
FedEx Corp.
2.65%, 4/1/07	605		605
5.50%, 8/15/09	2,100		2,117
Fred Meyer, Inc.
7.45%, 3/1/08	2,116		2,157
General Mills, Inc.
3.88%, 11/30/07	3,070		3,042
Harrahs Operating Co., Inc.
7.13%, 6/1/07	2,960		2,971
Hewlett Packard Co.
5.49%, 5/22/09	(h)2,165		2,168
Home Depot, Inc.
5.48%, 12/16/09	(h)965		967
Hospira, Inc.
5.83%, 3/30/10	(h)2,130		2,136
Hyatt Equities LLC
6.88%, 6/15/07	(e)1,745		1,748
ICI Wilmington, Inc.
4.38%, 12/1/08	1,070		1,055
JC Penney Corp., Inc.
7.38%, 8/15/08	2,610		2,679
Kraft Foods, Inc.
4.00%, 10/1/08	910		893
5.25%, 6/1/07	2,885		2,883
Lenfest Communications, Inc.
7.63%, 2/15/08	185		188
Masco Corp.
4.63%, 8/15/07	885		882
May Department Stores Co. (The)
3.95%, 7/15/07	2,335		2,323
Miller Brewing Co.
4.25%, 8/15/08	(e)3,095		3,049
Mohawk Industries, Inc.
6.50%, 4/15/07	2,085		2,086
Norfolk Southern Corp.
7.35%, 5/15/07	1,161		1,163
Oracle Corp. and Ozark Holding, Inc.
5.59%, 1/13/09	(h)4,365		4,372
Raytheon Co.
6.15%, 11/1/08	935		951
6.75%, 8/15/07	403		405
Safeway, Inc.
7.50%, 9/15/09	1,585		1,666
Sara Lee Corp.
2.75%, 6/15/08	2,770		2,685
Sealed Air Corp.
6.95%, 5/15/09	$	(e)440	$	455
Starwood Hotels & Resorts Worldwide, Inc.
7.38%, 5/1/07	85		85
Telecom Italia Capital S.A.
4.00%, 1/15/10	385		372
4.88%, 10/1/10	2,400		2,364
Textron Financial Corp.
4.13%, 3/3/08	3,135		3,106
Time Warner, Inc.
5.59%, 11/13/09	(h)3,310		3,318
6.15%, 5/1/07	3,110		3,111
Union Pacific Corp.
6.79%, 11/9/07	3,150		3,172
UnitedHealth Group, Inc.
4.13%, 8/15/09	1,065		1,044
5.43%, 3/2/09	(h)1,090		1,090
Valero Energy Corp.
3.50%, 4/1/09	3,280		3,183
Verizon Global Funding Corp.
6.13%, 6/15/07	4,080		4,084
7.25%, 12/1/10	1,140		1,219
Viacom, Inc.
5.70%, 6/16/09	(h)1,270		1,274
5.75%, 4/30/11	2,145		2,176
Vodafone Group plc
5.44%, 12/28/07	(h)3,800		3,803
WellPoint, Inc.
3.75%, 12/14/07	1,130		1,118
Yum! Brands, Inc.
7.65%, 5/15/08	3,110		3,185
			123,695
Mortgages — Other (45.7%)
American Home Mortgage Assets
5.55%, 5/25/46	(h)6,625		6,628
5.58%, 10/25/46	(h)8,773		8,808
American Home Mortgage Investment Trust
4.34%, 2/25/44	(h)1,084		1,085
Ameriquest Mortgage Securities, Inc.
6.47%, 8/25/34	(h)2,675		2,689
Banc of America Funding Corp.
6.23%, 9/20/46	(h)6,903		6,959
Banc of America Mortgage Securities, Inc.
3.67%, 7/25/34	(h)883		879
4.37%, 1/25/35	(h)4,899		4,850
Bear Stearns Mortgage Funding Trust
5.50%, 10/25/36	(h)6,377		6,340
5.53%, 12/25/36	(h)6,948		6,966
Citigroup Mortgage Loan Trust, Inc.
3.89%, 9/25/34	(h)3,278		3,321
5.13%, 8/25/34	(h)1,797		1,820
Countrywide Alternative Loan Trust
5.25%, 7/25/46	(e)1,307		1,302
5.50%, 2/25/35 - 5/25/35	(h)13,649		13,607

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

69

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages — Other (cont’d)
5.51%, 11/25/46	$	(h)5,335	$	5,347
5.53%, 2/25/47	(h)5,408		5,407
5.55%, 8/25/46	(h)8,276		8,304
5.59%, 5/20/46	(h)5,807		5,835
5.61%, 11/20/35	(h)5,537		5,544
5.73%, 11/20/35	(h)7,833		7,878
6.68%, 2/25/36	(h)4,070		4,114
Countrywide Home Loan Mortgage Pass Through Trust
4.58%, 11/20/34	(h)1,599		1,590
5.59%, 4/25/46	(h)4,851		4,866
Downey Savings & Loan Association Mortgage Loan Trust
5.52%, 10/19/36	(h)7,076		7,094
5.57%, 3/19/45	(h)4,733		4,742
5.62%, 8/19/45	(h)7,532		7,570
5.69%, 9/19/35	(h)7,208		7,248
5.92%, 4/19/46	(h)6,703		6,709
DSLA NIM Corp.
5.93%, 4/20/46	(e)259		259
First Horizon Alternative Mortgage Securities
5.50%, 4/25/35	(h)7,610		7,583
6.00%, 2/25/37	7,091		7,133
First Horizon Asset Securities, Inc.
3.70%, 6/25/34	(h)585		590
5.11%, 10/25/34	(h)1,030		1,032
Greenpoint Mortgage Funding Trust
5.55%, 1/25/37	(h)6,957		6,959
6.98%, 3/25/36	(h)4,315		4,420
GS Mortgage Securities Corp.
6.25%, 1/25/37 - 8/25/46	(e)5,811		5,796
6.41%, 6/25/46	(e)606		605
GSR Mortgage Loan Trust
5.58%, 8/25/46	(h)6,803		6,822
Harborview Mortgage Loan Trust
5.52%, 9/19/36 - 3/19/38	(h)10,763		10,777
5.55%, 7/19/46	(h)5,631		5,638
5.56%, 11/19/36	(h)8,664		8,639
5.57%, 12/19/36	(h)9,384		9,421
5.68%, 2/19/36	(h)5,450		5,468
5.70%, 11/19/35	(h)2,886		2,898
5.92%, 6/20/35	(h)1,700		1,720
6.98%, 10/19/35 - 1/19/36	(h)15,897		16,214
Harborview NIM Corp.
5.93%, 2/20/46	(e)130		129
6.41%, 12/19/36 - 3/19/38	(e)8,111		8,088
6.41%, 11/19/36	2,152		2,148
Indymac Index Mortgage Loan Trust
5.57%, 6/25/46	(h)8,003		8,036
5.82%, 5/25/34	(h)1,826		1,829
6.65%, 6/25/46	(e)629		629
Lehman XS Net Interest Margin Notes
6.25%, 5/28/46	(e)625		624
6.50%, 4/28/46	(e)675		671
Luminent Mortgage Trust
5.52%, 10/25/46	(h)6,911		6,929
5.55%, 5/25/46	$	(h)6,611	$	6,635
5.57%, 5/25/36	(h)4,978		4,998
Merrill Lynch Mortgage Investors, Inc.
3.81%, 7/25/34	(h)1,073		1,082
Mortgage Equity Conversion Asset Trust
5.46%, 2/25/42	(h)5,125		5,125
Novastar Mortgage-Backed Notes
5.56%, 9/25/46	(h)5,416		5,437
Rali NIM Corp.
6.05%, 4/25/46	(e)618		617
Residential Accredit Loans, Inc.
5.48%, 1/25/37	(h)6,339		6,339
5.49%, 3/25/37	(h)6,600		6,598
5.51%, 12/25/36 - 2/25/37	(h)15,331		15,355
5.52%, 1/25/37	(h)7,987		7,976
5.55%, 5/25/46 - 6/25/46	(h)16,355		16,360
5.58%, 2/25/46	(h)2,176		2,179
5.59%, 2/25/46	(h)9,363		9,380
5.72%, 10/25/45	(h)5,644		5,672
Sharp SP I LLC Net Interest Margin Trust
7.00%, 10/25/46	(e)623		623
Structured Asset Mortgage Investments, Inc.
5.49%, 3/25/37	(h)5,134		5,127
5.51%, 2/25/36	(h)3,178		3,185
5.52%, 10/25/36	(h)7,393		7,412
5.53%, 1/25/37	(h)6,480		6,489
5.59%, 4/25/36	(h)8,018		8,055
5.63%, 2/25/36	(h)3,656		3,673
Wamu Alternative Mortgage Pass Through Certificates
4.98%, 8/25/46	(h)5,803		5,813
5.52%, 12/25/46	(h)6,687		6,684
5.92%, 4/25/46 - 5/25/46	(h)16,385		16,400
Washington Mutual, Inc.
5.52%, 2/25/47	(h)6,605		6,621
5.61%, 8/25/45	(h)1,045		1,046
5.68%, 7/25/45 - 10/25/45	(h)8,769		8,809
5.96%, 7/25/46	(h)8,090		8,111
5.98%, 8/25/46	(h)9,866		9,898
Wells Fargo Mortgage Backed Securities Trust
3.46%, 9/25/34	(h)2,138		2,153
4.11%, 6/25/35	(h)6,970		6,893
4.58%, 12/25/34	(h)5,961		5,904
5.39%, 7/25/34	(h)417		422
			485,630
Utilities (4.4%)
Ameren Corp.
4.26%, 5/15/07	2,280		2,277
Appalachian Power Co.
3.60%, 5/15/08	1,670		1,639
Baltimore Gas & Electric
6.63%, 3/15/08	3,500		3,542
Carolina Power & Light Co.
6.80%, 8/15/07	3,330		3,346

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

70

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

	Face
	Amount		Value
	(000)		(000)
Utilities (cont’d)
Columbus Southern Power Co.
4.40%, 12/1/10	$	1,750	$	1,705
Commonwealth Edison Co.
3.70%, 2/1/08	1,656		1,626
Detroit Edison Co.
6.13%, 10/1/10	1,195		1,232
Dominion Resources, Inc.
5.69%, 5/15/08	(g)2,340		2,346
Duke Energy Corp.
3.75%, 3/5/08	1,245		1,228
Enbridge Energy Partners LP
4.00%, 1/15/09	3,520		3,451
Entergy Gulf States, Inc.
3.60%, 6/1/08	585		574
5.76%, 12/1/09	(h)1,225		1,224
6.09%, 12/8/08	(e)(h)1,170		1,173
FPL Group Capital, Inc.
5.55%, 2/16/08	3,400		3,404
Keyspan Corp.
4.90%, 5/16/08	1,300		1,296
NiSource Finance Corp.
5.93%, 11/23/09	(h)1,145		1,147
Pacific Gas & Electric Co.
3.60%, 3/1/09	2,110		2,055
Peco Energy Co.
3.50%, 5/1/08	2,940		2,888
Public Service Co. of Colorado
6.88%, 7/15/09	870		902
Sempra Energy
4.75%, 5/15/09	3,025		3,001
Southwestern Public Service Co.
6.20%, 3/1/09	2,260		2,301
Texas-New Mexico Power Co.
6.25%, 1/15/09	2,700		2,742
Wisconsin Electric Power Co.
3.50%, 12/1/07	1,340		1,325
			46,424
Total Fixed Income Securities (Cost $1,070,641)			1,066,674

	Shares
Preferred Stock (0.1%)
Mortgages — Other 0.1%)
Home Ownership Funding Corp.
13.33% (Cost $246)	(e)1,800		266
Short-Term Investments (1.0%)
Repurchase Agreement (0.9%)
J.P. Morgan Securities, Inc., 5.28% dated 3/30/07, due 4/2/07, repurchase price $9,938	$	(f)9,934	$	9,934
U.S. Treasury Security (0.1%)
U.S. Treasury Bill
4.97%, 7/12/07	(j)900		888
Total Short-Term Investments (Cost $10,822)			10,822
Total Investments (101.4%) (Cost $1,081,709)			1,077,762
Liabilities in Excess of Other Assets (-1.4%)			(14,336)
Net Assets (100%)			$	1,063,426

(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 $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007. 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, 2007.
(i)	Security is subject to delayed delivery.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.
@	Face Amount/Value is less than $500.
IO	Interest Only
PAC	Planned Amortization Class
PO	Principal Only
TBA	To Be Announced

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

71

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Limited Duration Portfolio

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	2,068	$	423,714	Jun-07	$	510
U.S. Treasury 10 yr. Note	699	75,579		Jun-07	(69		)
Short:
U.S. Treasury 5 yr. Note	85	8,993		Jun-07	33
U.S. Treasury Short Bond	620	68,975		Jun-07	90
EuroDollar CME	547	130,289		Mar-08	(364		)
					$	200

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

72

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Long Duration Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (98.8%)
Agency Fixed Rate Mortgages (6.8%)
Federal Home Loan Mortgage Corp.
6.75%, 3/15/31	$	240	$	289
Federal National Mortgage Association,
5.38%, 7/15/16	1,150		1,183
Conventional Pools:
7.25%, 5/15/30	230		291
			1,763
Finance (6.1%)
American General Finance Corp.
4.63%, 9/1/10	110		108
Catlin Insurance Co., Ltd.
7.25%	(h)(o)100		99
Countrywide Home Loans, Inc.
4.00%, 3/22/11	100		95
HSBC Finance Corp.
6.38%, 10/15/11	220		230
6.75%, 5/15/11	10		11
Istar Financial, Inc.
5.69%, 3/9/10	(h)95		95
Nationwide Building Society
4.25%, 2/1/10	105		103
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17	15		16
Popular North America, Inc.
5.65%, 4/15/09	50		50
Residential Capital Corp.
5.84%, 6/9/08	(h)100		99
6.38%, 6/30/10	115		115
SLM Corp.
4.00%, 1/15/10	80		78
Sovereign Bancorp, Inc.
5.58%, 3/23/10	(h)105		105
USB Capital IX
6.19%	(h)(o)105		108
Wachovia Capital Trust Ill
5.80%	(h)(o)180		182
Washington Mutual Preferred Funding II
6.67%	(h)(o)100		98
			1,592
Industrials (9.9%)
America West Airlines, Inc.
7.10%, 4/2/21	80		85
AT&T Corp.
8.00%, 11/15/31	40		50
BellSouth Corp.
6.55%, 6/15/34	80		83
Caterpillar Financial Services Corp.
5.43%, 8/20/07	(h)55		55
Clorox Co.
5.48%, 12/14/07	(h)115		115
Comcast Cable Communications LLC
7.13%, 6/15/13	$	120	$	130
ConAgra Foods, Inc.
8.25%, 9/15/30	60		73
CVS/Caremark Corp.
5.75%, 8/15/11	25		26
6.04%, 12/10/28	129		131
DaimlerChrysler N.A. Holding Corp.
8.50%, 1/18/31	85		107
France Telecom S.A.
8.50%, 3/1/31	80		104
Fred Meyer, Inc.
7.45%, 3/1/08	50		51
General Mills, Inc.
3.88%, 11/30/07	115		114
Hewlett Packard Co.
5.49%, 5/22/09	(h)130		130
Home Depot, Inc.
5.48%, 12/16/09	(h)40		40
ICI Wilmington, Inc.
4.38%, 12/1/08	45		44
John Deere Capital Corp.
5.41%, 4/15/08	(h)130		130
Kraft Foods, Inc.
6.50%, 11/1/31	115		118
May Department Stores Co. (The)
6.70%, 7/15/34	80		79
Mohawk Industries, Inc.
7.20%, 4/15/12	50		53
Sara Lee Corp.
6.13%, 11/1/32	85		79
Sprint Capital Corp.
6.13%, 11/15/08	80		81
Telecom Italia Capital S.A.
7.20%, 7/18/36	75		78
Telefonica Europe BV
8.25%, 9/15/30	85		102
Time Warner, Inc.
5.59%, 11/13/09	(h)135		135
UnitedHealth Group, Inc.
5.43%, 3/2/09	(h)80		80
Valero Energy Corp.
3.50%, 4/1/09	50		49
Viacom, Inc.
6.88%, 4/30/36	120		121
Waste Management, Inc.
6.88%, 5/15/09	110		114
			2,557
U.S. Treasury Securities (73.4%)
U.S. Treasury Bonds
6.13%, 11/15/27	2,425		2,801
6.38%, 8/15/27	3,000		3,554
6.50%, 11/15/26	3,300		3,949
6.63%, 2/15/27	3,500		4,246

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

73

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Long Duration Fixed Income Portfolio

	Face
	Amount		Value
	(000)		(000)
U.S. Treasury Securities (cont’d)
8.13%, 8/15/19	$	3,460	$	4,520
			19,070
Utilities (2.6%)
Ameren Corp.
4.26%, 5/15/07	115		115
Arizona Public Service Co.
5.80%, 6/30/14	80		81
CenterPoint Energy Resources Corp.
6.25%, 2/1/37	25		25
Consumers Energy Co.
4.40%, 8/15/09	55		54
Detroit Edison Co.
6.13%, 10/1/10	30		31
Exelon Corp.
6.75%, 5/1/11	50		52
Ohio Power Co.
6.60%, 2/15/33	170		180
Plains All American Pipeline LP
6.70%, 5/15/36	75		77
Texas Eastern Transmission LP
7.00%, 7/15/32	45		50
			665
Total Fixed Income Securities (Cost $24,915)			25,647
Short-Term Investments (0.2%)
Repurchase Agreement (0.0%)
J.P. Morgan Securities, Inc., 5.28%, dated 3/30/07, due 4/2/07, repurchase price $15	(f)15		15
U.S. Treasury Security (0.2%)
U.S. Treasury Bill
4.99%, 7/12/07	(j)50		50
Total Short-Term Investments (Cost $64)			65
Total Investments (99.0%) (Cost $24,979)			25,712
Other Assets in Excess of Liabilities (1.0%)			257
Net Assets (100%)			$	25,969

(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(o)	Perpetual — Security does not have a predetermined maturity date. Rates for these securities are fixed for a period of time then revert to a floating rate. The interest rate shown is the rate in effect at March 31, 2007.

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 5 yr. Note	6	$	635	Jun-07	$	@—
U.S. Treasury 10 yr. Note	10	1,081		Jun-07	(1		)
U.S. Treasury Long Bond	2	223		Jun-07	(4		)
Short:
U.S. Treasury 2 yr. Note	5	1,024		Jun-07	(2		)
					$	(7	)

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

74

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (98.0%)
Collateralized Mortgage Obligations — Agency Collateral Series (0.4%)
Federal Home Loan Mortgage Corp.
IO
6.50%, 3/15/33	$	588	$	126
IO PAC
6.00%, 4/15/32	1,411		169
Federal National Mortgage Association
Inv FI IO
2.78%, 12/25/29	17		@—
3.68%, 3/25/23	603		47
IO
1.93%, 3/25/36	16,916		359
6.00%, 5/25/33 - 8/25/35	5,500		1,491
6.50%, 6/1/31 - 5/25/33	1,579		339
7.00%, 4/1/32 - 4/25/33	679		161
8.00%, 5/1/30 - 6/1/30	220		52
Government National Mortgage Association
Inv FI IO
2.63%, 12/16/25	356		21
2.68%, 5/16/32	243		12
3.23%, 4/16/19 - 12/16/29	862		65
			2,842
Collateralized Mortgage Obligations — Non Agency Collateral Series (3.5%)
Bear Stearns Structured Products, Inc.
1.00%, 3/27/36	(e)141,304		5,633
1.91%, 7/27/36	(e)62,633		2,481
6.00%, 4/25/37	(e)78,400		3,054
Countrywide Alternative Loan Trust
1.83%, 2/25/47	(e)43,654		2,380
IO
1.54%, 2/25/37	13,841		731
1.70%, 9/25/46	34,943		1,737
1.73%, 12/20/35	(e)(h)15,923		434
1.78%, 3/20/46	13,872		639
1.85%, 8/25/46	(h)10,564		423
1.95%, 3/20/47	35,018		1,944
2.71%, 12/20/35	(e)(h)17,530		842
Countrywide Home Loan Mortgage Pass Through Trust
0.59%, 10/25/34	(h)12,062		245
Greenpoint Mortgage Funding Trust
1.10%, 8/25/45	10,144		309
1.86%, 6/25/45	11,767		357
Harborview Mortgage Loan Trust
IO
0.97%, 6/19/35	(h)10,741		243
1.26%, 5/19/35	(h)15,287		365
1.63%, 3/19/37	(h)13,063		576
1.69%, 7/19/46	(h)22,658		818
PO
3/19/37	6		5
7/19/47	@—		@—
Harborview NIM Corp.
Zero Coupon, 10/20/45	(e)3,001		1,917
Indymac Index Mortgage Loan Trust
IO
0.91%, 7/25/35	$	(h)13,911	$	441
Residential Accredit Loans, Inc.
Zero Coupon, 4/25/47	(e)25,000		1,438
			27,012
Industrials (0.3%)
Echostar DBS Corp.
6.38%, 10/1/11	580		585
6.63%, 10/1/14	45		45
Hyatt Equities LLC
6.88%, 6/15/07	(e)360		361
Pilgrim’s Pride Corp.
7.63%, 5/1/15	730		732
9.63%, 9/15/11	335		350
Starwood Hotels & Resorts Worldwide, Inc.
7.38%, 5/1/07	100		100
			2,173
Municipal Bonds (93.8%)
Abilene, TX Health Facilities Development Corp. SAVRS Revenue Bonds (MBIA)
3.60%, 9/19/25	(h)(n)12,050		12,050
Alameda, CA Unified School District General Obligation Bonds (FSA)
Zero Coupon, 8/1/33	9,915		3,032
Aldine Independent School District General Obligation Bonds (PSFG)
5.00%, 2/15/13	3,040		3,241
Allegheny County, PA Industrial Development Authority Revenue Bonds
4.75%, 12/1/32	525		548
Austin, TX Convention Enterprises, Inc., Revenue Bonds
6.70%, 1/1/28	400		441
Austin, TX Water & Wastewater System Revenue Bonds (MBIA)
5.25%, 11/15/13	4,100		4,436
Badger TOB Asset Securitization Corp., WI, Revenue Bonds
6.13%, 6/1/27	1,145		1,224
Berks County, PA, General Obligation Bonds (FGIC)
Zero Coupon, 5/15/19 - 11/15/20	2,250		1,316
Brazos River Authority, TX Pollution Collateral Revenue Bonds
5.40%, 10/1/29	325		334
Brunswick County, NC, General Obligation Bonds (FGIC)
5.00%, 5/1/17	1,700		1,808
Bucks County, PA Water & Sewer Authority Special Obligation Bonds
5.50%, 2/1/08	5		5
Butler & Sedgwick Counties, KS Unified School District General Obligation Bonds (FSA)
5.85%, 9/1/17	1,375		1,471

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

75

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
California State Department of Water Resources Power Supply Revenue Bonds (MBIA)
5.25%, 5/1/12	$	2,200	$	2,364
California State General Obligation Bonds
5.25%, 2/1/14	1,375		1,486
California State Public Works Board Revenue Bonds
5.25%, 6/1/13	1,150		1,243
5.50%, 6/1/15	1,275		1,402
Camden, AL Industrial Development Board Revenue Bonds
6.13%, 12/1/24	625		684
Carbon County, PA Industrial Development Authority Revenue Bonds
6.65%, 5/1/10	230		239
Carrollton, TX General Obligation Bonds (FSA)
5.13%, 8/15/16	1,470		1,550
Center Township, PA Sewer Authority Revenue Bonds (MBIA)
Zero Coupon, 4/15/17	615		410
Central Michigan University Revenue Bonds (AMBAC)
3.60%, 10/1/32	(h)4,700		4,700
Central Michigan University Revenue Bonds (FGIC)
3.35%, 10/1/15	(h)(n)9,750		9,750
Chandler, AZ Industrial Development Authority Revenue Bonds
4.38%, 12/1/35	1,400		1,421
Charleston County, SC Hospital Facilities Revenue Bonds SAVRS, University Medical Associates (MBIA)
3.60%, 5/15/27	(h)10,600		10,600
Chelsea, MA Lease Revenue Bonds (FSA)
3.65%, 6/6/23	(h)(n)6,200		6,200
Chelsea, MA Lease Revenue Bonds Series B SAVRS (FSA)
3.45%, 6/13/23	(h)2,400		2,400
Cherokee County, GA School Systems, General Obligation Bonds (MBIA)
5.00%, 8/1/13	1,000		1,072
Chicago, IL Board of Education General Obligation Bonds (XLCA)
3.57%, 3/1/22	(h)(n)12,525		12,525
Chicago, IL General Obligation Bonds (FGIC)
Zero Coupon, 1/1/19	4,000		2,443
Children’s Trust Fund Revenue Bonds
5.38%, 5/15/33	1,875		1,962
5.75%, 7/1/20	735		761
Citizens Property Insurance Corp., FL Revenue Bonds (MBIA)
5.00%, 3/1/12	3,000		3,171
Clark County, NV School District General Obligation Bonds (AMBAC)
4.50%, 6/15/11	14,000		14,437
Clark County, WA School District No. 117 Camas General Obligation Bonds (FSA)
5.00%, 12/1/13	$	1,500	$	1,609
Clark County, WA School District No. 114 Evergreen General Obligation Bonds (FSA)
5.00%, 6/1/13	2,500		2,669
Clear Creek, TX Independent School District (PSFG)
5.65%, 2/15/19	1,000		1,054
Coachella Valley Unified School District, CA General Obligation Bonds (FGIC)
Zero Coupon, 8/1/30	1,000		350
Colorado E470 Public Highway Authority Revenue Bonds (MBIA)
Zero Coupon, 9/1/29	(n)18,900		7,000
Colorado Educational & Cultural Facilities Authority Revenue Bonds (MBIA)
4.38%, 3/1/14	1,400		1,447
4.50%, 3/1/15	1,600		1,660
4.60%, 3/1/16	1,000		1,040
Colorado Health Facilities Authority Revenue Bonds
Zero Coupon, 7/15/20	1,000		567
Colorado Health Facilities Authority Revenue Bonds SAVRS	(h)3,450		3,450
3.55%, 10/29/20
Commerce, CA Energy Authority Revenue Bonds (MBIA)	1,355		1,404
5.25%, 7/1/09
Cook County, IL School District General Obligation Bonds (MBIA)
Zero Coupon, 12/1/22	4,125		2,102
Council Rock, PA School District General Obligation Bonds (MBIA)
5.00%, 11/15/19	1,285		1,356
Cranberry Township, PA General Obligation Bonds (FGIC)
4.80%, 12/1/18	1,310		1,362
Crandall, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 8/15/19 - 8/15/21	4,315		2,414
Crisp County Development Authority Revenue Bonds
5.55%, 2/1/15	200		215
Crowley TX Independent School District General Obligation Bonds (PSFG)
5.00%, 8/1/10 - 8/1/11	3,350		3,503
Crown Point, IN Multi-School Building Corp. Revenue Bonds (MBIA)
Zero Coupon, 1/15/24	5,200		2,504
Cypress-Fairbanks, TX Independent School District General Obligation Bonds (PSFG)
4.80%, 2/15/19	1,650		1,701
Dallas, TX Area Rapid Transit Revenue Bonds (AMBAC)
5.00%, 12/1/11	1,915		2,021
Dallas, TX Waterworks & Sewer Systems Revenue Bonds (AMBAC)
5.00%, 10/1/12 - 10/1/13	15,000		16,032

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

76

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Dallas County, TX Utility & Reclamation District SAVRS General Obligations Bonds (AMBAC)
3.50%, 2/15/29	$	(h)(n)17,950	$	17,950
Delaware County, PA Industrial Development Authority Revenue Bonds
6.50%, 1/1/08	200		203
Delta County, MI Economic Development Corp.
Revenue Bonds
6.25%, 4/15/27	450		502
Denton, TX Utility System Revenue Bonds (AMBAC)
5.00%, 12/1/16	1,865		1,953
Detroit, MI City School District General Obligation Bonds (FGIC)
5.15%, 5/1/22	2,500		2,693
Director of the State of Nevada Department of Business & Industry Revenue Bonds
5.63%, 12/1/26	1,100		1,218
Director of the State of Nevada Department of Business & Industry Revenue Bonds (AMBAC)
Zero Coupon, 1/1/21 - 1/1/23	3,845		2,011
Dover, PA Area School District General Obligation Bonds (FGIC)
5.00%, 4/1/16	1,000		1,046
Duncanville Independent School District, TX, General Obligation Bonds (PSFG)
Zero Coupon, 2/15/22	4,000		2,095
Eagle, IN - Union Middle School Building Revenue Bonds (AMBAC)
4.90%, 7/5/16	1,000		1,043
5.00%, 7/5/17	1,500		1,573
Eanes, TX Independent School District General Obligation Bonds (PSFG)
4.80%, 8/1/19	1,365		1,415
East Porter County, IN School Building Corp. Revenue Bonds (MBIA)
4.70%, 7/15/12	1,025		1,049
Edgewood, TX Independent School District (PSFG)
4.75%, 8/15/16	1,310		1,365
4.85%, 8/15/17	880		913
Elizabeth Forward, PA School District (MBIA)
Zero Coupon, 9/1/11	1,250		1,055
Essex County, NJ Utility Authority Revenue Bonds (FSA)
4.80%, 4/1/14	1,005		1,025
Eureka Union School District, CA General Obligation Bonds (MBIA)
Zero Coupon, 8/1/28 - 8/1/30	5,090		1,847
Everett, WA Water & Sewer Revenue Bonds (MBIA)
5.00%, 7/1/13	1,630		1,742
Fort Wayne Hospital Authority, IN Revenue Bonds (MBIA)
4.70%, 11/15/11	1,100		1,135
Fort Worth, TX Water & Sewer Revenue Bonds (FSA)
3.44%, 2/15/24	(h)12,850		12,850
Frisco, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 8/15/20 - 8/15/22	$	6,260	$	3,369
Geneva, IL Industrial Development Revenue Bonds (FSA)
4.80%, 5/1/19	1,705		1,767
Georgetown County, SC Pollution Control Facility Revenue Bonds
5.13%, 2/1/12	725		755
Gilliam County, OR Solid Waste Disposal Revenue Bonds
4.88%, 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		585
Grand Prairie, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 2/15/14	2,240		1,703
Grapevine, TX Certificates of Obligation General Obligation Bonds (FGIC)
5.75%, 8/15/17	1,000		1,066
Greenwood, SC Fifty School Facilities, Inc., Installment Purchase Revenue Bonds (AGC)
5.00%, 12/1/11	1,000		1,052
Gulf Coast Waste Disposal Authority, TX Revenue Bonds
4.55%, 4/1/12	830		837
Hawaii State Certificate of Participation General Obligation Bonds (AMBAC)
4.80%, 5/1/12	1,275		1,307
Hillsborough County, FL, Industrial Development Authority Pollution Control Revenue Bonds
4.00%, 5/15/18	(h)1,625		1,625
Houston, TX Community College Revenue Bonds, Northline Mall Campus Project (AMBAC)
4.00%, 4/15/11 - 4/15/12	2,865		2,900
Houston, TX General Obligation Bonds (MBIA)
5.00%, 3/1/12	3,400		3,595
Houston, TX Independent School District General Obligation Bonds (PSFG)
5.00%, 2/15/13	6,000		6,394
Houston, TX Revenue Bonds (MBIA)
5.25%, 5/15/11	2,000		2,117
Houston, TX Water & Sewer System Revenue Bonds (FSA)
Zero Coupon, 12/1/25	12,350		5,459
Illinois Development Finance Authority Revenue Bonds (FGIC)
Zero Coupon, 12/1/09	2,000		1,810
Illinois Educational Facilities Authority SAVRS Revenue Bonds (MBIA)
3.50%, 4/1/28	(h)11,500		11,500
Illinois Health Facilities Authority Revenue Bonds (MBIA)
5.00%, 11/15/12	1,000		1,022

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

77

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Illinois Health Facilities Authority Revenue Bonds SAVRS (AMBAC)
3.46%, 9/16/24	$	(h)(n)21,950	$	21,950
Indiana Port Commission Revenue Bonds
4.10%, 5/1/12	3,450		3,450
Indiana State Development Finance Authority Revenue Bonds
4.70%, 10/1/31	(h)100		101
Indiana State University Revenue Bonds (FGIC)
5.20%, 10/1/12	1,640		1,681
Indiana Transportation Finance Authority Highway Revenue Bonds (AMBAC)
Zero Coupon, 12/1/16	1,695		1,144
Intermountain Power Agency, UT Power Supply Revenue Bonds
Zero Coupon, 7/1/17	1,750		1,134
Iowa Finance Authority Revenue Bonds, Private University, Drake University Project (CIFG)
5.00%, 4/1/13	1,210		1,286
Irving, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 2/15/13	1,945		1,542
Kane & De Kalb Counties, IL Community Unit School District General Obligation Bonds (AMBAC)
Zero Coupon, 12/1/09	725		656
Kent State University, OH Revenue Bonds SAVRS (MBIA)
3.39%, 5/1/32	(h)(n)9,275		9,275
King County, WA General Obligation Bonds (MBIA)
5.00%, 12/1/19	1,075		1,129
Lake County, IL Community Consolidated School District General Obligation Bonds (FGIC)
Zero Coupon, 12/1/19 - 12/1/21	12,775		7,113
Lakeview, MI Public School District General Obligation Bonds
5.00%, 5/1/16	1,060		1,113
Lancaster, TX Independent School District General Obligation Bonds (FSA)
Zero Coupon, 2/15/09	1,795		1,673
Lewisville, TX Independent School District General Obligation Bonds (FGIC)
4.00%, 8/15/10	4,905		4,959
Long Beach, CA Community College District General Obligation Bonds (FGIC)
Zero Coupon, 5/1/14	2,465		1,867
Long Island, NY Power Authority Electric System Revenue Bonds (FSA)
Zero Coupon, 6/1/16	3,700		2,577
Madera, CA Unified School District General Obligation Bonds (FGIC)
Zero Coupon, 8/1/26 - 8/1/28	7,000		2,863
Madison & Jersey Counties, IL Unit School District General Obligation Bonds (FSA)
Zero Coupon, 12/1/20	2,900		1,615
Maine Health & Higher Educational Facilities Authority, ME SAVRS Revenue Bonds (FGIC)
3.47%, 7/1/14	$	(h)(n)5,625	$	5,625
Maricopa County, AZ Pollution Control
2.90%, 6/1/35	1,600		1,563
4.00%, 1/1/38	350		350
Maryland State Economic Development Corp. Revenue Bonds
7.50%, 12/1/14	350		382
Massachusetts State Health & Educational Facilities Authority Revenue Bonds (MBIA)
3.50%, 10/1/33	(h)11,900		11,900
Massachusetts State Development Financing Agency Resource Recovery Revenue Bonds
6.90%, 12/1/29	250		266
Massachusetts State Health & Educational Facilities Authority Revenue Bonds (AMBAC)
4.80%, 7/1/12	1,665		1,706
Massachusetts State Health & Educational Facilities Authority Revenue Bonds (MBIA)
3.50%, 10/1/22	(h)5,800		5,800
Massachusetts State Water Reserve Authority Revenue Bonds, SAVRS (AMBAC)
3.39%, 4/1/29	(h)(n)19,775		19,775
Maury County, TN Industrial Development Board Solid Waste Disposal Revenue Bonds
6.30%, 8/1/18	1,075		1,127
Memphis, TN Electric System Revenue Bonds (XLCA)
3.44%, 12/1/18	(h)(n)4,000		4,000
Memphis-Shelby County, TN Airport Authority Special Facilities Revenue Bonds, Federal Express Corp.
5.00%, 9/1/09	850		864
Memphis-Shelby County, TN Sports Authority Inc. Revenue Bonds, Memphis Arena Project (MBIA)
5.00%, 11/1/13	1,410		1,516
Merced City, CA School District General Obligation Bonds (MBIA)
Zero Coupon, 8/1/28 - 8/1/29	4,665		1,736
Metropolitan Pier & Exposition Authority, IL Dedicated State Tax Revenue Bonds (MBIA)
Zero Coupon, 6/15/20 - 12/15/23	5,175		2,856
Michigan City, IN Area-Wide School Building Corp. Revenue Bonds (FGIC)
Zero Coupon, 1/15/17 - 1/15/20	6,750		4,261
Michigan State Building Authority Revenue Bonds (MBIA)
5.25%, 10/1/10 - 10/1/11	3,000		3,172
Michigan State Strategic Fund, Solid Waste Management Project Revenue Bonds
4.63%, 12/1/12	275		279
Midland, TX Independent School District General Obligation Bonds (FGIC)
5.95%, 3/1/18	1,225		1,302
Milwaukee, WI Sewer Revenue Bonds (AMBAC)
4.88%, 6/1/19	2,070		2,144

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

78

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Montana State Health Facilities Authority Revenue Bonds (AMBAC)
3.50%, 2/15/17	$	(h)1,800	$	1,800
Montour, PA School District General Obligation Bonds (MBIA)
Zero Coupon, 1/1/13	300		239
Morton Grove, IL General Obligation Bonds (FGIC)
4.50%, 12/1/13	1,480		1,497
Mount San Antonio Community College District, CA General Obligation Bonds (MBIA)
Zero Coupon, 8/1/16 - 8/1/17	27,555		18,448
Municipal Electric Authority, GA Revenue Bonds, Combustion Turbine Project (XLCA)
3.45%, 11/1/29	(h)2,000		2,000
Nassau County, NY Improvement Bonds General Obligation Bonds (FSA)
6.00%, 3/1/17	1,275		1,360
Nevada Housing Division Revenue Bonds (FHA)
5.30%, 4/1/28	5		5
New Jersey Economic Development Authority Revenue Bonds
Zero Coupon, 4/1/12	625		518
New Orleans, LA Audubon Commission General Obligation Bonds (FSA)
5.00%, 10/1/13	1,695		1,803
New York City, NY Industrial Development Agency
Revenue Bonds (FSA)
6.00%, 11/1/15	1,485		1,487
New York State Dormitory Authority Revenue Bonds (FSA)
5.10%, 2/15/11	2,075		2,131
Noblesville, IN High School Building Corp.
5.00%, 1/10/12 - 7/10/13	4,880		5,197
Noblesville, IN High School Building Corp. Revenue Bonds (AMBAC)
Zero Coupon, 2/15/19	1,850		1,121
Norman, OK Regional Hospital Authority SAVRS Revenue Bonds (MBIA)
3.50%, 9/1/22	(h)4,350		4,350
North Carolina Municipal Power Agency, Electric Revenue Bonds
6.63%, 1/1/10	850		910
North Side, IN High School Building Corp. Revenue Bonds (FSA)
5.25%, 7/15/13	2,910		3,149
North Slope Borough, AK General Obligation Bonds (MBIA)
Zero Coupon, 6/30/12	2,900		2,365
Norwalk-LA Mirada, CA Unified School District General Obligation Bonds (FGIC)
Zero Coupon, 8/1/25	8,900		3,978
Ohio State Higher Educational Facility Commission (Denison University) Revenue Bonds (AMBAC)
3.39%, 12/1/34	(h)(n)8,800		8,800
Ohio State Solid Waste Revenue Bonds
4.25%, 4/1/33	$	700	$	686
Okemos, MI Public School District General Obligation Bonds (MBIA)
Zero Coupon, 5/1/15	900		653
Orange County, FL Health Facilities Authority Revenue Bonds (MBIA)
3.57%, 10/15/26	(h)5,400		5,400
Ouachita Parish, LA West Ouachita Parish School District Revenue Bonds (MBIA)
4.70%, 9/1/14	1,020		1,051
Pajaro Valley, CA Unified School District Certificate Partnership General Obligation Bonds (FSA)
Zero Coupon, 8/1/27	2,220		898
Palm Beach County, FL School Board COP
5.00%, 8/1/11 - 8/1/12	7,770		8,209
Pearland, TX Independent School District General Obligation Bonds (PSFG)
4.88%, 2/15/19	1,425		1,498
Penn Hills Municipality, PA General Obligation Bonds
Zero Coupon, 6/1/12 - 12/1/13	2,115		1,647
Pennsylvania Convention Center Authority Revenue Bonds (FGIC)
6.70%, 9/1/16	500		579
Pennsylvania State Financing Authority School Revenue Bonds, Aliquippa School District
Zero Coupon, 6/1/12	685		554
Pennsylvania State Public School Building Authority, Marple Newtown School District Project Revenue Bonds (MBIA)
4.60%, 3/1/15	1,065		1,103
4.70%, 3/1/16	715		743
Philadelphia, PA Water & Wastewater Revenue Bonds (AMBAC)
5.00%, 8/1/11 - 8/1/13	8,005		8,476
Piedmont, SC Municipal Power Agency Revenue Bonds (AMBAC)
Zero Coupon, 1/1/31 - 1/1/32	22,300		7,497
Pittsburgh, PA Water & Sewer Authority Water & Sewer System Revenue Bonds (FSA)
5.00%, 9/1/13	1,000		1,071
Pittsburgh, PA Stadium Authority Lease Revenue Bonds
6.50%, 4/1/11	130		137
Port Authority, NY & NJ Special Obligation Revenue Bonds
7.00%, 10/1/07	100		101
Rescue Union School District, CA General Obligation Bonds (MBIA)
Zero Coupon, 9/1/27	2,000		806
Richardson, TX Hotel Occupancy Certificates of Obligation General Obligation Bonds (FGIC)
5.75%, 2/15/17	1,405		1,484
Richland County, SC Revenue Bonds
6.10%, 4/1/23	725		791

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

79

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Rincon Valley, CA Union School District General Obligation Bonds (FGIC)
Zero Coupon, 8/1/32 - 8/1/35	$	9,675	$	2,906
Riverside, CA Electric Revenue Bonds (MBIA)
5.00%, 10/1/11 - 10/1/12	3,380		3,596
Robinson Township, PA Municipal Authority Revenue Bonds
6.90%, 5/15/18	100		109
Rockport, IN Pollution Control Revenue Bonds SAVRS
4.90%, 6/1/25	(h)455		456
Saginaw Valley State University, MI Revenue Bonds SAVRS (MBIA)
3.45%, 7/1/31	(h)10,700		10,700
Saginaw, MI Hospital Financing Authority Revenue Bonds (MBIA)
5.38%, 7/1/19	1,265		1,315
Sam Rayburn, TX Municipal Power Agency Revenue Bonds
6.00%, 10/1/21	650		688
San Antonio County, TX Parking System Revenue Bonds (AMBAC)
5.50%, 8/15/17	700		734
Sanger, TX Independent School District General Obligation Bonds (PSFG)
Zero Coupon, 2/15/19 - 2/15/22	4,265		2,381
Santa Ana, CA Unified School District General Obligation Bonds (FGIC)
Zero Coupon, 8/1/19 - 8/1/20	5,475		3,201
Scranton-Lackawanna, PA Health & Welfare Authority Revenue Bonds
6.63%, 7/1/09	45		46
Seminole County, FL School Board COP (AMBAC)
5.00%, 7/1/11 - 7/1/12	6,750		7,116
Spring, TX Independent School District General Obligation Bonds (PSFG)
5.00%, 8/15/19	1,760		1,842
State of Hawaii General Obligation Bonds (AMBAC)
5.00%, 4/1/13	8,290		8,874
Steel Valley, PA School District, Allegheny County General Obligation Bonds
Zero Coupon, 11/1/11 - 11/1/17	1,820		1,376
Texas State Turnpike Authority Revenue Bonds (AMBAC)
Zero Coupon, 8/15/18	5,700		3,542
Tobacco Securitization Authority of Northern California, Asset Backed Revenue Bonds, Series A-1
4.75%, 6/1/23	6,165		6,141
Tobacco Settlement Authority of Washington, Asset Backed Revenue Bonds
6.50%, 6/1/26	925		1,013
Tobacco Settlement Financing Corp., LA, Asset Backed Revenue Bonds
5.50%, 5/15/30	1,350		1,410
Tobacco Settlement Financing Corp., NJ, Asset Backed Revenue Bonds
4.38%, 6/1/19	$	640	$	642
Tobacco Settlement Financing Corp., RI, Asset Backed Revenue Bonds
6.00%, 6/1/23	1,575		1,678
Toledo-Lucas County, OH Port Authority Revenue Bonds
6.45%, 12/15/21	900		1,091
Tomball, TX Independent School District General Obligation Bonds (PSFG)
4.75%, 2/15/15	1,205		1,242
Union Elementary School District, CA General Obligation Bonds (MBIA)
Zero Coupon, 9/1/27 - 9/1/28	8,000		3,206
University of Arkansas Revenue Bonds (FSA)
4.90%, 12/1/19	2,315		2,433
University of Massachusetts Building Authority Revenue Bonds (AMBAC)
5.25%, 11/1/11	2,100		2,241
University of Southern Indiana, IN Revenue Bonds (AMBAC)
5.00%, 10/1/09	1,095		1,131
University Of Utah COP (AMBAC)
5.00%, 12/1/11 - 12/1/13	4,040		4,297
Upper Darby Township, PA General Obligation Bonds (AMBAC)
Zero Coupon, 7/15/11	525		445
Utah County, UT Environmental Improvement Revenue Bonds
5.05%, 11/1/17	170		179
Vancouver, WA Water & Sewer Revenue Bonds (MBIA)
4.60%, 6/1/13	1,000		1,009
Vermont Educational & Health Buildings Funding Agency SAVRS Revenue Bonds (FGIC)
3.44%, 9/12/13	(h)7,950		7,950
Victor Elementary School District, CA General Obligation Bonds (FGIC)
Zero Coupon, 2/1/30	2,100		752
Virginia State Peninsula Regional Jail Authority Revenue Bonds (MBIA)
5.00%, 10/1/12 - 10/1/13	2,705		2,881
Waco, TX Educational Finance Corp. Revenue Bonds SAVRS
3.50%, 2/1/32	(h)(n)12,000		12,000
Wake County Industrial Facilities & Pollution Control Financing Authority, NC Revenue Bonds (AMBAC)
3.50%, 5/1/24	(h)8,400		8,400
Warren, MI Consolidated School District General Obligation Bonds
4.15%, 5/1/14	1,000		1,019
Washington State Health Care Facilities Revenue Bonds (FSA)
4.70%, 10/1/11	1,075		1,100

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

80

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

	Face
	Amount		Value
	(000)		(000)
Municipal Bonds (cont’d)
Washington State Health Care Facilities (Fred Hutchinson) SAVRS Revenue Bonds (AMBAC)
3.50%, 1/1/27	$	(h)7,800	$	7,800
3.55%, 1/1/33	(h)11,850		11,850
Washington State Health Care Facilities Authority Revenue Bonds (AMBAC)
5.13%, 11/15/11	1,000		1,032
Washington State Motor Vehicle Fuel Facilities General Obligation Bonds (AMBAC)
Zero Coupon, 6/1/14 - 6/1/16	8,160		5,911
Washington State Recreational Facilities General Obligation Bonds (FGIC)
Zero Coupon, 1/1/17	6,900		4,614
Washoe County, NV General Obligation Bonds (FSA)
Zero Coupon, 7/1/18	4,235		2,646
Wayne State University, MI Revenue Bonds SAVRS (AMBAC)
3.60%, 11/15/32	(h)(n)5,600		5,600
West Contra Costa Unified School District, CA General Obligation Bonds (FGIC)
Zero Coupon, 8/1/25 - 8/1/27	23,200		9,795
West Ottawa Public School District, MI General Obligation Bonds
5.00%, 5/1/21	850		904
West Virginia School Building Authority Revenue Bonds (FGIC)
5.00%, 7/1/11 - 7/1/12	8,135		8,592
West Virginia University Revenue Bonds (AMBAC)			��
Zero Coupon, 4/1/22 - 4/1/24	2,000		1,004
Western Michigan University, MI SAVRS Revenue Bonds (AMBAC)
3.60%, 11/15/32	(h)(n)9,550		9,550
Western Michigan University, MI SAVRS Revenue Bonds (MBIA)
3.60%, 11/22/30	(h)(n)9,800		9,800
Will County, IL Community High School District No. 210 General Obligation Bonds, Lincoln Way School Building (FGIC)
5.00%, 1/1/11	1,155		1,209
William S. Hart Union High School District, CA General Obligation Bonds (FSA)
Zero Coupon, 9/1/21 - 9/1/28	18,290		9,100
Winnebago County, IL School District General Obligation Bonds (FSA)
Zero Coupon, 1/1/14	3,600		2,752
Wisconsin State Health & Educational Facilities Authority Revenue Bonds (AMBAC)
5.63%, 2/15/12	1,000		1,081
York County, PA Hospital Authority Revenue Bonds SAVRS (AMBAC)
3.44%, 7/1/21	(h)7,800		7,800
Ypsilanti, MI School District General Obligation Bonds (FGIC)
4.70%, 5/1/12	1,115		1,137
			728,771
Total Fixed Income Securities (Cost $735,708)			$	760,798

	No. of
	Contracts
Put Options Purchased (0.1%)
90 Day EuroDollar
6/07 @ $94.25	1,601	8
6/07 @ $94.50	219	1
6/07 @ $94.75	3,413	555
9/07 @ $94.75	1,774	275
12/07 @ $94.50	165	7
Total Put Options Purchased (Cost $1,777)		846

	Shares
Preferred Stocks (3.7%)
Finance (3.7%)
ABN AMRO North America Capital Funding
Trust I	(e)5,875	6,092
Federal Home Loan Mortgage Corp.	88,000	4,660
Goldman Sachs Group, Inc.	121,000	3,175
International Lease Finance Corp.	31	3,100
Pitney Bowes International Holdings, Inc.	34	3,402
Preferred Pass-Through Trust 2006	(e)3,700,000	3,700
US Bancorp	178,000	4,651
Total Preferred Stocks (Cost $28,208)		28,780
Short-Term Investments (6.2%)
Investment Company (1.5%)
Dreyfus Basic Municipal Money Market Fund	11,355	11,355

	Face
	Amount
	(000)
Repurchase Agreement (4.5%)
J.P. Morgan Securities, Inc., 5.28%,
dated 3/30/07, due 4/2/07, repurchase price $35,078	$	(f)35,063	35,063
U.S. Treasury Security (0.2%)
U.S. Treasury Bills
4.98%, 07/12/07	(j)2,000		1,973
Total Short-Term Investments (Cost $48,390)			48,391
Total Investments (108.0%) (Cost $814,083)			838,815
Liabilities in Excess of Other Assets (-8.0%)			(61,961)
Net Assets (100%)			$	776,854

(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.

81

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Municipal Portfolio

(f)	Represents the Portfolio’s agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(j)	All or a portion of the security was pledged to cover margin requirements for futures contracts.
(n)	All or a portion of the security was pledged to cover securities sold short.
@	Face Amount/Value 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, 2007.
IO	Interest Only
PAC	Planned Amortization Class
PO	Principal Only
AMBAC	Ambac Assurance Corp.
AGC	Assured Guaranty Corp.
CIFG	CDC IXIS Financial Guaranty
COP	Certificate of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Administration
FSA	Financial Security Assurance Inc.
MBIA	MBIA Insurance Corp.
PSFG	Permanent School Fund Guaranteed
SAVRS	Semi-Annual Variable Rate Security
XLCA	XL 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	2,512	$	271,610	Jun-07	$	632

	Face
	Amount		Value
	(000)		(000)
Securities Sold Short - Debt Instruments
Federal National Mortgage Association, April TBA
5.50%, 4/25/37
(Total Proceeds $168,557)	$	169,800	$	168,049

TBA         To Be Announced

Graphic Presentation of Portfolio Holdings

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

*      Investment types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

82

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities

				Equities			Mid Cap			U.S. Mid
	Balanced			Plus			Growth			Cap Value
	Portfolio			Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	270,262		$	27,625		$	2,045,761		$	135,589
Foreign Currency, at Cost:	—			—			1			—
Investments in Securities of Unaffiliated Issuers, at Value:(1)	309,220			27,459			2,390,537			157,059
Foreign Currency, at Value:	—			—			1			—
Cash	224			46			@—			1
Receivable for Forward Commitments	5,111			12,372			—			—
Due from Broker	2,019			—			—			—
Receivable for Portfolio Shares Sold	454			—			3,034			205
Receivable for Investments Sold	3,461			6			1,312			249
Unrealized Appreciation on Swap Agreements	42			6			—			—
Unrealized Appreciation on Foreign Currency Exchange Contracts	97			—			—			—
Dividends Receivable	209			—			1,099			133
Interest Receivable	471			141			20			2
OtherAssets	5			@—			42			1
Total Assets	321,313			40,030			2,396,045			157,650
Liabilities:
Collateral on Securities Loaned, at Value	7,691			—			—			—
Payable for Delayed Delivery Commitments	10,141			—			—			—
Payable for Investments Purchased	1,800			49			22,358			879
Due To Broker	—			10			—			—
Unrealized Depreciation on Foreign Currency Exchange Contracts	19			—			—			—
Unrealized Depreciation on Swap Agreements	94			1			—			—
Payable for Portfolio Shares Redeemed	320			—			946			21
Payable for Investment Advisory Fees	346			7			2,854			274
Payable for Administration Fees	20			2			158			11
Payable for Custodian Fees	28			1			61			12
Payable for Trustees’ Fees and Expenses	8			—			29			22
Payable for Distribution Fees — Adviser Class	6			@—			237			3
Payable for Securities Sold Short, at Value (Proceeds $12,377)	—			12,348			—			—
Payable for Shareholder Servicing Fees — Investment Class	1			—			—			@—
Other Liabilities	50			38			224			43
Total Liabilities	20,524			12,456			26,867			1,265
Net Assets	$	300,789		$	27,574		$	2,369,178		$	156,385
Net Assets Consist Of:
Paid-in Capital	$	296,650		$	26,742		$	2,669,124		$	294,463
Undistributed (Distributions in Excess of) Net Investment Income	113			435			1,660			244
Accumulated Net Realized Gain (Loss)	(34,889		)	768			(646,382		)	(159,792		)
Unrealized Appreciation (Depreciation) on:
Investments	38,958			(166		)	344,776			21,470
Foreign Currency Exchange Contracts and Translations	78			—			—			—
Futures Contracts	(69		)	(239		)	—			—
Securities Sold Short	—			29			—			—
Swap Agreements	(52		)	5			—			—
Net Assets	$	300,789		$	27,574		$	2,369,178		$	156,385

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

83

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities (cont’d)

			Equities		Mid Cap		U.S. Mid
	Balanced		Plus		Growth		Cap Value
	Portfolio		Portfolio		Portfolio		Portfolio
	(000)		(000)		(000)		(000)
INSTITUTIONAL CLASS:
Net Assets	$	267,834	$	27,059	$	1,241,855	$	137,977
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	19,974,024		2,626,694		44,229,994		4,156,018
Net Asset Value, Offering and Redemption Price Per Share	$	13.41	$	10.30	$	28.08	$	33.20
INVESTMENT CLASS:
Net Assets	$	4,517	$	—	$	—	$	3,237
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	337,355		—		—		97,936
Net Asset Value, Offering and Redemption Price Per Share	$	13.39	$	—	$	—	$	33.05
ADVISER CLASS:
Net Assets	$	28,438	$	515	$	1,127,323	$	15,171
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	2,125,034		50,000		41,195,876		458,924
Net Asset Value, Offering and Redemption Price Per Share	$	13.38	$	10.29	$	27.36	$	33.06
(1) Including:
Repurchase Agreements, at Value:	$	26,606	$	2,550	$	69,453	$	6,434
Securities on Loan, at Value:	$	13,213	$	—	$	—	$	—

@    Amount is less than $500.

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

84

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities

	U.S. Small						Core Fixed				Core Plus
	Cap Value			Value			Income				Fixed Income
	Portfolio			Portfolio			Portfolio				Portfolio
	(000)			(000)			(000)				(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	702,269		$	538,225		$	344,425			$	3,122,018
Foreign Currency, at Cost:	—			—			—				@—
Investments in Securities of Unaffiliated Issuers, at Value:(1)	865,206			606,375			342,814				3,109,096
Foreign Currency, at Value:	—			—			—				@—
Cash	@—			1			—				13,406
Receivable for Portfolio Shares Sold	293			308			48				2,585
Receivable For Forward Commitments	—			—			11,943				140,469
Due from Broker	—			—			192				1,692
Interest Receivable	15			4			1,292				13,727
Unrealized Appreciation on Swap Agreements	—			—			452				2,831
Receivable for Investments Sold	—			4,231			913				9,405
Dividends Receivable	635			949			—				—
OtherAssets	18			6			6				43
Total Assets	866,167			611,874			357,660				3,293,254
Liabilities:
Collateral on Securities Loaned, at Value	—			18,781			20,548				269,343
Payable for Delayed Delivery Commitments	—			—			20,728				256,443
Payable for Investments Purchased	2,346			1,312			1,774				56,839
Unrealized Depreciation on Foreign Currency Exchange Contracts	—			—			—				674
Unrealized Depreciation on Swap Agreements	—			—			398				1,711
Payable for Portfolio Shares Redeemed	397			242			114				889
Payable for Bank Overdraft	—			—			27				—
Payable for Investment Advisory Fees	1,353			745			249				2,159
Payable for Administration Fees	57			40			21				184
Payable for Custodian Fees	19			21			9				53
Payable for Trustees’ Fees and Expenses	19			25			4				88
Payable for Distribution Fees — Adviser Class	10			44			2				27
Payable for Shareholder Servicing Fees — Investment Class	—			10			—				18
Other Liabilities	77			153			50				172
Total Liabilities	4,278			21,373			43,924				588,600
Net Assets	$		861,889	$		590,501	$		313,736		$		2,704,654
Net Assets Consist Of:
Paid-in Capital	$	658,750		$	506,943		$	315,033			$	2,797,402
Undistributed (Distributions in Excess of) Net Investment Income	742			2,454			840				(19,531			)
Accumulated Net Realized Gain (Loss)	39,460			12,954			(322			)	(61,326			)
Unrealized Appreciation (Depreciation) on:
Investments	162,937			68,150			(1,611			)	(12,922			)
Foreign Currency Exchange Contracts and Translations	—			—			—				(673			)
Futures Contracts	—			—			(258			)	584
Swap Agreements	—			—			54				1,120
Net Assets	$	861,889		$	590,501		$	313,736			$	2,704,654

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

85

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities (cont’d)

	U.S. Small				Core Fixed		Core Plus
	Cap Value		Value		Income		Fixed Income
	Portfolio		Portfolio		Portfolio		Portfolio
	(000)		(000)		(000)		(000)
INSTITUTIONAL CLASS:
Net Assets	$	813,358	$	301,569	$	303,098	$	2,435,542
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	29,692,131		16,733,610		28,108,548		212,419,084
Net Asset Value, Offering and Redemption Price Per Share	$	27.39	$	18.02	$	10.78	$	11.47
INVESTMENT CLASS:
Net Assets	$	—	$	79,262	$	—	$	141,140
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	—		4,391,833		—		12,313,130
Net Asset Value, Offering and Redemption Price Per Share	$	—	$	18.05	$	—	$	11.46
ADVISER CLASS:
Net Assets	$	48,531	$	209,670	$	10,638	$	127,972
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	1,779,346		11,651,451		992,147		11,175,496
Net Asset Value, Offering and Redemption Price Per Share	$	27.27	$	18.00	$	10.72	$	11.45
(1) Including:
Repurchase Agreements, at Value:	$	49,723	$	13,965	$	40,822	$	259,770
Securities on Loan, at Value:	$	—	$	18,537	$	19,914	$	287,205

@    Amount is less than $500.

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

86

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities

										Investment
				Intermediate			International			Grade Fixed
	High Yield			Duration			Fixed Income			Income
	Portfolio			Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	289,720		$	153,141		$	199,553		$	572,708
Foreign Currency, at Cost:	21			—			—			—
Investments in Securities of Unaffiliated Issuers, at Value:(1)	259,234			152,505			203,999			570,614
Foreign Currency, at Value:	21			—			—			—
Cash	260			18			@—			—
Receivable for Delayed Delivery Commitments	—			5,902			—			25,403
Due from Broker	—			—			1,785			619
Interest Receivable	3,728			732			2,743			2,303
Unrealized Appreciation on Foreign Currency Exchange Contracts	—			—			711			—
Unrealized Appreciation on Swap Agreements	—			17			—			455
Receivable for Investments Sold	12			6			227			1,551
Receivable for Portfolio Shares Sold	169			—			72			609
OtherAssets	3			2			4			8
Total Assets	263,427			159,182			209,541			601,562
Liabilities:
Collateral on Securities Loaned, at Value	49,300			—			—			26,989
Payable for Delayed Delivery Commitments	789			15,273			—			50,810
Payable for Investments Purchased	609			2			891			4,394
Due To Broker	21			57			—			—
Unrealized Depreciation on Foreign Currency Exchange Contracts	158			—			554			—
Unrealized Depreciation on Swap Agreements	59			20			—			702
Payable for Portfolio Shares Redeemed	42			74			43			381
Payable for Investment Advisory Fees	222			133			189			481
Payable for Administration Fees	14			10			14			36
Payable forBank Overdraft	—			—			—			108
Payable for Custodian Fees	7			6			27			13
Payable for Trustees’ Fees and Expenses	22			2			2			14
Payable for Distribution Fees — Adviser Class	1			—			—			@—
Payable for Shareholder Servicing Fees — Investment Class	—			17			—			—
Other Liabilities	61			45			52			54
Total Liabilities	51,305			15,639			1,772			83,982
Net Assets	$	212,122		$	143,543		$	207,769		$	517,580
Net Assets Consist Of:
Paid-in Capital	$	765,051		$	152,168		$	204,826		$	521,942
Undistributed (Distributions in Excess of) Net Investment Income	3,133			112			(2,001		)	(2,108		)
Accumulated Net Realized Gain (Loss)	(525,333		)	(8,166		)	263			495
Unrealized Appreciation (Depreciation) on:
Investments	(30,486		)	(636		)	4,446			(2,094		)
Foreign Currency Exchange Contracts and Translations	(153		)	—			200			—
Futures Contracts	(31		)	68			35			(408		)
Swap Agreements	(59		)	(3		)	—			(247		)
Net Assets	$	212,122		$	143,543		$	207,769		$	517,580

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

87

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities (cont’d)

							Investment
			Intermediate		International		Grade Fixed
	High Yield		Duration		Fixed Income		Income
	Portfolio		Portfolio		Portfolio		Portfolio
	(000)		(000)		(000)		(000)
INSTITUTIONAL CLASS:
Net Assets	$	206,406	$	8,042	$	207,769	$	516,889
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	19,180,469		795,175		19,968,704		46,408,856
Net Asset Value, Offering and Redemption Price Per Share	$	10.76	$	10.11	$	10.40	$	11.14
INVESTMENT CLASS:
Net Assets	$	—	$	135,501	$	—	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	—		13,443,967		—		—
Net Asset Value, Offering and Redemption Price Per Share	$	—	$	10.08	$	—	$	—
ADVISER CLASS:
Net Assets	$	5,716	$	—	$	—	$	691
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	529,317		—		—		62,044
Net Asset Value, Offering and Redemption Price Per Share	$	10.80	$	—	$	—	$	11.13
(1) Including:
Repurchase Agreements, at Value:	$	13,330	$	10,083	$	8,841	$	37,980
Securities on Loan, at Value:	$	48,378	$	—	$	—	$	26,372

@    Amount is less than $500.

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

88

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities

	Limited			Long Duration
	Duration			Fixed Income			Municipal
	Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	1,081,709		$	24,979		$	814,083
Investments in Securities of Unaffiliated Issuers, at Value:(1)	1,077,762			25,712			838,815
Cash	292			—			1,088
Receivable for Delayed Delivery Commitments	14,811			—			168,557
Interest Receivable	5,821			308			3,693
Unrealized Appreciation on Swap Agreements	560			1			5,453
Receivable for Investments Sold	—			—			336
Receivable for Portfolio Shares Sold	430			—			1,109
Dividends Receivable	—			—			99
OtherAssets	18			@—			14
Total Assets	1,099,694			26,021			1,019,164
Liabilities:
Payable for Delayed Delivery Commitments	33,438			—			43,488
Payable for Investments Purchased	671			—			24,311
Due to Broker	333			2			4,868
Unrealized Depreciation on Swap Agreements	211			1			604
Payable for Portfolio Shares Redeemed	626			—			180
Payable for Investment Advisory Fees	789			3			695
Payable for Administration Fees	72			2			52
Payable for Custodian Fees	20			2			18
Payable for Trustees’ Fees and Expenses	3			—			2
Payable for Bank Overdraft	—			4			—
Payable for Distribution Fees — Adviser Class	—			@—			—
Payable for Securities Sold Short, at Value (Proceeds $168,557)	—			—			168,049
Other Liabilities	105			38			43
Total Liabilities	36,268			52			242,310
Net Assets	$	1,063,426		$	25,969		$	776,854
Net Assets Consist Of:
Paid-in Capital	$	1,089,681		$	25,000		$	746,735
Undistributed (Distributions in Excess of) Net Investment Income	4,557			301			628
Accumulated Net Realized Gain (Loss)	(27,414		)	(58		)	(1,230		)
Unrealized Appreciation (Depreciation) on:
Investments	(3,947		)	733			24,732
Futures Contracts	200			(7		)	632
Securities Sold Short	—			—			508
Swap Agreements	349			@—			4,849
Net Assets	$	1,063,426		$	25,969		$	776,854

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

89

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities (cont’d)

	Limited		Long Duration
	Duration		Fixed Income		Municipal
	Portfolio		Portfolio		Portfolio
	(000)		(000)		(000)
INSTITUTIONAL CLASS:
Net Assets	$	1,063,426	$	25,450	$	776,854
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	103,143,586		2,450,000		60,332,413
Net Asset Value, Offering and Redemption Price Per Share	$	10.31	$	10.39	$	12.88
INVESTMENT CLASS:
Net Assets	$	—	$	—	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	—		—		—
Net Asset Value, Offering and Redemption Price Per Share	$	—	$	—	$	—
ADVISER CLASS:
Net Assets	$	—	$	519	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	—		50,000		—
Net Asset Value, Offering and Redemption Price Per Share	$	—	$	10.38	$	—
(1) Including:
Repurchase Agreements, at Value:	$	9,934	$	15	$	35,063
Securities on Loan, at Value:	$	—	$	—	$	—

@    Amount is less than $500.

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

90

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2007

				Equities			Mid Cap			U.S. Mid		U.S. Small
	Balanced			Plus			Growth			Cap Value		Cap Value
	Portfolio			Portfolio			Portfolio			Portfolio		Portfolio
	(000)			(000)			(000)			(000)		(000)
Investment Income:
Dividends†	$	1,786		$	—		$	11,092		$	1,019	$	3,433
Interest	2,707			975			1,430			226		1,098
Total Investment Income	4,493			975			12,522			1,245		4,531
Expenses:
Investment Advisory Fees (Note B)	700			51			5,550			535		2,671
Administration Fees (Note C)	125			11			888			60		324
Custodian Fees (Note E)	29			2			55			13		19
Shareholder Reporting Fees	34			3			222			9		135
Professional Fees	27			28			76			15		35
Proxy Fees	5			—			280			—		275
Shareholder Servicing Fees — Investment Class Shares (Note D)	3			—			—			2		—
Distribution Fees — Adviser Class Shares (Note D)	41			1			1,364			18		42
Transfer Agency Fees (Note F)	6			3			17			9		6
Trustees’ Fees and Expenses	4			@—			20			3		8
Other Expenses	32			27			95			34		59
Total Expenses	1,006			126			8,567			698		3,574
Waiver of Investment Advisory Fees (Note B)	—			(42		)	—			—		—
Expense Offset (Note E)	@—			(2		)	@—			@—		@—
Net Expenses	1,006			82			8,567			698		3,574
Net Investment Income (Loss)	3,487			893			3,955			547		957
Realized Gain (Loss):
Investments Sold	10,046			(72		)	144,497			12,567		53,063
Foreign Currency Transactions	(12		)	—			(84		)	—		—
Futures Contracts	(63		)	2,112			—			103		—
Swap Agreements	327			4			—			—		—
Net Realized Gain (Loss)	10,298			2,044			144,413			12,670		53,063
Change in Unrealized Appreciation (Depreciation):
Investments	8,458			(167		)	90,198			6,775		66,894
Foreign Currency Exchange Contracts and Translations	184			—			—			—		—
Futures Contracts	(420		)	(806		)	—			—		—
Securities Sold Short	—			39			—			—		—
Swap Agreements	(68		)	1			—			—		—
Net Change in Unrealized Appreciation (Depreciation)	8,154			(933		)	90,198			6,775		66,894
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	18,452			1,111			234,611			19,445		119,957
Net Increase (Decrease) in Net Assets Resulting from Operations	$	21,939		$	2,004		$	238,566		$	19,992	$	120,914

†Net of $7 and $135, foreign withholding tax for the Balanced and Mid Cap Growth Portfolios, respectively.

@Amount is less than $500.

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

91

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2007

			Core			Core Plus
			Fixed			Fixed						Intermediate
	Value		Income			Income			High Yield			Duration
	Portfolio		Portfolio			Portfolio			Portfolio			Portfolio
	(000)		(000)			(000)			(000)			(000)
Investment Income:
Dividends	$	6,981	$	17		$	358		$	@—		$	4
Interest†	573		7,728			67,954			8,802			3,760
Total Investment Income	7,554		7,745			68,312			8,802			3,764
Expenses:
Investment Advisory Fees (Note B)	1,484		583			4,317			463			273
Administration Fees (Note C)	238		124			1,052			88			58
Custodian Fees (Note E)	24		10			57			8			7
Shareholder Reporting Fees	49		30			130			40			18
Professional Fees	31		21			102			26			19
Shareholder Servicing Fees — Investment Class Shares (Note D)	57		—			107			@—			103
Distribution Fees — Adviser Class Shares (Note D)	255		13			156			7			—
Transfer Agency Fees (Note F)	10		4			12			7			3
Trustees’ Fees and Expenses	8		3			36			4			2
Proxy Fees	33		58			107			117			1
Other Expenses	53		34			115			29			25
Total Expenses	2,242		880			6,191			789			509
Waiver of Investment Advisory Fees (Note B)	—		(89		)	—			—			—
Expense Offset (Note E)	@—		(1		)	(5		)	@—			@—
Net Expenses	2,242		790			6,186			789			509
Net Investment Income (Loss)	5,312		6,955			62,126			8,013			3,255
Realized Gain (Loss):
Investments Sold	15,924		684			14,755			2,483			(111		)
Foreign Currency Transactions	—		—			490			114			—
Futures Contracts	—		1,690			9,025			84			381
Swap Agreements	—		933			12,470			(7		)	5
Net Realized Gain (Loss)	15,924		3,307			36,740			2,674			275
Change in Unrealized Appreciation (Depreciation):
Investments	20,254		(577		)	(14,817		)	2,332			361
Foreign Currency Exchange Contracts and Translations	—		—			(671		)	(193		)	—
Futures Contracts	—		(1,965		)	(8,345		)	48			(417		)
Swap Agreements	—		(101		)	(2,162		)	(40		)	3
Net Change in Unrealized Appreciation (Depreciation)	20,254		(2,643		)	(25,995		)	2,147			(53		)
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	36,178		664			10,745			4,821			222
Net Increase (Decrease) in Net Assets Resulting from Operations	$	41,490	$	7,619		$	72,871		$	12,834		$	3,477

†Net of $ @— foreign withholding tax for the Core Plus Fixed Income Portfolio.

@Amount is less than $500.

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

92

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2007

										Long
				Investment						Duration		��
	International			Grade Fixed			Limited			Fixed
	Fixed Income			Income			Duration			Income			Municipal
	Portfolio			Portfolio			Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)			(000)			(000)
Investment Income:
Dividends	$	—		$	39		$	10		$	—		$	839
Interest†	3,113			12,738			28,402			662			13,689
Total Investment Income	3,113			12,777			28,412			662			14,528
Expenses:
Investment Advisory Fees (Note B)	379			975			1,602			49			1,346
Administration Fees (Note C)	81			208			427			10			287
Custodian Fees (Note E)	28			13			22			2			15
Shareholder Reporting Fees	24			28			87			7			28
Professional Fees	21			28			54			21			31
Distribution Fees — Adviser Class Shares (Note D)	—			1			—			1			—
Transfer Agency Fees (Note F)	3			5			2			3			4
Trustees’ Fees and Expenses	2			7			9			@—			7
Proxy Fees	78			19			196			@—			9
Other Expenses	23			37			57			11			42
Total Expenses	639			1,321			2,456			104			1,769
Waiver of Investment Advisory Fees (Note B)	—			—			—			(37		)	—
Waiver of Distribution Fees — Advisor Class Shares (Note D)	—			@—			—			—			—
Expense Offset (Note E)	@—			(1		)	(3		)	(1		)	@—
Net Expenses	639			1,320			2,453			66			1,769
Net Investment Income (Loss)	2,474			11,457			25,959			596			12,759
Realized Gain (Loss):
Investments Sold	583			698			(792		)	27			110
Foreign Currency Transactions	(98		)	—			—			—			—
Futures Contracts	(32		)	2,783			(975		)	(4		)	2,177
Swap Agreements	—			2,912			(959		)	2			69
Net Realized Gain (Loss)	453			6,393			(2,726		)	25			2,356
Change in Unrealized Appreciation (Depreciation):
Investments	3,147			(953		)	2,094			(241		)	(1,568		)
Foreign Currency Exchange Contracts and Translations	390			—			—			—			—
Futures Contracts	35			(3,114		)	841			(11		)	(1,236		)
Securities Sold Short	—			—			—			—			613
Swap Agreements	—			(746		)	883			@—			2,125
Net Change in Unrealized Appreciation (Depreciation)	3,572			(4,813		)	3,818			(252		)	(66		)
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	4,025			1,580			1,092			(227		)	2,290
Net Increase (Decrease) in Net Assets Resulting from Operations	$	6,499		$	13,037		$	27,051		$	369		$	15,049

†Net of $2 foreign withholding tax for the International Fixed Income Portfolio.

@Amount is less than $500.

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

93

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets

	Balanced						Equities Plus						Mid Cap Growth
	Portfolio						Portfolio						Portfolio
	Six Months			Year Ended			Six Months			Period Ended			Six Months			Year Ended
	Ended March			September			Ended March			September			Ended March			September
	31, 2007			30,			31, 2007			30,			31, 2007			30,
	(unaudited)			2006			(unaudited)			2006^			(unaudited)			2006
	(000)			(000)			(000)			(000)			(000)			(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	3,487		$	5,769		$	893		$	535		$	3,955		$	(4,667	)
Net Realized Gain (Loss)	10,298			24,876			2,044			(308		)	144,413			150,838
Net Change in Unrealized Appreciation (Depreciation)	8,154			(7,443		)	(933		)	562			90,198			(34,400		)
Net Increase (Decrease) in Net Assets Resulting from Operations	21,939			23,202			2,004			789			238,566			121,105
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(3,069		)	(5,898		)	(859		)	(147		)	(4,826		)	—
Net Realized Gain	—			—			(919		)	—			—			—
Investment Class:
Net Investment Income	(45		)	(86		)	—			—			—			—
Adviser Class:
Net Investment Income	(373		)	(761		)	(16		)	(3		)	(2,109		)	—
Net Realized Gain	—			—			(18		)	—			—			—
Total Distributions	(3,487		)	(6,745		)	(1,812		)	(150		)	(6,935		)	—
Capital Share Transactions:(1)
Institutional Class:
Subscribed	32,023			91,029			1,501			25,465			244,188			493,188
Distributions Reinvested	3,065			5,886			74			—			4,628			—
Redeemed	(40,125		)	(91,232		)	(797		)	—			(122,010		)	(303,382		)
Investment Class:
Subscribed	114			216			—			—			—			—
Distributions Reinvested	45			86			—			—			—			—
Redeemed	—			(127		)	—			—			—			—
Adviser Class:
Subscribed	1,708			5,388			—			500			211,111			459,373
Distributions Reinvested	373			762			—			—			2,084			—
Redeemed	(12,592		)	(9,038		)	—			—			(224,474		)	(440,176		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	(15,389		)	2,970			778			25,965			115,527			209,003
Redemption Fees	@—			@—			—			—			14			19
Total Increase (Decrease) in Net Assets	3,063			19,427			970			26,604			347,172			330,127
Net Assets:
Beginning of Period	297,726			278,299			26,604			—			2,022,006			1,691,879
End of Period	$	300,789		$	297,726		$	27,574		$	26,604		$	2,369,178		$	2,022,006
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	113		$	1,510		$	435		$	417		$	1,660		$	4,640

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

94

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets (cont’d)

		Balanced				Equities Plus			Mid Cap Growth
		Portfolio				Portfolio			Portfolio
		Six Months		Year Ended		Six Months		Period Ended	Six Months		Year Ended
		Ended March		September		Ended March		September	Ended March		September
		31, 2007		30,		31, 2007		30,	31, 2007		30,
		(unaudited)		2006		(unaudited)		2006^	(unaudited)		2006
		(000)		(000)		(000)		(000)	(000)		(000)
(1)	Capital Share Transactions:
	Institutional Class:
	Shares Subscribed	2,439		7,514		143		2,552	8,809		19,562
	Shares Issued on Distributions Reinvested	237		484		7		—	170		—
	Shares Redeemed	(3,024	)	(7,485	)	(75	)	—	(4,478	)	(11,916	)
	Net Increase (Decrease in Institutional) Class Shares Outstanding	(348	)	513		75		2,552	4,501		7,646
	Investment Class:
	Shares Subscribed	9		18		—		—	—		—
	Shares Issued on Distributions Reinvested	3		7		—		—	—		—
	Shares Redeemed	—		(10	)	—		—	—		—
	Net Increase (Decrease) in Investment Class Shares Outstanding	12		15		—		—	—		—
	Adviser Class:
	Shares Subscribed	130		442		—		50	7,831		18,713
	Shares Issued on Distributions Reinvested	29		63		—		—	79		—
	Shares Redeemed	(958	)	(756	)	—		—	(8,310	)	(17,884	)
	Net Increase (Decrease) in Adviser Class Shares Outstanding	(799	)	(251	)	—		50	(400	)	829

^Equities Plus Portfolio commenced operations on April 26, 2006.

@Amount is less than $500.

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

95

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets

	U.S. Mid Cap Value						U.S. Small Cap Value						Value
	Portfolio						Portfolio						Portfolio
	Six Months			Year Ended			Six Months			Year Ended			Six Months			Year Ended
	Ended March			September			Ended March			September			Ended March			September
	31, 2007			30,			31, 2007			30,			31, 2007			30,
	(unaudited)			2006			(unaudited)			2006			(unaudited)			2006
	(000)			(000)			(000)			(000)			(000)			(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	547		$	967		$	957		$	2,382		$	5,312		$	14,992
Net Realized Gain (Loss)	12,670			22,333			53,063			70,110			15,924			150,265
Net Change in Unrealized Appreciation (Depreciation)	6,775			(4,622		)	66,894			24,779			20,254			(54,946		)
Net Increase (Decrease) in Net Assets Resulting from Operations	19,992			18,678			120,914			97,271			41,490			110,311
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(910		)	(935		)	(2,134		)	(4,962		)	(3,592		)	(6,240		)
Net Realized Gain	—			—			(78,066		)	(32,618		)	(28,754		)	(21,707		)
Investment Class:
Net Investment Income	(15		)	(36		)	—			—			(786		)	(1,159		)
Net Realized Gain	—			—			—			—			(7,060		)	(4,260		)
Adviser Class:
Net Investment Income	(68		)	(106		)	(17		)	(105		)	(2,036		)	(13,749		)
Net Realized Gain	—			—			(2,990		)	(1,102		)	(18,579		)	(79,388		)
Total Distributions	(993		)	(1,077		)	(83,207		)	(38,787		)	(60,807		)	(126,503		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	15,152			35,071			57,290			423,362			27,852			60,716
Distributions Reinvested	871			903			79,964			37,251			27,171			23,658
Redeemed	(12,819		)	(60,948		)	(76,193		)	(156,849		)	(50,950		)	(83,459		)
Investment Class:
Subscribed	463			1,871			—			—			14,566			11,824
Distributed Reinvested	14			35			—			—			7,846			5,419
Redeemed	(196		)	(5,609		)	—			—			(6,807		)	(11,982		)
Adviser Class:
Subscribed	3,106			5,771			20,544			5,575			21,482			47,095
Distributions Reinvested	67			104			3,006			1,207			20,533			93,062
Redeemed	(3,009		)	(20,701		)	(3,072		)	(7,929		)	(13,260		)	(1,033,702		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	3,649			(43,503		)	81,539			302,617			48,433			(887,369		)
Redemption Fees	@—			1			7			4			2			8
Total Increase (Decrease) in Net Assets	22,648			(25,901		)	119,253			361,105			29,118			(903,553		)
Net Assets:
Beginning of Period	133,737			159,638			742,636			381,531			561,383			1,464,936
End of Period	$	156,385		$	133,737		$	861,889		$	742,636		$	590,501		$	561,383
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	244		$	690		$	742		$	1,936		$	2,454		$	3,556

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

96

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets (cont’d)

		U.S. Mid Cap Value				U.S. Small Cap Value				Value
		Portfolio				Portfolio				Portfolio
		Six Months		Year Ended		Six Months		Year Ended		Six Months		Year Ended
		Ended March		September		Ended March		September		Ended March		September
		31, 2007		30,		31, 2007		30,		31, 2007		30,
		(unaudited)		2006		(unaudited)		2006		(unaudited)		2006
		(000)		(000)		(000)		(000)		(000)		(000)
(1)	Capital Share Transactions:
	Institutional Class:
	Shares Subscribed	470		1,292		2,126		17,434		1,516		3,403
	Shares Issued on Distributions Reinvested	27		34		3,049		1,576		1,525		1,362
	Shares Redeemed	(397	)	(2,264	)	(2,800	)	(6,266	)	(2,770	)	(4,706	)
	Net Increase (Decrease) in Institutional Class Shares Outstanding	100		(938	)	2,375		12,744		271		59
	Investment Class:
	Shares Subscribed	14		72		—		—		776		663
	Shares Issued on Distributions Reinvested	#—		1		—		—		440		312
	Shares Redeemed	(6	)	(204	)	—		—		(372	)	(678	)
	Net Increase (Decrease) in Investment Class Shares Outstanding	8		(131	)	—		—		844		297
	Adviser Class:
	Shares Subscribed	97		216		765		221		1,159		2,627
	Shares Issued on Distributions Reinvested	2		4		115		51		1,153		5,371
	Shares Redeemed	(94	)	(784	)	(114	)	(324	)	(729	)	(60,250	)
	Net Increase (Decrease) in Adviser Class Shares Outstanding	5		(564	)	766		(52	)	1,583		(52,252	)

@Amount is less than $500.

#Amount is less than 500 shares.

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

97

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets

	Core Fixed									Core Plus Fixed								High Yield
	Income Portfolio									Income Portfolio								Portfolio
	Six Months					Year Ended				Six Months				Year Ended				Six Months					Year Ended
	Ended March					September				Ended March				September				Ended March					September
	31, 2007					30,				31, 2007				30,				31, 2007					30,
	(unaudited)					2006				(unaudited)				2006				(unaudited)					2006
	(000)					(000)				(000)				(000)				(000)					(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	6,955				$		8,949		$		62,126		$	106,191			$			8,013		$	16,593
Net Realized Gain (Loss)	3,307					1,483				36,740				13,012				2,674					(4,637			)
Net Change in Unrealized Appreciation (Depreciation)	(2,643				)	(156			)	(25,995			)	(19,741			)	2,147					1,683
Net Increase (Decrease) in Net Assets Resulting from Operations	7,619					10,276				72,871				99,462				12,834					13,639
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(7,704				)	(11,417			)	(74,891			)	(115,657			)	(9,449				)	(16,732			)
Net Realized Gain	—					(2,265			)	—				—				—					—
Investment Class:
Net Investment Income	—					—				(4,542			)	(15,864			)	—					(20			)
Net Realized Gain	—					—				—				—				—					—
Adviser Class:
Net Investment Income	(247				)	(486			)	(3,876			)	(6,254			)	(177				)	(408			)
Net Realized Gain	—					(102			)	—				—				—					—
Total Distributions	(7,951				)	(14,270			)	(83,309			)	(137,775			)	(9,626				)	(17,160			)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	20,823					130,146				262,147				502,531				10,706					95,830
Distributions Reinvested	7,694					13,660				68,696				106,805				8,910					16,107
Redeemed	(25,097				)	(60,428			)	(200,185			)	(371,452			)	(42,462				)	(78,251			)
Investment Class:
Subscribed	—					—				3,977				100,710				—					3,434
Distributions Reinvested	—					—				4,536				15,855				—					20
Redeemed	—					—				(9,683			)	(273,854			)	(896				)	(3,788			)
Adviser Class:
Subscribed	1,484					1,860				10,864				28,690				2,861					4,975
Distributions Reinvested	247					588				3,846				6,189				159					377
Redeemed	(892				)	(2,327			)	(12,832			)	(19,359			)	(1,814				)	(7,155			)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	4,259					83,499				131,366				96,115				(22,536				)	31,549
Redemption Fees	@—					@—				1				6				1					@—
Total Increase (Decrease) in Net Assets	3,927					79,505				120,929				57,808				(19,327				)	28,028
Net Assets:
Beginning of Period	309,809					230,304				2,583,725				2,525,917				231,449					203,421
End of Period	$		313,736			$	309,809			$		2,704,654		$	2,583,725			$	212,122				$		231,449
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$			840		$	3,665			$	(19,531		)	$		34,506		$		3,133			$		4,746

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

98

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets (cont’d)

		Core Fixed				Core Plus Fixed				High Yield
		Income Portfolio				Income Portfolio				Portfolio
		Six Months		Year Ended		Six Months		Year Ended		Six Months		Year Ended
		Ended March		September		Ended March		September		Ended March		September
		31, 2007		30,		31, 2007		30,		31, 2007		30,
		(unaudited)		2006		(unaudited)		2006		(unaudited)		2006
		(000)		(000)		(000)		(000)		(000)		(000)
(1)	Capital Share Transactions†:
	Institutional Class:
	Shares Subscribed	1,948		12,248		23,016		44,104		996		9,113
	Shares Issued on Distributions Reinvested	721		1,277		6,062		9,394		853		1,550
	Shares Redeemed	(2,343	)	(5,614	)	(17,559	)	(32,539	)	(3,993	)	(7,472	)
	Net Increase (Decrease) in Institutional Class Shares Outstanding	326		7,911		11,519		20,959		(2,144	)	3,191
	Investment Class:
	Shares Subscribed	—		—		349		8,779		—		325
	Shares Issued on Distributions Reinvested	—		—		400		1,391		—		2
	Shares Redeemed	—		—		(854	)	(24,341	)	(83	)	(353	)
	Net Increase (Decrease) in Investment Class Shares Outstanding	—		—		(105	)	(14,171	)	(83	)	(26	)
	Adviser Class:
	Shares Subscribed	139		174		953		2,508		270		471
	Shares Issued on Distributions Reinvested	23		55		340		545		15		36
	Shares Redeemed	(84	)	(217	)	(1,129	)	(1,698	)	(169	)	(680	)
	Net Increase (Decrease) in Adviser Class Shares Outstanding	78		12		164		1,355		116		(173	)

@Amount is less than $500.

†Capital share transactions prior to November 13, 2006 for the High Yield Portfolio have been restated to reflect the effect of a reverse stock split as described in the Notes to Financial Statements.

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

99

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets

	Intermediate Duration						International Fixed Income						Investment Grade Fixed
	Portfolio						Portfolio						Income Portfolio
	Six Months			Year Ended			Six Months			Year Ended			Six Months			Year Ended
	Ended March			September			Ended March			September			Ended March			September
	31, 2007			30,			31, 2007			30,			31, 2007			30,
	(unaudited)			2006			(unaudited)			2006			(unaudited)			2006
	(000)			(000)			(000)			(000)			(000)			(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$	3,255		$	10,730		$	2,474		$	3,120		$	11,457		$	18,318
Net Realized Gain (Loss)	275			(6,969		)	453			2,075			6,393			4,974
Net Change in Unrealized Appreciation (Depreciation)	(53		)	976			3,572			(3,592		)	(4,813		)	(4,464		)
Net Increase (Decrease) in Net Assets Resulting from Operations	3,477			4,737			6,499			1,603			13,037			18,828
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(257		)	(349		)	(4,284		)	(6,814		)	(16,569		)	(24,331		)
Net Realized Gain	—			—			(928		)	(680		)	—			(2,329		)
Investment Class:
Net Investment Income	(4,008		)	(10,127		)	—			—			—			—
Adviser Class:
Net Investment Income	—			—			—			—			(22		)	(54		)
Net Realized Gain	—			—			—			—			—			(5		)
Total Distributions	(4,265		)	(10,476		)	(5,212		)	(7,494		)	(16,591		)	(26,719		)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	32			1,777			29,699			96,944			63,703			155,208
Distributions Reinvested	206			292			4,988			7,288			16,019			25,701
Redeemed	(972		)	(2,575		)	(23,864		)	(60,593		)	(84,966		)	(146,904		)
Investment Class:
Subscribed	3,974			100,709			—			—			—			—
Distributions Reinvested	4,008			10,127			—			—			—			—
Redeemed	(7,938		)	(273,807		)	—			—			—			—
Adviser Class:
Subscribed	—			—			—			—			2			30
Distributions Reinvested	—			—			—			—			21			54
Redeemed	—			—			—			—			(106		)	(464		)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	(690		)	(163,477		)	10,823			43,639			(5,327		)	33,625
Redemption Fees	—			—			—			—			3			@—
Total Increase (Decrease) in Net Assets	(1,478		)	(169,216		)	12,110			37,748			(8,878		)	25,734
Net Assets:
Beginning of Period	145,021			314,237			195,659			157,911			526,458			500,724
End of Period	$	143,543		$	145,021		$	207,769		$	195,659		$	517,580		$	526,458
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	112		$	1,693		$	(2,001	)	$	(191	)	$	(2,108	)	$	7,208

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

100

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets (cont’d)

		Intermediate Duration				International Fixed Income				Investment Grade Fixed
		Portfolio				Portfolio				Income Portfolio
		Six Months		Year Ended		Six Months		Year Ended		Six Months		Year Ended
		Ended March		September		Ended March		September		Ended March		September
		31, 2007		30,		31, 2007		30,		31, 2007		30,
		(unaudited)		2006		(unaudited)		2006		(unaudited)		2006
		(000)		(000)		(000)		(000)		(000)		(000)
(1)	Capital Share Transactions:
	Institutional Class:
	Shares Subscribed	3		175		2,885		9,441		5,765		13,985
	Shares Issued on Distributions Reinvested	20		29		483		727		1,451		2,314
	Shares Redeemed	(96	)	(255	)	(2,311	)	(5,863	)	(7,650	)	(13,186	)
	Net Increase (Decrease) in Institutional Class Shares Outstanding	(73	)	(51	)	1,057		4,305		(434	)	3,113
	Investment Class:
	Shares Subscribed	394		9,961		—		—		—		—
	Shares Issued on Distributions Reinvested	398		1,006		—		—		—		—
	Shares Redeemed	(791	)	(27,436	)	—		—		—		—
	Net Increase (Decrease) in Investment Class Shares Outstanding	1		(16,469	)	—		—		—		—
	Adviser Class:
	Shares Subscribed	—		—		—		—		#—		3
	Shares Issued on Distributions Reinvested	—		—		—		—		2		5
	Shares Redeemed	—		—		—		—		(9	)	(43	)
	Net Increase (Decrease) in Adviser Class Shares Outstanding	—		—		—		—		(7	)	(35	)

@Amount is less than $500.

#Amount is less than 500 shares.

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

101

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets

										Long Duration
	Limited Duration									Fixed Income							Municipal
	Portfolio									Portfolio							Portfolio
	Six Months				Year Ended					Six Months				Period Ended			Six Months				Year Ended
	Ended March				September					Ended March				September			Ended March				September
	31, 2007				30,					31, 2007				30,			31, 2007				30,
	(unaudited)				2006					(unaudited)				2006^			(unaudited)				2006
	(000)				(000)					(000)				(000)			(000)				(000)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)	$		25,959		$	45,797				$	596			$	225		$	12,759			$	17,908
Net Realized Gain (Loss)	(2,726			)	(6,573				)	25				(2		)	2,356				4,008
Net Change in Unrealized Appreciation (Depreciation)	3,818				4,691					(252			)	978			(66			)	9,926
Net Increase (Decrease) in Net Assets Resulting from Operations	27,051				43,915					369				1,201			15,049				31,842
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(29,974			)	(44,031				)	(510			)	—			(13,976			)	(21,892			)
Net Realized Gain	—				—					(79			)	—			—				—
Adviser Class:
Net Investment Income	—				—					(10			)	—			—				—
Net Realized Gain	—				—					(2			)	—			—				—
Total Distributions	(29,974			)	(44,031				)	(601			)	—			(13,976			)	(21,892			)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	68,774				359,275					—				24,500			150,927				260,411
Distributions Reinvested	29,969				43,998					—				—			13,534				20,925
Redeemed	(110,361			)	(395,146				)	—				—			(50,842			)	(138,164			)
Adviser Class:
Subscribed	—				—					—				500			—				—
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	(11,618			)	8,127					—				25,000			113,619				143,172
Redemption Fees	—				—					—				—			@—				1
Total Increase (Decrease) in Net Assets	(14,541			)	8,011					(232			)	26,201			114,692				153,123
Net Assets:
Beginning of Period	1,077,967				1,069,956					26,201				—			662,162				509,039
End of Period	$	1,063,426			$		1,077,967			$		25,969		$	26,201		$		776,854		$		662,162
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	4,557			$			8,572		$		301		$	225		$		628		$		2,523
(1)  Capital Share Transactions:
Institutional Class:
Shares Subscribed	6,679				34,896					—				2,450			11,747				20,547
Shares Issued on Distributions Reinvested	2,915				4,282					—				—			1,054				1,655
Shares Redeemed	(10,716			)	(38,408				)	—				—			(3,958			)	(10,913			)
Net Increase (Decrease) in Institutional Class Shares Outstanding	(1,122			)	770					—				2,450			8,843				11,289
Adviser Class:
Shares Subscribed	—				—					—				50			—				—
Net Increase (Decrease) in Adviser Class Shares Outstanding	—				—					—				50			—				—

^The Long Duration Fixed Income Portfolio commenced operations on July 21, 2006.

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

102

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Cash Flows

For the Six Months Ended March 31, 2007

				Core			Core Plus
				Fixed			Fixed
	Balanced			Income			Income
	Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)
Cash Flows From Operating Activities:
Proceeds from Sales and Maturities of Investments	$	66,712		$	93,365		$	1,070,110
Purchases of Investments	(52,225		)	(95,282		)	(1,112,254		)
Proceeds from Sales of Delayed Delivery Commitments	23,511			29,892			499,064
Purchases of Delayed Delivery Commitments	(22,144		)	(32,337		)	(491,244		)
Net (Increase) Decrease in Short-Term Investments	(418		)	(1,654		)	(84,928		)
Net Realized Gain (Loss) on Foreign Currency Transactions	(12		)	—			490
Net Realized Gain (Loss) on Futures Contracts	(63		)	1,690			9,025
Net Realized Gain (Loss) on Swap Agreements	325			933			12,470
Net Investment Income	3,487			6,955			62,126
Adjustments to Reconcile Net Investment Income to Net Cash Provided by Operating Activities:
Net (Increase) Decrease in Receivables Related to Operations	7			(141		)	(632		)
Net Increase (Decrease) in Payables Related to Operations	38			(9		)	83
Accretion/Amortization of Discounts and Premiums	36			19			463
Net Cash Provided (Used) in Operating Activities	19,254			3,431			(35,557		)
Cash Flows from Financing Activities:
Proceeds from Portfolio Shares Sold	33,432			22,295			276,090
Payment on Portfolio Shares Redeemed	(52,541		)	(26,084		)	(222,457		)
Cash Dividends and Distributions Paid	(4		)	(10		)	(6,231		)
Net Cash Provided (Used) by Financing Activities	(19,113		)	(3,799		)	47,402
Net Increase (Decrease) in Cash	141			(368		)	11,845
Cash at Beginning of Period	83			341			1,561
Cash at End of Period	$	224		$	(27	)	$	13,406

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

103

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Cash Flows

For the Six Months Ended March 31, 2007

				Investment
	Intermediate			Grade Fixed			Limited
	Duration			Income			Duration
	Portfolio			Portfolio			Portfolio
	(000)			(000)			(000)
Cash Flows From Operating Activities:
Proceeds from Sales and Maturities of Investments	$	35,984		$	171,091		$	283,788
Purchases of Investments	(46,653		)	(141,602		)	(293,361		)
Proceeds from Sales of Delayed Delivery Commitments	32,842			108,027			85,771
Purchases of Delayed Delivery Commitments	(25,601		)	(114,146		)	(78,633		)
Net (Increase) Decrease in Short-Term Investments	4,409			(19,113		)	19,317
Net Realized Gain (Loss) on Futures Contracts	381			2,783			(975		)
Net Realized Gain (Loss) on Swap Agreements	6			2,912			(959		)
Net Investment Income	3.,255			11,457			25,959
Adjustments to Reconcile Net Investment Income to Net Cash Provided by Operating Activities:
Net (Increase) Decrease in Receivables Related to Operations	100			(178		)	45
Net Increase (Decrease) in Payables Related to Operations	9			(9		)	(68		)
Accretion/Amortization of Discounts and Premiums	37			56			557
Net Cash Provided (Used) in Operating Activities	4,769			21,278			41,441
Cash Flows from Financing Activities:
Proceeds from Portfolio Shares Sold	4,006			63,621			68,680
Payment on Portfolio Shares Redeemed	(8,839		)	(85,047		)	(110,449		)
Cash Dividends and Distributions Paid	(51		)	(551		)	(5		)
Net Cash Provided (Used) by Financing Activities	(4,884		)	(21,977		)	(41,774		)
Net Increase (Decrease) in Cash	(115		)	(699		)	(333		)
Cash at Beginning of Period	133			591			625
Cash at End of Period	$	18		$	(108	)	$	292

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

104

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Balanced Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	12.63		$	11.95		$	10.90		$	10.15		$	8.78		$	10.60
Income (Loss) from Investment Operations
Net Investment Income†	0.15			0.25			0.24			0.18			0.21			0.25
Net Realized and Unrealized Gain (Loss) on Investments	0.78			0.72			1.09			0.78			1.47			(1.75		)
Total from Investment Operations	0.93			0.97			1.33			0.96			1.68			(1.50		)
Distributions from and/or in Excess of:
Net Investment Income	(0.15		)	(0.29		)	(0.28		)	(0.21		)	(0.31		)	(0.32		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	13.41		$	12.63		$	11.95		$	10.90		$	10.15		$	8.78
Total Return	7.38		%‡	8.21		%	12.33		%	9.49		%	19.48		%	(14.60		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	267,834		$	256,754		$	236,730		$	203,889		$	262,960		$	250,796
Ratio of Expenses to Average Net Assets	0.62		%*	0.60		%	0.62		%	0.62		%	0.60		%	0.59		%
Ratio of Net Investment Income to Average Net Assets	2.26		%*	2.02		%	2.11		%	1.67		%	2.17		%	2.37		%
Portfolio Turnover Rate^	27		%‡	71		%	111		%	208		%	84		%	133		%

	Investment Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	12.61		$	11.93		$	10.89		$	10.13		$	8.76		$	10.61
Income (Loss) from Investment Operations
Net Investment Income†	0.14			0.23			0.22			0.17			0.18			0.23
Net Realized and Unrealized Gain (Loss) on Investments	0.78			0.72			1.08			0.78			1.48			(1.78		)
Total from Investment Operations	0.92			0.95			1.30			0.95			1.66			(1.55		)
Distributions from and/or in Excess of:
Net Investment Income	(0.14		)	(0.27		)	(0.26		)	(0.19		)	(0.29		)	(0.30		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	13.39		$	12.61		$	11.93		$	10.89		$	10.13		$	8.76
Total Return	7.32		%‡	8.07		%	12.09		%	9.43		%	19.28		%	(15.03		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	4,517		$	4,102		$	3,706		$	3,117		$	8,209		$	4,925
Ratio of Expenses to Average Net Assets	0.77		%*	0.75		%	0.77		%	0.77		%	0.75		%	0.74		%
Ratio of Net Investment Income to Average Net Assets	2.10		%*	1.87		%	1.95		%	1.59		%	2.02		%	2.22		%
Portfolio Turnover Rate^	27		%‡	71		%	111		%	208		%	84		%	133		%

†Per share amount is based on average shares outstanding.

††Amount is less than $0.005 per share.

‡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.

105

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Balanced Portfolio

	Adviser Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	12.61		$	11.93		$	10.88		$	10.13		$	8.77		$	10.57
Income (Loss) from Investment Operations
Net Investment Income†	0.14			0.22			0.22			0.15			0.18			0.22
Net Realized and Unrealized Gain (Loss) on Investments	0.76			0.72			1.08			0.78			1.46			(1.74		)
Total from Investment Operations	0.90			0.94			1.30			0.93			1.64			(1.52		)
Distributions from and/or in Excess of:
Net Investment Income	(0.13		)	(0.26		)	(0.25		)	(0.18		)	(0.28		)	(0.28		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	13.38		$	12.61		$	11.93		$	10.88		$	10.13		$	8.77
Total Return	7.18		%‡	7.96		%	12.05		%	9.27		%	19.12		%	(14.76		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	28,438		$	36,870		$	37,863		$	57,322		$	59,254		$	51,761
Ratio of Expenses to Average Net Assets	0.87		%*	0.85		%	0.87		%	0.87		%	0.85		%	0.84		%
Ratio of Net Investment Income to Average Net Assets	2.07		%*	1.77		%	1.90		%	1.42		%	1.92		%	2.12		%
Portfolio Turnover Rate^	27		%‡	71		%	111		%	208		%	84		%	133		%

†Per share amount is based on average shares outstanding.

††Amount is less than $0.005 per share.

‡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.

106

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Equities Plus Portfolio

	Institutional Class
	Six Months Ended			April 26, 2006^
	March 31, 2007			to September
Selected Per Share Data and Ratios	(unaudited)			30, 2006
Net Asset Value, Beginning of Period	$	10.22		$	10.00
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.34			0.21
Net Realized and Unrealized Gain (Loss) on Investments	0.44			0.07
Total from Investment Operations	0.78			0.28
Distributions from and/or in Excess of:
Net Investment Income	(0.34		)	(0.06		)
Net Realized and Unrealized Gain (Loss) on Investments	(0.36		)	—
Total from Investment Operations	(0.70		)	(0.06		)
Net Asset Value, End of Period	$	10.30		$	10.22
Total Return	7.63		%‡	2.93		%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	27,059		$	26,093
Ratio of Expenses to Average Net Assets (1)	0.60		%*	0.60		%*
Ratio of Net Investment Income (Loss) to Average Net Assets (1)	6.59		%*	4.97		%*
Portfolio Turnover Rate	19		%‡	9‡		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.92	%*	1.06	%*
Net Investment Income (loss) to Average Net Assets	6.27	%*	4.53	%*

	Adviser Class
	Six Months Ended		April 26, 2006^
	March 31, 2007		to September
Selected Per Share Data and Ratios	(unaudited)		30, 2006
Net Asset Value, Beginning of Period	$10.22		$10.00
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.33		0.20
Net Realized and Unrealized Gain (Loss) on Investments	0.42		0.08
Total from Investment Operations	0.75		0.28
Distributions from and/or in Excess of:
Net Investment Income	(0.32	)	(0.06	)
Net Realized and Unrealized Gain (Loss) on Investments	(0.36	)	—
Total from Investment Operations	(0.68	)	(0.06	)
Net Asset Value, End of Period	$10.29		$10.22
Total Return	7.61	%‡	2.79	%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$515		$511
Ratio of Expenses to Average Net Assets (2)	0.85	%*	0.85	%*
Ratio of Net Investment Income (Loss) to Average Net Assets (2)	6.33	%*	4.71	%*
Portfolio Turnover Rate	19	%‡	9	%‡

(2) Supplemental Information on the Ratios to Average Net Assets:
Ratio Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	1.17	%*	1.31	%*
Net Investment Income (loss) to Average Net Assets	6.01	%*	4.26	%*

^Commencement of operations

†Per share amount is based on average shares outstanding.

‡Not annualized

*Annualized

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

107

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Mid Cap Growth Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	25.21		$	23.54		$	18.52		$	15.42		$	11.65		$	14.80
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.07			0.09			(0.03		)	(0.04		)	(0.05		)	(0.05		)
Net Realized and Unrealized Gain (Loss) on Investments	2.92			1.58			5.05			3.14			3.82			(3.10		)
Total from Investment Operations	2.99			1.67			5.02			3.10			3.77			(3.15		)
Distributions from and/or in Excess of:
Net Investment Income	(0.12		)	—			—			—			—			—
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	28.08		$	25.21		$	23.54		$	18.52		$	15.42		$	11.65
Total Return	11.92		%	7.05		%#	27.11		%	20.10		%	32.36		%	(21.28		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,241,855		$	1,001,395		$	755,313		$	589,479		$	559,760		$	438,778
Ratio of Expenses to Average Net Assets	0.65		%*	0.63		%	0.62		%	0.63		%	0.64		%	0.65		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.48		%*	0.37		%	(0.12		)%	(0.23		)%	(0.37		)%	(0.35		)%
Portfolio Turnover Rate	35		%‡	65		%	115		%	147		%	180		%	221		%

	Adviser Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	24.54		$	22.97		$	18.12		$	15.13		$	11.45		$	14.59
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.03			0.03			(0.08		)	(0.08		)	(0.08		)	(0.09		)
Net Realized and Unrealized Gain (Loss) on Investments	2.84			1.54			4.93			3.07			3.76			(3.05		)
Total from Investment Operations	2.87			1.57			4.85			2.99			3.68			(3.14		)
Distributions from and/or in Excess of:
Net Investment Income	(0.05		)	—			—			—			—			—
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	27.36		$	24.54		$	22.97		$	18.12		$	15.13		$	11.45
Total Return	11.76		%	6.79		%#	26.77		%	19.76		%	32.14		%	(21.52		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,127,323		$	1,020,611		$	936,566		$	728,058		$	531,571		$	386,206
Ratio of Expenses to Average Net Assets	0.90		%*	0.88		%	0.87		%	0.88		%	0.89		%	0.90		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.23		%*	0.10		%	(0.37		)%	(0.48		)%	(0.62		)%	(0.60		)%
Portfolio Turnover Rate	35		%‡	65		%	115		%	147		%	180		%	221		%

†Per share amount is based on average shares outstanding.

††Amount is less than $0.005 per share.

‡Not Annualized

*Annualized

#The Adviser fully reimbursed the Portfolio for losses incurred resulting from the disposal of investments in violation of restrictions. The impact of this reimbursement is not reflected in the total return shown above. With this reimbursement, the total returns for the Institutional and Adviser Classes would have been 7.09% and 6.84%, respectively.

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

108

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

U.S. Mid Cap Value Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	29.09		$	25.65		$	21.13		$	18.07		$	13.50		$	16.91
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.12			0.20			0.11			0.12			0.02			(0.01		)
Net Realized and Unrealized Gain (Loss) on Investments	4.21			3.44			4.50			2.99			4.55			(3.38		)
Total from Investment Operations	4.33			3.64			4.61			3.11			4.57			(3.39		)
Distributions from and/or in Excess of:
Net Investment Income	(0.22		)	(0.20		)	(0.09		)	(0.05		)	—			(0.02		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	33.20		$	29.09		$	25.65		$	21.13		$	18.07		$	13.50
Total Return	14.91		%‡	14.27		%	21.86		%	17.23		%	33.85		%	(20.09		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	137,977		$	118,005		$	128,084		$	246,694		$	441,775		$	672,507
Ratio of Expenses to Average Net Assets	0.91		%*	0.90		%	0.87		%	0.90		%	0.88		%	0.89		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.76		%*	0.74		%	0.49		%	0.57		%	0.13		%	(0.05		)%
Portfolio Turnover Rate	41		%‡	66		%	72		%	146		%	138		%	145		%

	Investment Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	28.94		$	25.51		$	21.00		$	17.95		$	13.43		$	16.83
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.10			0.13			0.08			0.08			(0.01		)	(0.03		)
Net Realized and Unrealized Gain (Loss) on Investments	4.17			3.46			4.47			2.99			4.53			(3.37		)
Total from Investment Operations	4.27			3.59			4.55			3.07			4.52			(3.40		)
Distributions from and/or in Excess of:
Net Investment Income	(0.16		)	(0.16		)	(0.04		)	(0.02		)	—			—
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	33.05		$	28.94		$	25.51		$	21.00		$	17.95		$	13.43
Total Return	14.82		%‡	14.10		%	21.67		%	17.09		%	33.66		%	(20.20		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,237		$	2,588		$	5,611		$	8,886		$	13,004		$	33,100
Ratio of Expenses to Average Net Assets	1.06		%*	1.05		%	1.02		%	1.05		%	1.03		%	1.04		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.61		%*	0.50		%	0.33		%	0.42		%	(0.02		)%	(0.20		)%
Portfolio Turnover Rate	41		%‡	66		%	72		%	146		%	138		%	145		%

†Per share amount is based on average shares outstanding.

††Amount is less than $0.005 per share.

‡Not Annualized

*Annualized

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

109

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

U.S. Mid Cap Value Portfolio

	Adviser Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	28.94		$	25.48		$	20.99		$	17.95		$	13.44		$	16.87
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.08			0.13			0.04			0.07			(0.02		)	(0.05		)
Net Realized and Unrealized Gain (Loss) on Investments	4.19			3.43			4.47			2.97			4.53			(3.38		)
Total from Investment Operations	4.27			3.56			4.51			3.04			4.51			(3.43		)
Distributions from and/or in Excess of:
Net Investment Income	(0.15		)	(0.10		)	(0.02		)	(0.00		)††	—			—
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	33.06		$	28.94		$	25.48		$	20.99		$	17.95		$	13.44
Total Return	14.76		%‡	14.02		%	21.52		%	16.95		%	33.56		%	(20.33		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	15,171		$	13,144		$	25,943		$	55,340		$	84,733		$	99,553
Ratio of Expenses to Average Net Assets	1.16		%*	1.15		%	1.12		%	1.15		%	1.13		%	1.14		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.52		%*	0.48		%	0.18		%	0.32		%	(0.12		)%	(0.30		)%
Portfolio Turnover Rate	41		%‡	66		%	72		%	146		%	138		%	145		%

†      Per share amount is based on average shares outstanding.

††    Amount is less than $0.005 per share.

‡      Not Annualized

*      Annualized

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

110

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

U.S. Small Cap Value Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	26.22		$	24.41		$	22.26		$	18.19		$	14.04		$	15.16
Income (Loss) from Investment Operations
Net Investment Income (Loss)��	0.03			0.09			0.30			0.04			0.03			0.06
Net Realized and Unrealized Gain (Loss) on Investments	4.12			3.04			3.93			4.06			4.18			(1.10		)
Total from Investment Operations	4.15			3.13			4.23			4.10			4.21			(1.04		)
Distributions from and/or in Excess of:
Net Investment Income	(0.08		)	(0.17		)	(0.01		)	(0.03		)	(0.06		)	(0.05		)
Net Realized Gain	(2.90		)	(1.15		)	(2.07		)	—			—			(0.03		)
Total Distributions	(2.98		)	(1.32		)	(2.08		)	(0.03		)	(0.06		)	(0.08		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	27.39		$	26.22		$	24.41		$	22.26		$	18.19		$	14.04
Total Return	16.35		%‡	13.42		%	19.83		%	22.57		%	30.09		%	(6.97		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	813,358		$	716,208		$	355,671		$	382,898		$	536,620		$	588,803
Ratio of Expenses to Average Net Assets	0.87		%*	0.81		%	0.82		%	0.90		%	0.89		%	0.89		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.25		%*	0.35		%	1.29		%	0.18		%	0.21		%	0.35		%
Portfolio Turnover Rate	26		%‡	51		%	61		%	104		%	159		%	118		%

	Adviser Class
	Six Months Ended			Year Ended September 30
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	26.09		$	24.29		$	22.20		$	18.16		$	14.01		$	15.13
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.00		††	0.02			0.24			(0.02		)	(0.01		)	0.02
Net Realized and Unrealized Gain (Loss) on Investments	4.10			3.04			3.92			4.06			4.18			(1.11		)
Total from Investment Operations	4.10			3.06			4.16			4.04			4.17			(1.09		)
Distributions from and/or in Excess of:
																(0.00		)
Net Investment Income	(0.02		)	(0.11		)	—			—			(0.02		)††
Net Realized Gain	(2.90		)	(1.15		)	(2.07		)	—			—			(0.03		)
Total Distributions	(2.92		)	(1.26		)	(2.07		)	—			(0.02		)	(0.03		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	27.27		$	26.09		$	24.29		$	22.20		$	18.16		$	14.01
Total Return	16.21		%‡	13.13		%	19.49		%	22.30		%	29.76		%	(7.22		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	48,531		$	26,428		$	25,860		$	22,530		$	64,391		$	51,964
Ratio of Expenses to Average Net Assets	1.13		%*	1.06		%	1.07		%	1.15		%	1.14		%	1.14		%
Ratio of Net Investment Income (Loss) to Average Net Assets	0.02		%*	0.08		%	1.06		%	(0.07		)%	(0.04		)%	0.10		%
Portfolio Turnover Rate	26		%‡	51		%	61		%	104		%	159		%	118		%

†      Per share amount is based on average shares outstanding.

††    Amount is less than $0.005 per share.

‡      Not annualized

*      Annualized

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

111

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Value Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	18.67		$	17.89		$	16.44		$	13.64		$	10.65		$	13.80
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.17			0.37			0.33			0.27			0.19			0.16
Net Realized and Unrealized Gain (Loss) on Investments	1.19			2.11			1.40			2.79			2.99			(3.14		)
Total from Investment Operations	1.36			2.48			1.73			3.06			3.18			(2.98		)
Distributions from and/or in Excess of:
Net Investment Income	(0.22		)	(0.38		)	(0.28		)	(0.26		)	(0.19		)	(0.17		)
Net Realized Gain	(1.79		)	(1.32		)	—			—			—			—
Total Distributions	(2.01		)	(1.70		)	(0.28		)	(0.26		)	(0.19		)	(0.17		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	18.02		$	18.67		$	17.89		$	16.44		$	13.64		$	10.65
Total Return	7.44		%‡	14.68		%	10.55		%	22.56		%	30.19		%	(21.93		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	301,569		$	307,331		$	293,426		$	275,494		$	363,636		$	456,996
Ratio of Expenses to Average Net Assets	0.65		%*	0.65		%	0.60		%	0.63		%	0.63		%	0.64		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.90		%*	2.07		%	1.88		%	1.75		%	1.57		%	1.09		%
Portfolio Turnover Rate	19		%‡	26		%	38		%	95		%	65		%	42		%

	Investment Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	18.69		$	17.91		$	16.46		$	13.65		$	10.65		$	13.80
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.16			0.34			0.31			0.25			0.17			0.14
Net Realized and Unrealized Gain (Loss) on Investments	1.20			2.11			1.39			2.79			3.00			(3.15		)
Total from Investment Operations	1.36			2.45			1.70			3.04			3.17			(3.01		)
Distributions from and/or in Excess of:
Net Investment Income	(0.21		)	(0.35		)	(0.25		)	(0.23		)	(0.17		)	(0.14		)
Net Realized Gain	(1.79		)	(1.32		)	—			—			—			—
Total Distributions	(2.00		)	(1.67		)	(0.25		)	(0.23		)	(0.17		)	(0.14		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	18.05		$	18.69		$	17.91		$	16.46		$	13.65		$	10.65
Total Return	7.41		%‡	14.48		%	10.38		%	22.37		%	30.06		%	(22.06		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	79,262		$	66,334		$	58,236		$	38,742		$	26,169		$	19,440
Ratio of Expenses to Average Net Assets	0.80		%*	0.80		%	0.75		%	0.78		%	0.78		%	0.79		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.74		%*	1.92		%	1.73		%	1.60		%	1.42		%	0.94		%
Portfolio Turnover Rate	19		%‡	26		%	38		%	95		%	65		%	42		%

†      Per share amount is based on average shares outstanding.

††    Amount is less than $0.005 per share.

‡      Not Annualized

*      Annualized

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

112

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Value Portfolio

	Adviser Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005				2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	18.64		$	17.86		$		16.42		$	13.62		$	10.63		$	13.78
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.15			0.33			0.29				0.23			0.16			0.12
Net Realized and Unrealized Gain (Loss) on Investments	1.20			2.10			1.38				2.79			2.99			(3.14		)
Total from Investment Operations	1.35			2.43			1.67				3.02			3.15			(3.02		)
Distributions from and/or in Excess of:
Net Investment Income	(0.20		)	(0.33		)	(0.23			)	(0.22		)	(0.16		)	(0.13		)
Net Realized Gain	(1.79		)	(1.32		)	—				—			—			—
Total Distributions	(1.99		)	(1.65		)	(0.23			)	(0.22		)	(0.16		)	(0.13		)
Redemption Fees	0.00		††	0.00		††	—				—			—			—
Net Asset Value, End of Period	$	18.00		$	18.64		$		17.86		$	16.42		$	13.62		$	10.63
Total Return	7.31		%‡	14.38		%	10.24			%	22.28		%	29.87		%	(22.17		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	209,670		$	187,718		$	1,113,274			$	943,182		$	622,230		$	534,668
Ratio of Expenses to Average Net Assets	0.90		%*	0.87		%	0.85			%	0.88		%	0.88		%	0.89		%
Ratio of Net Investment Income (Loss) to Average Net Assets	1.65		%*	1.84		%	1.63			%	1.50		%	1.32		%	0.84		%
Portfolio Turnover Rate	19		%‡	26		%	38			%	95		%	65		%	42		%

†      Per share amount is based on average shares outstanding.

††    Amount is less than $0.005 per share.

‡      Not Annualized

*      Annualized

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

113

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Core Fixed Income Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	10.80		$	11.09		$	11.26		$	11.26		$	11.46		$	11.15
Income (Loss) from Investment Operations
Net Investment Income†	0.24			0.40			0.40			0.33			0.32			0.44
Net Realized and Unrealized Gain (Loss) on Investments	0.02			0.00		††	0.07			0.14			0.19			0.42
Total from Investment Operations	0.26			0.40			0.47			0.47			0.51			0.86
Distributions from and/or in excess of:
Net Investment Income	(0.28		)	(0.57		)	(0.45		)	(0.47		)	(0.51		)	(0.55		)
Net Realized Gain	—			(0.12		)	(0.19		)	—			(0.20		)	—
Total Distributions	(0.28		)	(0.69		)	(0.64		)	(0.47		)	(0.71		)	(0.55		)
Redemption Fees	0.00		††	0.00		††	—.			—			—			—
Net Asset Value, End of Period	$	10.78		$	10.80		$	11.09		$	11.26		$	11.26		$	11.46
Total Return	2.51		%‡	3.79		%	4.35		%	4.33		%	4.61		%	7.98		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	303,098		$	299,997		$	220,350		$	226,555		$	320,036		$	310,546
Ratio of Expenses to Average Net Assets (1)	0.50		%*	0.50		%	0.50		%	0.50		%	0.50		%	0.50		%
Ratio of Net Investment Income to Average Net Assets (1)	4.48		%*	3.71		%	3.62		%	2.94		%	2.82		%	3.89		%
Portfolio Turnover Rate^	48		%‡	139		%	236		%	371		%	109		%	86		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.56		%*	0.56		%	0.53		%	0.52		%	0.51		%	0.53		%
Net Investment Income to Average Net Assets	4.42		%*	3.65		%	3.59		%	2.92		%	2.81		%	3.86		%

†      Per share amount is based on average shares outstanding.

††    Amount is less than $0.005 per share.

‡      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.

114

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Core Fixed Income Portfolio

	Adviser Class
	Six Months Ended			Year Ended September 30,
Selected Per Share Data and Ratios	March 31, 2007			2006			2005			2004			2003			2002
	(unaudited)
Net Asset Value, Beginning of Period	$	10.74		$	11.03		$	11.21		$	11.22		$	11.42		$	11.10
Income (Loss) from Investment Operations
Net Investment Income†	0.23			0.37			0.37			0.30			0.29			0.41
Net Realized and Unrealized Gain (Loss) on Investments	0.01			0.01			0.06			0.14			0.19			0.43
Total from Investment Operations	0.24			0.38			0.43			0.44			0.48			0.84
Distributions from and/or in excess of:
Net Investment Income	(0.26		)	(0.55		)	(0.42		)	(0.45		)	(0.48		)	(0.52		)
Net Realized Gain	—			(0.12		)	(0.19		)	0.00			(0.20		)	—
Total Distributions	(0.26		)	(0.67		)	(0.61		)	(0.45		)	(0.68		)	(0.52		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	10.72		$	10.74		$	11.03		$	11.21		$	11.22		$	11.42
Total Return	2.31		%‡	3.55		%	4.01		%	4.12		%	4.28		%	7.85		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	10,638		$	9,812		$	9,954		$	9,564		$	10,585		$	9,054
Ratio of Expenses to Average Net Assets (1)	0.75		%*	0.75		%	0.75		%	0.75		%	0.75		%	0.75		%
Ratio of Net Investment Income to Average Net Assets (1)	4.24		%*	3.43		%	3.37		%	2.69		%	2.57		%	3.64		%
Portfolio Turnover Rate^	48		%‡	139		%	236		%	371		%	109		%	86		%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.81		%*	0.81		%	0.78		%	0.77		%	0.76		%	0.78		%
Net Investment Income to Average Net Assets	4.18		%*	3.37		%	3.34		%	2.67		%	2.56		%	3.61		%

†      Per share amount is based on average shares outstanding.

††    Amount is less than $0.005 per share.

‡      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 for 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.

115

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Core Plus Fixed Income Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	11.52		$	11.69		$	11.69		$	11.71		$	11.82		$	11.84
Income (Loss) from Investment Operations
Net Investment Income†	0.27			0.48			0.47			0.38			0.40			0.55
Net Realized and Unrealized Gain (Loss) onInvestments	0.05			(0.02		)	0.08			0.17			0.31			0.17
Total from Investment Operations	0.32			0.46			0.55			0.55			0.71			0.72
Distributions from and/or in Excess of:
Net Investment Income	(0.37		)	(0.63		)	(0.55		)	(0.57		)	(0.67		)	(0.74		)
Net Realized Gain	—			—			—			—			(0.15		)	—
Total Distributions	(0.37		)	(0.63		)	(0.55		)	(0.57		)	(0.82		)	(0.74		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	11.47		$	11.52		$	11.69		$	11.69		$	11.71		$	11.82
Total Return	2.83		%‡	4.13		%	4.84		%	4.80		%	6.24		%	6.30		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	2,435,542		$	2,314,052		$	2,102,609		$	2,120,149		$	2,600,453		$	3,883,346
Ratio of Expenses to Average Net Assets	0.45		%*	0.44		%	0.45		%	0.50		%	0.50		%	0.50		%
Ratio of Net Investment Income to Average Net Assets	4.74		%*	4.24		%	4.04		%	3.29		%	3.39		%	4.69		%
Portfolio Turnover Rate^	69		%‡	142		%	180		%	334		%	92		%	110		%

	Investment Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	11.52		$	11.68		$	11.69		$	11.71		$	11.81		$	11.84
Income (Loss) from Investment Operations
Net Investment Income†	0.26			0.45			0.45			0.36			0.37			0.53
Net Realized and Unrealized Gain (Loss) on Investments	0.04			(0.00		)††	0.07			0.17			0.33			0.16
Total from Investment Operations	0.30			0.45			0.52			0.53			0.70			0.69
Distributions from and/or in Excess of:
Net Investment Income	(0.36		)	(0.61		)	(0.53		)	(0.55		)	(0.65		)	(0.72		)
Net Realized Gain	—			—			—			—			(0.15		)	—
Total Distributions	(0.36		)	(0.61		)	(0.53		)	(0.55		)	(0.80		)	(0.72		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	11.46		$	11.52		$	11.68		$	11.69		$	11.71		$	11.81
Total Return	2.76		%‡	4.04		%	4.61		%	4.73		%	6.07		%	6.08		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	141,140		$	142,990		$	310,592		$	146,146		$	114,509		$	83,308
Ratio of Expenses to Average Net Assets	0.60		%*	0.59		%	0.60		%	0.65		%	0.65		%	0.65		%
Ratio of Net Investment Income to Average Net Assets	4.64		%*	3.96		%	3.89		%	3.14		%	3.24		%	4.54		%
Portfolio Turnover Rate^	69		%‡	142		%	180		%	334		%	92		%	110		%

†	Per share amount is based on average shares outstanding.
††	Amount is less than $0.005 per share.
‡	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.

116

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Core Plus Fixed Income Portfolio

	Adviser Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	11.50		$	11.67		$	11.68		$	11.70		$	11.81		$	11.83
Income (Loss) from Investment Operations
Net Investment Income†	0.25			0.46			0.44			0.35			0.36			0.52
Net Realized and Unrealized Gain (Loss) on Investments	0.05			(0.03		)	0.07			0.17			0.32			0.15
Total from Investment Operations	0.30			0.43			0.51			0.52			0.68			0.67
Distributions from and/or in Excess of:
Net Investment Income	(0.35		)	(0.60		)	(0.52		)	(0.54		)	(0.64		)	(0.69		)
Net Realized Gain	—			—			—			—			(0.15		)	—
Total Distributions	(0.35		)	(0.60		)	(0.52		)	(0.54		)	(0.79		)	(0.69		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	11.45		$	11.50		$	11.67		$	11.68		$	11.70		$	11.81
Total Return	2.62		%‡	3.97		%	4.49		%	4.57		%	5.99		%	6.01		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	127,972		$	126,683		$	112,716		$	114,841		$	211,260		$	200,034
Ratio of Expenses to Average Net Assets	0.70		%*	0.69		%	0.70		%	0.75		%	0.75		%	0.75		%
Ratio of Net Investment Income to Average Net Assets	4.49		%*	4.00		%	3.79		%	3.04		%	3.14		%	4.44		%
Portfolio Turnover Rate^	69		%‡	142		%	180		%	334		%	92		%	110		%

†	Per share amount is based on average shares outstanding.
††	Amount is less than $0.005 per share.
‡	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.

117

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

High Yield Portfolio

	Institutional Class^
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.60		$	10.80		$	11.18		$	10.60		$	8.82		$	11.50
Income (Loss) from Investment Operations
Net Investment Income†	0.39			0.76			0.80			0.84			0.86			1.08
Net Realized and Unrealized Gain (Loss) on Investments	0.13			(0.16		)	(0.30		)	0.40			1.54			(2.32		)
Total from Investment Operations	0.52			0.60			0.50			1.24			2.40			(1.24		)
Distributions from and/or in Excess of:
Net Investment Income	(0.36		)	(0.80		)	(0.88		)	(0.66		)	(0.62		)	(1.44		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	10.76		$	10.60		$	10.80		$	11.18		$	10.60		$	8.82
Total Return	5.76		%‡	6.03		%	4.63		%	12.11		%	28.68		%	(12.33		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	206,406		$	226,162		$	195,880		$	314,440		$	330,990		$	366,956
Ratio of Expenses to Average Net Assets	0.71		%*	0.61		%	0.62		%	0.61		%	0.61		%	0.59		%
Ratio of Net Investment Income to Average Net Assets	7.27		%*	7.23		%	7.37		%	7.70		%	9.05		%	10.13		%
Portfolio Turnover Rate	22		%‡	58		%	55		%	89		%	97		%	79		%

	Investment Class^
	Six Months Ended			Year Ended September 30,
	March 31, 2007**			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.84		$	10.90		$	11.24		$	10.62		$	8.82		$	11.50
Income (Loss) from Investment Operations
Net Investment Income†	0.00		††	0.76			0.80			0.82			0.90			1.06
Net Realized and Unrealized Gain (Loss) on Investments	0.00		††	(0.16		)	(0.32		)	0.42			1.52			(2.32		)
Total from Investment Operations	0.00		††	0.60			0.48			1.24			2.42			(1.26		)
Distributions from and/or in Excess of:
Net Investment Income	—			(0.66		)	(0.82		)	(0.62		)	(0.62		)	(1.42		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	10.84		$	10.84		$	10.90		$	11.24		$	10.62		$	8.82
Total Return	0.00		%‡	5.92		%	4.43		%	12.07		%	28.69		%	(12.54		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	—		$	896		$	1,192		$	1,129		$	1,329		$	6,890
Ratio of Expenses to Average Net Assets	0.68		%*	0.76		%	0.77		%	0.76		%	0.76		%	0.74		%
Ratio of Net Investment Income to Average Net Assets	6.52		%*	7.10		%	7.20		%	7.55		%	8.90		%	9.98		%
Portfolio Turnover Rate	22		%‡	58		%	55		%	89		%	97		%	79		%

†	Per share amount is based on average shares outstanding.
††	Amount is less than $0.005 per share.
‡	Not Annualized
*	Annualized
**	On October 3, 2006, the Investment Class was fully liquidated, however, this Class is still active.
^	On November 13, 2006, the Portfolio effected a reverse stock split as described in the Notes to Financial Statements. Per share data prior to this date has been restated to give effect to the reverse stock split.

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

118

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

High Yield Portfolio

	Adviser Class^
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.64		$	10.84		$	11.20		$	10.62		$	8.80		$	11.44
Income (Loss) from Investment Operations
Net Investment Income†	0.38			0.74			0.78			0.80			0.84			1.08
Net Realized and Unrealized Gain (Loss) on Investments	0.13			(0.18		)	(0.28		)	0.42			1.56			(2.30		)
Total from Investment Operations	0.51			0.56			0.50			1.22			2.40			(1.22		)
Distributions from and/or in Excess of:
Net Investment Income	(0.35		)	(0.76		)	(0.86		)	(0.64		)	(0.58		)	(1.42		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	10.80		$	10.64		$	10.84		$	11.20		$	10.62		$	8.80
Total Return	5.79		%‡	5.51		%	4.52		%	11.86		%	28.54		%	(12.24		)%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	5,716		$	4,391		$	6,349		$	17,923		$	13,936		$	13,178
Ratio of Expenses to Average Net Assets	0.96		%*	0.86		%	0.87		%	0.86		%	0.86		%	0.84		%
Ratio of Net Investment Income to Average Net Assets	7.04		%*	7.00		%	7.11		%	7.45		%	8.80		%	9.88		%
Portfolio Turnover Rate	22		%‡	58		%	55		%	89		%	97		%	79		%

†	Per share amount is based on average shares outstanding.
††	Amount is less than $0.005 per share.
‡	Not Annualized
*	Annualized
^	On November 13, 2006, the Portfolio effected a reverse stock split as described in the Notes to Financial Statements. Per share data prior to this date has been restated to give effect to the reverse stock split.

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

119

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Intermediate Duration Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.17		$	10.22		$	10.40		$	10.49		$	10.71		$	10.37
Income (Loss) from Investment Operations
Net Investment Income†	0.23			0.42			0.37			0.32			0.28			0.39
Net Realized and Unrealized Gain (Loss) on Investments	0.01			(0.08		)	(0.16		)	(0.01		)	0.14			0.43
Total from Investment Operations	0.24			0.34			0.21			0.31			0.42			0.82
Distributions from and/or in Excess of:
Net Investment Income	(0.30		)	(0.39		)	(0.36		)	(0.40		)	(0.36		)	(0.48		)
Net Realized Gain	—			—			(0.03		)	—			(0.28		)	—
Total Distributions	(0.30		)	(0.39		)	(0.39		)	(0.40		)	(0.64		)	(0.48		)
Net Asset Value, End of Period	$	10.11		$	10.17		$	10.22		$	10.40		$	10.49		$	10.71
Total Return	2.50		%‡	3.33		%	2.22		%	3.06		%	4.12		%	8.12		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	8,042		$	8,823		$	9,393		$	18,828		$	23,991		$	63,912
Ratio of Expenses to Average Net Assets	0.56		%*	0.50		%	0.50		%	0.53		%	0.54		%	0.54		%
Ratio of Net Investment Income to Average Net Assets	4.60		%*	4.20		%	3.59		%	3.07		%	2.63		%	3.73		%
Portfolio Turnover Rate^	55		%‡	70		%	146		%	211		%	89		%	61		%

	Institutional Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.13		$	10.19		$	10.37		$	10.46		$	10.68		$	10.35
Income (Loss) from Investment Operations
Net Investment Income†	0.22			0.39			0.33			0.30			0.26			0.37
Net Realized and Unrealized Gain (Loss) on Investments	0.02			(0.07		)	(0.13		)	(0.01		)	0.15			0.43
Total from Investment Operations	0.24			0.32			0.20			0.29			0.41			0.80
Distributions from and/or in Excess of:
Net Investment Income	(0.29		)	(0.38		)	(0.35		)	(0.38		)	(0.35		)	(0.47		)
Net Realized Gain	—			—			(0.03		)	—			(0.28		)	—
Total Distributions	(0.29		)	(0.38		)	(0.38		)	(0.38		)	(0.63		)	(0.47		)
Net Asset Value, End of Period	$	10.08		$	10.13		$	10.19		$	10.37		$	10.46		$	10.68
Total Return	2.44		%‡	3.19		%	1.99		%	2.86		%	3.97		%	8.02		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	135,501		$	136,198		$	304,844		$	138,813		$	99,441		$	58,092
Ratio of Expenses to Average Net Assets	0.71		%*	0.65		%	0.65		%	0.68		%	0.69		%	0.69		%
Ratio of Net Investment Income to Average Net Assets	4.47		%*	3.87		%	3.22		%	2.92		%	2.48		%	3.58		%
Portfolio Turnover Rate^	55		%‡	70		%	146		%	211		%	89		%	61		%

†	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.

120

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

International Fixed Income Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.35		$	10.81		$	11.24		$	11.92		$	9.88		$	8.96
Income (Loss) from Investment Operations
Net Investment Income	0.13†			0.21†			0.25†			0.28†			0.38†			0.39
Net Realized and Unrealized Gain (Loss) on Investments	0.19			(0.11		)	0.01			0.63			1.66			0.53
Total from Investment Operations	0.32			0.10			0.26			0.91			2.04			0.92
Distributions from and/or in Excess of:
Net Investment Income	(0.22		)	(0.51		)	(0.69		)	(1.59		)	—			—
Net Realized Gain	(0.05		)	(0.05		)	—			—			—			—
Total Distributions	(0.27		)	(0.56		)	(0.69		)	(1.59		)	—			—
Net Asset Value, End of Period	$	10.40		$	10.35		$	10.81		$	11.24		$	11.92		$	9.88
Total Return	3.21		%‡	1.12		%	1.81		%	7.95		%	20.65		%	10.27		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	207,769		$	195,659		$	157,911		$	154,111		$	114,932		$	94,474
Ratio of Expenses to Average Net Assets	0.63		%*	0.60		%	0.55		%	0.56		%	0.56		%	0.60		%
Ratio of Net Investment Income to Average Net Assets	2.44		%*	2.02		%	2.17		%	2.52		%	3.51		%	3.44		%
Portfolio Turnover Rate	27		%‡	69		%	38		%	15		%	41		%	38		%

†	Per share amount is based on average shares outstanding.
‡	Not annualized
*	Annualized

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

121

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Investment Grade Fixed Income Portfolio

		Institutional Class
		Six Months Ended			Year Ended September 30,
	��	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios		(unaudited)
Net Asset Value, Beginning of Period		$	11.22		$	11.42		$	11.57		$	11.54		$	11.57		$	11.32
Income (Loss) from Investment Operations
Net Investment Income†		0.24			0.41			0.42			0.34			0.34			0.47
Net Realized and Unrealized Gain (Loss) on Investments		0.04			(0.00		)††	0.06			0.14			0.23			0.39
Total from Investment Operations		0.28			0.41			0.48			0.48			0.57			0.86
Distributions from and/or in Excess of:
Net Investment Income		(0.36		)	(0.56		)	(0.49		)	(0.45		)	(0.55		)	(0.61		)
Net Realized Gain		—			(0.05		)	(0.14		)	—			(0.05		)	—
Total Distributions		(0.36		)	(0.61		)	(0.63		)	(0.45		)	(0.60		)	(0.61		)
Redemption Fees		0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period		$	11.14		$	11.22		$	11.42		$	11.57		$	11.54		$	11.57
Total Return		2.55		%‡	3.65		%	4.39		%	4.36		%	4.36		%	7.93		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)		$	516,889		$	525,680		$	499,534		$	527,837		$	569,593		$	556,252
Ratio of Expenses to Average Net Assets		0.51		%*	0.50		%	0.50		%	0.50		%	0.51		%	0.51		%
Ratio of Net Investment Income to Average Net Assets		4.41		%*	3.66		%	3.67		%	2.94		%	2.96		%	4.15		%
Portfolio Turnover Rate^		51		%‡	154		%	240		%	332		%	81		%	93		%

	Adviser Class
																May 20,
	Six Months Ended															2002** to
	March 31, 2007			Year Ended September 30,												September
Selected Per Share Data and Ratios	(unaudited)			2006			2005			2004			2003			30, 2002
Net Asset Value, Beginning of Period	$	11.21		$	11.42		$	11.56		$	11.53		$	11.57		$	11.18
Income (Loss) from Investment Operations
Net Investment Income†	0.24			0.39			0.41			0.32			0.32			0.34
Net Realized and Unrealized Gain (Loss) on Investments	0.03			(0.01		)	0.06			0.14			0.22			0.15
Total from Investment Operations	0.27			0.38			0.47			0.46			0.54			0.49
Distributions from and/or in Excess of:
Net Investment Income	(0.35		)	(0.54		)	(0.47		)	(0.43		)	(0.53		)	(0.10		)
Net Realized Gain	—			(0.05		)	(0.14		)	—			(0.05		)	—
Total Distributions	(0.35		)	(0.59		)	(0.61		)	(0.43		)	(0.58		)	(0.10		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	11.13		$	11.21		$	11.42		$	11.56		$	11.53		$	11.57
Total Return	2.38		‡%	3.59		%	4.23.		%	4.10		%	4.87		%	4.40		%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	691		$	778		$	1,190		$	1,400		$	1,581		$	1,714
Ratio of Expenses to Average Net Assets (1)	0.66		%*	0.65		%	0.65		%	0.65		%	0.66		%	0.66		%*
Ratio of Net Investment Income to Average Net Assets (1)	4.28		%*	3.46		%	3.55		%	2.79		%	2.81		%	4.00		%*
Portfolio Turnover Rate^	51		‡%	154		%	240		%	332		%	81		%	93		%

(1) 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	%	0.75	%	0.75	%	0.76	%	0.76	%*
Net Investment Income to Average Net Assets	4.18	%*	3.36	%	3.45	%	2.69	%	2.71	%	3.90	%*

†	Per share amount is based on average shares outstanding.
††	Amount is less than $0.005 per share.
‡	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.

122

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Limited Duration Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	10.34		$	10.34		$	10.50		$	10.65		$	10.69		$	10.59
Income (Loss) from Investment Operations
Net Investment Income	0.25		†	0.41		†	0.30		†	0.25		†	0.23		†	0.39
Net Realized and Unrealized Gain (Loss) on Investments	0.01			(0.02		)	(0.15		)	(0.10		)	0.05			0.14
Total from Investment Operations	0.26			0.39			0.15			0.15			0.28			0.53
Distributions from and/or in Excess of:
Net Investment Income	(0.29		)	(0.39		)	(0.31		)	(0.28		)	(0.27		)	(0.43		)
Net Realized Gain	—			—			—			(0.02		)	(0.05		)	—
Total Distributions	(0.29		)	(0.39		)	(0.31		)	(0.30		)	(0.32		)	(0.43		)
Net Asset Value, End of Period	$	10.31		$	10.34		$	10.34		$	10.50		$	10.65		$	10.69
Total Return	2.54		‡%	3.88		%	1.44		%	1.47		%	2.65		%	5.13		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	1,063,426		$	1,077,967		$	1,069,956		$	957,367		$	622,801		$	429,937
Ratio of Expenses to Average Net Assets	0.46		%*	0.42		%	0.42		%	0.42		%	0.43		%	0.44		%
Ratio of Net Investment Income to Average Net Assets	4.86		%*	3.96		%	2.92		%	2.36		%	2.17		%	3.45		%
Portfolio Turnover Rate^	35		%‡	64		%	66		%	135		%	68		%	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.

123

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Long Duration Fixed Income Portfolio

	Institutional Class
	Six Months			Period From
	Ended			July 21, 2006^
	March 31, 2007			to September
Selected Per Share Data and Ratios	(unaudited)			30, 2006
Net Asset Value, Beginning of Period	$	10.48		$	10.00
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.24			0.09
Net Realized and Unrealized Gain (Loss) on Investments	(0.09		)	0.39
Total from Investment Operations	0.15			0.48
Distributions from and/or in excess of:
Net Investment Income	(0.21		)	—
Net Realized Gain	(0.03		)	—
Total Distributions	(0.24		)	—
Net Asset Value, End of Period	$	10.39		$	10.48
Total Return	1.44		%‡	4.80		%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	25,450		$	25,677
Ratio of Expenses to Average Net Assets (1)	0.50		%*	0.50		%*
Ratio of Net Investment Income (Loss) to Average Net Assets (1)	4.60		%*	4.66		%*
Portfolio Turnover Rate	6		%‡	7		%‡

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratio Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.80	%*	1.52	%*
Net Investment Income (Loss) to Average Net Assets	4.30	%*	3.64	%*

	Adviser Class
	Six Months			Period From
	Ended			July 21, 2006^
	March 31, 2007			to September
Selected Per Share Data and Ratios	(unaudited)			30, 2006
Net Asset Value, Beginning of Period	$	10.48		$	10.00
Income (Loss) from Investment Operations
Net Investment Income (Loss)†	0.23			0.09
Net Realized and Unrealized Gain (Loss) on Investments	(0.10		)	0.39
Total from Investment Operations	0.13			0.48
Distributions from and/or in excess of:
Net Investment Income	(0.20		)	—
Net Realized Gain	(0.03		)	—
Total Distributions	(0.23		)	—
Net Asset Value, End of Period	$	10.38		$	10.48
Total Return	1.23		%‡	4.80		%‡
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	519		$	524
Ratio of Expenses to Average Net Assets (2)	0.75		%*	0.75		%*
Ratio of Net Investment Income (Loss) to Average Net Assets (2)	4.35		%*	4.40		%*
Portfolio Turnover Rate	6		%‡	7		%‡

(2) Supplemental Information on the Ratios to Average Net Assets:
Ratio Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	1.05	%*	1.77	%*
Net Investment Income (Loss) to Average Net Assets	4.05	%*	3.39	%*

^	Commencement of operations
†	Per share amount is based on average shares outstanding.
‡	Not annualized
*	Annualized

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

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Financial Highlights

Municipal Portfolio

	Institutional Class
	Six Months Ended			Year Ended September 30,
	March 31, 2007			2006			2005			2004			2003			2002
Selected Per Share Data and Ratios	(unaudited)
Net Asset Value, Beginning of Period	$	12.86		$	12.66		$	12.66		$	12.53		$	12.49		$	12.14
Income (Loss) from Investment Operations
Net Investment Income	0.23		†	0.39		†	0.40		†	0.38		†	0.50		†	0.47
Net Realized and Unrealized Gain (Loss) on Investments	0.04			0.29			0.02			0.14			(0.01		)	0.39
Total from Investment Operations	0.27			0.68			0.42			0.52			0.49			0.86
Distributions from and/or in Excess of:
Net Investment Income	(0.25		)	(0.48		)	(0.42		)	(0.39		)	(0.45		)	(0.51		)
Redemption Fees	0.00		††	0.00		††	—			—			—			—
Net Asset Value, End of Period	$	12.88		$	12.86		$	12.66		$	12.66		$	12.53		$	12.49
Total Return	2.14		%‡	5.53		%	3.38		%	4.02		%	4.19		%	7.27		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	776,854		$	662,162		$	509,039		$	368,686		$	313,999		$	245,257
Ratio of Expenses to Average Net Assets (1)	0.49		%*	0.49		%	0.50		%	0.50		%	0.50		%	0.50		%
Ratio of Net Investment Income to Average Net Assets (1)	3.56		%*	3.09		%	3.12		%	3.01		%	4.01		%	3.70		%
Portfolio Turnover Rate^	14		%‡	43		%	34		%	105		%	47		%	72		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	N/A	N/A	N/A	0.51	%	0.51	%	0.52	%
Net Investment Income to Average Net Assets	N/A	N/A	N/A	3.00	%	4.00	%	4.14	%

†	Per share amount is based on average shares outstanding.
††	Amount is less than $0.005 per share.
‡	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 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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Notes to Financial Statements

Morgan Stanley Institutional Fund Trust (“MSIFT” or the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company. The Fund is comprised of eighteen active portfolios. The accompanying financial statements and financial highlights are those of the Balanced, Equities Plus, Mid Cap Growth, U.S. Mid Cap Value, U.S. Small Cap Value, Value, Core Fixed Income, Core Plus Fixed Income, High Yield, Intermediate Duration, International Fixed Income, Investment Grade Fixed Income, Limited Duration, Long Duration Fixed Income and Municipal 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, except each class bears different distribution or service fees as described in Note D.

A. Significant Accounting Policies. The following significant accounting policies are in conformity with U.S. generally accepted accounting principles. 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, except as noted below. 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 (the “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 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

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Notes to Financial Statements (cont’d)

is covered by the same collateral requirements as 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 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 Statements 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 Statements 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 (other than the Mid Cap Growth 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 counter-party to the agreement, and is included in “Due from (to) Broker” on the Statements 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. The Portfolio accrues for interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) of swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded within realized gain (loss) on swaps on the Statements of Operations. 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. The Portfolio accrues for interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) of swap contracts on the Statements of Assets and Liabilities.  Once interim payments are settled in cash, the net amount is recorded within realized gain (loss) on swaps on the Statements of Operations. 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. The Portfolio amortizes its interest payment obligation over the life of the swap. The amortized portion of this payment is recorded in the Statements of Operations as an adjustment to interest income. The monumentalized portion of this payment is included in “Due from (to) Broker” on the Statements of Assets and Liabilities. Interest rate swaps are marked-to-market daily based upon quotations from market makers

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Notes to Financial Statements (cont’d)

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 coun-terparty, 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 Statements 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 interest payments to be received, if any, at the date of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the related amounts shown in the Statements of Assets & Liabilities.

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 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 Core Fixed Income and Long Duration Fixed Income Portfolios) may enter into foreign currency exchange contracts to protect securities and related receivables and payables against future changes in foreign exchange rates and, in certain situations, to gain exposure to foreign currencies. Certain Portfolios may also enter into cross currency hedges which involve the sale of one currency against the positive exposure to a different currency. Cross currency hedges may be used for hedging purposes or to establish an active exposure to the exchange rate between any two currencies. 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

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Notes to Financial Statements (cont’d)

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. 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.Redemption Fees: Shares of the Balanced, Equities Plus, Mid Cap Growth, U.S. Mid Cap Value, Value, Core Fixed Income, Core Plus Fixed Income, Intermediate Duration, Investment Grade Fixed Income, Limited Duration, Long Duration Fixed Income and Municipal Portfolios redeemed within seven days (30 days with respect to the U.S. Small Cap Value, High Yield and International Fixed Income Portfolios) of purchase may be subject to a 2% redemption fee, payable to the Portfolio. The redemption fee is designed to protect each Portfolio and its shareholders from the effects of short-term trading. These fees, if any, are included on the Statements of Changes in Net Assets.

11.New Accounting Pronouncements: In July 2006, the Financial Accounting Standards Board (FASB) issued Interpretation 48, “Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109” (FIN 48). FIN 48 clarifies the accounting for income taxes by prescribing the minimum recognition threshold a tax position must meet before being recognized in the financial statements. FIN 48 is effective for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in the Portfolio NAV calculations as late as the Portfolio’s last NAV calculation in the first required financial statement period. As a result, the Fund will incorporate FIN 48 in its next semi annual report. The impact to the Portfolios’ financial statements, if any, is currently being assessed.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Portfolios’ financial statement disclosures.

12.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.

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Notes to Financial Statements (cont’d)

B. Investment Advisory Fees.  Morgan Stanley Investment Management Inc. (the “Adviser” or “MS Investment Management”), a wholly-owned subsidiary of Morgan Stanley, performs investment advisory services 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 Investment
Portfolio	Advisory Fee
Balanced	0.450%
Equities Plus	0.375%
Mid Cap Growth	0.500%
U.S. Mid Cap Value	0.720% first $1 billion
	0.650% over $1 billion
U.S. Small Cap Value	0.670% first $500 million
	0.645% next $500 million
	0.620% over $1 billion
Value	0.500% first $1 billion
	0.450% next $1 billion
	0.400% next $1 billion
	0.350% over $3 billion
Core Fixed Income	0.375%
Core Plus Fixed Income	0.375% first $1 billion
	0.300% over $1 billion
High Yield	0.420% first $500 million
	0.345% next $250 million
	0.295% next $250 million
	0.270% next $1 billion
	0.245% next $1 billion
	0.220% over $3 billion
Intermediate Duration	0.375%
International Fixed Income	0.375%
Investment Grade Fixed Income	0.375%
Limited Duration	0.300%
Long Duration Fixed Income	0.375%
Municipal	0.375%

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

	Voluntary Expense Limitations
	Institutional		Investment		Adviser
Portfolio	Class		Class		Class
Balanced	—	%	—	%	—	%
Equities Plus	0.600		—		0.850
Mid Cap Growth	—		—		—
U.S. Mid Cap Value	—		—		—
U.S. Small Cap Value	—		—		—
Value	—		—		—
Core Fixed Income	0.500		0.500		0.750
Core Plus Fixed Income	—		—		—

	Voluntary Expense Limitations
	Institutional		Investment		Adviser
Portfolio	Class		Class		Class
High Yield	—	%	—	%	—	%
Intermediate Duration	—		—		—
International Fixed Income	—		—		—
Investment Grade Fixed Income	—		—		—
Limited Duration	—		—		—
Long Duration Fixed Income	0.500		—		0.750
Municipal	0.500		—		—

Morgan Stanley Investment Management Limited (“MSIM Limited”) serves as Sub-Adviser to the International Fixed Income 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 the Portfolio, makes certain day-today investment decisions for the Portfolio and places certain of the Portfolio’s 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 Portfolio.

C. Administration Fees.  MS Investment Management (the “Administrator”) also provides the Fund with administration services pursuant to an administration agreement for an annual fee, accrued daily and paid monthly, of 0.08% of each Portfolio’s average daily net assets.

Under an agreement between the Administrator and JPMorgan Investor Services Co. (“JPMIS”), a corporate affiliate of JPMorgan Chase Bank, N.A., JPMIS provides certain administrative services to the Fund. For such services, the Administrator pays JPMIS a portion of the fee the Administrator receives from the Fund. An employee of JPMIS is an officer of the Fund.

D. Distribution and Shareholder Servicing Fees. Morgan Stanley Distribution, Inc. (“MSDI” or the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as 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 certain classes of shares in each Portfolio with distribution and shareholder services, and receives fees in connection with these services, pursuant to a Distribution Plan and a Shareholder Service Plan (the “Plans”) in accordance with Rule 12b-1 under the 1940 Act.

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 compensate the Distributor for distribution efforts and/or servicing of accounts. The Adviser Class of shares pays an annual distribution fee of up to 0.25% of aver-

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Notes to Financial Statements (cont’d)

age daily 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 daily 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, N.A. (the “Custodian”) 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 Fund has entered into an arrangement with its 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 serves as transfer agent to the Fund pursuant to a Transfer Agency Agreement.

G. Portfolio Investment Activity.

1.Purchases and Sales of Securities: For the six months ended March 31, 2007, purchases and sales of investment securities other than temporary cash investments and long-term U.S. government securities were:

	Purchases		Sales
Portfolio	(000)		(000)
Balanced	$	76,824	$	93,089
Equities Plus	$	5,497	$	4,726
Mid Cap Growth	851,914		753,780
U.S. Mid Cap Value	64,394		57,362
U.S. Small Cap Value	201,805		233,940
Value	106,307		106,069
Core Fixed Income	133,163		98,310
Core Plus Fixed Income	1,760,916		1,346,526
High Yield	41,943		52,422
Intermediate Duration	84,110		73,823
International Fixed Income	59,003		43,145
Investment Grade Fixed Income	259,976		215,476
Limited Duration	388,054		375,703
Long Duration Fixed Income	2,025		234
Municipal	257,063		102,338

For the six months ended March 31, 2007, purchases and sales of long-term U.S. government securities were:

	Purchases		Sales
Portfolio	(000)		(000)
Balanced	$	146	$	150
Core Fixed Income	—		34,510
Core Plus Fixed Income	6,738		360,972
High Yield	5,214		21,163
International Fixed Income	—		6,999
Investment Grade Fixed Income	—		74,881
Long Duration Fixed Income	—		1,198

2.Transactions with Affiliates: During the six months ended March 31, 2007, the following Portfolios paid brokerage commissions to Morgan Stanley & Co., an affiliated broker/ dealer.

	Broker
	Commissions
Portfolio	(000)
Mid Cap Growth	$	1
U.S. Mid Cap Value	3
U.S. Small Cap Value	1
Value	4

3. Swap Agreements:  At March 31, 2007, the following Portfolios had open Swap Agreements:

						Net
						Unrealized
	Termina-	Notional				Appreciation
	tion	Amount				(Depreciation)
Counterparty	Date	(000)		Type Pay	Receive	(000)
Balanced Portfolio
Bank of America	3/20/12	$	220	CDS fixed rate of 1.19%	upon the occurrence of a negative credit event(7)	$	(2	)
Citigroup	3/20/12	225		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	@—
	3/20/12	430		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	@—
	5/15/21	290		ZCS at maturity	compounded 3 month LIBOR less 7.50 bps	(6		)
	5/15/21	310		ZCS at maturity	compounded 3 month LIBOR less 7.75 bps	(5		)
	5/15/21	320		ZCS at maturity	compounded 3 month LIBOR less 7.25 bps	(7		)
	5/15/21	400		ZCS at maturity	compounded 3 month LIBOR less 7.50 bps	(7		)
	5/15/21	400		ZCS at maturity	compounded 3 month LIBOR less 7.50 bps	(6		)

131

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

						Net
						Unrealized
	Termina-	Notional				Appreciation
	tion	Amount				(Depreciation)
Counterparty	Date	(000)		Type Pay	Receive	(000)
Balanced Portfolio (cont’d)
	5/15/21	$	575	ZCS at maturity	compounded 3 month LIBOR less 4.50 bps	$	4
	5/15/21	575		ZCS at maturity	compounded 3 month LIBOR less 3.00 bps	21
	5/15/21	1,000		ZCS at maturity	compounded 3 month LIBOR less 7.50 bps	(19		)
	5/15/21	1,150		ZCS at maturity	compounded 3 month LIBOR less 3.75 bps	2
	5/15/21	2,500		ZCS at maturity	compounded 3 month LIBOR less 8 bps	(40		)
Credit Suisse First Boston	5/15/21	1,725		ZCS at maturity	compounded 3 month LIBOR	(1		)
Goldman Sachs	6/20/11	1,400		CDS fixed rate of 0.75%	upon the occurrence of a negative credit event(3)	1
	12/20/11	120		CDS fixed rate of 0.15%	upon the occurrence of a negative credit event(13)	1
	12/20/11	250		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	3
	12/20/11	1,450		CDS fixed rate of 0.75%	upon the occurrence of a negative credit event(5)	6
	3/20/12	370		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	1
	3/20/12	185		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
Lehman Brothers	12/20/11	175		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(12)	2
	12/20/11	370		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	1
	12/20/11	350		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
	3/20/12	185		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.60%	(1		)
	3/20/17	175		CDS upon the occurrence of a negative credit event(11)	fixed rate of 2.20%	@—
						(52		)
Equities Plus
Goldman Sachs	6/20/07	65		CDS upon the occurrence of a negative credit event(4)	fixed rate of 2.90%	@—
	6/20/11	65		CDS upon the occurrence of a negative credit event(17)	fixed rate of 3.08%	3
	12/20/11	50		CDS fixed rate of 0.15%	upon the occurrence of a negative credit event(13)	1
	12/20/11	100		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	1
	3/20/12	70		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	@—
	3/20/17	65		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.57%	@—
	3/20/17	65		CDS upon the occurrence of a negative credit event(9)	fixed rate of 2.00%	(1		)
	3/20/12	65		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
	3/20/12	70		CDS fixed rate of 0.44%	upon the occurrence of a negative credit event(2)	@—
JPMorgan Chase	12/20/11	70		CDS fixed rate of 0.19%	upon the occurrence of a negative credit event(12)	1
	12/20/11	140		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(18)	—
Lehman Brothers	12/20/11	70		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	@—
	12/20/11	140		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
						5

132

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

						Net
						Unrealized
	Termina-	Notional				Appreciation
	tion	Amount				(Depreciation)
Counterparty	Date	(000)		Type Pay	Receive	(000)
Core Fixed Income Portfolio
Bank of America	5/15/21	$	8,300	ZCS at maturity	compounded 3 month LIBOR	$	(140	)
Citigroup	3/20/12	500		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	@—
	3/20/12	1,000		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	1
	5/15/21	2,200		ZCS at maturity	compounded 3 month LIBOR less 3.0 bps	81
	5/15/21	4,350		ZCS at maturity	compounded 3 month LIBOR less 3.75 bps	8
	5/15/21	2,175		ZCS at maturity	compounded 3 month LIBOR less 4.5 bps	14
	5/15/21	6,750		ZCS at maturity	compounded 3 month LIBOR less 4.5bps	312
	5/15/21	1,190		ZCS at maturity	compounded 3 month LIBOR less 7.25 bps	(25		)
	5/15/21	4,500		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(86		)
	5/15/21	1,090		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(22		)
	5/15/21	1,500		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(25		)
	5/15/21	1,500		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(23		)
	5/15/21	1,150		ZCS at maturity	compounded 3 month LIBOR less 7.75 bps	(20		)
	5/15/21	2,000		ZCS at maturity	compounded 3 month LIBOR less 8.0 bps	(32		)
Goldman Sachs	12/20/11	510		CDS fixed rate of 0.15%	upon the occurrence of a negative credit event(13)	6
	12/20/11	1,050		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	11
	3/20/12	1,550		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	2
	3/20/12	780		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
	2/15/21	500		ZCS at maturity	compounded 3 month LIBOR	1
JPMorgan Chase	3/20/11	1,300		CDS fixed rate of 0.65%	upon the occurrence of a negative credit event(1)	(22		)
	3/20/11	800		CDS upon the occurrence of a negative credit event(11)	fixed rate of 2.20%	@—
Lehman Brothers	12/20/11	800		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(12)	11
	12/20/11	1,600		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	5
	12/20/11	1,600		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
	3/20/12	790		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.60%	(3		)
						54
Core Plus Fixed Income Portfolio
Bank of America	3/20/12	7,950		CDS fixed rate of 1.19%	upon the occurrence of a negative credit event(7)	(69		)
Citigroup	3/20/12	8,000		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	7
	5/15/21	9,500		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(190		)
	5/15/21	9,700		ZCS at maturity	compounded 3 month LIBOR less 7.75 bps	(168		)
	5/15/21	10,000		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(192		)
	5/15/21	10,440		ZCS at maturity	compounded 3 month LIBOR less 7.25 bps	(216		)
	5/15/21	16,000		ZCS at maturity	compounded 3 month LIBOR less 4.5 bps	739
	5/15/21	23,100		ZCS at maturity	compounded 3 month LIBOR less 3.0 bps	847
	5/15/21	23,150		ZCS at maturity	compounded 3 month LIBOR less 4.5 bps	150
	5/15/21	46,300		ZCS at maturity	compounded 3 month LIBOR less 3.75 bps	85
	11/15/21	23,150		ZCS at maturity	compounded 3 month LIBOR less 4.5 bps	(33		)
	11/15/21	23,150		ZCS at maturity	compounded 3 month LIBOR less 4.25 bps	(40		)
Credit Suisse First Boston	5/15/21	23,100		ZCS at maturity	compounded 3 month LIBOR	462
	5/15/21	69,450		ZCS at maturity	compounded 3 month LIBOR	(558		)
Goldman Sachs	3/20/11	7,700		CDS fixed rate of 0.80%	upon the occurrence of a negative credit event(2)	(88		)
	6/20/11	50,500		CDS fixed rate of 0.75%	upon the occurrence of a negative credit event(3)	52

133

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

						Net
						Unrealized
	Termina-	Notional				Appreciation
	tion	Amount				(Depreciation)
Counterparty	Date	(000)		Type Pay	Receive	(000)
Core Plus Fixed Income Portfolio (cont’d)
	12/20/11	$	4,240	CDS fixed rate of 0.15%	upon the occurrence of a negative credit event(13)	$	48
	12/20/11	8,800		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	96
	3/20/12	13,200		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	13
	3/20/12	6,650		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
JPMorgan Chase	3/20/11	7,700		CDS fixed rate of 0.65%	upon the occurrence of a negative credit event(3)	(129		)
Lehman Brothers	12/20/11	6,500		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(12)	88
	12/20/11	13,000		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	45
	12/20/11	13,000		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
	12/20/11	53,000		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(5)	199
	3/20/12	6,670		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.60%	(24		)
	3/20/17	6,975		CDS upon the occurrence of a negative credit event(11)	fixed rate of 2.20%	(4		)
						1,120
High Yield
Goldman Sachs	3/20/11	1,000		CDS fixed rate of 0.80%	upon the occurrence of a negative credit event(2)	(12		)
	3/20/17	2,125		CDS upon the occurrence of a negative credit event(9)	fixed rate of 2.00%	(30		)
JPMorgan Chase	3/20/11	1,000		CDS fixed rate of 0.65%	upon the occurrence of a negative credit event(19)	(17		)
						(59		)
Intermediate Duration Portfolio
Citigroup	3/20/12	200		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	@—
					upon the occurrence of a negative credit
Goldman Sachs	12/20/11	250		CDS fixed rate of 0.15%	event(13)	3
	12/20/11	500		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	6
	3/20/12	730		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	1
	3/20/12	350		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
JPMorgan Chase	3/20/11	1,100		CDS fixed rate of 0.65%	upon the occurrence of a negative credit event(1)	(19		)
Lehman Brothers	12/20/11	375		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(12)	5
	12/20/11	740		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	2
	12/20/11	750		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
	3/20/12	355		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.60%	(1		)
	3/20/17	330		CDS upon the occurrence of a negative credit event(11)	fixed rate of 2.20%	@—
						(3		)
Investment Grade Fixed Income Portfolio
Citigroup	3/20/12	1,600		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	1
	5/15/21	1,850		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(37		)
	5/15/21	1,950		ZCS at maturity	compounded 3 month LIBOR less 7.75 bps	(34		)
	5/15/21	2,040		ZCS at maturity	compounded 3 month LIBOR less 7.25 bps	(42		)
	5/15/21	2,700		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(45		)
	5/15/21	2,700		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(41		)

134

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

						Net
						Unrealized
		Notional				Appreciation
	Termination	Amount				(Depreciation)
Counterparty	Date	(000)		Type Pay	Receive	(000)
Investment Grade Fixed Income Portfolio (cont’d)
	5/15/21	$	3,475	ZCS at maturity	compounded 3 month LIBOR less 3.0 bps	$	128
	5/15/21	3,600		ZCS at maturity	compounded 3 month LIBOR less 4.5 bps	23
	5/15/21	5,000		ZCS at maturity	compounded 3 month LIBOR less 4.5 bps	231
	5/15/21	5,000		ZCS at maturity	compounded 3 month LIBOR less 7.5 bps	(96		)
	5/15/21	7,200		ZCS at maturity	compounded 3 month LIBOR less 3.75 bps	13
	5/15/21	16,000		ZCS at maturity	compounded 3 month LIBOR less 8.0 bps	(258		)
CreditSuisse First Boston	5/15/21	10,800		ZCS at maturity	compounded 3 month LIBOR	(101		)
Goldman Sachs	3/20/11	1,500		CDS fixed rate of 0.80%	upon the occurrence of a negative credit event(2)	(17		)
	12/20/11	850		CDS fixed rate of 0.15%	upon the occurrence of a negative credit event(13)	10
	12/20/11	1,750		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	19
	3/20/12	2,600		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	3
	3/20/12	1,300		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
JPMorgan Chase	3/20/11	1,500		CDS fixed rate of 0.65%	upon the occurrence of a negative credit event(19)	(25		)
Lehman Brothers	12/20/11	1,300		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(12)	18
	12/20/11	2,700		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	9
	12/20/11	2,600		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
	3/20/12	1,300		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.60%	(5		)
	3/20/17	1,320		CDS upon the occurrence of a negative credit event(11)	fixed rate of 2.20%	(1		)
						(247		)
Limited Duration Portfolio
Citigroup	3/20/12	2,770		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	2
	3/20/12	1,400		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	1
	9/19/07	11,000		IRS 3 month LIBOR	fixed rate of 4.25%	(63		)
	10/1/07	11,000		IRS 3 month LIBOR	fixed rate of 4.4725%	(46		)
	9/4/07	16,500		IRS 3 month LIBOR	fixed rate of 4.387%	(88		)
	10/26/07	21,300		IRS 3 month LIBOR	fixed rate of 4.6725%	149
Goldman Sachs	3/20/10	2,700		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.35%	(7		)
	3/20/12	2,665		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
	10/5/08	11,000		IRS 3 month LIBOR	fixed rate of 5.074%	129
JPMorgan Chase	9/22/08	11,000		IRS 3 month LIBOR	fixed rate of 5.225%	18
	10/13/08	13,500		IRS 3 month LIBOR	fixed rate of 5.203%	198
	3/12/09	21,500		IRS 3 month LIBOR	fixed rate of 4,962%	(7		)
	6/30/09	10,700		IRS 3 month LIBOR	fixed rate of 5.334%	54
Lehman Brothers	12/20/11	2,700		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	9
						349
Long Duration Fixed Income Portfolio
Goldman Sachs	3/20/12	125,000		CDS fixed rate of 0.11%	upon the occurrence of a negative credit event(15)	@—
	3/20/12	125,000		CDS fixed rate of 0.11%	upon the occurrence of a negative credit event(6)	@—

135

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

						Net
						Unrealized
	Termina-	Notional				Appreciation
	tion	Amount				(Depreciation)
Counterparty	Date	(000)		Type Pay	Receive	(000)
Long Duration Fixed Income Portfolio (cont’d)
	3/20/12	$	65,000	CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	$	@—
	3/20/12	125,000		CDS fixed rate of 0.23%	upon the occurrence of a negative credit event(18)	@—
	3/20/12	65,000		CDS fixed rate of 0.26%	upon the occurrence of a negative credit event(12)	1
	3/20/12	125,000		CDS fixed rate of 0.30%	upon the occurrence of a negative credit event(14)	@—
	3/20/12	125,000		CDS fixed rate of 0.39%	upon the occurrence of a negative credit event(13)	@—
	3/20/12	230,000		CDS fixed rate of 0.44%	upon the occurrence of a negative credit event(2)	@—
	3/20/17	100,000		CDS upon the occurrence of a negative credit event(9)	fixed rate of 2.00%	(1		)
Lehman Brothers	3/20/12	65,000		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.60%	@—
						@—
Municipal Portfolio
Bank of America	8/15/19	10,000		ZCS at maturity	compounded 3 month LIBOR	341
	2/16/21	50,000		ZCS at maturity	compounded 3 month LIBOR	1,742
	2/15/22	7,550		ZCS at maturity	compounded 3 month LIBOR	271
	5/16/22	21,400		ZCS at maturity	compounded 3 month LIBOR	774
Citigroup	3/20/12	1,170		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	1
	3/20/12	700		CDS fixed rate of 0.43%	upon the occurrence of a negative credit event(1)	@—
	3/16/27	35,000		IRS zero coupon, resets to 3.97% on 11/7/08	compounded 3 month LIBOR	531
	2/15/19	10,000		ZCS at maturity	compounded 3 month LIBOR	353
	5/15/20	8,000		ZCS at maturity	compounded 3 month LIBOR less 9.75 bps	197
	8/15/20	5,000		ZCS at maturity	compounded 3 month LIBOR less 6.25 bps	(61		)
	5/15/21	700		ZCS at maturity	compounded 3 month LIBOR less 7.25 bps	(15		)
	5/15/21	640		ZCS at maturity	compounded 3 month LIBOR less 7.50 bps	(13		)
	5/15/21	5,000		ZCS at maturity	compounded 3 month LIBOR less 7.75 bps	(95		)
	2/15/22	4,000		ZCS at maturity	compounded 3 month LIBOR less 10.0 bps	71
Goldman Sachs	6/20/10	1,000		CDS fixed rate of 0.26%	upon the occurrence of a negative credit event(6)	(6		)
	12/20/11	1,150		CDS fixed rate of 0.15%	upon the occurrence of a negative credit event(13)	13
	12/20/11	2,400		CDS fixed rate of 0.157%	upon the occurrence of a negative credit event(13)	26
	3/20/12	750		CDS fixed rate of 0.10%	upon the occurrence of a negative credit event(6)	1
	3/20/12	1,885		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(16)	@—
	3/20/17	1,885		CDS upon the occurrence of a negative credit event(9)	fixed rate of 2.00%	(27		)
	3/20/17	1,900		CDS upon the occurrence of a negative credit event(8)	fixed rate of 0.57%	(9		)
	8/15/21	24,500		ZCS at maturity	compounded 3 month LIBOR	1,023
				upon the occurrence of a negative credit event(17)
JPMorgan Chase	12/20/10	1,000		CDS	fixed rate of 4.15%	79
	11/7/21	44,000		IRS zero coupon, resets to 3.96% on 11/7/08	compounded 3 month LIBOR	(252		)
Lehman Brothers	12/20/11	1,700		CDS fixed rate of 0.22%	upon the occurrence of a negative credit event(14)	6
	12/20/11	1,750		CDS fixed rate of 0.20%	upon the occurrence of a negative credit event(12)	24
	12/20/11	3,550		CDS fixed rate of 0.12%	upon the occurrence of a negative credit event(15)	@—
	2/2/15	65,000		IRS fixed rate of 5.10%	compounded 3 month LIBOR	(126		)
						$	4,849

136

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

(1)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Tyco International Ltd, Zero Coupon Bond Maturing 11/17/20.
(2)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Tyco International Ltd., 6.375% Bond Maturing 10/15/11.
(3)	Receipt of $1,000,000 in the event of a failure to pay by the Dow Jones CDX North America Investment Grade High Volatility Index, Series 6.
(4)	Payment of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Ford Motor Credit Co., 7.00% Bond Maturing 10/1/13.
(5)	Receipt of $1,000,000 in the event of a failure to pay by the Dow Jones CDX North America Investment Grade High Volatility Index, Series 7.
(6)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of The Chubb Corp., 6.00% Bond Maturing 11/15/11.
(7)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of The Gap, Inc., 8.80% Bond Maturing 812/15/08.
(8)	Payment of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Countrywide Home Loans, Inc., 4.00% Bond Maturing 3/22/11.
(9)	Payment of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Residential Capital, LLC, 6.375% Bond Maturing 6/30/10.
(11)	Payment of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Residential Capital, LLC, 6.50% Bond Maturing 4/17/13.
(12)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Union Pacific Corp., 6.125% Bond Maturing 1/15/12.
(13)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Motorola, Inc., 6.50% Bond Maturing 9/1/25.
(14)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Southwest Airlines Co., 6.50% Bond Maturing 3/1/12.
(15)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of The Hartford Financial Services Group, Inc., 4.75% Bond Maturing 3/1/14.
(16)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Dell Inc., 7.10% Bond Maturing 4/15/28.
(17)	Payment of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of General Motors Acceptance Corp., 6.875% Bond Maturing 8/28/12.
(18)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Lehman Brothers Holdings Inc, 6.625% Bond Maturing 1/18/12.
(19)	Receipt of $1,000,000 or $10,000,000, in the event of a failure to pay or default, respectively, by the issuer of Tyco International Ltd., 2.75% Bond Maturing 1/15/18.

@	— Value is less than $500.
bps	— Basis Points
CDS	— Credit Default Swap
IRS	— Interest Rate Swap
LIBOR	— London Inter Bank Offer Rate
ZCS	— Zero Coupon Interest Rate Swap

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

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Notes to Financial Statements (cont’d)

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, 2007 are as follows:

	Value of
	Loaned		Value of
	Securities		Collateral
Portfolio	(000)		(000)
Balanced	$	13,213	$	13,479
Value	18,537		18,781
Core Fixed Income	19,914		20,548
Core Plus Fixed Income	287,205		295,042
High Yield	48,378		49,300
Investment Grade Fixed Income	26,372		26,989

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

	Net Interest
	Earned by
	Portfolio
Portfolio	(000)
Balanced	$	8
Value	25
Core Fixed Income	18
Core Plus Fixed Income	175
High Yield	50
Investment Grade Fixed Income	27

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 and those of the International Fixed Income, Mid Cap Growth, U.S. Mid Cap Value and U.S. Small Cap Value Portfolios which are declared and paid annually. 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 2006 and 2005 were as follows:

	2006				2005
	Distributions PaidFrom:				Distributions PaidFrom:
	Ordinary		Long-term		Ordinary		Long-term
	Income		Capital Gain		Income		Capital Gain
Portfolio	(000)		(000)		(000)		(000)
Balanced	$	6,745	$	—	$	6,214	$	—
U.S. Mid Cap Value	1,077		—		1,000		—
U.S. Small Cap Value	9,470		29,317		168		35,235
Value	21,148		105,355		20,460		—
Core Fixed Income	13,189		1,081		13,772		—
Core Plus Fixed Income	137,775		—		114,188		—
Equities Plus	150		—		—		—
High Yield	17,160		—		22,613		—
Intermediate Duration	10,476		—		7,377		311
International Fixed Income	7,333		161		9,623		—
Investment Grade Fixed Income	26,432		287		29,390		—
Limited Duration	44,031		—		30,593		—
Municipal	21,892		—		14,606		—

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 REIT adjustments, foreign currency transactions, swap transactions, distribution reclass, paydown adjustments and in-kind redemptions.

138

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

These resulted in the following reclassifications among the Portfolios’ components of net assets September 30, 2006:

	Accumulated
	Undistributed
	(Distributions in
	Excess of) Net			Accumulated Net
	Investment			Realized Gain			Paid-in
	Income (Loss)			(Loss)			Capital
Portfolio	(000)			(000)			(000)
Balanced	$	473		$	(380	)	$	(93	)
Equities Plus	32			(31		)	(1		)
Mid Cap Growth	—			(38,575		)	38,575
U.S. Small Cap Value	(43		)	86			(43		)
Value	—			(80,766		)	80,766
Core Fixed Income	3,733			(3,406		)	(327		)
Core Plus Fixed Income	36,996			(34,107		)	(2,889		)
High Yield	331			4,494			(4,825		)
Intermediate Duration	383			(383		)	—
International Fixed Income	1,142			(1,142		)	—
Investment Grade Fixed Income	7,716			(7,062		)	(654		)
Limited Duration	2,262			(2,118		)	(144		)
Municipal	5,060			(4,536		)	(524		)

At September 30, 2006, the components of distributable earnings on a tax basis were as follows:

	Undistributed		Undistributed
	Ordinary		Long-Term
	Income		Capital Gain
Portfolio	(000)		(000)
Balanced	$	2,542	$	—
Equities Plus	476		168
Mid Cap Growth	4,668		—
U.S. Mid Cap Value	709		—
U.S. Small Cap Value	13,223		56,717
Value	8,348		47,475
Core Fixed Income	4,343		—
Core Plus Fixed Income	44,807		—
High Yield	5,501		—
Intermediate Duration	1,689		—
International Fixed Income	3,975		—
Investment Grade Fixed Income	9,378		—
Limited Duration	8,576		—
Long Duration Fixed Income	258		49
Municipal	2,746		—

At March 31, 2007, cost, unrealized appreciation, unrealized depreciation and net unrealized appreciation (depreciation) of components securities for Federal income tax purposes were:

								Net
								Unrealized
								Appreciation
	Cost		Appreciation		Depreciation			(Depreciation)
Portfolio	(000)		(000)		(000)			(000)
Balanced	$	270,262	$	43,235	$	(4,277	)	$	38,958
Equities Plus	27,625		82		(248		)	(166		)
Mid Cap Growth	2,045,761		397,859		(53,083		)	344,776
U.S. Mid Cap Value	135,589		23,487		(2,017		)	21,470
U.S. Small Cap Value	702,269		173,429		(10,492		)	162,937
Value	538,225		76,904		(8,754		)	68,150
Core Fixed Income	344,425		1,866		(3,477		)	(1,611		)
Core Plus Fixed Income	3,122,018		26,919		(39,841		)	(12,922		)
High Yield	289,720		6,186		(36,672		)	(30,486		)
Intermediate Duration	153,141		510		(1,146		)	(636		)
International Fixed Income	199,553		7,612		(3,166		)	4,446
Investment Grade Fixed Income	572,708		2,820		(4,914		)	(2,094		)
Limited Duration	1,081,709		2,139		(6,086		)	(3,947		)
Long Duration Fixed Income	24,979		741		(8		)	733
Municipal	814,083		28,396		(3,664		)	24,732

At September 30, 2006, 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
Balanced	$	—	$	—	$	—	$	824
Mid Cap Growth	—		—		—		487,230
U.S. Mid Cap Value	—		—		—		14,755
Core Fixed Income	—		—		—		—
Core Plus Fixed Income	—		—		—		—
High Yield	718		12,236		26,962		20,212
Intermediate Duration	—		—		—		—
Investment Grade Fixed Income	—		—		—		—
Limited Duration	—		—		—		—
Municipal	—		—		—		—

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March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

	Expiration Date September 30,
	(000)
Portfolio	2011		2012		2013		2014		Total
Balanced	$	40,947	$	—	$	—	$	—	$	41,771
Mid Cap Growth	303,325		—		—		—		790,555
U.S. Mid Cap Value	157,636		—		—		—		172,391
Core Fixed Income	—		—		—		708		708
Core Plus Fixed Income	36,930		—		—		7,135		44,065
High Yield	183,778		205,458		11,840		874		462,078
Intermediate Duration	—		—		673		1,559		2,232
Investment Grade Fixed Income	—		—		—		881		881
Limited Duration	—		—		8,253		8,229		16,482
Municipal	—		238		1,045		—		1,283

In addition to the $462,078,000 in unused capital losses attributed to the High Yield Portfolio in the table above, approximately $61,138,000 has been brought forward as a result of the Portfolio’s merger with the MSIF High Yield II 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 2007-2014.

To the extent that capital loss carryforwards are used to offset any future capital gains realized during the carryforward 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, 2006, the following Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of approximately:

	Capital Loss
	Carryforward
	Utilized
Portfolio	(000)
Balanced	$	22,763
Mid Cap Growth	112,243
U.S. Mid Cap Value	21,792
Municipal	1,476

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 year ended September 30, 2006, the following Portfolios elected to defer capital and currency losses occurring between November 1, 2005 and September 30, 2006 up to the following amounts:

	Post-October
	Capital		Currency
	Losses		Losses
Portfolio	(000)		(000)
Balanced	$	—	$	693
Core Plus Fixed Income	18,017		—
High Yield	3,848		—
Intermediate Duration	5,599		—
International Fixed Income	180		—
Limited Duration	8,124		—
Municipal	747		—

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, 2007, approximately 83.0% 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:

	% of
	Portfolio's
Insurers	Net Assets
AMBAC	29.5	%
MBIA	23.5
FGIC	13.1

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2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

At March 31, 2007, 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
Balanced	79.9	%	98.5	%	96.6	%
Mid Cap Growth	28.3		—		81.9
U.S. Mid Cap Value	62.0		85.2		75.8
U.S. Small Cap Value	14.4		—		81.5
Value	55.5		100.0		94.8
Core Fixed Income	—		—		100.0
Core Plus Fixed Income	23.2		96.2		91.1
Equities Plus	—		—		—
High Yield	19.6		—		74.9
Intermediate Duration	52.7		100.0		—
International Fixed Income	10.7		—		—
Investment Grade Fixed Income	22.7		—		12.1
Limited Duration	92.4		—		—
Long Duration Fixed Income	—		—		—
Municipal	11.9		—		—

L. Reverse Stock Split.  After the close of business on November 10, 2006, High Yield Portfolio effected a 2 for 1 reverse stock split for the shares of the Portfolio. All transactions in capital stock and per share data prior to November 13, 2006 have been restated to give effect to the reverse stock split. The reverse stock split had no impact on the overall value of a shareholder’s investment in the Portfolio.

M. Supplemental Proxy Information.  On August 1, 2006, a Special Meeting of Shareholders of the Fund was scheduled in order to vote on the proposals set forth below. In the case of certain proposals listed below the quorum necessary in order to hold the meeting was not obtained, and, therefore, the meeting was adjourned several times, most recently until November 30, 2006, to permit further solicitation of proxies.

(1) Modify fundamental policy regarding diversification:

Portfolio	For	Withhold	Abstain	BNV*
Limited Duration(1)	60,095,819	1,486,547	3,470,494	48,067641
Mid Cap Growth(1)	28,954,878	984,745	1,163,922	10,859,919
U.S. Mid Cap Value(2)	1,701,614	14,882	22,207	587,051
U.S. Small Cap Value(2)	14,113,139	319,848	596,434	121,021

(2) Modify fundamental policy regarding borrowing money:

Portfolio	For	Withhold	Abstain	BNV*
International Fixed
Income(2)	6,604,816	528,990	226,384	34,279
Limited Duration(1)	59,449,167	2,023,110	3,580,583	48,067,641
Mid Cap Growth(1)	28,368,304	1,481,322	1,253,920	10,859,919
U.S. Mid Cap Value(2)	1,674,815	41,814	22,074	587,051
U.S. Small Cap Value(2)	13,957,980	447,741	623,700	121,021

(3) Modify fundamental policy regarding loans:

Portfolio	For	Withhold	Abstain	BNV*
International Fixed
Income(2)	6,588,940	527,773	243,477	34,279
Limited Duration(1)	59,496,840	1,934,807	3,621,213	48,067,641
Mid Cap Growth(1)	28,400,745	1,443,985	1,258,816	10,859,919
U.S. Mid Cap Value(2)	1,668,167	48,722	21,814	587,051
U.S. Small Cap Value(2)	13,957,323	450,022	622,076	121,021

(4) Modify fundamental policy regarding investment in commodities, commodity contracts and futures contracts:

Portfolio	For	Withhold	Abstain	BNV*
International Fixed Income(2)	6,613,522	516,155	230,513	34,279
Limited Duration(1)	59,714,755	1,913,234	3,424,871	48,067,641
Mid Cap Growth(1)	28,664,379	1,181,101	1,258,065	10,859,919
U.S. Mid Cap Value(2)	1,676,052	42,845	19,806	587,051
U.S. Small Cap Value(2)	14,000,464	416,168	312,789	121,021

(5) Modify fundamental policy regarding issuance of senior securities:

Portfolio	For	Withhold	Abstain	BNV*
International Fixed
Income(2)	6,606,810	516,132	237,248	34,279
Limited Duration(1)	60,084,240	1,593,397	3,375,224	48,067,641
Mid Cap Growth(1)	28,629,297	1,220,141	1,254,107	10,859,919
U.S. Mid Cap Value(2)	1,670,073	44,091	24,539	587,051
U.S. Small Cap Value(2)	14,034,107	395,689	599,625	121,021

(1) Meeting was held on October 30, 2006.

(2) Meeting was held on November 30, 2006.

* Broker “non-votes” are shares held in street name for which the broker indicates that instructions have not been received from the beneficial owners or other persons entitled to vote and for which the broker does not have discretionary voting authority.

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2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

N. Subsequent Events. On February 20, 2007, the Trustees authorized the addition of the Adviser Share Class for the Municipal Portfolio. The new share class will become effective on April 30, 2007.

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2007 Semi-Annual Report

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Trustee and Officer Information

Trustees

Frank L. Bowman

Michael Bozic

Kathleen A. Dennis

James F. Higgins

Dr. Manuel H. Johnson

Joseph J. Kearns

Michael F. Klein

W. Allen Reed

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, N.A.

270 Park Avenue

New York, NY 10017

Legal Counsel

Clifford Chance US LLP

31 West 52^nd Street

New York, NY 10019-6131

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116-5072

Officers

Michael E. Nugent

Chairman of the Board and Trustee

Ronald E. Robison

President and Principal Executive Officer

J. David Germany

Vice President

Dennis F. Shea

Vice President

Amy R. Doberman

Vice President

Carsten Otto

Chief Compliance Officer

Stefanie V. Chang Yu

Vice President

Mary E. Mullin

Secretary

James W. Garrett

Treasurer and Chief Financial Officer

Michael J. Leary

Assistant Treasurer

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. The semi-annual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. 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 NCSRS 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

You may obtain a copy of the Fund’s Proxy Voting Policy and Procedures and information regarding how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, without charge, upon request, by calling toll-free 1(800) 354-8185 or by visiting our website at www.morganstanley.com/im. This information is also available on the SEC’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.

143

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

© 2007 Morgan Stanley

IFEQIFISAN 3/07
IU07-01036P-T03/07

Morgan Stanley Investment Management

Morgan Stanley
Institutional Fund Trust

Advisory Portfolios

Advisory

Advisory Global Fixed Income

Advisory Global Fixed Income II

March 31, 2007

Semi-Annual
Report

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Table of Contents

Shareholders’Letter	2
Expense Examples	3
Portfolios of Investments
Advisory Portfolios:
Advisory	4
Advisory Global Fixed Income	9
Advisory Global Fixed Income II	11
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	28

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’sospective investor, please call 1 (800) 354-8185. Please read the prospectus carefully before you invest or send money.

1

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Shareholders’ Letter

Dear Shareholders:

We are pleased to present to you the Morgan Stanley Institutional Fund Trust’s (the “Fund”) Semi-Annual Report for the six months ended March 31, 2007. Our Fund currently consists of 18 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

President and Principal Executive Officer

April 2007

2

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Expense Examples

As a shareholder of a 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 each 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, 2007 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.

Please note that “Expenses Paid During Period” are grossed up to reflect Portfolio expenses prior to the effect of Expense Offset (See Note E in the Notes to Financial Statements). Therefore, the annualized net expense ratios may differ from the ratio of  expenses to average net assets shown in the Financial Highlights.

Hypothetical Example for Comparison Purposes

The second line of the tables below provides information about hypothetical account values and hypothetical expenses based on a 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 a 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, 2006		March 31, 2007		October 1, 2006— March 31, 2007
Advisory Portfolio
Institutional Class
Actual	$	1,000.00	$	1,029.80	$	0.40
Hypothetical (5% average annual return before expenses)	1,000.00		1,024.53		0.40

*  Expenses are equal to Institutional Class’ annualized net 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).

Advisory Global Fixed Income Portfolio
Institutional Class
Actual	$	1,000.00	$	1,041.60	$	0.61
Hypothetical (5% average annual return before expenses)	1,000.00		1,024.33		0.61

*  Expenses are equal to Institutional Class’ annualized net expense ratio of 0.12%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Advisory Global Fixed Income Portfolio II
Institutional Class
Actual	$	1,000.00	$	1,020.40	$	0.76
Hypothetical (5% average annual return before expenses)	1,000.00		1,024.18		0.76

*  Expenses are equal to Institutional Class’ annualized net 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).

3

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Advisory Portfolio

	Face
	Amount		Value
	(000)		(000)
Fixed Income Securities (103.1%)
Agency Adjustable Rate Mortgages (5.6%)
Federal Home Loan Mortgage Corp.,
Adjustable Rate Mortgages:
3.53%, 5/1/34	$	2,189	$	2,137
5.58%, 11/1/36	11,664		11,763
5.70%, 4/1/37	32,483		32,627
5.81%, 1/1/37	20,411		20,563
Federal National Mortgage Association,
Adjustable Rate Mortgage:
3.75%, 6/1/34	47		48
4.88%, 5/1/35	4,226		4,230
5.03%, 3/1/37	5,240		5,231
5.74%, 12/25/08	102		102
6.12%, 4/1/37	30,736		31,117
7.42%, 4/1/36	29,731		31,012
Government National Mortgage Association,
Adjustable Rate Mortgages:
5.38%, 5/20/24 - 1/20/28	24,699		25,007
5.75%, 7/20/25 - 9/20/27	4,079		4,129
6.13%, 10/20/25 - 12/20/27	5,558		5,636
			173,602
Agency Fixed Rate Mortgages (25.8%)
Federal Home Loan Mortgage Corp.,
Conventional Pools:
8.00%, 4/1/08 - 7/1/08	7		7
8.25%, 11/1/07 - 7/1/08	@—		@—
8.75%, 4/1/08	2		2
9.00%, 10/1/16	20		21
9.50%, 10/1/16 - 3/1/20	925		1,006
10.00%, 1/1/09 - 12/1/20	2,371		2,593
10.25%, 1/1/09 - 12/1/11	14		14
10.50%, 11/1/08 - 12/1/20	1,129		1,233
11.00%, 2/1/11 - 9/1/20	659		726
11.25%, 6/1/10 - 12/1/15	10		10
11.50%, 12/1/09 - 9/1/19	439		478
11.75%, 8/1/14 - 4/1/15	35		39
12.00%, 10/1/09 - 7/1/20	496		549
12.50%, 10/1/09 - 6/1/15	47		51
13.00%, 9/1/10 - 11/1/13	2		2
13.50%, 2/1/10	1		2
Gold Pools:
6.00%, 10/1/28 - 12/1/28	518		527
6.50%, 5/1/21 - 11/1/33	5,736		5,900
7.00%, 12/1/26 - 11/1/32	17,068		17,728
7.50%, 2/1/23 - 1/1/34	34,797		36,409
8.00%, 5/1/20 - 12/1/31	16,414		17,283
8.50%, 10/1/10 - 7/1/31	38,685		41,567
9.00%, 10/1/17 - 1/1/31	3,357		3,638
9.50%, 11/1/16 - 12/1/22	1,324		1,440
10.00%, 6/1/17 - 4/1/25	912		997
10.50%, 7/1/19 - 3/1/21	348		387
11.00%, 7/1/17 - 9/1/20	223		242
11.50%, 1/1/16 - 6/1/20	124		135
12.00%, 6/1/20	324		348
12.50%, 7/1/19	$	9	$	9
Federal National Mortgage Association,
Conventional Pools:
4.50%, 8/1/18	369		358
5.50%, 3/1/17	372		374
6.00%, 4/1/13 - 1/1/29	510		519
6.50%, 1/1/24 - 4/1/34	61,993		63,798
7.00%, 6/1/09 - 5/1/36	129,935		135,155
7.50%, 10/1/12 - 4/1/33	65,238		68,270
8.00%, 10/1/07 - 4/1/33	56,730		59,992
8.50%, 5/1/08 - 5/1/32	52,180		56,207
9.00%, 6/1/18 - 4/1/26	1,291		1,391
9.50%, 7/1/16 - 4/1/30	6,850		7,481
10.00%, 9/1/10 - 11/1/25	6,338		7,005
10.50%, 10/1/11 - 6/1/27	1,804		1,995
10.75%, 10/1/11	6		6
11.00%, 10/1/13 - 7/1/25	445		490
11.50%, 9/1/11 - 8/1/25	894		978
12.00%, 1/1/13 - 5/1/20	336		367
12.50%, 2/1/11 - 9/1/15	450		502
April TBA
7.00%, 4/25/37	(i)28,975		29,890
7.50%, 4/25/36	(i)20,500		21,250
May TBA
7.00%, 5/25/37	(i)106,935		110,210
Government National Mortgage Association,
Various Pools:
5.50%, 12/15/32	38		38
6.50%, 10/15/10	24		24
7.00%, 7/15/31	161		169
8.50%, 7/15/08 - 3/15/20	1,758		1,879
9.00%, 11/15/16 - 11/15/24	10,256		11,016
9.50%, 7/15/09 - 10/15/24	24,278		26,410
10.00%, 11/15/09 - 2/15/26	36,561		40,759
10.50%, 4/15/13 - 4/15/25	8,023		8,984
11.00%, 12/15/09 - 4/15/21	10,141		11,185
11.50%, 3/15/10 - 11/15/19	672		747
12.00%, 11/15/12 - 5/15/16	1,357		1,526
12.50%, 5/15/10 - 4/15/19	101		113
13.00%, 1/15/11 - 10/15/13	42		47
13.50%, 5/15/10 - 5/15/13	54		61
			802,539
Asset Backed Corporates (1.2%)
Bear Stearns Asset Backed Securities, Inc.
5.52%, 9/25/34	(h)152		152
Capital Auto Receivables Asset Trust
5.40%, 1/15/08	(h)80		80
GE Capital Credit Card Master Note Trust
5.36%, 9/15/10	(h)900		901
Harley-Davidson Motorcycle Trust
3.09%, 6/15/10	63		63
Lehman Brothers Commercial Mortgage Trust
5.44%, 9/15/21	(e)(h)35,404		35,433

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

4

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Advisory Portfolio

	Face
	Amount		Value
	(000)		(000)
Asset Backed Corporates (cont’d)
SLM Student Loan Trust
5.38%, 4/25/13	$	(h)161	$	161
			36,790
Collateralized Mortgage Obligations — Agency Collateral Series (1.4%)
Bank of America Funding Corp.
2.11%, 9/20/35	(h)104,658		2,486
Federal Home Loan Mortgage Corp.
Inv FI IO
0.63%, 3/15/24	41,043		1,055
2.63%, 3/15/32	189		15
2.68%, 6/15/28 - 3/15/32	4,782		142
3.16%, 12/15/23	3,121		380
3.18%, 9/15/30	2,404		212
20.38%, 11/15/07	11		1
Inv Fl IO PAC
4.22%, 3/15/08	81		1
4.86%, 2/15/08	152		2
Inv Fl IO REMIC
2.18%, 8/15/30	98		4
IO
5.00%, 6/15/17	360		35
5.50%, 1/15/29 - 8/15/30	12,479		865
6.00%, 5/1/31	1,405		272
6.50%, 4/1/28 - 5/15/33	2,324		495
7.00%, 8/15/30 - 3/1/32	5,272		1,164
7.50%, 4/1/28 - 9/1/30	2,771		672
8.00%, 10/15/12 - 6/1/31	8,886		1,916
IO PAC
1.00%, 2/15/27	5,035		132
6.00%, 4/15/32	385		46
7.00%, 9/15/27	63		15
IO REMIC
5.87%, 9/15/07	29		29
10.00%, 5/1/20 - 6/1/20	80		25
PAC
8.55%, 1/15/21	38		38
9.50%, 4/15/20	139		144
9.60%, 4/15/20	135		144
9.90%, 10/15/19	653		690
10.00%, 5/15/20 - 6/15/20	631		661
Federal National Mortgage Association
Inv Fl IO
1.08%, 7/25/34	30,340		856
2.23%, 2/17/31	573		30
2.66%, 7/18/27	965		46
2.78%, 12/25/29	54		@—
2.88%, 10/25/28	3,344		120
3.18%, 7/25/30 - 11/18/30	3,986		236
3.23%, 10/18/30	385		20
3.28%, 10/25/29	617		18
3.86%, 10/25/07	178		1
Inv Fl IO REMIC
30.76%, 9/25/20	$	173	$	291
35.16%, 9/25/22	256		237
IO
5.00%, 2/25/15	459		11
5.50%, 3/25/17 - 6/25/26	639		32
6.00%, 8/25/32 - 7/25/33	20,798		4,350
6.50%, 6/1/3 - 6/25/33	23,819		5,177
7.00%, 4/1/32 - 5/25/33	19,131		4,444
7.50%, 4/1/27 - 1/1/32	6,554		1,743
8.00%, 2/1/23 - 12/1/31	27,114		6,422
8.50%, 10/1/24 - 10/1/25	5,052		1,378
9.00%, 11/1/26	2,655		639
9.50%, 9/1/18	1		@—
461.28%, 12/25/21	@—		2
807.24%, 6/25/21	@—		1
IO PAC
8.00%, 8/18/27 - 9/18/27	8,178		1,721
1,008.12%, 9/25/20	@—		8
1,156.92%, 7/25/21	@—		5
IO REMIC PAC
8.00%, 8/18/27	1,263		276
PAC
8.75%, 11/25/19	8		9
Government National Mortgage Association
Inv Fl IO
2.63%, 9/16/27	84		6
2.68%, 4/16/29	12,902		702
2.83%, 5/20/31	3,073		236
3.23%, 12/16/29	874		66
3.28%, 8/16/29	15,522		1,057
Kidder Peabody Mortgage Assets Trust, IO
9.50%, 4/22/18	16		4
Lehman Structured Securities Corp., IO
7.00%, 10/26/29	(e)(h)29,059		2,735
			44,520
Collateralized Mortgage Obligations — Non Agency Collateral Series (5.7%)
Countrywide Alternative Loan Trust
Zero Coupon, 3/20/46	33,727		1,267
1.78%, 3/20/46	(h)142,349		6,557
IO
1.54%, 2/25/37	(h)171,557		9,060
1.70%, 9/25/46	(h)311,040		15,459
2.25%, 10/25/46	(h)153,934		7,704
2.71%, 12/20/35	(e)(h)193,871		9,315
Countrywide Home Loan Mortgage Pass Through Trust
IO
Zero Coupon, 2/25/35	96,641		2,098
Greenpoint Mortgage Funding Trust,
1.36%, 6/25/45	(h)82,865		2,253
5.50%, 1/25/37 - 5/25/47	(h)63,904		63,852
5.51%, 3/25/47	(h)38,729		38,738
GS Mortgage Securities Corp.
2.57%, 3/25/36	(e)(h)78,570		3,093

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

5

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Advisory Portfolio

	Face
	Amount		Value
	(000)		(000)
Collateralized Mortgage Obligations — Non Agency Collateral Series (cont’d)
Harborview Mortgage Loan Trust
IO
1.26%, 5/19/35	$	(h)174,664	$	4,174
1.58%, 1/19/36	(h)73,657		1,841
1.63%, 3/19/37	(h)85,202		3,754
2.22%, 10/20/45	(h)100,934		4,542
PO
1/19/36 - 10/20/45	2,184		454
Indymac Index Mortgage Loan Trust
IO
0.90%, 7/25/35	(h)116,094		3,681
PO
7/25/35	@—		@—
			177,842
Mortgages — Other (50.5%)
American Express Co.
9.63%, 12/1/12	(d)(k)81		82
American Home Mortgage Assets
5.45%, 3/25/47	(h)34,500		34,443
5.51%, 10/25/46	(h)23,775		23,818
5.55%, 5/25/46 - 9/25/46	(h)63,123		63,203
American Housing Trust
9.55%, 9/25/20	802		800
Bear Stearns Mortgage Securities, Inc.
5.48%, 12/25/36	(h)31,875		31,902
5.52%, 9/25/36	(h)28,044		27,956
5.57%, 7/25/36	(h)30,773		30,735
California Federal Savings & Loan Association
8.80%, 1/25/14	(d)(k)2		2
Countrywide Alternative Loan Trust
0.86%, 12/20/35	(e)(h)335,730		8,813
5.46%, 4/25/47	(h)36,803		36,780
5.49%, 5/25/47	(h)23,400		23,400
5.53%, 3/20/46	(h)19,126		19,155
5.58%, 11/20/35	(h)14,350		14,365
5.61%, 10/25/35 - 11/20/35	(h)25,693		25,733
5.71%, 12/20/35	(h)14,537		14,598
6.68%, 2/25/36	(h)29,263		29,578
6.97%, 11/25/35	(h)22,498		22,955
Countrywide Home Loan Mortgage Pass Through Trust
5.62%, 4/25/46	(h)28,624		28,680
Deutsche ALT-A Securities, Inc., Alternate Loan Trust
5.47%, 2/25/47	(h)44,362		44,362
Deutsche ALT-A Securities, Inc., NIM Trust
6.75%, 2/25/47	(e)(h)7,934		7,906
Downey Savings & Loan Association Mortgage Loan Trust
5.52%, 10/19/36	(h)34,701		34,789
5.92%, 4/19/46	(h)30,997		31,026
Gemsco Mortgage Pass Through Certificate
8.70%, 11/25/10	(d)(k)14		14
GSR Mortgage Loan Trust
5.51%, 8/25/46	(h)37,148		37,201
Harborview Mortgage Loan Trust
5.45%, 3/19/37	$	(h)38,879	$	38,926
5.47%, 3/19/38	(h)31,627		31,654
5.50%, 11/19/36	(h)42,499		42,349
5.51%, 12/19/37	(h)37,393		37,447
5.52%, 7/21/36	(h)32,844		32,758
5.53%, 11/19/36	(h)37,348		37,460
5.55%, 7/19/46	(h)24,752		24,784
5.56%, 3/19/37	(h)24,029		24,087
5.61%, 7/19/45	(h)5,159		5,174
5.70%, 11/19/35	(h)16,658		16,728
Harborview NIM Corp.
6.41%, 3/19/37 - 3/19/38	(e)(h)15,587		15,540
Household Bank
8.24%, 7/1/08	(d)(k)@—		@—
Indymac Index Mortgage Loan Trust
5.55%, 9/25/46	(h)21,933		22,012
5.60%, 7/25/35	(h)5,160		5,190
Lehman XS Trust
5.59%, 11/25/35	(h)29,858		29,985
Luminent Mortgage Capital, Inc.
5.55%, 5/25/46	(h)19,702		19,773
Mastr Adjustable Rate Mortgages Trust
5.57%, 4/25/46	(h)18,961		19,040
Mortgage Equity Conversion Asset Trust
5.46%, 2/25/42	(h)26,000		26,000
Residential Accredit Loans, Inc.
5.46%, 2/25/37	(h)29,750		29,741
5.48%, 2/25/37 - 3/25/47	(h)49,048		49,005
5.52%, 3/25/47	(h)36,401		36,401
5.58%, 2/25/46	(h)9,380		9,392
5.59%, 2/25/46	(h)10,029		10,032
Residential Asset Securities Corp.
5.55%, 6/25/46	(h)34,973		34,945
Ryland Acceptance Corp. IV
6.65%, 7/1/11	(h)399		398
Structured Asset Investment Loan Trust
5.55%, 7/25/36 - 8/25/36	(h)72,119		72,359
Structured Asset Mortgage Investments, Inc.
5.51%, 2/25/36	(h)20,522		20,567
5.52%, 10/25/36	(h)20,080		20,131
5.59%, 4/25/45	(h)42,412		42,610
5.62%, 5/25/36	(h)13,701		13,754
5.63%, 2/25/36	(h)43,198		43,381
Wamu Alternative Mortgage Pass-Through Certificates
4.98%, 8/25/46	(h)32,546		32,603
5.92%, 4/25/46 - 5/25/46	(h)49,633		49,681
Washington Mutual, Inc.
5.57%, 12/25/45	(h)10,883		10,903
5.58%, 10/25/44 - 10/25/45	(h)12,568		12,596
5.59%, 4/25/45	(h)16,698		16,731
5.61%, 8/25/45	(h)6,033		6,042
5.68%, 7/25/45	(h)13,588		13,642

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

6

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Advisory Portfolio

	Face
	Amount		Value
	(000)		(000)
Mortgages — Other (cont’d)
Zuni Mortgage Loan Trust
5.45%, 8/25/36	$	(h)27,080	$	27,070
			1,573,187
U.S. Treasury Securities (12.9%)
U.S. Treasury Strips
IO
4.97%, 5/15/21	(c)530,185		263,270
PO
5/15/21	(c)275,650		137,444
			400,714
Total Fixed Income Securities (Cost $3,284,054)			3,209,194

	Shares
Preferred Stock (0.7%)
Mortgages — Other
Home Ownership Funding Corp.
13.33% (Cost $21,855)	(e)153,475	22,712

	No.of
	Contracts
Put Options Purchased (0.1%)
90 Day EuroDollar
6/07 @ $94.25	16,196	81
6/07 @ $94.50	2,035	10
9/07 @ $94.75	1,104	171
12/07 @ $94.75	15,415	2,505
12/07 @ $94.50	848	36
Total Put Options Purchased (Cost $8,828)		2,803

	Face
	Amount
	(000)
Short-Term Investments (15.2%)
Short-Term Debt Securities held as Collateral on Loaned Securities (13.2%)
AIG Match Funding Corp., 5.30%, 4/17/07	$	(h)9,141	9,141
Alliance & Leicester plc, 5.33%, 4/10/07	(h)6,529		6,529
Anglo Irish Bank Corp. plc, 5.35%, 7/9/07	3,179		3,179
Bancaja, 5.36%, 4/19/07	(h)3,264		3,264
Bank of America Corp., 5.32%, 4/2/07	(h)10,446		10,446
Bank of New York Co., Inc., 5.32%, 4/10/07	(h)3,264		3,264
Bear Stearns & Co., Inc., 5.36%, 4/16/07	(h)6,529		6,529
BNP Paribas plc, 5.33%, 5/21/07	(h)6,529		6,529
CAM US Finance S.A. Unipersonal,
5.36%, 7/3/07	(h)13,058		13,058
CIC, New York,
5.30%, 4/3/07	(h)4,570		4,570
5.34%, 4/2/07	(h)6,529		6,529
CIT Group Holdings, 5.37%, 7/18/07	(h)11,752		11,752
Credit Suisse First Boston, New York,
5.29%, 5/15/07	3,917		3,917
5.32%, 4/2/07	(h)6,529		6,529
Deutsche Bank Securities, Inc.,
5.40%, 4/2/07	26,116		26,116
5.46%, 4/2/07	62,678		62,678

	Face
	Amount		Value
	(000)		(000)
Dexia Bank, New York, 5.32%, 4/2/07	$	(h)6,528	$	6,528
First Tennessee Bank, 5.33%, 4/17/07	(h)3,265		3,265
Gemini Securitization Corp., 5.41%, 4/2/07	9,390		9,390
Goldman Sachs Group, Inc.,
5.37%, 4/16/07	(h)3,264		3,264
5.55%, 4/2/07	(h)6,137		6,137
HSBC Finance Corp., 5.33%, 4/10/07	(h)3,265		3,265
Mane Funding Corp., 5.29%, 4/10/07	4,677		4,677
Manufacturers & Traders, 5.30%, 4/16/07	(h)3,917		3,917
Marshall & Ilsley Bank, 5.37%, 12/17/07	6,547		6,547
Merrill Lynch & Co., 5.33%, 4/26/07	(h)3,431		3,431
Metropolitan Life Global Funding,
5.31%, 4/23/07	(h)9,793		9,793
Natexis Banques Populaires, New York,
5.33%, 4/2/07	(h)6,529		6,529
5.34%, 4/2/07	(h)6,529		6,529
National Australia Bank Ltd., 5.31%, 4/10/07	(h)4,962		4,962
National City Bank Cleveland, 5.32%, 4/2/07	(h)3,265		3,265
National Rural Utilities Cooperative
Finance Corp., 5.31%, 4/2/07	(h)13,058		13,058
Nationwide Building Society, 5.43%, 6/28/07	(h)7,574		7,574
Nordea Bank, New York, 5.31%, 4/2/07	(h)9,793		9,793
Raiffeisen Zentralbank Oesterreich,
5.31%, 6/19/07	3,865		3,865
Rheingold Securitization, 5.32%, 5/15/07	5,800		5,800
Sedna Finance, Inc., 5.32%, 5/15/07	1,675		1,675
Skandi, New York, 5.32%, 4/10/07	(h)6,529		6,529
Toronto Dominion, New York, 5.32%, 5/29/07	(h)6,529		6,529
Tulip Funding Corp., 5.36%, 4/30/07	12,998		12,998
UBS Securities LLC, 5.40%, 4/2/07	64,165		64,165
Unicredito Delaware, Inc., 5.32%, 4/16/07	(h)7,182		7,182
Unicredito Italiano Bank (Ireland) plc,
5.34%, 4/10/07	(h)4,570		4,570
			409,267
Repurchase Agreement (1.4%)
J.P. Morgan Securities, Inc.,
5.28%, dated 3/30/07, due 4/2/07,
repurchase price $43,289	(f)43,270		43,270
Commercial Paper (0.5)
HBOS Treasury Services
5.27%, 5/4/07	16,000		15,922
U.S. Treasury Security (0.1)
U.S. Treasury Bill
4.98%, 7/12/07	(j)(l)3,925		3,872
Total Short-Term Investments (Cost $472,330)			472,331
Total Investments (119.1%) (Cost $3,787,067) — Including $400,163 of Securities Loaned			3,707,040
Liabilities in Excess of Other Assets (-19.1%)			(594,802)
Net Assets (100%)			$	3,112,238

(c)	All or a portion of security on loan at March 31, 2007.
(d)	Security was valued at fair value — At March 31, 2007, the Portfolio held $98,000 of fair valued securities, representing less than 0.05% of net assets.

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

7

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Advisory Portfolio

(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 $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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, 2007.
(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 has been deemed illiquid at March 31, 2007.
(l)	Purchased on a discount basis. The interest rate shown has been adjusted to reflect a money market equivalent yield.
@	Face Amount/Value is less than $500.
In 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, 2007.
IO	Interest Only
PO	Principal Only
PAC	Planned Amortization Class
REMIC	Real Estate Mortgage Investment Conduit
TBA	To 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	7,885	$	1,615,563	Jun-07	$	(1,558	)
U.S. Treasury 10 yr. Note	6,618	715,571		Jun-07	2,533
Short:
U.S. Treasury 5 yr. Note	2,997	317,073		Jun-07	1,562
U.S. Treasury Short Bond	1,398	155,528		Jun-07	202
					$	2,739

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 above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

8

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Advisory Global Fixed Income Portfolio

	Face
	Amount				Value
	(000)				(000)
Fixed Income Securities (34.8%)
Argentina (7.2%)
Government of Argentina
5.83%, 12/31/33	$	25,000			$	12,000
Austria (1.6%)
Republic of Austria
5.00%, 1/15/08	EUR			2,000	2,691
Belgium (4.2%)
Kingdom of Belgium
5.75%, 3/28/08	5,100				6,920
France (4.4%)
Government of France B.T.A.N.
3.00%, 7/12/08	5,500				7,254
Mexico (9.0%)
Mexican Bonos
9.50%, 12/18/14	MXN		148,305		14,965
Netherlands (4.8%)
Netherlands Government
2.50%, 1/15/08	EUR			6,000	7,921
Turkey (3.6%)
Citigroup, Inc.
Zero Coupon, 7/17/08	$	5,035			5,964
Total Fixed Income Securities (Cost $53,809)					57,715

	No. of
	Contracts
Put Options Purchased (3.3%)
Turkey (0.1%)
Turkish Lira Put @ $1.510
expiring 7/24/07	(a)5,700	80
Switzerland (3.2%)
Swiss Franc Put @ $1.186
expiring 3/6/08	(a)206,500	5,369
Total Put Options Purchased (Cost $5,764)		5,449

	Face
	Amount
	(000)
Short-Term Investment (60.9%)
Repurchase Agreement (60.9%)
J.P. Morgan Securities, Inc., 5.28%, dated
3/30/07, due 4/2/07, repurchase price
$101,262 (Cost $101,217)	$	(f)101,217	101,217
Total Investments (99.0%) (Cost $160,790)			164,381
Other Assets in Excess of Liabilities (1.0%)			1,684
Net Assets (100%)			$	166,065

(a)	Non-income producing security.
(f)	Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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.
EUR	Euro
MXN	Mexican Peso

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  (000)		Value (000)		Settlement Date	For (000)		Value (000)		(Depreciation)  (000)
EUR	18,350	$	24,539	4/30/07	USD	23,913	$	23,913	$	(626	)
EUR	589	788		4/30/07	USD	768	768		(20		)
EUR	42,024	56,230		5/14/07	USD	54,796	54,796		(1,434		)
USD	53,904	53,904		5/14/07	JPY	6,450,000	55,049		1,145
		$	135,461				$	134,526	$	(935	)

JPY	Japanese Yen
USD	United States Dollar

Futures Contracts:

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

					Net
					Unrealized
					Appreciation
	Number of			Expiration	(Depreciation)
	Contracts	Value(000)		Date	(000)
Long:
Euro—Schatz (2) yr. (Germany)	617	$	85,146	Jun-07	$	(272	)

Options Written:

The Portfolio had the following option(s) written open at period end:

	No. of	Value
	Contracts	(000)
Put Options Written
Turkish Lira Put @ $1.661
expiring 7/24/07 (Premiums Received $207)	14,670	$	(15	)

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

9

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments (cont’d)

Advisory Global Fixed Income Portfolio

Graphic Presentation of Portfolio Holdings

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

*Countries and/or investment types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

10

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Portfolio of Investments

Advisory Global Fixed Income Portfolio II

	Face
	Amount			Value
	(000)			(000)
Fixed Income Securities (37.9%)
Austria (4.9%)
Republic of Austria
4.00%, 7/15/09	EUR		40	$	53
Belgium (23.7%)
Kingdom of Belgium
5.75%, 3/28/08	190			258
France (4.9%)
Government of France B.T.A.N
3.50%, 1/12/09	40			53
Netherlands (4.4%)
Netherlands Government
5.25%, 7/15/08	35			48
Total Fixed Income Securities (Cost $393)				412
Short-Term Investment (54.8%)
Repurchase Agreement (54.8%)
J.P. Morgan Securities, Inc., 5.28%, dated
3/30/07, due 4/2/07, repurchase price
$596 (Cost $596)	$	(f)596		596
Total Investments (92.7%) (Cost $989)				1,008
Other Assets in Excess of Liabilities (7.3%)				79
Net Assets (100%)				$	1,087

(f)

Represents the Portfolio’s undivided interest in a joint repurchase agreement which has a total value of $1,580,364,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 5/7/07 to 3/2/21; Federal Home Loan Bank, 0.00% to 6.42%, due 4/2/07 to 3/9/26; Federal Home Loan Mortgage Corp., 0.00% to 7.00%, due 4/2/07 to 3/15/31; Federal National Mortgage Association, 0.00% to 7.13%, due 4/5/07 to 3/17/31; Tennessee Valley Authority, 4.88%, due 12/15/16, which had a total value of $1,611,974,119. 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.

EUR

Euro

Foreign Currency Exchange Contract Information:

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

									Net
Currency					In				Unrealized
to					Exchange				Appreciation
Deliver  (000)		Value (000)		Settlement Date	For (000)		Value (000)		(Depreciation)  (000)
EUR	319	$	426	4/30/07	USD	415	$	415	$	(11	)

USD        United States Dollar

Futures Contracts:

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

					Net
					Unrealized
	Number				Appreciation
	of	Value		Expiration	(Deprteciation)
	Contracts	(000)		Date	(000)
Long:
Euro—Schatz 2 yr. (Germany)	4	$	552	Jun-07	$	(2	)

Graphic Presentation of Portfolio Holdings

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

*Countries and/or investment types which do not appear in the above graph, as well as those which represent less than 5% of total investments, if applicable, are included in the category labeled “Other”.

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

11

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Assets and Liabilities

				Advisory			Advisory
				Global			Global
	Advisory			Fixed Income			Fixed Income
	Portfolio			Portfolio			Portfolio II
	(000)			(000)			(000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost:	$	3,787,067		$	160,790		$	989
Foreign Currency, at Cost:	—			253			1
Investments in Securities of Unaffiliated Issuers, at Value:(1)	3,707,040			164,381			1,008
Cash	—			1			@—
Foreign Currency, at Value:	—			254			1
Receivable for Investments Sold	31,391			—			—
Receivable for Portfolio Shares Sold	166			—			—
Unrealized Appreciation on Foreign Currency Exchange Contracts	—			1,145			—
Unrealized Appreciation on Swap Agreements	4,238			—			—
Interest Receivable	12,113			588			4
Receivable for Forward Commitments	246,385			—			—
Due from Broker	14,746			1,821			95
Foreign Withholding Tax Reclaim Receivable	—			—			1
Due from Adviser	167			—			13
OtherAssets	49			3			@—
Total Assets	4,016,295			168,193			1,122
Liabilities:
Collateral on Securities Loaned, at Value	409,267			—			—
Payable for Delayed Delivery Commitments	446,793			—			—
Payable for Bank Overdraft	7,091			—			—
Unrealized Depreciation on Foreign Currency Exchange Contracts	—			2,080			11
Unrealized Depreciation on Swap Agreements	5,679			—			—
Payable for Investments Purchased	33,913			—			—
Payable for Portfolio Shares Redeemed	684			—			—
Payable for Administration Fees	212			11			@—
Payable for Custodian Fees	110			@—			3
Payable for Trustees’ Fees and Expenses	143			3			@—
Options Written, at Value (Premiums received $207)	—			15			—
Other Liabilities	165			19			21
Total Liabilities	904,057			2,128			35
Net Assets	$	3,112,238		$	166,065		$	1,087
Net Assets Consist Of:
Paid-in Capital	$	3,582,917		$	162,583		$	1,094
Undistributed (Distributions in Excess of) Net Investment Income	(94,687		)	963			(13		)
Accumulated Net Realized Gain (Loss)	(297,263		)	(58		)	@—
Unrealized Appreciation (Depreciation) on:
Investments	(80,027		)	3,591			19
Foreign Currency Exchange Contracts and Translations	—			(934		)	(11		)
Futures Contracts	2,739			(272		)	(2		)
Options Written	—			192			—
Swap Agreements	(1,441		)	—			—
Net Assets	$	3,112,238		$	166,065		$	1,087
INSTITUTIONAL CLASS:
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000’s)	333,768,092			46,790,605			89,037
Net Asset Value, Offering and Redemption Price Per Share	$	9.32		$	3.55		$	12.21

(1) Including:
Repurchase Agreements, at Value:	$	43,270	$	101,217	$	596
Securities on Loan, at Value:	$	400,163	$	—	$	—

@Amount is less than $500.

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

12

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2007

				Advisory			Advisory
				Global			Global
	Advisory			Fixed Income			Fixed Income
	Portfolio			Portfolio			Portfolio II
	(000)			(000)			(000)
Investment Income:
Dividends	$	850		$	—		$	—
Interest	76,987			4,125			24
Total Investment Income	77,837			4,125			24
Expenses:
Investment Advisory Fees (Note B)	5,798			311			2
Administration Fees (Note C)	1,237			66			@—
Custodian Fees (Note E)	114			2			2
Professional Fees	125			12			11
Trustees’ Fees and Expenses	43			1			@—
Transfer Agency Fees (Note F)	2			2			2
Shareholder Reporting Fees	27			4			3
Proxy Fees	17			@—			@—
Other Expenses	74			11			11
Total Expenses	7,437			409			31
Waiver of Investment Advisory Fees (Note B)	(5,798		)	(311		)	(2		)
Expenses Reimbursed by Adviser (Note B)	(400		)	—			(29		)
Expense Offset (Note E)	(2		)	(2		)	@—
Net Expenses	1,237			96			@—
Net Investment Income	76,600			4,029			24
Realized Gain (Loss):
Investments Sold	33,411			2,384			—
Foreign Currency Transactions	—			(1,761		)	2
Futures Contracts	7,313			(234		)	(3		)
Swap Agreements	31,284			—			—
Net Realized Gain (Loss)	72,008			389			(1		)
Change in Unrealized Appreciation (Depreciation):
Investments	(52,028		)	3,394			13
Foreign Currency Exchange Contracts and Translations	—			(1,052		)	(13		)
Futures Contracts	(3,569		)	(351		)	(2		)
Options Written	—			192			—
Swap Agreements	(1,526		)	—			—
Net Change in Unrealized Appreciation (Depreciation)	(57,123		)	2,183			(2		)
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	14,885			2,572			(3		)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	91,485		$	6,601		$	21

@Amount is less than $500.

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

13

2007 Semi-Annual Report

March 31, 2007

Statements of Changes in Net Assets

								Advisory Global									Advisory Global
	Advisory							Fixed Income									Fixed Income
	Portfolio^							Portfolio									Portfolio II
	Six Months							Six Months									Six Months
	Ended							Ended									Ended
	March 31,			Year Ended				March 31,					Year Ended				March 31,					Year Ended
	2007			September				2007					September				2007					September
	(unaudited)			30, 2006				(unaudited)					30, 2006				(unaudited)					30, 2006
	(000)			(000)				(000)					(000)				(000)					(000)
Increase (Decrease) in Net Assets Operations:
Net Investment Income (Loss)	$	76,600		$	108,684			$			4,029		$	1,785			$	24				$	48
Net Realized Gain (Loss)	72,008			90,759				389					(216			)	(1				)	(29				)
Net Change in Unrealized Appreciation (Depreciation)	(57,123		)	(52,856			)	2,183					469				(2				)	32
Net Increase (Decrease) in Net Assets Resulting from Operations	91,485			146,587				6,601					2,038				21					51
Distributions from and/or in Excess of:
Institutional Class:
Net Investment Income	(146,766		)	(205,755			)	(3,965				)	(652			)	(29				)	(21				)
Net Realized Gain	—			—				(415				)	—				—					—
Return of Capital	—			(54,511			)	—					—				—					—
Total Distributions	(146,766		)	(260,266			)	(4,380				)	(652			)	(29				)	(21				)
Capital Share Transactions:(1)
Institutional Class:
Subscribed	103,581			364,390				6,477					159,280				—					—
Distributions Reinvested	127,617			223,721				3,953					574				27					19
Redeemed	(240,719		)	(596,069			)	(11,096				)	(1,918			)	—					(266				)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions	(9,521		)	(7,958			)	(666				)	157,936				27					(247				)
Total Increase (Decrease) in Net Assets	(64,802		)	(121,637			)	1,555					159,322				19					(217				)
Net Assets:
Beginning of Period	3,177,040			3,298,677				164,510					5,188				1,068					1,285
End of Period	$	3,112,238		$	3,177,040			$	166,065				$	164,510			$		1,087			$		1,068
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	(94,687	)	$		(24,521	)	$		963			$		899		$			(13	)	$			(8	)
(1)   Capital Share Transactions:
Institutional Class:
Shares Subscribed		11,098				37,939				1,826					45,849					—					—
Shares Issued on Distributions Reinvested		13,663				23,333				1,128					169					2					2
Shares Redeemed		(25,674	)			(61,822	)			(3,142)					(560	)				—					(22	)
Net Increase (Decrease) in Institutional Class Shares Outstanding		(913)				(550)				(188)					45,458					2					(20	)

^As Restated — See Note L.

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

14

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Statement of Cash Flows

For the Six Months Ended March 31, 2007

	Advisory
	Portfolio
	(000)
Cash Flows From Operating Activities:
Proceeds from Sales and Maturities of Investments	$	3,112,535
Purchases of Investments	(2,740,712		)
Proceeds from Sales of Forward Commitments	716,408
Purchases of Forward Commitments	(1,066,232		)
Net (Increase) Decrease in Short-Term Investments	4,292
Net Realized Gain (Loss) on Futures Contracts	7,313
Net Realized Gain (Loss) on Swap Agreements	31,284
Net Investment Income	76,600
Adjustments to Reconcile Net Investment Income to Net Cash Provided by Operating Activities:
Net (Increase) Decrease in Receivables Related to Operations	331
Net Increase (Decrease) in Payables Related to Operations	90
Accretion/Amortization of Discounts and Premiums	4,177
Net Cash Provided by Operating Activities	146,086
Cash Flows from Financing Activities:
Proceeds from Portfolio Shares Sold	103,415
Payment on Portfolio Shares Redeemed	(241,926		)
Cash Dividends and Distributions Paid	(19,149		)
Net Cash Used in Financing Activities	(157,660		)
Net Increase (Decrease) in Cash	(11,574		)
Cash at Beginning of Period	4,483
Cash at End of Period	$	(7,091	)

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

15

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Advisory Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2007			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2006^			2005^			2004^			2003^			2002
Net Asset Value, Beginning of Period	$	9.49		$	9.84		$	10.03		$	10.11		$	10.74		$	10.63
Income from Investment Operations:
Net Investment Income	0.23		†	0.33		†	0.36		†	0.21		†	0.23		†	0.45
Net Realized and Unrealized Gain (Loss) on
Investments	0.04			0.11			0.07			0.21			0.22			0.41
Total from Investment Operations	0.27			0.44			0.43			0.42			0.45			0.87
Distributions from and/or in Excess of:
Net Investment Income	(0.44		)	(0.63		)	(0.62		)	(0.50		)	(0.51		)	(0.76		)
Net Realized Gain	—			—			—			—			(0.57		)	—
Return of Capital	—			(0.16		)	—			—			—			—
Total Distributions	(0.44		)	(0.79		)	(0.62		)	(0.50		)	(1.08		)	(0.76		)
Net Asset Value, End of Period	$	9.32		$	9.49		$	9.84		$	10.03		$	10.11		$	10.74
Total Return	2.98		‡%	4.76		%	4.44		%	4.30		%	4.42		%	8.49		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,112,238		$	3,177,040		$	3,298,677		$	3,760,527		$	5,716,522		$	7,034,400
Ratio of Expenses to Average Net Assets (1)	0.08		%*	0.08		%	0.08		%	0.08		%	0.08		%	0.09		%
Ratio of Net Investment Income to Average
Net Assets (1)	4.96		%*	3.41		%	3.66		%	2.09		%	2.24		%	4.24		%
Portfolio Turnover Rate^^	110		%‡	230		%	240		%	512		%	120		%	112		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/
Reimbursed by Adviser:
Expenses to Average Net Assets	0.48	%*	0.48	%	0.47	%	0.49	%	0.49	%	0.48	%
Net Investment Income to Average
Net Assets	4.55	%*	3.01	%	3.27	%	1.68	%	1.83	%	3.84	%

†	Per share amount is based on average shares outstanding.
‡	Not Annualized
*	Annualized
^	As Restated — See Note L.
^^	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 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

16

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Advisory Global Fixed Income Portfolio

	Institutional Class
	Six Months Ended
	March 31, 2007			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2006			2005			2004			2003			2002
Net Asset Value, Beginning of Period	$	3.50		$	3.41		$	3.34		$	3.29		$	4.17		$	3.97
Income (Loss) from Investment Operations:
Net Investment Income†	0.09			0.18			0.08			0.06			0.06			0.18
Net Realized and Unrealized Gain (Loss) on Investments	0.05			(0.01		)††	0.06			0.01			0.07			0.37
Total from Investment Operations	0.14			0.17			0.14			0.07			0.07			0.37
Distributions from and/or in Excess of:
Net Investment Income	(0.08		)	(0.08		)	(0.07		)	(0.02		)	(0.34		)	(0.17		)
Net Realized Gain	(0.01		)	—			(0.00		)#	(0.00		)#	(0.61		)	—
Total Distributions	(0.09		)	(0.08		)	(0.07		)	(0.02		)	(0.95		)	(0.17		)
Net Asset Value, End of Period	$	3.55		$	3.50		$	3.41		$	3.34		$	3.29		$	4.17
Total Return	4.16		%‡	4.93		%	4.30		%	2.15		%	1.88		%	9.73		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	166,065		$	164,510		$	5,188		$	101,210		$	157,665		$	8,713
Ratio of Expenses to Average Net Assets (1)	0.12		%*	0.15		%	0.15		%	0.15		%	0.22		%	0.15		%
Ratio of Net Investment Income to Average Net Assets (1)	4.86		%*	5.18		%	2.45		%	1.91		%	1.86		%	4.51		%
Portfolio Turnover Rate	42		%‡	11		%	7		%	10		%	13		%	51		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	0.49	%*	0.63	%	0.57	%	0.53	%	0.54	%	0.49	%
Net Investment Income to Average Net Assets	4.49	%*	4.70	%	2.03	%	1.53	%	1.47	%	4.14	%

†	Per share amount is based on average shares outstanding.
‡	Not Annualized
*	Annualized
††	The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Portfolio.
#	Amount is less than $0.005 per share.

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

17

2007 Semi-Annual Report

March 31, 2007

Financial Highlights

Advisory Global Fixed Income Portfolio II

	Institutional Class
	Six Months Ended
	March 31, 2007				Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)				2006			2005			2004			2003			2002
Net Asset Value, Beginning of Period	$	12.30			$	12.00		$	11.84		$	11.63		$	11.60		$	10.92
Income (Loss) from Investment Operations:
Net Investment Income†	0.26				0.49			0.29			0.22			0.24			0.48
Net Realized and Unrealized Gain (Loss) on Investments	(0.01			)	0.02			0.07			0.05			(0.01		)	0.79
Total from Investment Operations	0.25				0.51			0.36			0.27			0.23			1.27
Distributions from and/or in Excess of:
Net Investment Income	(0.34			)	(0.21		)	(0.20		)	(0.06		)	(0.20		)	(0.59		)
Net Realized Gain	—				—			—			(0.00		)#	—			—
Total Distributions	(0.34			)	(0.21		)	(0.20		)	(0.06		)	(0.20		)	(0.59		)
Net Asset Value, End of Period	$		12.21		$	12.30		$	12.00		$	11.84		$	11.63		$	11.60
Total Return	2.04			%‡	4.30		%	3.11		%	2.35		%	1.96		%	12.07		%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$		1,087		$	1,068		$	1,285		$	25,671		$	26,874		$	2,181
Ratio of Expenses to Average Net Assets (1)	0.15			%*	0.15		%	0.15		%	0.15		%	0.22		%	0.16		%
Ratio of Net Investment Income to Average Net Assets (1)	4.33			%*	4.04		%	2.41		%	1.92		%	2.08		%	4.51		%
Portfolio Turnover Rate	12			%‡	91		%	15%			11		%	50		%	59		%

(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expenses Waived/Reimbursed by Adviser:
Expenses to Average Net Assets	5.95	%*	5.36	%	0.81	%	0.62	%	1.23	%	0.57	%
Net Investment Income (Loss) to Average Net Assets	(1.47	)%*	(1.17	)%	1.75	%	1.45	%	1.00	%	4.09	%

†	Per share amount is based on average shares outstanding.
‡	Not Annualized
*	Annualized
#	Amount is less than $0.005 per share.

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

18

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements

Morgan Stanley Institutional Fund Trust (“MSIFT” or the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end investment company. The Fund is comprised of eighteen active portfolios. The accompanying financial statements and financial highlights are those of the Advisory Portfolio (formerly, Advisory Mortgage Portfolio), Advisory Global Fixed Income (formerly, Advisory Foreign Fixed Income Portfolio) and Advisory Global Fixed Income Portfolio II (formerly, Advisory Foreign Fixed Income II Portfolio) (each referred to as a “Portfolio”) only. For the purposes of the 1940 Act, the Advisory Global Fixed Income Portfolio and Advisory Global Fixed Income Portfolio II are considered non-diversified funds; the Advisory Portfolio is considered a diversified fund. Effective December 8, 2006, the Advisory Foreign Fixed Income Portfolio and Advisory Foreign Fixed Income II Portfolio changed  its name to Advisory Global Fixed Income Portfolio and Advisory Global Fixed Income Portfolio II, resepctively. Effective April 17, 2006, the Advisory Mortgage Portfolio changed its name to the Advisory Portfolio. 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. 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, except as noted below. 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 (the “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 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

19

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

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 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 Statements 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 Statements 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 Statements 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. The Portfolio accrues for interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) of swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded within realized gain (loss) on swaps on the Statements of Operations. 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. The Portfolio accrues for interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) of swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded within realized gain (loss) on swaps on the Statements of Operations. 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. The Portfolio amortizes its interest payment obligation over the life of the swap. The amortized portion of this payment is recorded in the Statements of Operations as an adjustment to interest income. The unamortized portion of this payment is included in “Due from (to) Broker” on the Statements of Assets and Liabilities. Interest rate swaps are marked-to-market daily

20

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

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 coun-terparty, 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 Statements 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 interest payments to be received, if any, at the date of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the related amounts shown in the Statements of Assets & Liabilities.

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

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 and, in certain situations, to gain exposure to foreign currencies. Certain Portfolios may also enter into cross currency hedges which involve the sale of one currency against the positive exposure to a different currency. Cross currency hedges may be used for hedging purposes or to establish an active exposure to the exchange rate between any two currencies. 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 Global Fixed Income Portfolio and Advisory Global Fixed Income Portfolio II’s 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

21

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

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.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. 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.

Options written for the six months ended March 31, 2007 were as follows:

	Total	Total
	Number of	Premiums
Advisory Global Fixed Income Portfolio	Contracts	Received
Options Outstanding — October 1, 2006	—	$	—
Options Written	14,670	207
Options Terminated in Closing Purchase Transactions	—	—
Options Expired	—	—
Options Exercised	—	—
Options Outstanding — March 31, 2007	14,670	$	207

10. New Accounting Pronouncements: In July 2006, the Financial Accounting Standards Board (FASB) issued Interpretation 48, “Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109” (FIN 48). FIN 48 clarifies the accounting for income taxes by prescribing the minimum recognition threshold a tax position must meet before being recognized in the financial statements. FIN 48 is effective for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in the Portfolio NAV calculations as late as the Portfolios’ last NAV calculation in the first required financial statement period. As a result, the Fund will incorporate FIN 48 in its next semi annual report. The impact to the Portfolios’ financial statements, if any, is currently being assessed.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Portfolios’ financial statement disclosures.

11. 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.

22

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

B. Investment Advisory Fees. Morgan Stanley Investment Management Inc. (the “Adviser” or “MS Investment Management”), a wholly-owned subsidiary of Morgan Stanley, performs investment advisory services at a fee calculated by applying a quarterly rate based on an annual percentage rate of 0.375% of each 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 for certain expenses, after giving effect to custody fee offsets, if annual operating expenses exceed 0.08%, 0.15% and 0.15% of average daily net assets of the Advisory Portfolio, Advisory Global Fixed Income Portfolio, and Advisory Global Fixed Income Portfolio II, respectively.

Morgan Stanley Investment Management Limited (“MSIM Limited”) serves as Sub-Adviser to the Advisory Global Fixed Income Portfolio and the Advisory Global Fixed Income Portfolio II. 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. MS Investment Management (the “Administrator”) also provides the Fund with administration services pursuant to an administration agreement for an annual fee, accrued daily and paid monthly, of 0.08% of each Portfolio’s average daily net assets.

Under an agreement between the Administrator and JPMorgan Investor Services Co. (“JPMIS”), a corporate affiliate of JPMorgan Chase Bank, N.A., JPMIS provides certain administrative services to the Fund. For such services, the Administrator pays JPMIS a portion of the fee the Administrator receives from the Fund. An employee of JPMIS is an officer of the Fund.

D. Distributor. Morgan Stanley Distribution, Inc. (“MSDI” or the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as 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, N.A. (the “Custodian”) 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 Fund has entered into an arrangement with its 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 serves as transfer agent to the Fund pursuant to a transfer agency agreement.

G. Portfolio Investment Activity.

1.Purchases and Sales of Securities:  For the six months ended March 31, 2007, 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	$	2,325,973	$	2,008,223
Advisory Global Fixed Income	25,115		33,660
Advisory Global Fixed Income II	51		107

For the six months ended March 31, 2007, purchases and sales of long-term U.S. government securities were:

	Purchases		Sales
Portfolio	(000)		(000)
Advisory	$	1,350,527	$	2,040,261

2. Swap Agreements:  At March 31, 2007, the Advisory Portfolio had the following open Swap Agreements:

							Net Unrealized
		Notional					Appreciation
	Termination	Amount					(Depreciation)
Counterparty	Date	(000)		Type	Pay	Receive	(000)
Citigroup	5/15/21	$	39,800	ZCS	at maturity	compounded 3 month LIBOR less 7.50 bps	$	(659	)
	5/15/21	39,800		ZCS	at maturity	compounded 3 month LIBOR less 7.50 bps	(609		)
	5/15/21	15,500		ZCS	at maturity	compounded 3 month LIBOR less 7.50 bps	(298		)
	5/15/21	47,200		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(900		)
	5/15/21	33,000		ZCS	at maturity	compounded 3 month LIBOR less 7.50 bps	(658		)
	5/15/21	30,410		ZCS	at maturity	compounded 3 month LIBOR less 7.75 bps	(529		)
	5/15/21	36,300		ZCS	at maturity	compounded 3 month LIBOR less 7.25 bps	(750		)
	5/15/21	119,875		ZCS	at maturity	compounded 3 month LIBOR less 3.75 bps	221
	5/15/21	63,800		ZCS	at maturity	compounded 3 month LIBOR less 4.50 bps	414

23

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

							Net Unrealized
		Notional					Appreciation
	Termination	Amount					(Depreciation)
Counterparty	Date	(000)		Type	Pay	Receive	(000)
	5/15/21	$	63,900	ZCS	at maturity	compounded 3 month LIBOR less 3.00 bps	$	2,344
	5/15/21	27,250		ZCS	at maturity	compounded 3 month LIBOR less 4.50 bps	1,259
Credit Suisse First Boston	5/15/21	289,000		ZCS	at maturity	compounded 3 month LIBOR	(1,276		)
							$	(1,441	)

bps	— basis points
LIBOR	— London Inter Bank Offer Rate
ZCS	— Zero Coupon Interest Rate Swap

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, 2007 are as follows:

	Value of
	Loaned		Value of
	Securities		Collateral
Portfolio	(000)		(000)
Advisory	$	400,163	$	409,267

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

	Net Interest
	Earned by
	Portfolio
Portfolio	(000)
Advisory	$	79

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 for the Advisory Global Fixed Income Portfolio and Advisory Global Fixed Income Portfolio II and monthly for the Advisory 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 2006 and 2005 were as follows:

	2006 Distributions						2005 Distributions
	Paid From:						Paid From:
					Long-Term				Long-Term
	Ordinary		Return of		Capital		Ordinary		Capital
	Income		Capital		Gain		Income		Gain
Portfolio	(000)		(000)		(000)		(000)		(000)
Advisory^	$	205,755	$	54,511	$	—	$	215,705	$	—
Advisory
Global Fixed
Income	652		—		—		4,713		—
Advisory
Global Fixed
Income II	21		—		—		1,111		—

^ As Restated — See Note L.

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.

24

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

Permanent differences are generally due to swap transactions, paydown adjustments, foreign futures transactions and foreign currency transactions. These resulted in the following reclassifications among the Portfolios’ components of net assets at September 30, 2006:

	Accumulated
	Undistributed
	(Distributions in
	Excess of) Net			Accumulated Net
	Investment			Realized Gain			Paid-in
	Income (Loss)			(Loss)			Capital
Portfolio	(000)			(000)			(000)^^
Advisory^	$	125,975		$	(117,171	)	$	(8,804	)
Advisory Global
Fixed Income	(216		)	216			—
Advisory Global
Fixed Income II	(30		)	30			—

^As Restated — See Note L.

^^The restatement of accretion income for Interest Only securities resulted in a Return of Capital for the Advisory Portfolio.

At September 30, 2006, the components of distributable earnings on a tax basis were as follows:

	Undistributed
	Ordinary Income
Portfolio	(000)
Advisory^	$	—
Advisory Global Fixed Income	1,282
Advisory Global Fixed Income II	29

^ As Restated — See Note L.

At March 31, 2007, 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	$	3,787,067	$	28,038	$	(108,065	)	$	(80,027	)
Advisory Global
Fixed Income	160,790		4,039		(448		)	3,591
Advisory Global Fixed
Income II	989		19		—			19

At September 30, 2006, 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	2011		2012		2013		2014		Total
Advisory^	$	—	$	152,715	$	62,736	$	19,857	$	235,308
Advisory Global Fixed Income	—		—		—		32		32

^ As Restated — See Note L.

To the extent that a 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 components of net assets at 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 year ended September 30, 2006, the Advisory Portfolio and Advisory Global Fixed Income Portfolio II elected to defer capital and currency losses occurring between November 1, 2005 and September 30, 2006 up to approximately $65,443,000 and $29,000, respectively.

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, 2007, the Advisory Portfolio, Advisory Global Fixed Income Portfolio and Advisory Global Fixed Income Portfolio II 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 13.4%, 29.6% and 88.8%, respectively.

L. Restatement Information. Subsequent to the issuance of its September 30, 2006 financial statements, the Advisory Portfolio restated its accretion income due to adjustments to Interest Only securities. The Portfolio determined that certain amounts which were treated as income should have been treated as unrealized gains. Accordingly, the Advisory Portfolio has restated the Portfolio of Investments and Statement of Assets and Liabilities as of September 30, 2006 and Statement of Operations and Statement of Cash Flows for the year ended September 30, 2006 and Statements of Changes in Net Assets for the two years ended September 30, 2006 and 2005 and the Financial Highlights for the four years ended September 30, 2006, 2005, 2004 and 2003. These adjustments had no impact on the Net Assets of the Portfolio. All amounts (except for per share amounts and ratios) are in thousands.

	Advisory Portfolio
	Previously
	Reported		Restated
Portfolio of Investments
Year Ended September 30, 2006
Cost of Total Fixed Income Securities	$	3,807,595	$	3,688,939
Cost of Total Investments	4,039,427		3,920,771

25

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

	Advisory Portfolio
	Previously
	Reported			Restated
Statement of Assets and Liabilities
Year Ended September 30, 2006
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost	$	4,039,427		$	3,920,771
Net Assets Consist Of:
Paid-in Capital	3,649,062			3,592,438
Undistributed (Distributions in Excess of) Net Investment Income	7,556			(24,521		)
Accumulated Net Realized Gain (Loss)	(339,316		)	(369,271		)
Unrealized Appreciation (Depreciation) on Investments	(146,655		)	(27,999		)
Statement of Operations
Year Ended September 30, 2006
Investment Income:
Interest	166,991			108,550
Total Investment Income	169,678			111,237
Net Investment Income	167,125			108,684
Change in Unrealized Appreciation (Depreciation):
Investments	(204,689		)	(146,248		)
Net Change in Unrealized Appreciation (Depreciation)	(111,297		)	(52,856		)
Total Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)	(20,538		)	37,903
Statement of Changes in Net Assets
Year Ended September 30, 2006
Net Investment Income (Loss)	167,125			108,684
Net Change in Unrealized Appreciation (Depreciation)	(111,297		)	(52,856		)
Distributions from and/or in Excess of:
Net Investment Income	(260,266		)	(205,755		)
Return of Capital	—			(54,511		)
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	7,556			(24,521		)
Statement of Changes in Net Assets
Year Ended September 30, 2005
Net Investment Income (Loss)	$	155,296		$	127,129
Net Change in Unrealized Appreciation (Depreciation)	(48,191		)	(20,024		)
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	6,789			(53,426		)
Statement of Cash Flows
Year Ended September 30, 2006
Net Investment Income	167,125			108,684
Accretion/Amortization of Discounts and Premiums	3,107			61,548
Financial Highlights
Year Ended September 30, 2006
Income from Investment Operations (Per Share):
Net Investment Income	0.50			0.33
Net Realized and Unrealized Gain (Loss) on Investments	(0.06		)	0.11
Distributions from and/or in Excess of:
Net Investment Income	(0.79		)	(0.63		)
Return of Capital	—			(0.16		)
Ratio of Net Investment Income to Average Net Assets	5.24		%	3.41		%
Ratio of Net Investment Income to Average Net Assets Before Expenses Waived/Reimbursed by Adviser	4.84		%	3.01		%
Financial Highlights
Year Ended September 30, 2005
Income from Investment Operations (Per Share):
Net Investment Income	$	0.44		$	0.36
Net Realized and Unrealized Gain (Loss) on Investments	(0.01		)	0.07
Ratio of Net Investment Income to Average Net Assets	4.48		%	3.66		%
Ratio of Net Investment Income to Average Net Assets Before Expenses Waived/Reimbursed by Adviser	4.09		%	3.27		%

26

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Notes to Financial Statements (cont’d)

	Advisory Portfolio
	Previously
	Reported			Restated
Financial Highlights
Year Ended September 30, 2004
Income from Investment Operations (Per Share):
Net Investment Income	$	0.25		$	0.21
Net Realized and Unrealized Gain (Loss) on Investments	0.17			0.21
Ratio of Net Investment Income to Average Net Assets	2.51		%	2.09		%
Ratio of Net Investment Income to Average Net Assets Before Expenses Waived/Reimbursed by Adviser	2.10		%	1.68		%
Financial Highlights
Year Ended September 30, 2003
Income from Investment Operations (Per Share):
Net Investment Income	$	0.25		$	0.23
Net Realized and Unrealized Gain (Loss) on Investments	0.20			0.22
Ratio of Net Investment Income to Average Net Assets	2.43		%	2.24		%
Ratio of Net Investment Income to Average Net Assets Before Expenses Waived/Reimbursed by Adviser	2.02		%	1.83		%
Notes to Financial Statements
Federal Income Taxes
Tax Character of Distributions Paid:
2006 Distributions Paid From :
Ordinary Income	$	260,266		$	205,755
Return of Capital	—			54,511
Tax Basis Components of Net
Assets:
Accumulated Undistributed (Distributions in Excess of) Net Investment Income (Loss)	93,908			125,975
Accumulated Net Realized Gain (Loss)	(87,216		)	(117,171		)
Paid-in Capital	(6,692		)	(8,804		)
Distributable Earnings on a Tax
Basis:
Undistributed Ordinary Income	32,077			—
Federal Income Tax Basis:
Cost	$	4,094,576		$	3,975,920
Appreciation	25,898			144,554
Net Appreciation (Depreciation)	(201,804)			(83,148
Unused Capital Losses:
Expiration Date September 30, 2011	18,149			—
Expiration Date September 30, 2012	104,611			152,715
Expiration Date Total	205,353			235,308

27

2007 Semi-Annual Report

March 31, 2007 (unaudited)

Trustee and Officer Information

Trustees

Frank L. Bowman

Michael Bozic

Kathleen A. Dennis

James F. Higgins

Dr. Manuel H. Johnson

Joseph J. Kearns

Michael F. Klein

W. Allen Reed

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, N.A.

270 Park Avenue

New York, NY 10017

Legal Counsel

Clifford Chance US LLP

31 West 52^nd Street

New York, NY 10019-6131

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116-5072

Officers

Michael E. Nugent

Chairman of the Board and Trustee

Ronald E. Robison

President and Principal Executive Officer

J. David Germany

Vice President

Dennis F. Shea

Vice President

Amy R. Doberman

Vice President

Carsten Otto

Chief Compliance Officer

Stefanie V. Chang Yu

Vice President

Mary E. Mullin

Secretary

James W. Garrett

Treasurer and Chief Financial Officer

Michael J. Leary

Assistant Treasurer

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. The semi-annual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. 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

You may obtain a copy of the Fund’s Proxy Voting Policy and Procedures and information regarding how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, without charge, upon request, by calling toll-free 1(800) 354-8185 or by visiting our website at www.morganstanley.com/im. This information is also available on the SEC’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.

28

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

© 2007 Morgan Stanley

IFTAPSAN 3/07 IU07-01038P-T03/07

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 for semi-annual reports.

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

Not Applicable.

Item 9. Closed-End Fund Repurchases

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) A separate certification for each principal executive officer and principal financial officer of the registrant are 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 authorized.

(Registrant) Morgan Stanley Institutional Fund Trust

By:	/s/ Ronald E. Robison
Name:	Ronald E. Robison
Title:	Principal Executive Officer
Date:	May 22, 2007

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 22, 2007

By:	/s/ James Garrett
Name:	James Garrett
Title:	Principal Financial Officer
Date:	May 22, 2007