UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04087
Manning & Napier Fund, Inc.
(Exact name of registrant as specified in charter)
| 290 Woodcliff Drive, Fairport, NY | 14450 | |
| (Address of principal executive offices) | (Zip Code) |
B. Reuben Auspitz 290 Woodcliff Drive, Fairport, NY 14450
| (Name and address of agent for service) |
Registrant’s telephone number, including area code: 585-325-6880
Date of fiscal year end: October 31, 2007
Date of reporting period: November 1, 2006 through October 31, 2007
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 STOCKHOLDERS |
Manning & Napier Fund, Inc.
| PRO-BLEND® CONSERVATIVE TERM SERIES | | | Annual Report - October 31, 2007 | ||
| PRO-BLEND® MODERATE TERM SERIES | ||||
| PRO-BLEND® EXTENDED TERM SERIES | ||||
| PRO-BLEND® MAXIMUM TERM SERIES |
Management Discussion and Analysis (unaudited)
Dear Shareholders:
Both equity and bond markets experienced increasing volatility over the course of the past year. What began in November 2006 as a relatively uneventful fiscal year for the Series evolved into a volatile environment led by the downturn of the U.S. housing market. The once contained deflating of the housing bubble spread across the broader Financial Services sector and created tighter credit markets. Ultimately, the U.S. Federal Reserve (the “Fed”) cut interest rates first by fifty basis points (0.50%) followed most recently by an additional 25 basis points (0.25%) in an attempt to contain the contraction in credit markets from spilling over into the overall economy. These cuts represent the first interest rate reductions by the Fed since 2003.
Although the overall performance of the equity portions of the Series’ portfolios has been driven more by selective individual stock opportunities than broad trends, the Series have benefited from holdings in the Information Technology (“IT”) and Energy sectors and an underweight position in Financials.
Within the Information Technology sector, IT security and communications infrastructure companies performed well. The sector in general derived gains from a renewed interest in computer hardware and an increased demand for technological innovation. The sector generated solid gains for the Series both as a result of these industry trends and company specific factors.
The Series also benefited from their stock positions in the Energy sector. Oil prices continually reached new highs during the year, while the U.S. Dollar continued to weaken against most major currencies. Industry-wide, the rise in oil prices, strong demand and diminishing supply resulted in increasing drilling activity. Industry oil and gas suppliers were well poised to take advantage of the increasing capital expenditures needed to increase supply. We pared back holdings in this sector and harvested gains during the year as positions appreciated to what our analysis showed to be their fair value.
Given the turbulence within the Financials sector, the Series benefited from their underweight position in this area. Subprime defaults and contracting credit markets hindered the performance of Financials stocks sector-wide, although the Series’ exposure to subprime mortgages has been minimal.
As a result of recent economic conditions such as record oil prices and increased housing foreclosures, downward pressure has been placed on consumer spending. Specifically, the performance of the cable stocks negatively impacted the Series. Recent company-specific factors such as product safety concerns have had a negative impact on some of the Series’ Health Care holdings. This, when combined with the Series’ relative overweight in the sector, had a negative impact on the Series’ performance for the year.
Foreign equities in general had much stronger performance than U.S. stocks for the one-year period ending October 31st, particularly emerging markets. The Russell 3000® Index had a total return of 14.5%, compared to a 32.4% return for the Morgan Stanley Capital International (MSCI) All Country World Index ex U.S. and 64.2% for the MSCI Emerging Market Index. Three of the Series currently have foreign allocations that are the same or slightly above their blended benchmarks. In contrast, the Pro-Blend® Maximum Term Series had an underweight to foreign equity relative to the benchmark, detracting from its performance.
The volatile environment of this past year was not isolated to equity markets; fixed income instruments were also impacted. In general, bond yields rose earlier in the year, as investors reacted to positive economic data and a reduced probability of near-term Fed rate cuts. By the end of the year, as the Fed cut rates, bond yields fell as a result of a flight to quality sparked by the volatile equity markets. Within the Series’ fixed income allocations, we focused mainly on duration-based investments through high quality U.S. Treasuries, with modest positions in corporate bonds and mortgage-backed U.S. Government agency assets.
| 1 |
Management Discussion and Analysis (unaudited)
In general, all four Series benefited from their relative overweight positions to stocks, which outperformed bonds. The Pro-Blend® Conservative Term Series has the largest allocation to fixed income investments and was the most affected by the performance of the fixed income portion of its portfolio compared to the other three Series.
The Pro-Blend® Moderate and Extended® Term Series outperformed their blended benchmarks for the past year, while the Pro-Blend® Conservative and Maximum Term Series underperformed their blended benchmarks. It is important to note that all four Series have continued to outperform their respective benchmarks for the current market cycle period. Since a market cycle includes both periods of rising and falling markets, it provides a more balanced view of performance than shorter periods or calendar-year based periods.
While volatility can be difficult to endure, it also provides investment opportunities for those who maintain a disciplined individual security selection process. Our bottom-up process, focused on longer-term trends, solid fundamental analysis, and time-tested investment strategies, is well suited to this type of environment.
We appreciate your business and wish you all the best in the coming year.
Sincerely,
Manning & Napier Advisors, Inc.
| 2 |
Performance Update - Pro-Blend® Conservative Term Series (unaudited)
Average Annual Total Returns As of October 31, 2007 | ||||||||||
| One Year | Five Year | Ten Year | Since Inception1 | |||||||
Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term Series2 | 7.95% | 6.71% | 6.57% | 6.61% | ||||||
Lehman Brothers Intermediate U.S. Aggregate Bond Index3,5 | 5.53% | 4.12% | 5.73% | 5.97% | ||||||
5%/15%/80% Blended Index3,4,5 | 8.13% | 6.78% | 6.42% | 7.02% | ||||||
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term Series for the ten years ended October 31, 2007 to the Lehman Brothers Intermediate U.S. Aggregate Bond Index and a 5%/15%/80% Blended Index.
1Performance numbers for the Series and Indices are calculated from November 1, 1995, the Series’ inception date.
2The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 0.99%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.99% for the year ended October 31, 2007.
3The Lehman Brothers Intermediate U.S. Aggregate Bond Index is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities greater than one year but less than ten years. The Index returns assume reinvestment of income and, unlike Series returns, do not reflect any fees or expenses.
4The 5%/15%/80% Blended Index is 5% Morgan Stanley Capital International (MSCI) All Country World Index ex U.S., 15% Russell 3000® Index, and 80% Lehman Brothers Intermediate U.S. Aggregate Bond Index. The MSCI All Country World Index ex U.S. is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global developed and emerging markets and consists of 47 developed and emerging market country indices outside the United States. The Index is denominated in U.S. Dollars. The Index returns assume daily reinvestment of gross dividends (which do not account for foreign dividend taxation) from the inception of the Series through December 31, 1998, as net returns were not available. Subsequent to December 31, 1998, the Index returns assume daily reinvestment of net dividends (thus accounting for foreign dividend taxation). The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Both Indices’ returns, unlike Series returns, do not reflect any fees or expenses.
5Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the comparative Indices’ portfolios.
| 3 |
Shareholder Expense Example - Pro-Blend® Conservative Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,034.90 | $ | 5.03 | |||
Hypothetical | $ | 1,000.00 | $ | 1,020.27 | $ | 4.99 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.98%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data.
| 4 |
Portfolio Composition - Pro-Blend® Conservative Term Series (unaudited)
As of October 31, 2007
Asset Allocation1
1As a percentage of net assets.
2A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
3A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
Sector Allocation4
Health Care | 6.22% | |
Information Technology | 4.96% | |
Consumer Discretionary | 4.70% | |
Financials | 3.23% | |
Consumer Staples | 2.42% | |
Industrials | 2.25% | |
Materials | 1.60% | |
Utilities | 1.48% | |
Energy | 1.25% | |
Telecommunication Services | 0.11% |
4Including common stocks, warrants, and corporate bonds, as a percentage of total investments.
Top Five Stock Holdings5
International Game Technology | 0.85% | |
Novartis AG - ADR (Switzerland) | 0.78% | |
Boston Scientific Corp. | 0.77% | |
Wachovia Corp. | 0.68% | |
Unilever plc - ADR (United Kingdom) | 0.62% |
5As a percentage of total investments.
Top Five Bond Holdings6
U.S. Treasury Note, 4.00%, 11/15/2012 | 7.57% | |
U.S. Treasury Note, 3.00%, 2/15/2008 | 7.08% | |
U.S. Treasury Note, 4.75%, 11/15/2008 | 5.37% | |
U.S. Treasury Note, 4.625%, 2/15/2017 | 5.14% | |
U.S. Treasury Bond, 5.50%, 8/15/2028 | 4.47% |
6As a percentage of total investments.
| 5 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS - 28.58% | |||||
Consumer Discretionary - 4.51% | |||||
Auto Components - 0.03% | |||||
Hankook Tire Co. Ltd. (South Korea) (Note 7) | 1,030 | $ | 21,620 | ||
Tenneco, Inc.* | 270 | 8,265 | |||
| 29,885 | |||||
Distributors - 0.00%** | |||||
Building Materials Holding Corp. | 530 | 4,166 | |||
Hotels, Restaurants & Leisure - 1.52% | |||||
Carnival Corp. | 13,500 | 647,730 | |||
Club Mediterranee S.A.* (France) (Note 7) | 375 | 25,175 | |||
International Game Technology | 22,950 | 1,000,850 | |||
| 1,673,755 | |||||
Household Durables - 0.40% | |||||
Corporacion Geo S.A. de C.V. - Class B* (Mexico) (Note 7) | 2,770 | 10,212 | |||
D.R. Horton, Inc. | 10,080 | 127,915 | |||
KB Home | 320 | 8,845 | |||
Lennar Corp. - Class A | 5,530 | 126,361 | |||
LG Electronics, Inc. (South Korea) (Note 7) | 150 | 15,643 | |||
Rossi Residencial S.A. (Brazil) (Note 7) | 630 | 21,270 | |||
Toll Brothers, Inc.* | 5,930 | 135,856 | |||
| 446,102 | |||||
Internet & Catalog Retail - 0.03% | |||||
Audible, Inc.* | 2,825 | 37,262 | |||
Leisure Equipment & Products - 0.01% | |||||
Sankyo Co. Ltd. (Japan) (Note 7) | 200 | 8,496 | |||
Sega Sammy Holdings, Inc. (Japan) (Note 7) | 300 | 4,122 | |||
| 12,618 | |||||
Media - 2.09% | |||||
Acme Communications, Inc. | 550 | 2,107 | |||
Charter Communications, Inc. - Class A* | 94,440 | 195,491 | |||
Comcast Corp. - Class A* | 32,207 | 677,957 | |||
The E.W. Scripps Co. - Class A | 14,370 | 646,794 | |||
Grupo Televisa S.A. - ADR (Mexico) (Note 7) | 650 | 16,152 | |||
Impresa S.A. (SGPS)* (Portugal) (Note 7) | 1,000 | 3,722 | |||
Mediacom Communications Corp. - Class A* | 1,780 | 10,235 | |||
Mediaset S.p.A. (Italy) (Note 7) | 725 | 7,508 | |||
Playboy Enterprises, Inc. - Class B* | 500 | 5,600 | |||
Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 275 | 14,484 | |||
| The accompanying notes are an integral part of the financial statements. | 6 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Discretionary (continued) | |||||
Media (continued) | |||||
Societe Television Francaise 1 (France) (Note 7) | 1,090 | $ | 30,138 | ||
Time Warner, Inc. | 37,460 | 684,020 | |||
Wolters Kluwer N.V. (Netherlands) (Note 7) | 350 | 10,965 | |||
| 2,305,173 | |||||
Specialty Retail - 0.40% | |||||
Build-A-Bear Workshop, Inc.* | 500 | 9,700 | |||
KOMERI Co. Ltd. (Japan) (Note 7) | 100 | 2,536 | |||
Limited Brands, Inc. | 18,780 | 413,348 | |||
Tractor Supply Co.* | 170 | 7,045 | |||
Valora Holding AG (Switzerland) (Note 7) | 30 | 7,642 | |||
| 440,271 | |||||
Textiles, Apparel & Luxury Goods - 0.03% | |||||
Adidas AG (Germany) (Note 7) | 160 | 10,632 | |||
LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 50 | 6,437 | |||
PPR (France) (Note 7) | 75 | 14,863 | |||
| 31,932 | |||||
Total Consumer Discretionary | 4,981,164 | ||||
Consumer Staples - 2.57% | |||||
Beverages - 0.45% | |||||
The Coca-Cola Co. | 7,511 | 463,879 | |||
Diageo plc (United Kingdom) (Note 7) | 350 | 8,004 | |||
Scottish & Newcastle plc (United Kingdom) (Note 7) | 1,415 | 23,035 | |||
| 494,918 | |||||
Food & Staples Retailing - 0.03% | |||||
Casino Guichard-Perrachon S.A. (France) (Note 7) | 120 | 13,399 | |||
Tesco plc (United Kingdom) (Note 7) | 1,675 | 16,994 | |||
| 30,393 | |||||
Food Products - 1.65% | |||||
Cadbury Schweppes plc (United Kingdom) (Note 7) | 2,600 | 34,380 | |||
Dean Foods Co. | 12,840 | 356,567 | |||
Groupe Danone (France) (Note 7) | 200 | 17,140 | |||
Nestle S.A. (Switzerland) (Note 7) | 1,485 | 685,375 | |||
Suedzucker AG (Germany) (Note 7) | 150 | 3,404 | |||
| 7 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Staples (continued) | |||||
Food Products (continued) | |||||
Unilever plc - ADR (United Kingdom) (Note 7) | 21,550 | $ | 729,683 | ||
| 1,826,549 | |||||
Household Products - 0.02% | |||||
Central Garden & Pet Co.* | 950 | 7,876 | |||
Reckitt Benckiser Group plc (United Kingdom) (Note 7) | 175 | 10,147 | |||
| 18,023 | |||||
Personal Products - 0.42% | |||||
Clarins S.A. (France) (Note 7) | 342 | 29,587 | |||
The Estee Lauder Companies, Inc. - Class A | 9,790 | 429,781 | |||
L’Oreal S.A. (France) (Note 7) | 80 | 10,503 | |||
| 469,871 | |||||
Total Consumer Staples | 2,839,754 | ||||
Energy - 1.27% | |||||
Energy Equipment & Services - 1.18% | |||||
Abbot Group plc (United Kingdom) (Note 7) | 5,985 | 42,276 | |||
Baker Hughes, Inc. | 6,335 | 549,371 | |||
Calfrac Well Services Ltd. (Canada) (Note 7) | 2,430 | 51,873 | |||
Compagnie Generale de Geophysique - Veritas (CGG - Veritas)* (France) (Note 7) | 95 | 31,118 | |||
Trican Well Service Ltd. (Canada) (Note 7) | 1,440 | 30,496 | |||
Weatherford International Ltd.* | 9,252 | 600,547 | |||
| 1,305,681 | |||||
Oil, Gas & Consumable Fuels - 0.09% | |||||
BP plc (United Kingdom) (Note 7) | 550 | 7,147 | |||
Edge Petroleum Corp.* | 1,760 | 15,981 | |||
Eni S.p.A. (Italy) (Note 7) | 575 | 20,987 | |||
Evergreen Energy, Inc.* | 675 | 3,179 | |||
Forest Oil Corp.* | 175 | 8,503 | |||
Mariner Energy, Inc.* | 141 | 3,525 | |||
Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 200 | 16,638 | |||
Royal Dutch Shell plc - Class B (Netherlands) (Note 7) | 196 | 8,537 | |||
Total S.A. (France) (Note 7) | 200 | 16,121 | |||
| 100,618 | |||||
Total Energy | 1,406,299 | ||||
| The accompanying notes are an integral part of the financial statements. | 8 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials - 3.04% | |||||
Capital Markets - 0.41% | |||||
Bank of New York Mellon Corp.1 | 250 | $ | 12,212 | ||
Deutsche Bank AG (Germany) (Note 7) | 150 | 20,094 | |||
Franklin Resources, Inc. | 50 | 6,484 | |||
Janus Capital Group, Inc. | 285 | 9,835 | |||
Macquarie Bank Ltd. (now known as Macquarie Group Ltd.) (Australia) (Note 7) | 200 | 15,654 | |||
Merrill Lynch & Co., Inc. | 200 | 13,204 | |||
Morgan Stanley | 125 | 8,407 | |||
SEI Investments Co. | 11,840 | 374,381 | |||
| 460,271 | |||||
Commercial Banks - 1.88% | |||||
Aareal Bank AG (Germany) (Note 7) | 635 | 32,899 | |||
The Bancorp, Inc.* | 820 | 14,719 | |||
BNP Paribas (France) (Note 7) | 120 | 13,225 | |||
Boston Private Financial Holdings, Inc. | 535 | 15,387 | |||
Commerzbank AG (Germany) (Note 7) | 300 | 12,740 | |||
Credit Agricole S.A. (France) (Note 7) | 200 | 7,905 | |||
The Hachijuni Bank Ltd. (Japan) (Note 7) | 1,000 | 7,612 | |||
HSBC Holdings plc (United Kingdom) (Note 7) | 1,350 | 26,692 | |||
HSBC Holdings plc - ADR (United Kingdom) (Note 7) | 150 | 14,928 | |||
Huntington Bancshares, Inc. | 300 | 5,373 | |||
PNC Financial Services Group, Inc. | 6,390 | 461,102 | |||
Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 5,925 | 63,626 | |||
Societe Generale (France) (Note 7) | 55 | 9,230 | |||
Societe Generale - ADR (France) (Note 7) | 175 | 5,867 | |||
The Sumitomo Trust & Banking Co. Ltd. | 1,000 | 7,378 | |||
SunTrust Banks, Inc. | 150 | 10,890 | |||
TCF Financial Corp. | 580 | 13,207 | |||
U.S. Bancorp | 15,545 | 515,472 | |||
UniCredito Italiano S.p.A. (Italy) (Note 7) | 1,775 | 15,194 | |||
Wachovia Corp. | 17,535 | 801,876 | |||
Wells Fargo & Co. | 200 | 6,802 | |||
Wilmington Trust Corp. | 225 | 8,183 | |||
Zions Bancorporation | 125 | 7,389 | |||
| 2,077,696 | |||||
Consumer Finance - 0.03% | |||||
Capital One Financial Corp. | 130 | 8,527 | |||
| 9 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials (continued) | |||||
Consumer Finance (continued) | |||||
Nelnet, Inc. - Class A | 1,420 | $ | 26,384 | ||
| 34,911 | |||||
Diversified Financial Services - 0.47% | |||||
Bank of America Corp. | 9,133 | 440,941 | |||
Citigroup, Inc. | 475 | 19,903 | |||
Financiere Marc de Lacharriere S.A. (Fimalac) (France) (Note 7) | 215 | 17,034 | |||
ING Groep N.V. (Netherlands) (Note 7) | 225 | 10,116 | |||
JPMorgan Chase & Co. | 400 | 18,800 | |||
Moody's Corp. | 270 | 11,804 | |||
| 518,598 | |||||
Insurance - 0.20% | |||||
Allianz SE (Germany) (Note 7) | 300 | 67,576 | |||
Ambac Financial Group, Inc. | 260 | 9,576 | |||
American International Group, Inc. | 320 | 20,198 | |||
Axa (France) (Note 7) | 200 | 8,939 | |||
First American Corp. | 450 | 13,545 | |||
LandAmerica Financial Group, Inc. | 420 | 11,672 | |||
MBIA, Inc. | 245 | 10,545 | |||
Muenchener Rueckver AG (Germany) (Note 7) | 125 | 23,898 | |||
Principal Financial Group, Inc. | 270 | 18,271 | |||
The Progressive Corp. | 600 | 11,100 | |||
Torchmark Corp. | 110 | 7,168 | |||
Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 505 | 21,377 | |||
| 223,865 | |||||
Real Estate Investment Trusts (REITS) - 0.02% | |||||
Alstria Office REIT AG* (Germany) (Note 7) | 1,070 | 18,830 | |||
Real Estate Management & Development - 0.02% | |||||
Rodobens Negocios Imobiliarios S.A. (Brazil) (Note 7) | 1,630 | 19,977 | |||
Thrifts & Mortgage Finance - 0.01% | |||||
Flagstar Bancorp, Inc. | 590 | 4,773 | |||
IndyMac Bancorp, Inc. | 330 | 4,429 | |||
| 9,202 | |||||
Total Financials | 3,363,350 | ||||
Health Care - 6.54% | |||||
Biotechnology - 0.70% | |||||
Amgen, Inc.* | 4,890 | 284,158 | |||
| The accompanying notes are an integral part of the financial statements. | 10 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Biotechnology (continued) | |||||
Applera Corp. - Celera Group* | 3,000 | $ | 48,930 | ||
Genzyme Corp.* | 5,040 | 382,889 | |||
Monogram Biosciences, Inc.* | 15,275 | 23,218 | |||
Senomyx, Inc.* | 1,050 | 12,138 | |||
Theratechnologies, Inc.* (Canada) (Note 7) | 2,030 | 24,633 | |||
| 775,966 | |||||
Health Care Equipment & Supplies - 2.42% | |||||
Abaxis, Inc.* | 1,040 | 30,493 | |||
Alsius Corp.* | 2,120 | 7,950 | |||
AtriCure, Inc.* | 1,270 | 14,453 | |||
Beckman Coulter, Inc. | 580 | 41,076 | |||
Boston Scientific Corp.* | 65,530 | 908,901 | |||
The Cooper Companies, Inc. | 10,188 | 427,896 | |||
Covidien Ltd. (Bermuda) (Note 7) | 1,040 | 43,264 | |||
C.R. Bard, Inc. | 260 | 21,739 | |||
Dexcom, Inc.* | 3,470 | 32,271 | |||
Edwards Lifesciences Corp.* | 355 | 17,828 | |||
ev3, Inc.* | 6,653 | 97,666 | |||
Gen-Probe, Inc.* | 340 | 23,807 | |||
Hansen Medical, Inc.* | 550 | 21,378 | |||
IDEXX Laboratories, Inc.* | 140 | 17,049 | |||
Inverness Medical Innovations, Inc.* | 1,360 | 81,722 | |||
Kyphon, Inc.* | 370 | 26,226 | |||
Medtronic, Inc. | 11,255 | 533,937 | |||
Mentor Corp. | 720 | 30,650 | |||
Micrus Endovascular Corp.* | 475 | 9,334 | |||
Nobel Biocare Holding AG (Switzerland) (Note 7) | 90 | 26,189 | |||
OraSure Technologies, Inc.* | 6,625 | 60,089 | |||
ResMed, Inc.* | 350 | 14,500 | |||
Respironics, Inc.* | 425 | 21,276 | |||
SonoSite, Inc.* | 930 | 32,727 | |||
STAAR Surgical Co.* | 5,480 | 16,878 | |||
Straumann Holding AG (Switzerland) (Note 7) | 105 | 29,308 | |||
Synthes, Inc. (Switzerland) (Note 7) | 470 | 58,684 | |||
Wright Medical Group, Inc.* | 995 | 26,368 | |||
| 2,673,659 | |||||
Health Care Providers & Services - 0.51% | |||||
AMN Healthcare Services, Inc.* | 450 | 8,554 | |||
Patterson Companies, Inc.* | 870 | 34,026 | |||
Quest Diagnostics, Inc. | 7,890 | 419,590 | |||
| 11 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Health Care Providers & Services (continued) | |||||
Sonic Healthcare Ltd. (Australia) (Note 7) | 2,880 | $ | 46,182 | ||
Tenet Healthcare Corp.* | 15,500 | 54,405 | |||
| 562,757 | |||||
Health Care Technology - 0.08% | |||||
AMICAS, Inc.* | 9,475 | 25,203 | |||
Eclipsys Corp.* | 2,600 | 58,656 | |||
| 83,859 | |||||
Life Sciences Tools & Services - 0.82% | |||||
Affymetrix, Inc.* | 9,125 | 232,322 | |||
Caliper Life Sciences, Inc.* | 10,897 | 64,510 | |||
Luminex Corp.* | 2,910 | 46,385 | |||
PerkinElmer, Inc. | 20,423 | 562,041 | |||
| 905,258 | |||||
Pharmaceuticals - 2.01% | |||||
AstraZeneca plc (United Kingdom) (Note 7) | 25 | 1,233 | |||
AstraZeneca plc - ADR (United Kingdom) (Note 7) | 150 | 7,365 | |||
Barr Pharmaceuticals, Inc.* | 12,470 | 714,780 | |||
GlaxoSmithKline plc (United Kingdom) (Note 7) | 375 | 9,652 | |||
Johnson & Johnson | 6,740 | 439,246 | |||
Novartis AG - ADR (Switzerland) (Note 7) | 17,268 | 918,140 | |||
Par Pharmaceutical Companies, Inc.* | 2,180 | 40,199 | |||
Roche Holding AG (Switzerland) (Note 7) | 360 | 61,425 | |||
Sanofi-Aventis (France) (Note 7) | 41 | 3,595 | |||
Santen Pharmaceutical Co. Ltd. (Japan) (Note 7) | 500 | 11,704 | |||
Shire plc (United Kingdom) (Note 7) | 775 | 19,352 | |||
| 2,226,691 | |||||
Total Health Care | 7,228,190 | ||||
Industrials - 2.19% | |||||
Aerospace & Defense - 0.03% | |||||
Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 755 | 36,821 | |||
Air Freight & Logistics - 0.64% | |||||
Deutsche Post AG (Germany) (Note 7) | 400 | 12,108 | |||
TNT N.V. (Netherlands) (Note 7) | 635 | 25,973 | |||
United Parcel Service, Inc. - Class B | 8,970 | 673,647 | |||
| 711,728 | |||||
| The accompanying notes are an integral part of the financial statements. | 12 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Industrials (continued) | |||||
Airlines - 1.06% | |||||
AirTran Holdings, Inc.* | 990 | $ | 10,306 | ||
Deutsche Lufthansa AG (Germany) (Note 7) | 750 | 22,171 | |||
JetBlue Airways Corp.* | 48,014 | 438,368 | |||
Southwest Airlines Co. | 49,245 | 699,771 | |||
| 1,170,616 | |||||
Commercial Services & Supplies - 0.01% | |||||
ChoicePoint, Inc.* | 75 | 2,949 | |||
Covanta Holding Corp.* | 275 | 7,455 | |||
| 10,404 | |||||
Electrical Equipment - 0.02% | |||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) (Note 7) | 500 | 15,110 | |||
Hubbell, Inc. - Class B | 125 | 6,875 | |||
| 21,985 | |||||
Industrial Conglomerates - 0.40% | |||||
3M Co. | 5,011 | 432,750 | |||
Siemens AG (Germany) (Note 7) | 80 | 10,936 | |||
| 443,686 | |||||
Machinery - 0.03% | |||||
FreightCar America, Inc. | 240 | 10,368 | |||
Heidelberger Druckmaschinen AG (Germany) (Note 7) | 125 | 5,120 | |||
Mueller Water Products, Inc. - Class B | 690 | 7,300 | |||
Schindler Holding AG (Switzerland) (Note 7) | 125 | 8,743 | |||
| 31,531 | |||||
Total Industrials | 2,426,771 | ||||
Information Technology - 5.19% | |||||
Communications Equipment - 0.85% | |||||
Alcatel-Lucent - ADR (France) (Note 7) | 1,140 | 11,047 | |||
Blue Coat Systems, Inc.* | 1,140 | 46,273 | |||
Cisco Systems, Inc.* | 18,941 | 626,189 | |||
Harris Stratex Networks, Inc. - Class A* | 1,780 | 34,034 | |||
Juniper Networks, Inc.* | 6,026 | 216,936 | |||
| 934,479 | |||||
Computers & Peripherals - 0.03% | |||||
Rackable Systems, Inc.* | 2,390 | 32,647 | |||
Electronic Equipment & Instruments - 0.41% | |||||
AU Optronics Corp. - ADR (Taiwan) (Note 7) | 2,684 | 58,323 | |||
| 13 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
Electronic Equipment & Instruments (continued) | |||||
LG. Philips LCD Co. Ltd. - ADR* (South | 11,200 | $ | 302,960 | ||
LoJack Corp.* | 2,740 | 48,142 | |||
Planar Systems, Inc.* | 4,480 | 30,554 | |||
Samsung SDI Co. Ltd. (South Korea) (Note 7) | 150 | 11,995 | |||
| 451,974 | |||||
Internet Software & Services - 0.57% | |||||
Google, Inc. - Class A* | 810 | 572,670 | |||
iPass, Inc.* | 7,090 | 34,032 | |||
Online Resources Corp.* | 2,710 | 25,067 | |||
| 631,769 | |||||
IT Services - 1.34% | |||||
Automatic Data Processing, Inc. | 13,858 | 686,802 | |||
Gevity HR, Inc. | 2,730 | 27,245 | |||
Paychex, Inc. | 150 | 6,267 | |||
RightNow Technologies, Inc.* | 2,375 | 47,548 | |||
Western Union Co. | 32,272 | 711,275 | |||
| 1,479,137 | |||||
Office Electronics - 0.00%** | |||||
Boewe Systec AG (Germany) (Note 7) | 110 | 5,712 | |||
Semiconductors & Semiconductor Equipment - 0.05% | |||||
Hynix Semiconductor, Inc.* (South Korea) (Note 7) | 280 | 7,774 | |||
Netlogic Microsystems, Inc.* | 1,300 | 43,160 | |||
Taiwan Semiconductor Manufacturing Co. | 897 | 9,553 | |||
| 60,487 | |||||
Software - 1.94% | |||||
Aladdin Knowledge Systems Ltd.* (Israel) (Note 7) | 2,760 | 66,102 | |||
Amdocs Ltd.* (Guernsey) (Note 7) | 1,765 | 60,716 | |||
Borland Software Corp.* | 8,030 | 35,171 | |||
Electronic Arts, Inc.* | 8,110 | 495,683 | |||
Misys plc (United Kingdom) (Note 7) | 1,475 | 7,414 | |||
Salesforce.com, Inc.* | 8,872 | 500,115 | |||
SAP AG (Germany) (Note 7) | 300 | 16,303 | |||
SAP AG - ADR (Germany) (Note 7) | 8,750 | 474,950 | |||
Sonic Solutions* | 5,000 | 60,000 | |||
Square Enix Co. Ltd. (Japan) (Note 7) | 300 | 9,831 | |||
| The accompanying notes are an integral part of the financial statements. | 14 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
Software (continued) | |||||
Take-Two Interactive Software, Inc.* | 1,045 | $ | 19,625 | ||
TIBCO Software, Inc.* | 34,315 | 315,012 | |||
UbiSoft Entertainment S.A.* (France) (Note 7) | 480 | 39,413 | |||
Utimaco Safeware AG (Germany) (Note 7) | 3,600 | 41,036 | |||
| 2,141,371 | |||||
Total Information Technology | 5,737,576 | ||||
Materials - 1.71% | |||||
Chemicals - 1.14% | |||||
Arkema* (France) (Note 7) | 2 | 136 | |||
Bayer AG (Germany) (Note 7) | 400 | 33,348 | |||
Calgon Carbon Corp.* | 1,000 | 14,900 | |||
Lonza Group AG (Switzerland) (Note 7) | 4,155 | 483,991 | |||
NITTO DENKO Corp. (Japan) (Note 7) | 14,700 | 712,380 | |||
Tronox, Inc. - Class A | 1,400 | 11,914 | |||
| 1,256,669 | |||||
Paper & Forest Products - 0.57% | |||||
Louisiana-Pacific Corp. | 9,090 | 149,621 | |||
Norbord, Inc. (Canada) (Note 7) | 3,260 | 27,615 | |||
Weyerhaeuser Co. | 6,040 | 458,496 | |||
| 635,732 | |||||
Total Materials | 1,892,401 | ||||
Telecommunication Services - 0.12% | |||||
Diversified Telecommunication Services - 0.04% | |||||
France Telecom S.A. (France) (Note 7) | 540 | 19,913 | |||
Swisscom AG - ADR (Switzerland) (Note 7) | 350 | 12,887 | |||
Telus Corp. (Canada) (Note 7) | 180 | 10,553 | |||
| 43,353 | |||||
Wireless Telecommunication Services - 0.08% | |||||
Hutchison Telecommunications International Ltd. (Hong Kong) (Note 7) | 8,000 | 11,355 | |||
Hutchison Telecommunications International Ltd. - ADR (Hong Kong) (Note 7) | 1,910 | 41,848 | |||
SK Telecom Co. Ltd. (South Korea) (Note 7) | 120 | 28,187 | |||
SK Telecom Co. Ltd. - ADR (South Korea) (Note 7) | 250 | 7,702 | |||
| 89,092 | |||||
Total Telecommunication Services | 132,445 | ||||
| 15 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Shares/ Principal Amount | Value (Note 2) | ||||
COMMON STOCKS (continued) | ||||||
Utilities - 1.44% | ||||||
Electric Utilities - 0.51% | ||||||
American Electric Power Co., Inc. | 11,004 | $ | 530,503 | |||
E.ON AG (Germany) (Note 7) | 175 | 34,233 | ||||
Westar Energy, Inc. | 100 | 2,662 | ||||
| 567,398 | ||||||
Independent Power Producers & Energy Traders - 0.49% | ||||||
Mirant Corp.* | 12,832 | 543,564 | ||||
Multi-Utilities - 0.41% | ||||||
National Grid plc (United Kingdom) (Note 7) | 900 | 14,998 | ||||
Xcel Energy, Inc. | 19,528 | 440,356 | ||||
| 455,354 | ||||||
Water Utilities - 0.03% | ||||||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) (Brazil) (Note 7) | 537 | 14,007 | ||||
Companhia de Saneamento de Minas Gerais - Copasa MG (Brazil) (Note 7) | 760 | 14,279 | ||||
| 28,286 | ||||||
Total Utilities | 1,594,602 | |||||
TOTAL COMMON STOCKS | 31,602,552 | |||||
WARRANTS - 0.01% | ||||||
Health Care - 0.01% | ||||||
Health Care Equipment & Supplies - 0.01% | ||||||
Alsius Corp., 8/3/2009 | 7,770 | 4,352 | ||||
Life Sciences Tools & Services - 0.00%** | ||||||
Caliper Life Sciences, Inc., 8/10/2011 | 348 | 501 | ||||
TOTAL WARRANTS | 4,853 | |||||
CORPORATE BONDS - 1.59% | ||||||
Convertible Corporate Bonds - 0.16% | ||||||
Consumer Discretionary - 0.07% | ||||||
Hotels, Restaurants & Leisure - 0.03% | ||||||
Carnival Corp., 2.00%, 4/15/2021 | $ | 25,000 | 31,125 | |||
Media - 0.04% | ||||||
Charter Communications, Inc., 6.50%, 10/1/2027 | 52,000 | 45,305 | ||||
Total Consumer Discretionary | 76,430 | |||||
| The accompanying notes are an integral part of the financial statements. | 16 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Convertible Corporate Bonds (continued) | ||||||
Health Care - 0.05% | ||||||
Biotechnology - 0.05% | ||||||
Amgen, Inc., 0.375%, 2/1/2013 | $ | 60,000 | $ | 56,175 | ||
Information Technology - 0.04% | ||||||
Software - 0.04% | ||||||
Amdocs Ltd., 0.50%, 3/15/2024 | 40,000 | 41,100 | ||||
Total Convertible Corporate Bonds | 173,705 | |||||
Non-Convertible Corporate Bonds - 1.43% | ||||||
Consumer Discretionary - 0.45% | ||||||
Automobiles - 0.17% | ||||||
Ford Motor Credit Co. LLC, 5.625%, 10/1/2008 | 55,000 | 53,877 | ||||
General Motors Acceptance Corp. LLC, | 130,000 | 129,648 | ||||
| 183,525 | ||||||
Hotels, Restaurants & Leisure - 0.05% | ||||||
McDonald's Corp., 5.80%, 10/15/2017 | 60,000 | 60,585 | ||||
Media - 0.16% | ||||||
AOL Time Warner (now known as Time | 65,000 | 72,321 | ||||
Comcast Corp., 6.50%, 11/15/2035 | 65,000 | 65,942 | ||||
The Walt Disney Co., 7.00%, 3/1/2032 | 30,000 | 34,145 | ||||
| 172,408 | ||||||
Multiline Retail - 0.04% | ||||||
Target Corp., 5.875%, 3/1/2012 | 45,000 | 46,351 | ||||
Specialty Retail - 0.03% | ||||||
Lowe's Companies, Inc., 8.25%, 6/1/2010 | 35,000 | 37,764 | ||||
Total Consumer Discretionary | 500,633 | |||||
Consumer Staples - 0.02% | ||||||
Food & Staples Retailing - 0.02% | ||||||
The Kroger Co., 6.80%, 4/1/2011 | 25,000 | 26,211 | ||||
Energy - 0.07% | ||||||
Oil, Gas & Consumable Fuels - 0.07% | ||||||
Anadarko Petroleum Corp., 5.95%, 9/15/2016 | 20,000 | 20,108 | ||||
Arch Western Finance LLC, 6.75%, 7/1/2013 | 55,000 | 53,625 | ||||
Total Energy | 73,733 | |||||
| 17 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Financials - 0.41% | ||||||
Capital Markets - 0.15% | ||||||
The Goldman Sachs Group, Inc., 6.345%, 2/15/2034 | $ | 70,000 | $ | 65,307 | ||
Lehman Brothers Holdings, Inc., 5.63%, 11/16/2009 | 25,000 | 24,650 | ||||
Lehman Brothers Holdings, Inc., 6.50%, 7/19/2017 | 25,000 | 25,178 | ||||
Merrill Lynch & Co., Inc., 6.00%, 2/15/2017 | 25,000 | 24,573 | ||||
Merrill Lynch & Co., Inc., 6.11%, 1/29/2037 | 25,000 | 22,989 | ||||
| 162,697 | ||||||
Commercial Banks - 0.14% | ||||||
PNC Bank National Association, 5.25%, 1/15/2017 | 65,000 | 61,710 | ||||
U.S. Bank National Association, 6.375%, 8/1/2011 | 30,000 | 31,263 | ||||
Wachovia Corp., 5.25%, 8/1/2014 | 70,000 | 68,576 | ||||
| 161,549 | ||||||
Diversified Financial Services - 0.04% | ||||||
Bank of America Corp. Capital Trust VI, 5.625%, 3/8/2035 | 45,000 | 40,307 | ||||
Insurance - 0.08% | ||||||
Ambac Financial Group, Inc., 5.95%, 12/5/2035 | 65,000 | 55,054 | ||||
American International Group, Inc., 4.25%, 5/15/2013 | 35,000 | 32,927 | ||||
| 87,981 | ||||||
Total Financials | 452,534 | |||||
Health Care - 0.06% | ||||||
Pharmaceuticals - 0.06% | ||||||
Abbott Laboratories, 3.50%, 2/17/2009 | 20,000 | 19,638 | ||||
Wyeth, 6.50%, 2/1/2034 | 40,000 | 42,239 | ||||
Total Health Care | 61,877 | |||||
Industrials - 0.21% | ||||||
Aerospace & Defense - 0.02% | ||||||
Boeing Capital Corp., 6.50%, 2/15/2012 | 20,000 | 21,140 | ||||
Airlines - 0.04% | ||||||
Southwest Airlines Co., 5.25%, 10/1/2014 | 45,000 | 43,377 | ||||
| The accompanying notes are an integral part of the financial statements. | 18 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Industrials (continued) | ||||||
Industrial Conglomerates - 0.03% | ||||||
General Electric Capital Corp., 6.75%, 3/15/2032 | $ | 30,000 | $ | 33,480 | ||
Machinery - 0.02% | ||||||
John Deere Capital Corp., 5.50%, 4/13/2017 | 25,000 | 24,887 | ||||
Road & Rail - 0.10% | ||||||
CSX Corp., 6.00%, 10/1/2036 | 75,000 | 70,226 | ||||
Union Pacific Corp., 5.65%, 5/1/2017 | 40,000 | 39,452 | ||||
| 109,678 | ||||||
Total Industrials | 232,562 | |||||
Information Technology - 0.07% | ||||||
Communications Equipment - 0.07% | ||||||
Cisco Systems, Inc., 5.50%, 2/22/2016 | 25,000 | 25,097 | ||||
Corning, Inc., 6.20%, 3/15/2016 | 55,000 | 56,290 | ||||
Total Information Technology | 81,387 | |||||
Utilities - 0.14% | ||||||
Electric Utilities - 0.12% | ||||||
Allegheny Energy Supply Co. LLC2, 8.25%, 4/15/2012 | 20,000 | 21,700 | ||||
American Electric Power Co., Inc., 5.375%, 3/15/2010 | 50,000 | 50,289 | ||||
Exelon Generation Co. LLC, 5.35%, 1/15/2014 | 65,000 | 63,824 | ||||
| 135,813 | ||||||
Multi-Utilities - 0.02% | ||||||
CenterPoint Energy Resources Corp., 7.875%, 4/1/2013 | 20,000 | 21,931 | ||||
Total Utilities | 157,744 | |||||
Total Non-Convertible Corporate Bonds (Identified Cost $1,605,881) | 1,586,681 | |||||
TOTAL CORPORATE BONDS | 1,760,386 | |||||
U.S. TREASURY SECURITIES - 43.63% | ||||||
U.S. Treasury Bonds - 4.97% | ||||||
U.S. Treasury Bond, 6.875%, 8/15/2025 | 170,000 | 211,823 | ||||
U.S. Treasury Bond, 5.50%, 8/15/2028 | 4,835,000 | 5,282,237 | ||||
Total U.S. Treasury Bonds | 5,494,060 | |||||
| 19 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Principal Amount | Value (Note 2) | ||||
U.S. TREASURY SECURITIES (continued) | ||||||
U.S. Treasury Notes - 38.66% | ||||||
U.S. Treasury Note, 3.00%, 2/15/2008 | $ | 8,400,000 | $ | 8,374,405 | ||
U.S. Treasury Note, 5.50%, 2/15/2008 | 90,000 | 90,359 | ||||
U.S. Treasury Note, 5.625%, 5/15/2008 | 10,000 | 10,077 | ||||
U.S. Treasury Note, 3.25%, 8/15/2008 | 300,000 | 297,914 | ||||
U.S. Treasury Note, 4.75%, 11/15/2008 | 6,300,000 | 6,344,787 | ||||
Interest Stripped - Principal Payment, 2/15/2009 | 17,000 | 16,181 | ||||
U.S. Treasury Note, 3.50%, 11/15/2009 | 2,000,000 | 1,984,376 | ||||
U.S. Treasury Note, 3.875%, 5/15/2010 | 1,000,000 | 998,828 | ||||
U.S. Treasury Note, 5.00%, 2/15/2011 | 1,000,000 | 1,032,500 | ||||
U.S. Treasury Note, 4.875%, 4/30/2011 | 5,000,000 | 5,138,280 | ||||
U.S. Treasury Note, 4.00%, 11/15/2012 | 9,000,000 | 8,951,481 | ||||
U.S. Treasury Note, 3.625%, 5/15/2013 | 3,525,000 | 3,431,090 | ||||
U.S. Treasury Note, 4.625%, 2/15/2017 | 6,000,000 | 6,077,814 | ||||
Total U.S. Treasury Notes | 42,748,092 | |||||
TOTAL U.S. TREASURY SECURITIES (Identified Cost $47,737,681) | 48,242,152 | |||||
U.S. GOVERNMENT AGENCIES - 13.80% | ||||||
Mortgage-Backed Securities - 12.75% | ||||||
Fannie Mae, Pool #805347, 5.50%, 1/1/2020 | 22,695 | 22,742 | ||||
Fannie Mae, Pool #851149, 5.00%, 4/1/2021 | 382,905 | 377,039 | ||||
Fannie Mae, Pool #899023, 4.50%, 1/1/2022 | 126,738 | 122,600 | ||||
Fannie Mae, Pool #899287, 5.00%, 2/1/2022 | 117,284 | 115,472 | ||||
Fannie Mae, Pool #747607, 6.50%, 11/1/2033 | 32,453 | 33,372 | ||||
Fannie Mae, Pool #745147, 4.50%, 12/1/2035 | 341,571 | 318,524 | ||||
Fannie Mae, Pool #901895, 6.50%, 9/1/2036 | 151,224 | 154,801 | ||||
Fannie Mae, TBA3, 4.50%, 11/15/2022 | 1,300,000 | 1,257,345 | ||||
Fannie Mae, TBA3, 4.50%, 11/15/2037 | 203,000 | 189,171 | ||||
Fannie Mae, TBA3, 6.00%, 11/15/2037 | 2,959,000 | 2,980,269 | ||||
Fannie Mae, TBA3, 6.50%, 11/15/2037 | 2,700,000 | 2,763,283 | ||||
Federal Home Loan Mortgage Corp., Pool #B16835, 5.50%, 10/1/2019 | 17,882 | 17,934 | ||||
Federal Home Loan Mortgage Corp., Pool #G11896, 4.50%, 1/1/2021 | 105,468 | 102,022 | ||||
Federal Home Loan Mortgage Corp., Pool #G11912, 5.50%, 3/1/2021 | 386,099 | 386,778 | ||||
Federal Home Loan Mortgage Corp., Pool #G18168, 5.00%, 2/1/2022 | 85,319 | 84,055 | ||||
Federal Home Loan Mortgage Corp., Pool #G18182, 5.50%, 5/1/2022 | 78,821 | 78,933 | ||||
| The accompanying notes are an integral part of the financial statements. | 20 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Principal Amount/ Shares | Value (Note 2) | ||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||
Mortgage-Backed Securities (continued) | ||||||
Federal Home Loan Mortgage Corp., Pool #G01736, 6.50%, 9/1/2034 | $ | 12,858 | $ | 13,231 | ||
Federal Home Loan Mortgage Corp., Pool #A52888, 6.50%, 10/1/2036 | 147,864 | 151,466 | ||||
Federal Home Loan Mortgage Corp., TBA3, 4.50%, 11/15/2022 | 183,000 | 176,938 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 11/15/2022 | 206,000 | 202,910 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 11/15/2022 | 116,000 | 116,145 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 11/15/2037 | 359,000 | 344,528 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 11/15/2037 | 117,000 | 115,172 | ||||
GNMA, Pool #365225, 9.00%, 11/15/2024 | 2,105 | 2,282 | ||||
GNMA, Pool #398655, 6.50%, 5/15/2026 | 1,514 | 1,563 | ||||
GNMA, Pool #452826, 9.00%, 1/15/2028 | 2,157 | 2,343 | ||||
GNMA, Pool #460820, 6.00%, 6/15/2028 | 15,769 | 16,026 | ||||
GNMA, Pool #458983, 6.00%, 1/15/2029 | 38,136 | 38,744 | ||||
GNMA, Pool #530481, 8.00%, 8/15/2030 | 17,353 | 18,472 | ||||
GNMA, Pool #577796, 6.00%, 1/15/2032 | 41,543 | 42,164 | ||||
GNMA, Pool #631703, 6.50%, 9/15/2034 | 8,912 | 9,183 | ||||
GNMA, Pool #003808, 6.00%, 1/20/2036 | 657,393 | 663,886 | ||||
GNMA, Pool #651235, 6.50%, 2/15/2036 | 478,277 | 492,112 | ||||
GNMA, Pool #003830, 5.50%, 3/20/2036 | 1,407,930 | 1,391,884 | ||||
GNMA, TBA3, 5.50%, 11/15/2036 | 1,300,000 | 1,291,875 | ||||
Total Mortgage-Backed Securities | 14,095,264 | |||||
Other Agencies - 1.05% | ||||||
Fannie Mae, 5.25%, 1/15/2009 | 15,000 | 15,140 | ||||
Fannie Mae, 4.875%, 5/18/2012 | 1,135,000 | 1,147,384 | ||||
Total Other Agencies | 1,162,524 | |||||
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $15,299,409) | 15,257,788 | |||||
SHORT-TERM INVESTMENTS - 19.31% | ||||||
Dreyfus Treasury Cash Management - Institutional Shares | 3,365,834 | 3,365,834 | ||||
| 21 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Conservative Term Series | Principal Amount | Value (Note 2) | |||||
SHORT-TERM INVESTMENTS (continued) | |||||||
Federal Home Loan Bank Discount Note, 11/7/2007 | $ | 14,000,000 | $ | 13,987,706 | |||
U.S. Treasury Bill, 11/8/2007 | 4,000,000 | 3,996,941 | |||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $21,352,091) | 21,350,481 | ||||||
TOTAL INVESTMENTS - 106.92% | 118,218,212 | ||||||
LIABILITIES, LESS OTHER ASSETS - (6.92%) | (7,651,414 | ) | |||||
NET ASSETS - 100% | $ | 110,566,798 | |||||
*Non-income producing security
**Less than 0.01%
ADR - American Depository Receipt
1Bank of New York Mellon Corp. is the parent company of Mellon Trust of New England N.A., the Fund's custodian.
2Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security has been sold under rule 144A and has been determined to be liquid under guidelines established by the Board of Directors. This security amounts to $21,700, or 0.02%, of the Series' net assets as of October 31, 2007.
3Securities purchased on a forward commitment or when-issued basis. TBA - to be announced.
| The accompanying notes are an integral part of the financial statements. | 22 |
Statement of Assets and Liabilities - Pro-Blend® Conservative Term Series
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $114,812,851) (Note 2) | $ | 118,218,212 | |
Cash | 10,383 | ||
Foreign currency, at value (cost $17) | 19 | ||
Receivable for fund shares sold | 1,161,169 | ||
Interest receivable | 688,956 | ||
Receivable for securities sold | 314,248 | ||
Dividends receivable | 20,981 | ||
Foreign tax reclaims receivable | 5,500 | ||
TOTAL ASSETS | 120,419,468 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 72,563 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 6,824 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 805 | ||
Payable for purchases of delayed delivery securities (Note 2) | 9,476,636 | ||
Payable for securities purchased | 234,543 | ||
Audit fees payable | 29,797 | ||
Payable for fund shares repurchased | 19,306 | ||
Other payables and accrued expenses | 12,196 | ||
TOTAL LIABILITIES | 9,852,670 | ||
TOTAL NET ASSETS | $ | 110,566,798 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 86,778 | |
Additional paid-in-capital | 101,671,030 | ||
Undistributed net investment income | 1,558,775 | ||
Accumulated net realized gain on investments, foreign currency and | 3,844,488 | ||
Net unrealized appreciation on investments, foreign currency and other assets and liabilities | 3,405,727 | ||
TOTAL NET ASSETS | $ | 110,566,798 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION | $ | 12.74 | |
| 23 | The accompanying notes are an integral part of the financial statements. |
Statement of Operations - Pro-Blend® Conservative Term Series
For the Year Ended October 31, 2007
INVESTMENT INCOME: | ||||
Interest | $ | 2,804,501 | ||
Dividends (net of foreign tax withheld, $7,463) | 491,953 | |||
Total Investment Income | 3,296,454 | |||
| EXPENSES: | ||||
Management fees (Note 3) | 707,561 | |||
Fund accounting and transfer agent fees (Note 3) | 66,841 | |||
Directors’ fees (Note 3) | 7,375 | |||
Chief Compliance Officer service fees (Note 3) | 6,001 | |||
Custodian fees | 16,527 | |||
Miscellaneous | 71,615 | |||
Total Expenses | 875,920 | |||
NET INVESTMENT INCOME | 2,420,534 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain (loss) on - | 3,893,200 | |||
Foreign currency and other assets and liabilities | (871 | ) | ||
| 3,892,329 | ||||
Net change in unrealized appreciation on - | 504,985 | |||
Foreign currency and other assets and liabilities | 346 | |||
| 505,331 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 4,397,660 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,818,194 | ||
| The accompanying notes are an integral part of the financial statements. | 24 |
Statements of Changes in Net Assets - Pro-Blend® Conservative Term Series
For the Year Ended | For the Year Ended | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 2,420,534 | $ | 1,533,329 | ||||
Net realized gain on investments and foreign currency | 3,892,329 | 1,475,822 | ||||||
Net change in unrealized appreciation on investments and foreign currency | 505,331 | 1,896,884 | ||||||
Net increase from operations | 6,818,194 | 4,906,035 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (1,974,662 | ) | (855,161 | ) | ||||
From net realized gain on investments | (1,514,456 | ) | (1,298,762 | ) | ||||
Total distributions to shareholders | (3,489,118 | ) | (2,153,923 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions (Note 5) | 35,447,246 | 23,139,225 | ||||||
Net increase in net assets | 38,776,322 | 25,891,337 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 71,790,476 | 45,899,139 | ||||||
End of year (including undistributed net investment income of $1,558,775 and $1,113,848, respectively) | $ | 110,566,798 | $ | 71,790,476 | ||||
| 25 | The accompanying notes are an integral part of the financial statements. |
Financial Highlights - Pro-Blend® Conservative Term Series
For the Years Ended | ||||||||||
10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $12.35 | $11.90 | $11.54 | $11.32 | $10.95 | |||||
Income from investment operations: | ||||||||||
Net investment income | 0.30 | 0.28 | 0.17 | 0.18 | 0.17 | |||||
Net realized and unrealized gain on | 0.65 | 0.69 | 0.46 | 0.48 | 0.45 | |||||
Total from investment operations | 0.95 | 0.97 | 0.63 | 0.66 | 0.62 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.31) | (0.20) | (0.18) | (0.17) | (0.21) | |||||
From net realized gain on investments | (0.25) | (0.32) | (0.09) | (0.27) | (0.04) | |||||
Total distributions to shareholders | (0.56) | (0.52) | (0.27) | (0.44) | (0.25) | |||||
Net asset value - End of year | $12.74 | $12.35 | $11.90 | $11.54 | $11.32 | |||||
Total return1 | 7.95% | 8.49% | 5.49% | 5.93% | 5.75% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 0.99% | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Net investment income | 2.73% | 2.65% | 1.81% | 1.77% | 1.90% | |||||
Portfolio turnover | 49% | 48% | 60% | 25% | 40% | |||||
Net assets - End of year (000’s omitted) | $110,567 | $71,790 | $45,899 | $26,844 | $19,991 | |||||
*The investment advisor did not impose all or a portion of its management fee in some years and in some years paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net | ||||||||||
assets) would have been increased as follows: | N/A | 0.07% | 0.21% | 0.32% | 0.82% | |||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the year.
| The accompanying notes are an integral part of the financial statements. | 26 |
Portfolio Composition - Pro-Blend® Moderate Term Series (unaudited)
| Average Annual Total Returns As of October 31, 2007 | ||||||||||
| One Year | Five Year | Ten Year | Since Inception1 | |||||||
Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term Series2 | 10.91% | 11.06% | 8.10% | 8.47% | ||||||
Lehman Brothers U.S. Aggregate Bond Index3,5 | 5.38% | 4.41% | 5.91% | 6.05% | ||||||
10%/30%/60% Blended Index3,4,5 | 10.67% | 9.64% | 7.14% | 8.13% | ||||||
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term Series for the ten years ended October 31, 2007 to the Lehman Brothers U.S. Aggregate Bond Index and a 10%/30%/60% Blended Index.
1Performance numbers for the Series are calculated from September 15, 1993, the Series’ inception date. The Lehman Brothers U.S. Aggregate Bond Index only publishes month-end numbers; therefore, performance numbers for the Indices are calculated from September 30, 1993.
2The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 1.11%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.11% for the year ended October 31, 2007.
3The Lehman Brothers U.S. Aggregate Bond Index is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Index returns assume reinvestment of income and, unlike Series returns, do not reflect any fees or expenses.
4The 10%/30%/60% Blended Index is 10% Morgan Stanley Capital International (MSCI) All Country World Index ex U.S., 30% Russell 3000® Index, and 60% Lehman Brothers U.S. Aggregate Bond Index. The MSCI All Country World Index ex U.S. is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global developed and emerging markets and consists of 47 developed and emerging market country indices outside the United States. The Index is denominated in U.S Dollars. The Index returns assume daily reinvestment of gross dividends (which do not account for foreign dividend taxation) from the inception of the Series (see Note 1 above) through December 31, 1998, as net returns were not available. Subsequent to December 31, 1998, the Index returns assume daily reinvestment of net dividends (thus accounting for foreign dividend taxation). The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Both Indices’ returns, unlike Series returns, do not reflect any fees or expenses.
5Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the comparative Indices’ portfolios.
| 27 |
Shareholder Expense Example - Pro-Blend® Moderate Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,043.40 | $ | 5.67 | |||
Hypothetical | $ | 1,000.00 | $ | 1,019.66 | $ | 5.60 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.10%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data.
| 28 |
Portfolio Composition - Pro-Blend® Moderate Term Series (unaudited)
As of October 31, 2007
Asset Allocation1
1As a percentage of net assets.
2A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
3A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
Sector Allocation4
Health Care | 10.90% | |
Information Technology | 10.11% | |
Consumer Discretionary | 9.28% | |
Financials | 6.60% | |
Consumer Staples | 5.10% | |
Industrials | 4.77% | |
Utilities | 2.95% | |
Materials | 2.83% | |
Energy | 2.62% | |
Telecommunication Services | 0.24% |
4Including common stocks, warrants and corporate bonds, as a percentage of total investments.
Top Ten Stock Holdings5
International Game Technology | 1.70% | |
Boston Scientific Corp. | 1.51% | |
Novartis AG - ADR (Switzerland) | 1.47% | |
Wachovia Corp. | 1.39% | |
Southwest Airlines Co. | 1.30% | |
Western Union Co. | 1.29% | |
Nestle S.A. (Switzerland) | 1.20% | |
Unilever plc - ADR (United Kingdom) | 1.19% | |
NITTO DENKO Corp. (Japan) | 1.18% | |
Weatherford International Ltd. | 1.16% |
5As a percentage of total investments.
| 29 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS - 53.08% | |||||
Consumer Discretionary - 8.49% | |||||
Auto Components - 0.06% | |||||
Hankook Tire Co. Ltd. (South Korea) (Note 7) | 7,330 | $ | 153,862 | ||
Tenneco, Inc.* | 1,830 | 56,016 | |||
| 209,878 | |||||
Distributors - 0.01% | |||||
Building Materials Holding Corp. | 3,710 | 29,161 | |||
Hotels, Restaurants & Leisure - 2.86% | |||||
Carnival Corp. | 84,185 | 4,039,196 | |||
Club Mediterranee S.A.* (France) (Note 7) | 3,800 | 255,106 | |||
International Game Technology | 150,190 | 6,549,786 | |||
| 10,844,088 | |||||
Household Durables - 0.79% | |||||
Corporacion Geo S.A. de C.V. - Class B* (Mexico) (Note 7) | 18,210 | 67,134 | |||
D.R. Horton, Inc. | 67,290 | 853,910 | |||
KB Home | 2,060 | 56,938 | |||
Lennar Corp. - Class A | 36,920 | 843,622 | |||
LG Electronics, Inc. (South Korea) (Note 7) | 1,100 | 114,716 | |||
Rossi Residencial S.A. (Brazil) (Note 7) | 4,480 | 151,250 | |||
Toll Brothers, Inc.* | 39,600 | 907,236 | |||
| 2,994,806 | |||||
Internet & Catalog Retail - 0.04% | |||||
Audible, Inc.* | 13,002 | 171,496 | |||
Leisure Equipment & Products - 0.02% | |||||
Sankyo Co. Ltd. (Japan) (Note 7) | 1,500 | 63,719 | |||
Sega Sammy Holdings, Inc. (Japan) (Note 7) | 2,300 | 31,604 | |||
| 95,323 | |||||
Media - 3.87% | |||||
Acme Communications, Inc. | 6,500 | 24,895 | |||
Charter Communications, Inc. - Class A* | 651,020 | 1,347,611 | |||
Comcast Corp. - Class A* | 203,183 | 4,277,002 | |||
The E.W. Scripps Co. - Class A | 91,820 | 4,132,818 | |||
Grupo Televisa S.A. - ADR (Mexico) (Note 7) | 4,630 | 115,055 | |||
Impresa S.A. (SGPS)* (Portugal) (Note 7) | 12,200 | 45,413 | |||
Mediacom Communications Corp. - Class A* | 12,640 | 72,680 | |||
Mediaset S.p.A. (Italy) (Note 7) | 5,475 | 56,699 | |||
Playboy Enterprises, Inc. - Class B* | 4,025 | 45,080 | |||
Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 2,350 | 123,775 | |||
| The accompanying notes are an integral part of the financial statements. | 30 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Discretionary (continued) | |||||
Media (continued) | |||||
Societe Television Francaise 1 (France) (Note 7) | 7,360 | $ | 203,503 | ||
Time Warner, Inc. | 226,935 | 4,143,833 | |||
Wolters Kluwer N.V. (Netherlands) (Note 7) | 2,925 | 91,637 | |||
| 14,680,001 | |||||
Specialty Retail - 0.77% | |||||
Build-A-Bear Workshop, Inc.* | 4,150 | 80,510 | |||
KOMERI Co. Ltd. (Japan) (Note 7) | 2,300 | 58,323 | |||
Limited Brands, Inc. | 121,270 | 2,669,153 | |||
Tractor Supply Co.* | 1,315 | 54,494 | |||
Valora Holding AG (Switzerland) (Note 7) | 220 | 56,040 | |||
| 2,918,520 | |||||
Textiles, Apparel & Luxury Goods - 0.07% | |||||
Adidas AG (Germany) (Note 7) | 1,180 | 78,414 | |||
LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 700 | 90,113 | |||
PPR (France) (Note 7) | 475 | 94,130 | |||
| 262,657 | |||||
Total Consumer Discretionary | 32,205,930 | ||||
Consumer Staples - 5.14% | |||||
Beverages - 0.95% | |||||
The Coca-Cola Co. | 52,948 | 3,270,068 | |||
Diageo plc (United Kingdom) (Note 7) | 2,900 | 66,323 | |||
Kirin Holdings Co. Ltd. (Japan) (Note 7) | 5,000 | 69,571 | |||
Scottish & Newcastle plc (United Kingdom) (Note 7) | 13,195 | 214,805 | |||
| 3,620,767 | |||||
Food & Staples Retailing - 0.13% | |||||
Carrefour S.A. (France) (Note 7) | 2,780 | 200,079 | |||
Casino Guichard-Perrachon S.A. (France) (Note 7) | 820 | 91,558 | |||
Tesco plc (United Kingdom) (Note 7) | 17,825 | 180,852 | |||
| 472,489 | |||||
Food Products - 3.17% | |||||
Cadbury Schweppes plc (United Kingdom) (Note 7) | 22,975 | 303,798 | |||
Dean Foods Co. | 82,260 | 2,284,360 | |||
Groupe Danone (France) (Note 7) | 2,150 | 184,258 | |||
Nestle S.A. (Switzerland) (Note 7) | 10,000 | 4,615,318 | |||
| 31 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Staples (continued) | |||||
Food Products (continued) | |||||
Suedzucker AG (Germany) (Note 7) | 2,500 | $ | 56,741 | ||
Unilever plc - ADR (United Kingdom) (Note 7) | 134,884 | 4,567,172 | |||
| 12,011,647 | |||||
Household Products - 0.05% | |||||
Central Garden & Pet Co.* | 6,350 | 52,641 | |||
Kao Corp. (Japan) (Note 7) | 1,000 | 28,609 | |||
Reckitt Benckiser Group plc (United Kingdom) (Note 7) | 2,100 | 121,770 | |||
| 203,020 | |||||
Personal Products - 0.84% | |||||
Clarins S.A. (France) (Note 7) | 3,458 | 299,160 | |||
The Estee Lauder Companies, Inc. - Class A | 64,080 | 2,813,112 | |||
L'Oreal S.A. (France) (Note 7) | 570 | 74,831 | |||
| 3,187,103 | |||||
Total Consumer Staples | 19,495,026 | ||||
Energy - 2.52% | |||||
Energy Equipment & Services - 2.32% | |||||
Abbot Group plc (United Kingdom) (Note 7) | 41,335 | 291,978 | |||
Baker Hughes, Inc. | 37,725 | 3,271,512 | |||
Calfrac Well Services Ltd. (Canada) (Note 7) | 7,920 | 169,067 | |||
Compagnie Generale de Geophysique - Veritas (CGG - Veritas)* (France) (Note 7) | 1,230 | 402,892 | |||
Trican Well Service Ltd. (Canada) (Note 7) | 9,420 | 199,492 | |||
Weatherford International Ltd.* | 68,690 | 4,458,668 | |||
| 8,793,609 | |||||
Oil, Gas & Consumable Fuels - 0.20% | |||||
BP plc (United Kingdom) (Note 7) | 6,800 | 88,361 | |||
Edge Petroleum Corp.* | 12,340 | 112,047 | |||
Eni S.p.A. (Italy) (Note 7) | 4,025 | 146,911 | |||
Evergreen Energy, Inc.* | 5,075 | 23,903 | |||
Forest Oil Corp.* | 1,250 | 60,737 | |||
Mariner Energy, Inc.* | 1,011 | 25,275 | |||
Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 1,500 | 124,785 | |||
Royal Dutch Shell plc - Class B (Netherlands) (Note 7) | 2,382 | 103,753 | |||
Total S.A. (France) (Note 7) | 1,200 | 96,724 | |||
| 782,496 | |||||
Total Energy | 9,576,105 | ||||
| The accompanying notes are an integral part of the financial statements. | 32 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials - 5.95% | |||||
Capital Markets - 0.81% | |||||
Bank of New York Mellon Corp.1 | 1,650 | $ | 80,603 | ||
Daiwa Securities Group, Inc. (Japan) (Note 7) | 3,000 | 28,557 | |||
Deutsche Bank AG (Germany) (Note 7) | 1,050 | 140,660 | |||
Franklin Resources, Inc. | 775 | 100,502 | |||
Janus Capital Group, Inc. | 1,875 | 64,706 | |||
Macquarie Bank Ltd. (now known as Macquarie Group Ltd.) (Australia) (Note 7) | 1,525 | 119,358 | |||
Merrill Lynch & Co., Inc. | 1,425 | 94,078 | |||
Morgan Stanley | 950 | 63,897 | |||
SEI Investments Co. | 75,370 | 2,383,199 | |||
| 3,075,560 | |||||
Commercial Banks - 3.64% | |||||
Aareal Bank AG (Germany) (Note 7) | 4,850 | 251,274 | |||
The Bancorp, Inc.* | 5,800 | 104,110 | |||
BNP Paribas (France) (Note 7) | 700 | 77,146 | |||
Boston Private Financial Holdings, Inc. | 3,920 | 112,739 | |||
The Chugoku Bank Ltd. (Japan) (Note 7) | 4,000 | 57,876 | |||
Commerzbank AG (Germany) (Note 7) | 2,375 | 100,859 | |||
Credit Agricole S.A. (France) (Note 7) | 1,475 | 58,302 | |||
The Hachijuni Bank Ltd. (Japan) (Note 7) | 7,000 | 53,281 | |||
HSBC Holdings plc (United Kingdom) (Note 7) | 10,350 | 204,642 | |||
HSBC Holdings plc - ADR (United Kingdom) (Note 7) | 1,175 | 116,936 | |||
Huntington Bancshares, Inc. | 2,150 | 38,506 | |||
KeyCorp | 2,025 | 57,611 | |||
Mitsubishi UFJ Financial Group, Inc. (Japan) (Note 7) | 4,000 | 39,497 | |||
PNC Financial Services Group, Inc. | 42,910 | 3,096,386 | |||
Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 31,420 | 337,403 | |||
Societe Generale (France) (Note 7) | 475 | 79,710 | |||
Societe Generale - ADR (France) (Note 7) | 1,300 | 43,582 | |||
The Sumitomo Trust & Banking Co. Ltd. | 7,000 | 51,643 | |||
SunTrust Banks, Inc. | 1,050 | 76,230 | |||
TCF Financial Corp. | 3,950 | 89,942 | |||
U.S. Bancorp | 93,852 | 3,112,132 | |||
UniCredito Italiano S.p.A. (Italy) (Note 7) | 17,000 | 145,520 | |||
Wachovia Corp. | 116,756 | 5,339,252 | |||
Wells Fargo & Co. | 1,200 | 40,812 | |||
Wilmington Trust Corp. | 1,675 | 60,920 | |||
| 33 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials (continued) | |||||
Commercial Banks (continued) | |||||
Zions Bancorporation | 925 | $ | 54,677 | ||
| 13,800,988 | |||||
Consumer Finance - 0.07% | |||||
Capital One Financial Corp. | 1,415 | 92,810 | |||
Nelnet, Inc. - Class A | 10,330 | 191,931 | |||
| 284,741 | |||||
Diversified Financial Services - 0.91% | |||||
Bank of America Corp. | 59,660 | 2,880,385 | |||
Citigroup, Inc. | 3,345 | 140,156 | |||
Financiere Marc de Lacharriere S.A. (Fimalac) (France) (Note 7) | 1,745 | 138,251 | |||
ING Groep N.V. (Netherlands) (Note 7) | 1,875 | 84,297 | |||
JPMorgan Chase & Co. | 2,850 | 133,950 | |||
Moody's Corp. | 1,850 | 80,882 | |||
| 3,457,921 | |||||
Insurance - 0.43% | |||||
Allianz SE (Germany) (Note 7) | 2,100 | 473,034 | |||
Ambac Financial Group, Inc. | 1,675 | 61,690 | |||
American International Group, Inc. | 2,250 | 142,020 | |||
Axa (France) (Note 7) | 1,850 | 82,690 | |||
First American Corp. | 2,930 | 88,193 | |||
LandAmerica Financial Group, Inc. | 2,700 | 75,033 | |||
MBIA, Inc. | 1,700 | 73,168 | |||
Muenchener Rueckver AG (Germany) (Note 7) | 1,125 | 215,086 | |||
Principal Financial Group, Inc. | 1,825 | 123,498 | |||
The Progressive Corp. | 4,260 | 78,810 | |||
Torchmark Corp. | 770 | 50,173 | |||
Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 3,625 | 153,446 | |||
| 1,616,841 | |||||
Real Estate Investment Trusts (REITS) - 0.03% | |||||
Alstria Office REIT AG* (Germany) (Note 7) | 7,620 | 134,097 | |||
Real Estate Management & Development - 0.04% | |||||
Rodobens Negocios Imobiliarios S.A. (Brazil) (Note 7) | 11,510 | 141,064 | |||
Thrifts & Mortgage Finance - 0.02% | |||||
Flagstar Bancorp, Inc. | 4,160 | 33,654 | |||
IndyMac Bancorp, Inc. | 2,310 | 31,000 | |||
| 64,654 | |||||
Total Financials | 22,575,866 | ||||
| The accompanying notes are an integral part of the financial statements. | 34 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care - 10.83% | |||||
Biotechnology - 1.12% | |||||
Amgen, Inc.* | 28,695 | $ | 1,667,466 | ||
Applera Corp. - Celera Group* | 19,980 | 325,874 | |||
Genzyme Corp.* | 24,040 | 1,826,319 | |||
Monogram Biosciences, Inc.* | 108,075 | 164,274 | |||
Senomyx, Inc.* | 7,650 | 88,434 | |||
Theratechnologies, Inc.* (Canada) (Note 7) | 14,510 | 176,074 | |||
| 4,248,441 | |||||
Health Care Equipment & Supplies - 4.55% | |||||
Abaxis, Inc.* | 7,440 | 218,141 | |||
Alsius Corp.* | 15,410 | 57,787 | |||
AtriCure, Inc.* | 8,930 | 101,623 | |||
Beckman Coulter, Inc. | 3,890 | 275,490 | |||
Boston Scientific Corp.* | 419,930 | 5,824,429 | |||
The Cooper Companies, Inc. | 63,124 | 2,651,208 | |||
Covidien Ltd. (Bermuda) (Note 7) | 6,910 | 287,456 | |||
C.R. Bard, Inc. | 1,680 | 140,465 | |||
Dexcom, Inc.* | 23,060 | 214,458 | |||
Edwards Lifesciences Corp.* | 2,525 | 126,806 | |||
ev3, Inc.* | 51,315 | 753,304 | |||
Gen-Probe, Inc.* | 2,400 | 168,048 | |||
Hansen Medical, Inc.* | 3,650 | 141,876 | |||
IDEXX Laboratories, Inc.* | 980 | 119,344 | |||
Inverness Medical Innovations, Inc.* | 9,690 | 582,272 | |||
Kyphon, Inc.* | 3,860 | 273,597 | |||
Medtronic, Inc. | 69,159 | 3,280,903 | |||
Mentor Corp. | 5,125 | 218,171 | |||
Micrus Endovascular Corp.* | 3,675 | 72,214 | |||
Nobel Biocare Holding AG (Switzerland) (Note 7) | 570 | 165,867 | |||
OraSure Technologies, Inc.* | 32,570 | 295,410 | |||
ResMed, Inc.* | 2,475 | 102,539 | |||
Respironics, Inc.* | 2,875 | 143,923 | |||
SonoSite, Inc.* | 6,750 | 237,533 | |||
STAAR Surgical Co.* | 39,170 | 120,644 | |||
Straumann Holding AG (Switzerland) (Note 7) | 620 | 173,055 | |||
Synthes, Inc. (Switzerland) (Note 7) | 3,160 | 394,557 | |||
Wright Medical Group, Inc.* | 5,600 | 148,400 | |||
| 17,289,520 | |||||
Health Care Providers & Services - 0.89% | |||||
AMN Healthcare Services, Inc.* | 3,050 | 57,981 | |||
Patterson Companies, Inc.* | 5,830 | 228,011 | |||
| 35 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Health Care Providers & Services (continued) | |||||
Quest Diagnostics, Inc. | 48,210 | $ | 2,563,808 | ||
Sonic Healthcare Ltd. (Australia) (Note 7) | 18,540 | 297,295 | |||
Tenet Healthcare Corp.* | 64,630 | 226,851 | |||
| 3,373,946 | |||||
Health Care Technology - 0.15% | |||||
AMICAS, Inc.* | 76,975 | 204,754 | |||
Eclipsys Corp.* | 15,763 | 355,613 | |||
| 560,367 | |||||
Life Sciences Tools & Services - 1.55% | |||||
Affymetrix, Inc.* | 58,742 | 1,495,571 | |||
Caliper Life Sciences, Inc.* | 80,198 | 474,772 | |||
Luminex Corp.* | 20,480 | 326,451 | |||
PerkinElmer, Inc. | 129,889 | 3,574,545 | |||
| 5,871,339 | |||||
Pharmaceuticals - 2.57% | |||||
AstraZeneca plc (United Kingdom) (Note 7) | 350 | 17,268 | |||
AstraZeneca plc - ADR (United Kingdom) (Note 7) | 1,150 | 56,465 | |||
Barr Pharmaceuticals, Inc.* | 6,760 | 387,483 | |||
GlaxoSmithKline plc (United Kingdom) (Note 7) | 2,850 | 73,356 | |||
Johnson & Johnson | 41,670 | 2,715,634 | |||
Novartis AG - ADR (Switzerland) (Note 7) | 106,230 | 5,648,249 | |||
Par Pharmaceutical Companies, Inc.* | 14,290 | 263,508 | |||
Roche Holding AG (Switzerland) (Note 7) | 1,540 | 262,761 | |||
Sanofi-Aventis (France) (Note 7) | 570 | 49,981 | |||
Santen Pharmaceutical Co. Ltd. (Japan) (Note 7) | 2,800 | 65,540 | |||
Shire plc (United Kingdom) (Note 7) | 5,725 | 142,952 | |||
Takeda Pharmaceutical Co. Ltd. (Japan) (Note 7) | 1,000 | 62,072 | |||
| 9,745,269 | |||||
Total Health Care | 41,088,882 | ||||
Industrials - 4.31% | |||||
Aerospace & Defense - 0.05% | |||||
Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 4,040 | 197,031 | |||
Air Freight & Logistics - 1.17% | |||||
Deutsche Post AG (Germany) (Note 7) | 4,100 | 124,113 | |||
| The accompanying notes are an integral part of the financial statements. | 36 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Industrials (continued) | |||||
Air Freight & Logistics (continued) | |||||
TNT N.V. (Netherlands) (Note 7) | 4,690 | $ | 191,833 | ||
United Parcel Service, Inc. - Class B | 54,630 | 4,102,713 | |||
| 4,418,659 | |||||
Airlines - 2.14% | |||||
AirTran Holdings, Inc.* | 9,420 | 98,062 | |||
AMR Corp.* | 850 | 20,400 | |||
Continental Airlines, Inc. - Class B* | 725 | 24,904 | |||
Deutsche Lufthansa AG (Germany) (Note 7) | 5,675 | 167,763 | |||
JetBlue Airways Corp.* | 307,146 | 2,804,243 | |||
Southwest Airlines Co. | 352,630 | 5,010,872 | |||
| 8,126,244 | |||||
Commercial Services & Supplies - 0.03% | |||||
ChoicePoint, Inc.* | 1,700 | 66,844 | |||
Covanta Holding Corp.* | 2,000 | 54,220 | |||
| 121,064 | |||||
Electrical Equipment - 0.04% | |||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) (Note 7) | 3,575 | 108,036 | |||
Hubbell, Inc. - Class B | 900 | 49,500 | |||
| 157,536 | |||||
Industrial Conglomerates - 0.80% | |||||
3M Co. | 33,686 | 2,909,123 | |||
Siemens AG (Germany) (Note 7) | 520 | 71,084 | |||
Sonae S.A. (SGPS) (Portugal) (Note 7) | 24,275 | 71,023 | |||
| 3,051,230 | |||||
Machinery - 0.08% | |||||
FANUC Ltd. (Japan) (Note 7) | 600 | 65,228 | |||
FreightCar America, Inc. | 1,690 | 73,008 | |||
Heidelberger Druckmaschinen AG (Germany) (Note 7) | 950 | 38,913 | |||
Mueller Water Products, Inc. - Class B | 4,550 | 48,139 | |||
Schindler Holding AG (Switzerland) (Note 7) | 925 | 64,696 | |||
| 289,984 | |||||
Total Industrials | 16,361,748 | ||||
Information Technology - 10.05% | |||||
Communications Equipment - 1.66% | |||||
Alcatel-Lucent - ADR (France) (Note 7) | 7,520 | 72,869 | |||
Blue Coat Systems, Inc.* | 7,950 | 322,691 | |||
| 37 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
Communications Equipment (continued) | |||||
Cisco Systems, Inc.* | 119,841 | $ | 3,961,943 | ||
Harris Stratex Networks, Inc. - Class A* | 12,640 | 241,677 | |||
Juniper Networks, Inc.* | 47,117 | 1,696,212 | |||
| 6,295,392 | |||||
Computers & Peripherals - 0.06% | |||||
Rackable Systems, Inc.* | 16,800 | 229,488 | |||
Electronic Equipment & Instruments - 0.85% | |||||
AU Optronics Corp. - ADR (Taiwan) (Note 7) | 18,649 | 405,243 | |||
KEYENCE Corp. (Japan) (Note 7) | 110 | 25,242 | |||
LG. Philips LCD Co. Ltd. - ADR* (South | 77,765 | 2,103,543 | |||
LoJack Corp.* | 17,635 | 309,847 | |||
Planar Systems, Inc.* | 41,990 | 286,372 | |||
Samsung SDI Co. Ltd. (South Korea) (Note 7) | 1,060 | 84,762 | |||
| 3,215,009 | |||||
Internet Software & Services - 1.20% | |||||
Google, Inc. - Class A* | 5,750 | 4,065,250 | |||
iPass, Inc.* | 52,720 | 253,056 | |||
Online Resources Corp.* | 18,870 | 174,547 | |||
WebMD Health Corp. - Class A* | 1,300 | 59,761 | |||
| 4,552,614 | |||||
IT Services - 2.63% | |||||
Automatic Data Processing, Inc. | 89,558 | 4,438,494 | |||
Gevity HR, Inc. | 18,000 | 179,640 | |||
Paychex, Inc. | 1,150 | 48,047 | |||
RightNow Technologies, Inc.* | 18,925 | 378,879 | |||
Western Union Co. | 224,795 | 4,954,482 | |||
| 9,999,542 | |||||
Office Electronics - 0.01% | |||||
Boewe Systec AG (Germany) (Note 7) | 770 | 39,982 | |||
Semiconductors & Semiconductor Equipment - 0.12% | |||||
Hynix Semiconductor, Inc.* (South Korea) (Note 7) | 2,050 | 56,919 | |||
Netlogic Microsystems, Inc.* | 9,100 | 302,120 | |||
Taiwan Semiconductor Manufacturing Co. | 7,664 | 81,622 | |||
| 440,661 | |||||
| The accompanying notes are an integral part of the financial statements. | 38 |
Investment Portfolio - October 31, 2007
| Pro-Blend�� Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
Software - 3.52% | |||||
Aladdin Knowledge Systems Ltd.* (Israel) (Note 7) | 13,370 | $ | 320,212 | ||
Amdocs Ltd.* (Guernsey) (Note 7) | 12,825 | 441,180 | |||
Borland Software Corp.* | 59,850 | 262,143 | |||
Electronic Arts, Inc.* | 53,900 | 3,294,368 | |||
Misys plc (United Kingdom) (Note 7) | 16,850 | 84,691 | |||
Salesforce.com, Inc.* | 54,180 | 3,054,127 | |||
SAP AG (Germany) (Note 7) | 2,000 | 108,687 | |||
SAP AG - ADR (Germany) (Note 7) | 53,300 | 2,893,124 | |||
Sonic Solutions* | 31,470 | 377,640 | |||
Square Enix Co. Ltd. (Japan) (Note 7) | 2,100 | 68,817 | |||
Take-Two Interactive Software, Inc.* | 7,280 | 136,718 | |||
TIBCO Software, Inc.* | 188,035 | 1,726,161 | |||
UbiSoft Entertainment S.A.* (France) (Note 7) | 3,840 | 315,300 | |||
Utimaco Safeware AG (Germany) (Note 7) | 25,090 | 285,997 | |||
| 13,369,165 | |||||
Total Information Technology | 38,141,853 | ||||
Materials - 2.84% | |||||
Chemicals - 1.72% | |||||
Arkema* (France) (Note 7) | 30 | 2,041 | |||
Bayer AG (Germany) (Note 7) | 3,725 | 310,552 | |||
Calgon Carbon Corp.* | 6,025 | 89,772 | |||
Lonza Group AG (Switzerland) (Note 7) | 12,570 | 1,464,203 | |||
NITTO DENKO Corp. (Japan) (Note 7) | 94,100 | 4,560,199 | |||
Tronox, Inc. - Class A | 9,000 | 76,590 | |||
| 6,503,357 | |||||
Paper & Forest Products - 1.12% | |||||
Louisiana-Pacific Corp. | 64,170 | 1,056,238 | |||
Norbord, Inc. (Canada) (Note 7) | 23,140 | 196,019 | |||
Weyerhaeuser Co. | 39,520 | 2,999,963 | |||
| 4,252,220 | |||||
Total Materials | 10,755,577 | ||||
Telecommunication Services - 0.24% | |||||
Diversified Telecommunication Services - 0.08% | |||||
France Telecom S.A. (France) (Note 7) | 3,760 | 138,654 | |||
Swisscom AG - ADR (Switzerland) (Note 7) | 2,625 | 96,652 | |||
Telus Corp. (Canada) (Note 7) | 1,190 | 69,770 | |||
| 305,076 | |||||
| 39 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Telecommunication Services (continued) | |||||
Wireless Telecommunication Services - 0.16% | |||||
Hutchison Telecommunications International Ltd. (Hong Kong) (Note 7) | 51,000 | $ | 72,386 | ||
Hutchison Telecommunications International Ltd. - ADR (Hong Kong) (Note 7) | 13,430 | 294,251 | |||
SK Telecom Co. Ltd. (South Korea) (Note 7) | 850 | 199,661 | |||
SK Telecom Co. Ltd. - ADR (South Korea) (Note 7) | 1,780 | 54,842 | |||
| 621,140 | |||||
Total Telecommunication Services | 926,216 | ||||
Utilities - 2.71% | |||||
Electric Utilities - 0.90% | |||||
American Electric Power Co., Inc. | 65,100 | 3,138,471 | |||
E.ON AG (Germany) (Note 7) | 1,300 | 254,306 | |||
Westar Energy, Inc. | 1,025 | 27,286 | |||
| �� | 3,420,063 | ||||
Independent Power Producers & Energy Traders - 0.92% | |||||
Mirant Corp.* | 82,410 | 3,490,888 | |||
Multi-Utilities - 0.83% | |||||
National Grid plc (United Kingdom) (Note 7) | 7,100 | 118,314 | |||
Suez S.A. (France) (Note 7) | 1,475 | 95,923 | |||
Xcel Energy, Inc. | 130,073 | 2,933,146 | |||
| 3,147,383 | |||||
Water Utilities - 0.06% | |||||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) (Brazil) (Note 7) | 3,842 | 100,215 | |||
Companhia de Saneamento de Minas Gerais - Copasa MG (Brazil) (Note 7) | 5,430 | 102,020 | |||
| 202,235 | |||||
Total Utilities | 10,260,569 | ||||
TOTAL COMMON STOCKS | 201,387,772 | ||||
WARRANTS - 0.01% | |||||
Health Care - 0.01% | |||||
Health Care Equipment & Supplies - 0.01% | |||||
Alsius Corp., 8/3/2009 | 56,550 | 31,668 | |||
Life Sciences Tools & Services - 0.00%** | |||||
Caliper Life Sciences, Inc., 8/10/2011 | 15,315 | 22,054 | |||
TOTAL WARRANTS | 53,722 | ||||
| The accompanying notes are an integral part of the financial statements. | 40 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS - 3.17% | ||||||
Convertible Corporate Bonds - 0.42% | ||||||
Consumer Discretionary - 0.14% | ||||||
Hotels, Restaurants & Leisure - 0.06% | ||||||
Carnival Corp., 2.00%, 4/15/2021 | $ | 175,000 | $ | 217,875 | ||
Media - 0.08% | ||||||
Charter Communications, Inc., 6.50%, 10/1/2027 | 342,000 | 297,967 | ||||
Total Consumer Discretionary | 515,842 | |||||
Health Care - 0.11% | ||||||
Biotechnology - 0.10% | ||||||
Amgen, Inc., 0.375%, 2/1/2013 | 400,000 | 374,500 | ||||
Pharmaceuticals - 0.01% | ||||||
Valeant Pharmaceuticals International, 4.00%, 11/15/2013 | 60,000 | 53,175 | ||||
Total Health Care | 427,675 | |||||
Industrials - 0.07% | ||||||
Airlines - 0.07% | ||||||
JetBlue Airways Corp., 3.75%, 3/15/2035 | 270,000 | 248,063 | ||||
Information Technology - 0.07% | ||||||
Software - 0.07% | ||||||
Amdocs Ltd., 0.50%, 3/15/2024 | 270,000 | 277,425 | ||||
Utilities - 0.03% | ||||||
Multi-Utilities - 0.03% | ||||||
Xcel Energy, Inc., 7.50%, 11/21/2007 | 65,000 | 119,844 | ||||
Total Convertible Corporate Bonds | 1,588,849 | |||||
Non-Convertible Corporate Bonds - 2.75% | ||||||
Consumer Discretionary - 0.80% | ||||||
Automobiles - 0.35% | ||||||
Ford Motor Credit Co. LLC, 5.625%, 10/1/2008 | 355,000 | 347,749 | ||||
General Motors Acceptance Corp. LLC, | 970,000 | 967,370 | ||||
| 1,315,119 | ||||||
Hotels, Restaurants & Leisure - 0.10% | ||||||
McDonald's Corp., 5.80%, 10/15/2017 | 375,000 | 378,657 | ||||
Media - 0.26% | ||||||
AOL Time Warner (now known as Time | 275,000 | 305,971 | ||||
Comcast Corp., 6.50%, 11/15/2035 | 410,000 | 415,944 | ||||
| 41 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Consumer Discretionary (continued) | ||||||
Media (continued) | ||||||
The Walt Disney Co., 7.00%, 3/1/2032 | $ | 235,000 | $ | 267,471 | ||
| 989,386 | ||||||
Multiline Retail - 0.05% | ||||||
Target Corp., 5.875%, 3/1/2012 | 200,000 | 206,005 | ||||
Specialty Retail - 0.04% | ||||||
Lowe's Companies, Inc., 8.25%, 6/1/2010 | 145,000 | 156,452 | ||||
Total Consumer Discretionary | 3,045,619 | |||||
Consumer Staples - 0.04% | ||||||
Food & Staples Retailing - 0.04% | ||||||
The Kroger Co., 7.25%, 6/1/2009 | 80,000 | 82,614 | ||||
The Kroger Co., 6.80%, 4/1/2011 | 80,000 | 83,875 | ||||
Total Consumer Staples | 166,489 | |||||
Energy - 0.13% | ||||||
Oil, Gas & Consumable Fuels - 0.13% | ||||||
Anadarko Petroleum Corp., 5.95%, 9/15/2016 | 135,000 | 135,726 | ||||
Arch Western Finance LLC, 6.75%, 7/1/2013 | 380,000 | 370,500 | ||||
Total Energy | 506,226 | |||||
Financials - 0.76% | ||||||
Capital Markets - 0.27% | ||||||
The Goldman Sachs Group, Inc., 6.345%, 2/15/2034 | 470,000 | 438,492 | ||||
Lehman Brothers Holdings, Inc., 5.63%, 11/16/2009 | 115,000 | 113,392 | ||||
Lehman Brothers Holdings, Inc., 6.50%, 7/19/2017 | 175,000 | 176,246 | ||||
Merrill Lynch & Co., Inc., 6.00%, 2/15/2017 | 160,000 | 157,270 | ||||
Merrill Lynch & Co., Inc., 6.11%, 1/29/2037 | 160,000 | 147,131 | ||||
| 1,032,531 | ||||||
Commercial Banks - 0.27% | ||||||
PNC Bank National Association, 5.25%, 1/15/2017 | 390,000 | 370,259 | ||||
U.S. Bank National Association, 6.375%, 8/1/2011 | 315,000 | 328,266 | ||||
Wachovia Corp., 5.25%, 8/1/2014 | 335,000 | 328,184 | ||||
| 1,026,709 | ||||||
Diversified Financial Services - 0.09% | ||||||
Bank of America Corp. Capital Trust VI, 5.625%, 3/8/2035 | 350,000 | 313,501 | ||||
| The accompanying notes are an integral part of the financial statements. | 42 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Financials (continued) | ||||||
Insurance - 0.13% | ||||||
Ambac Financial Group, Inc., 5.95%, 12/5/2035 | $ | 390,000 | $ | 330,321 | ||
American International Group, Inc., 4.25%, 5/15/2013 | 180,000 | 169,340 | ||||
| 499,661 | ||||||
Total Financials | 2,872,402 | |||||
Health Care - 0.12% | ||||||
Pharmaceuticals - 0.12% | ||||||
Abbott Laboratories, 3.50%, 2/17/2009 | 135,000 | 132,556 | ||||
Wyeth, 6.50%, 2/1/2034 | 290,000 | 306,230 | ||||
Total Health Care | 438,786 | |||||
Industrials - 0.46% | ||||||
Aerospace & Defense - 0.03% | ||||||
Boeing Capital Corp., 6.50%, 2/15/2012 | 115,000 | 121,556 | ||||
Air Freight & Logistics - 0.03% | ||||||
FedEx Corp., 3.50%, 4/1/2009 | 135,000 | 131,823 | ||||
Airlines - 0.07% | ||||||
Southwest Airlines Co., 5.25%, 10/1/2014 | 275,000 | 265,084 | ||||
Industrial Conglomerates - 0.08% | ||||||
General Electric Capital Corp., 6.75%, 3/15/2032 | 290,000 | 323,637 | ||||
Machinery - 0.05% | ||||||
John Deere Capital Corp., 5.50%, 4/13/2017 | 175,000 | 174,210 | ||||
Road & Rail - 0.20% | ||||||
CSX Corp., 6.00%, 10/1/2036 | 515,000 | 482,217 | ||||
Union Pacific Corp., 5.65%, 5/1/2017 | 265,000 | 261,369 | ||||
| 743,586 | ||||||
Total Industrials | 1,759,896 | |||||
Information Technology - 0.14% | ||||||
Communications Equipment - 0.14% | ||||||
Cisco Systems, Inc., 5.50%, 2/22/2016 | 175,000 | 175,678 | ||||
Corning, Inc., 6.20%, 3/15/2016 | 340,000 | 347,976 | ||||
Total Information Technology | 523,654 | |||||
Materials - 0.04% | ||||||
Metals & Mining - 0.04% | ||||||
Alcoa, Inc., 5.87%, 2/23/2022 | 155,000 | 149,326 | ||||
| 43 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Utilities - 0.26% | ||||||
Electric Utilities - 0.24% | ||||||
Allegheny Energy Supply Co. LLC2, 8.25%, 4/15/2012 | $ | 80,000 | $ | 86,800 | ||
American Electric Power Co., Inc., 5.375%, 3/15/2010 | 345,000 | 346,994 | ||||
Exelon Generation Co. LLC, 5.35%, 1/15/2014 | 465,000 | 456,588 | ||||
| 890,382 | ||||||
Multi-Utilities - 0.02% | ||||||
CenterPoint Energy Resources Corp., 7.875%, 4/1/2013 | 75,000 | 82,240 | ||||
Total Utilities | 972,622 | |||||
Total Non-Convertible Corporate Bonds (Identified Cost $10,550,409) | 10,435,020 | |||||
TOTAL CORPORATE BONDS | 12,023,869 | |||||
U.S. TREASURY SECURITIES - 27.68% | ||||||
U.S. Treasury Bonds - 9.11% | ||||||
U.S. Treasury Bond, 7.50%, 11/15/2024 | 360,000 | 472,894 | ||||
U.S. Treasury Bond, 6.00%, 2/15/2026 | 3,450,000 | 3,950,250 | ||||
U.S. Treasury Bond, 5.50%, 8/15/2028 | 27,575,000 | 30,125,687 | ||||
Total U.S. Treasury Bonds | 34,548,831 | |||||
U.S. Treasury Notes - 18.57% | ||||||
U.S. Treasury Note, 3.00%, 2/15/2008 | 26,000,000 | 25,920,778 | ||||
U.S. Treasury Note, 5.625%, 5/15/2008 | 5,000 | 5,039 | ||||
U.S. Treasury Note, 3.25%, 8/15/2008 | 4,500,000 | 4,468,711 | ||||
U.S. Treasury Note, 4.875%, 1/31/2009 | 18,000,000 | 18,187,038 | ||||
U.S. Treasury Note, 3.875%, 5/15/2010 | 3,600,000 | 3,595,781 | ||||
U.S. Treasury Note, 4.50%, 11/15/2010 | 18,000,000 | 18,270,000 | ||||
Total U.S. Treasury Notes | 70,447,347 | |||||
TOTAL U.S. TREASURY SECURITIES (Identified Cost $102,954,738) | 104,996,178 | |||||
U.S. GOVERNMENT AGENCIES - 7.07% | ||||||
Mortgage-Backed Securities - 4.66% | ||||||
Fannie Mae, Pool #545883, 5.50%, 9/1/2017 | 131,069 | 131,768 | ||||
Fannie Mae, Pool #813938, 4.50%, 12/1/2020 | 293,690 | 284,187 | ||||
| The accompanying notes are an integral part of the financial statements. | 44 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Principal Amount | Value (Note 2) | ||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||
Mortgage-Backed Securities (continued) | ||||||
Fannie Mae, Pool #911750, 4.50%, 12/1/2021 | $ | 483,313 | $ | 467,535 | ||
Fannie Mae, Pool #908642, 5.00%, 1/1/2022 | 27,198 | 26,782 | ||||
Fannie Mae, Pool #912771, 5.00%, 3/1/2022 | 752,082 | 740,561 | ||||
Fannie Mae, Pool #786281, 6.50%, 7/1/2034 | 130,134 | 133,575 | ||||
Fannie Mae, Pool #745147, 4.50%, 12/1/2035 | 2,435,006 | 2,270,707 | ||||
Fannie Mae, Pool #872535, 6.50%, 6/1/2036 | 204,940 | 209,788 | ||||
Fannie Mae, Pool #906666, 6.50%, 12/1/2036 | 826,546 | 846,099 | ||||
Fannie Mae, TBA3, 4.50%, 11/15/2037 | 1,318,000 | 1,228,211 | ||||
Fannie Mae, TBA3, 6.00%, 11/15/2037 | 1,675,000 | 1,687,040 | ||||
Federal Home Loan Mortgage Corp., Pool #B16835, 5.50%, 10/1/2019 | 119,210 | 119,557 | ||||
Federal Home Loan Mortgage Corp., Pool #G11896, 4.50%, 1/1/2021 | 753,871 | 729,233 | ||||
Federal Home Loan Mortgage Corp., Pool #J04222, 5.00%, 1/1/2022 | 531,280 | 523,404 | ||||
Federal Home Loan Mortgage Corp., Pool #G18168, 5.00%, 2/1/2022 | 228,144 | 224,762 | ||||
Federal Home Loan Mortgage Corp., Pool #G18182, 5.50%, 5/1/2022 | 562,321 | 563,123 | ||||
Federal Home Loan Mortgage Corp., Pool #G01736, 6.50%, 9/1/2034 | 85,722 | 88,205 | ||||
Federal Home Loan Mortgage Corp., Pool #A52716, 6.50%, 10/1/2036 | 1,110,583 | 1,137,638 | ||||
Federal Home Loan Mortgage Corp., TBA3, 4.50%, 11/15/2022 | 1,182,000 | 1,142,846 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 11/15/2022 | 1,334,000 | 1,313,990 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 11/15/2022 | 753,000 | 753,941 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 11/15/2037 | 2,323,000 | 2,229,355 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 11/15/2037 | 758,000 | 746,156 | ||||
GNMA, Pool #286310, 9.00%, 2/15/2020 | 1,911 | 2,065 | ||||
GNMA, Pool #288873, 9.50%, 8/15/2020 | 166 | 182 | ||||
GNMA, Pool #550290, 6.50%, 8/15/2031 | 83,055 | 85,672 | ||||
Total Mortgage-Backed Securities | 17,686,382 | |||||
Other Agencies - 2.41% | ||||||
Fannie Mae, 5.75%, 2/15/2008 | 55,000 | 55,162 | ||||
Fannie Mae, 5.25%, 1/15/2009 | 5,000 | 5,046 | ||||
Fannie Mae, 6.375%, 6/15/2009 | 10,000 | 10,310 | ||||
| 45 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Moderate Term Series | Principal Amount/ Shares | Value (Note 2) | |||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||
Other Agencies (continued) | |||||||
Fannie Mae, 4.875%, 5/18/2012 | $ | 8,980,000 | $ | 9,077,981 | |||
Total Other Agencies | 9,148,499 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $26,790,370) | 26,834,881 | ||||||
SHORT-TERM INVESTMENTS - 10.55% | |||||||
Dreyfus Treasury Cash Management - Institutional Shares | 9,030,551 | 9,030,551 | |||||
Federal Home Loan Bank Discount Note, 11/7/2007 | $ | 23,000,000 | 22,980,018 | ||||
U.S. Treasury Bill, 11/8/2007 | 8,000,000 | 7,994,388 | |||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $40,007,663) | 40,004,957 | ||||||
TOTAL INVESTMENTS - 101.56% | 385,301,379 | ||||||
LIABILITIES, LESS OTHER ASSETS - (1.56%) | (5,916,022 | ) | |||||
NET ASSETS - 100% | $ | 379,385,357 | |||||
*Non-income producing security
**Less than 0.01%
ADR - American Depository Receipt
1Bank of New York Mellon Corp. is the parent company of Mellon Trust of New England N.A., the Fund's custodian.
2Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security has been sold under rule 144A and has been determined to be liquid under guidelines established by the Board of Directors. This security amounts to $86,800, or 0.02%, of the Series' net assets as of October 31, 2007.
3Securities purchased on a forward commitment or when-issued basis. TBA - to be announced.
| The accompanying notes are an integral part of the financial statements. | 46 |
Statement of Assets and Liabilities - Pro-Blend® Moderate Term Series
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $362,921,145) (Note 2) | $ | 385,301,379 | |
Cash | 67,488 | ||
Foreign currency, at value (cost $2,063) | 2,089 | ||
Receivable for securities sold | 2,316,618 | ||
Interest receivable | 1,637,840 | ||
Receivable for fund shares sold | 518,410 | ||
Dividends receivable | 94,108 | ||
Foreign tax reclaims receivable | 45,586 | ||
TOTAL ASSETS | 389,983,518 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 318,648 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 21,061 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 804 | ||
Payable for purchases of delayed delivery securities (Note 2) | 9,066,287 | ||
Payable for securities purchased | 1,103,822 | ||
Payable for fund shares repurchased | 31,665 | ||
Audit fees payable | 31,466 | ||
Other payables and accrued expenses | 24,408 | ||
TOTAL LIABILITIES | 10,598,161 | ||
TOTAL NET ASSETS | $ | 379,385,357 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 267,509 | |
Additional paid-in-capital | 325,464,825 | ||
Undistributed net investment income | 3,990,909 | ||
Accumulated net realized gain on investments, foreign currency and | 27,278,500 | ||
Net unrealized appreciation on investments, foreign currency and other assets and liabilities | 22,383,614 | ||
TOTAL NET ASSETS | $ | 379,385,357 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - CLASS A ($379,385,357/26,750,917 shares) | $ | 14.18 | |
| 47 | The accompanying notes are an integral part of the financial statements. |
Statement of Operations - Pro-Blend® Moderate Term Series
For the Year Ended October 31, 2007
INVESTMENT INCOME: | ||||
Interest | $ | 7,021,551 | ||
Dividends (net of foreign tax withheld, $59,454) | 2,949,343 | |||
Total Investment Income | 9,970,894 | |||
| EXPENSES: | ||||
Management fees (Note 3) | 3,360,139 | |||
Fund accounting and transfer agent fees (Note 3) | 227,477 | |||
Directors' fees (Note 3) | 7,375 | |||
Chief Compliance Officer service fees (Note 3) | 6,001 | |||
Custodian fees | 32,700 | |||
Miscellaneous | 92,442 | |||
Total Expenses | 3,726,134 | |||
NET INVESTMENT INCOME | 6,244,760 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain (loss) on - | ||||
Investments | 27,554,335 | |||
Foreign currency and other assets and liabilities | (5,835 | ) | ||
| 27,548,500 | ||||
Net change in unrealized appreciation on - | ||||
Investments | 1,133,065 | |||
Foreign currency and other assets and liabilities | 2,432 | |||
| 1,135,497 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 28,683,997 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 34,928,757 | ||
| The accompanying notes are an integral part of the financial statements. | 48 |
Statements of Changes in Net Assets - Pro-Blend® Moderate Term Series
| For the Year Ended 10/31/07 | For the Year Ended | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 6,244,760 | $ | 4,231,612 | ||||
Net realized gain on investments and foreign currency | 27,548,500 | 12,429,861 | ||||||
Net change in unrealized appreciation on investments and foreign currency | 1,135,497 | 13,118,913 | ||||||
Net increase from operations | 34,928,757 | 29,780,386 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (5,170,958 | ) | (2,281,226 | ) | ||||
From net realized gain on investments | (12,523,112 | ) | (9,540,816 | ) | ||||
Total distributions to shareholders | (17,694,070 | ) | (11,822,042 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions (Note 5) | 65,054,580 | 88,115,419 | ||||||
Net increase in net assets | 82,289,267 | 106,073,763 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 297,096,090 | 191,022,327 | ||||||
End of year (including undistributed net investment income of $3,990,909 and $2,923,571, respectively) | $ | 379,385,357 | $ | 297,096,090 | ||||
| 49 | The accompanying notes are an integral part of the financial statements. |
Financial Highlights - Pro-Blend® Moderate Term Series
For the Years Ended | ||||||||||
10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $13.55 | $12.75 | $11.81 | $11.07 | $10.05 | |||||
Income from investment operations: | ||||||||||
Net investment income | 0.24 | 0.20 | 0.11 | 0.11 | 0.10 | |||||
Net realized and unrealized gain on investments | 1.19 | 1.36 | 1.16 | 0.85 | 1.08 | |||||
Total from investment operations | 1.43 | 1.56 | 1.27 | 0.96 | 1.18 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.23) | (0.14) | (0.11) | (0.10) | (0.16) | |||||
From net realized gain on investments | (0.57) | (0.62) | (0.22) | (0.12) | — | |||||
Total distributions to shareholders | (0.80) | (0.76) | (0.33) | (0.22) | (0.16) | |||||
Net asset value - End of year | $14.18 | $13.55 | $12.75 | $11.81 | $11.07 | |||||
Total return1 | 10.91% | 12.88% | 10.94% | 8.76% | 11.87% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 1.11% | 1.16% | 1.20% | 1.20% | 1.20% | |||||
Net investment income | 1.86% | 1.75% | 1.09% | 1.00% | 1.05% | |||||
Portfolio turnover | 78% | 72% | 77% | 42% | 60% | |||||
Net assets - End of year (000's omitted) | $379,385 | $297,096 | $191,022 | $95,756 | $69,393 | |||||
*The investment advisor did not impose all of its management fee in some years. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows: | ||||||||||
| N/A | N/A | 0.01% | 0.08% | 0.13% | ||||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain years.
| The accompanying notes are an integral part of the financial statements. | 50 |
Performance Update - Pro-Blend® Extended Term Series (unaudited)
| Average Annual Total Returns As of October 31, 2007 | ||||||||||
One Year | Five Year | Ten Year | Since Inception1 | |||||||
Manning & Napier Fund, Inc. - Pro-Blend® Extended Term Series2 | 12.95% | 13.76% | 9.04% | 10.92% | ||||||
Lehman Brothers U.S. Aggregate Bond Index3,5 | 5.38% | 4.41% | 5.91% | 6.06% | ||||||
15%/40%/45% Blended Index3,4,5 | 12.90% | 11.74% | 7.53% | 8.76% | ||||||
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Extended Term Series for the ten years ended October 31, 2007 to the Lehman Brothers U.S. Aggregate Bond Index and a 15%/40%/45% Blended Index.
1Performance numbers for the Series are calculated from October 12, 1993, the Series’ inception date. The Lehman Brothers U.S. Aggregate Bond Index only publishes month-end numbers; therefore, performance numbers for the Indices are calculated from October 31, 1993.
2The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 1.11%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.11% for the year ended October 31, 2007.
3The Lehman Brothers U.S. Aggregate Bond Index is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Index returns assume reinvestment of income and, unlike Series returns, do not reflect any fees or expenses.
4The 15%/40%/45% Blended Index is 15% Morgan Stanley Capital International (MSCI) All Country World Index ex U.S., 40% Russell 3000® Index, and 45% Lehman Brothers U.S. Aggregate Bond Index. The MSCI All Country World Index ex U.S. is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global developed and emerging markets and consists of 47 developed and emerging market country indices outside the United States. The Index is denominated in U.S. Dollars. The Index returns assume daily reinvestment of gross dividends (which do not account for foreign dividend taxation) from the inception of the Series (see note 1 above) through December 31, 1998, as net returns were not available. Subsequent to December 31, 1998, the Index returns assume daily reinvestment of net dividends (thus accounting for foreign dividend taxation). The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Both Indices’ returns, unlike Series returns, do not reflect any fees or expenses.
5Because the Series’ asset allocation will vary over time, the composition of the Series' portfolio may not match the composition of the comparative Indices’ portfolios.
| 51 |
Shareholder Expense Example - Pro-Blend® Extended Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,050.00 | $ | 5.74 | |||
Hypothetical | $ | 1,000.00 | $ | 1,019.61 | $ | 5.65 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.11%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data.
| 52 |
Portfolio Composition - Pro-Blend® Extended Term Series (unaudited)
As of October 31, 2007
Asset Allocation1
1As a percentage of net assets.
2A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
3A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
Sector Allocation4
Health Care | 14.34% | |
Information Technology | 12.48% | |
Consumer Discretionary | 11.91% | |
Financials | 8.13% | |
Consumer Staples | 6.69% | |
Industrials | 5.99% | |
Materials | 4.98% | |
Utilities | 3.68% | |
Energy | 3.31% | |
Telecommunication Services | 0.32% |
4Including common stocks, warrants and corporate bonds, as a percentage of total investments.
Top Ten Stock Holdings5
International Game Technology | 2.28% | |
Boston Scientific Corp. | 1.95% | |
Novartis AG - ADR (Switzerland) | 1.93% | |
Wachovia Corp. | 1.74% | |
Southwest Airlines Co. | 1.73% | |
NITTO DENKO Corp. (Japan) | 1.57% | |
Unilever plc - ADR (United Kingdom) | 1.56% | |
Nestle S.A. (Switzerland) | 1.54% | |
Western Union Co. | 1.54% | |
Automatic Data Processing, Inc. | 1.53% |
5As a percentage of total investments.
| 53 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS - 69.97% | |||||
Consumer Discretionary - 11.18% | |||||
Auto Components - 0.08% | |||||
Hankook Tire Co. Ltd. (South Korea) (Note 7) | 15,560 | $ | 326,615 | ||
Tenneco, Inc.* | 4,050 | 123,970 | |||
| 450,585 | |||||
Distributors - 0.01% | |||||
Building Materials Holding Corp. | 7,710 | 60,601 | |||
Hotels, Restaurants & Leisure - 3.64% | |||||
Carnival Corp. | 154,785 | 7,426,584 | |||
Club Mediterranee S.A.* (France) (Note 7) | 5,750 | 386,015 | |||
International Game Technology | 318,670 | 13,897,199 | |||
| 21,709,798 | |||||
Household Durables - 1.04% | |||||
Corporacion Geo S.A. de C.V. - Class B* (Mexico) (Note 7) | 38,100 | 140,462 | |||
D.R. Horton, Inc. | 138,430 | 1,756,677 | |||
KB Home | 4,320 | 119,405 | |||
Lennar Corp. - Class A | 75,960 | 1,735,686 | |||
LG Electronics, Inc. (South Korea) (Note 7) | 2,410 | 251,332 | |||
Rossi Residencial S.A. (Brazil) (Note 7) | 9,490 | 320,393 | |||
Toll Brothers, Inc.* | 81,480 | 1,866,707 | |||
| 6,190,662 | |||||
Internet & Catalog Retail - 0.09% | |||||
Audible, Inc.* | 43,180 | 569,544 | |||
Leisure Equipment & Products - 0.03% | |||||
Sankyo Co. Ltd. (Japan) (Note 7) | 3,000 | 127,438 | |||
Sega Sammy Holdings, Inc. (Japan) (Note 7) | 5,000 | 68,704 | |||
| 196,142 | |||||
Media - 5.16% | |||||
Acme Communications, Inc. | 20,450 | 78,323 | |||
Charter Communications, Inc. - Class A* | 1,373,390 | 2,842,917 | |||
Comcast Corp. - Class A* | 424,494 | 8,935,599 | |||
The E.W. Scripps Co. - Class A | 186,175 | 8,379,737 | |||
Grupo Televisa S.A. - ADR (Mexico) (Note 7) | 9,660 | 240,051 | |||
Impresa S.A. (SGPS)* (Portugal) (Note 7) | 32,800 | 122,094 | |||
Mediacom Communications Corp. - Class A* | 26,740 | 153,755 | |||
Mediaset S.p.A. (Italy) (Note 7) | 11,825 | 122,460 | |||
Playboy Enterprises, Inc. - Class B* | 8,600 | 96,320 | |||
Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 8,525 | 449,012 | |||
| The accompanying notes are an integral part of the financial statements. | 54 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Discretionary (continued) | |||||
Media (continued) | |||||
Societe Television Francaise 1 (France) (Note 7) | 15,330 | $ | 423,872 | ||
Time Warner, Inc. | 477,620 | 8,721,341 | |||
Wolters Kluwer N.V. (Netherlands) (Note 7) | 7,425 | 232,616 | |||
| 30,798,097 | |||||
Specialty Retail - 1.03% | |||||
Build-A-Bear Workshop, Inc.* | 8,900 | 172,660 | |||
KOMERI Co. Ltd. (Japan) (Note 7) | 3,900 | 98,895 | |||
Limited Brands, Inc. | 256,370 | 5,642,704 | |||
Tractor Supply Co.* | 2,880 | 119,347 | |||
Valora Holding AG (Switzerland) (Note 7) | 450 | 114,627 | |||
| 6,148,233 | |||||
Textiles, Apparel & Luxury Goods - 0.10% | |||||
Adidas AG (Germany) (Note 7) | 2,580 | 171,447 | |||
LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 1,575 | 202,755 | |||
PPR (France) (Note 7) | 1,200 | 237,803 | |||
| 612,005 | |||||
Total Consumer Discretionary | 66,735,667 | ||||
Consumer Staples - 6.78% | |||||
Beverages - 1.38% | |||||
The Coca-Cola Co. | 120,500 | 7,442,080 | |||
Diageo plc (United Kingdom) (Note 7) | 8,825 | 201,828 | |||
Kirin Holdings Co. Ltd. (Japan) (Note 7) | 12,000 | 166,970 | |||
Scottish & Newcastle plc (United Kingdom) (Note 7) | 27,650 | 450,122 | |||
| 8,261,000 | |||||
Food & Staples Retailing - 0.10% | |||||
Casino Guichard-Perrachon S.A. (France) (Note 7) | 1,710 | 190,933 | |||
Tesco plc (United Kingdom) (Note 7) | 36,650 | 371,849 | |||
| 562,782 | |||||
Food Products - 4.15% | |||||
Cadbury Schweppes plc (United Kingdom) (Note 7) | 41,500 | 548,755 | |||
Dean Foods Co. | 174,330 | 4,841,144 | |||
Groupe Danone (France) (Note 7) | 4,100 | 351,376 | |||
Nestle S.A. (Switzerland) (Note 7) | 20,375 | 9,403,711 | |||
| 55 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Staples (continued) | |||||
Food Products (continued) | |||||
Suedzucker AG (Germany) (Note 7) | 4,250 | $ | 96,459 | ||
Unilever plc - ADR (United Kingdom) (Note 7) | 281,478 | 9,530,845 | |||
| 24,772,290 | |||||
Household Products - 0.07% | |||||
Central Garden & Pet Co.* | 13,000 | 107,770 | |||
Kao Corp. (Japan) (Note 7) | 3,000 | 85,826 | |||
Reckitt Benckiser Group plc (United Kingdom) (Note 7) | 4,125 | 239,191 | |||
| 432,787 | |||||
Personal Products - 1.08% | |||||
Clarins S.A. (France) (Note 7) | 4,710 | 407,474 | |||
The Estee Lauder Companies, Inc. - Class A | 133,920 | 5,879,088 | |||
L’Oreal S.A. (France) (Note 7) | 1,270 | 166,729 | |||
| 6,453,291 | |||||
Total Consumer Staples | 40,482,150 | ||||
Energy - 3.25% | |||||
Energy Equipment & Services - 2.95% | |||||
Abbot Group plc (United Kingdom) (Note 7) | 80,830 | 570,959 | |||
Baker Hughes, Inc. | 76,850 | 6,664,432 | |||
Calfrac Well Services Ltd. (Canada) (Note 7) | 16,720 | 356,920 | |||
Compagnie Generale de Geophysique - Veritas (CGG - Veritas)* (France) (Note 7) | 2,815 | 922,065 | |||
Trican Well Service Ltd. (Canada) (Note 7) | 19,680 | 416,773 | |||
Weatherford International Ltd.* | 133,960 | 8,695,344 | |||
| 17,626,493 | |||||
Oil, Gas & Consumable Fuels - 0.30% | |||||
BP plc (United Kingdom) (Note 7) | 13,825 | 179,646 | |||
Edge Petroleum Corp.* | 25,760 | 233,901 | |||
Eni S.p.A. (Italy) (Note 7) | 10,575 | 385,982 | |||
Evergreen Energy, Inc.* | 10,975 | 51,692 | |||
Forest Oil Corp.* | 3,200 | 155,488 | |||
Mariner Energy, Inc.* | 2,589 | 64,725 | |||
Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 3,300 | 274,527 | |||
Royal Dutch Shell plc - Class B (Netherlands) (Note 7) | 4,679 | 203,803 | |||
Total S.A. (France) (Note 7) | 2,700 | 217,628 | |||
| 1,767,392 | |||||
Total Energy | 19,393,885 | ||||
| The accompanying notes are an integral part of the financial statements. | 56 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials - 7.49% | |||||
Capital Markets - 0.98% | |||||
Bank of New York Mellon Corp.1 | 4,400 | $ | 214,940 | ||
Daiwa Securities Group, Inc. (Japan) (Note 7) | 6,000 | 57,113 | |||
Deutsche Bank AG (Germany) (Note 7) | 2,400 | 321,509 | |||
Franklin Resources, Inc. | 875 | 113,470 | |||
Janus Capital Group, Inc. | 3,625 | 125,099 | |||
Macquarie Bank Ltd. (now known as Macquarie Group Ltd.) (Australia) (Note 7) | 3,275 | 256,326 | |||
Merrill Lynch & Co., Inc. | 1,875 | 123,787 | |||
Morgan Stanley | 2,425 | 163,106 | |||
SEI Investments Co. | 141,750 | 4,482,135 | |||
| 5,857,485 | |||||
Commercial Banks - 4.59% | |||||
Aareal Bank AG (Germany) (Note 7) | 10,265 | 531,820 | |||
Banca Monte dei Paschi di Siena S.p.A. (Italy) (Note 7) | 10,950 | 69,942 | |||
The Bancorp, Inc.* | 12,280 | 220,426 | |||
BNP Paribas (France) (Note 7) | 1,550 | 170,823 | |||
Boston Private Financial Holdings, Inc. | 8,565 | 246,329 | |||
The Chugoku Bank Ltd. (Japan) (Note 7) | 10,000 | 144,690 | |||
Commerzbank AG (Germany) (Note 7) | 4,775 | 202,779 | |||
Credit Agricole S.A. (France) (Note 7) | 3,800 | 150,201 | |||
The Hachijuni Bank Ltd. (Japan) (Note 7) | 18,000 | 137,009 | |||
HSBC Holdings plc (United Kingdom) (Note 7) | 22,350 | 441,907 | |||
HSBC Holdings plc - ADR (United Kingdom) (Note 7) | 2,550 | 253,776 | |||
Huntington Bancshares, Inc. | 4,650 | 83,281 | |||
Intesa Sanpaolo (Italy) (Note 7) | 9,422 | 74,511 | |||
KeyCorp | 2,075 | 59,034 | |||
Mitsubishi UFJ Financial Group, Inc. (Japan) (Note 7) | 12,000 | 118,492 | |||
PNC Financial Services Group, Inc. | 81,450 | 5,877,432 | |||
Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 62,455 | 670,673 | |||
Societe Generale (France) (Note 7) | 805 | 135,088 | |||
Societe Generale - ADR (France) (Note 7) | 2,825 | 94,706 | |||
The Sumitomo Trust & Banking Co. Ltd. | 18,000 | 132,796 | |||
SunTrust Banks, Inc. | 2,300 | 166,980 | |||
TCF Financial Corp. | 5,125 | 116,696 | |||
U.S. Bancorp | 183,330 | 6,079,223 | |||
UniCredito Italiano S.p.A. (Italy) (Note 7) | 29,175 | 249,738 | |||
| 57 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials (continued) | |||||
Commercial Banks (continued) | |||||
Wachovia Corp. | 231,940 | $ | 10,606,616 | ||
Wells Fargo & Co. | 3,600 | 122,436 | |||
Wilmington Trust Corp. | 3,625 | 131,841 | |||
Zions Bancorporation | 2,225 | 131,520 | |||
| 27,420,765 | |||||
Consumer Finance - 0.09% | |||||
Capital One Financial Corp. | 1,995 | 130,852 | |||
Nelnet, Inc. - Class A | 22,370 | 415,635 | |||
| 546,487 | |||||
Diversified Financial Services - 1.17% | |||||
Bank of America Corp. | 117,860 | 5,690,281 | |||
Citigroup, Inc. | 5,775 | 241,972 | |||
Financiere Marc de Lacharriere S.A. (Fimalac) (France) (Note 7) | 3,720 | 294,725 | |||
ING Groep N.V. (Netherlands) (Note 7) | 4,650 | 209,055 | |||
JPMorgan Chase & Co. | 7,275 | 341,925 | |||
Moody’s Corp. | 3,960 | 173,131 | |||
| 6,951,089 | |||||
Insurance - 0.54% | |||||
Allianz SE (Germany) (Note 7) | 4,150 | 934,805 | |||
Ambac Financial Group, Inc. | 3,575 | 131,667 | |||
American International Group, Inc. | 4,600 | 290,352 | |||
Axa (France) (Note 7) | 4,550 | 203,373 | |||
First American Corp. | 6,120 | 184,212 | |||
LandAmerica Financial Group, Inc. | 5,650 | 157,013 | |||
MBIA, Inc. | 2,575 | 110,828 | |||
Muenchener Rueckver AG (Germany) (Note 7) | 2,275 | 434,953 | |||
Principal Financial Group, Inc. | 3,825 | 258,838 | |||
The Progressive Corp. | 9,010 | 166,685 | |||
Torchmark Corp. | 1,675 | 109,143 | |||
Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 5,125 | 216,941 | |||
| 3,198,810 | |||||
Real Estate Investment Trusts (REITS) - 0.05% | |||||
Alstria Office REIT AG* (Germany) (Note 7) | 16,120 | 283,680 | |||
Real Estate Management & Development - 0.05% | |||||
Rodobens Negocios Imobiliarios S.A. (Brazil) (Note 7) | 25,040 | 306,884 | |||
| The accompanying notes are an integral part of the financial statements. | 58 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials (continued) | |||||
Thrifts & Mortgage Finance - 0.02% | |||||
Flagstar Bancorp, Inc. | 8,810 | $ | 71,273 | ||
IndyMac Bancorp, Inc. | 4,850 | 65,087 | |||
| 136,360 | |||||
Total Financials | 44,701,560 | ||||
Health Care - 14.39% | |||||
Biotechnology - 1.30% | |||||
Amgen, Inc.* | 51,785 | 3,009,226 | |||
Applera Corp. - Celera Group* | 41,820 | 682,084 | |||
Genzyme Corp.* | 41,549 | 3,156,478 | |||
Monogram Biosciences, Inc.* | 225,025 | 342,038 | |||
Senomyx, Inc.* | 16,775 | 193,919 | |||
Theratechnologies, Inc.* (Canada) (Note 7) | 30,680 | 372,292 | |||
| 7,756,037 | |||||
Health Care Equipment & Supplies - 6.02% | |||||
Abaxis, Inc.* | 15,730 | 461,204 | |||
Alsius Corp.* | 33,730 | 126,487 | |||
AtriCure, Inc.* | 18,520 | 210,758 | |||
Beckman Coulter, Inc. | 8,140 | 576,475 | |||
Boston Scientific Corp.* | 854,980 | 11,858,573 | |||
The Cooper Companies, Inc. | 114,360 | 4,803,120 | |||
Covidien Ltd. (Bermuda) (Note 7) | 14,460 | 601,536 | |||
C.R. Bard, Inc. | 3,510 | 293,471 | |||
Dexcom, Inc.* | 48,235 | 448,586 | |||
Edwards Lifesciences Corp.* | 5,600 | 281,232 | |||
ev3, Inc.* | 112,044 | 1,644,806 | |||
Gen-Probe, Inc.* | 5,410 | 378,808 | |||
Hansen Medical, Inc.* | 7,630 | 296,578 | |||
IDEXX Laboratories, Inc.* | 1,870 | 227,729 | |||
Inverness Medical Innovations, Inc.* | 17,990 | 1,081,019 | |||
Kyphon, Inc.* | 8,770 | 621,618 | |||
Medtronic, Inc. | 153,720 | 7,292,477 | |||
Mentor Corp. | 10,975 | 467,206 | |||
Micrus Endovascular Corp.* | 7,900 | 155,235 | |||
Nobel Biocare Holding AG (Switzerland) (Note 7) | 1,200 | 349,193 | |||
OraSure Technologies, Inc.* | 100,750 | 913,803 | |||
ResMed, Inc.* | 5,375 | 222,686 | |||
Respironics, Inc.* | 6,300 | 315,378 | |||
SonoSite, Inc.* | 14,620 | 514,478 | |||
STAAR Surgical Co.* | 82,770 | 254,932 | |||
Straumann Holding AG (Switzerland) (Note 7) | 1,345 | 375,418 | |||
| 59 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Health Care Equipment & Supplies (continued) | |||||
Synthes, Inc. (Switzerland) (Note 7) | 6,580 | $ | 821,577 | ||
Wright Medical Group, Inc.* | 13,125 | 347,813 | |||
| 35,942,196 | |||||
Health Care Providers & Services - 1.19% | |||||
AMN Healthcare Services, Inc.* | 6,075 | 115,486 | |||
Patterson Companies, Inc.* | 12,185 | 476,555 | |||
Quest Diagnostics, Inc. | 102,480 | 5,449,886 | |||
Sonic Healthcare Ltd. (Australia) (Note 7) | 38,680 | 620,246 | |||
Tenet Healthcare Corp.* | 135,290 | 474,868 | |||
| 7,137,041 | |||||
Health Care Technology - 0.12% | |||||
AMICAS, Inc.* | 153,900 | 409,374 | |||
Eclipsys Corp.* | 14,250 | 321,480 | |||
| 730,854 | |||||
Life Sciences Tools & Services - 2.35% | |||||
Affymetrix, Inc.* | 110,245 | 2,806,838 | |||
Caliper Life Sciences, Inc.* | 102,285 | 605,527 | |||
Invitrogen Corp.* | 35,895 | 3,261,779 | |||
Luminex Corp.* | 42,780 | 681,913 | |||
PerkinElmer, Inc. | 242,215 | 6,665,757 | |||
| 14,021,814 | |||||
Pharmaceuticals - 3.41% | |||||
AstraZeneca plc (United Kingdom) (Note 7) | 1,450 | 71,538 | |||
AstraZeneca plc - ADR (United Kingdom) (Note 7) | 2,475 | 121,522 | |||
Barr Pharmaceuticals, Inc.* | 14,280 | 818,530 | |||
GlaxoSmithKline plc (United Kingdom) (Note 7) | 9,025 | 232,296 | |||
Johnson & Johnson | 86,190 | 5,617,002 | |||
Novartis AG - ADR (Switzerland) (Note 7) | 221,060 | 11,753,760 | |||
Par Pharmaceutical Companies, Inc.* | 29,900 | 551,356 | |||
Roche Holding AG (Switzerland) (Note 7) | 3,180 | 542,585 | |||
Sanofi-Aventis (France) (Note 7) | 1,250 | 109,607 | |||
Santen Pharmaceutical Co. Ltd. (Japan) (Note 7) | 5,800 | 135,761 | |||
Shire plc (United Kingdom) (Note 7) | 11,175 | 279,038 | |||
Takeda Pharmaceutical Co. Ltd. (Japan) (Note 7) | 1,700 | 105,522 | |||
| 20,338,517 | |||||
Total Health Care | 85,926,459 | ||||
| The accompanying notes are an integral part of the financial statements. | 60 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Industrials - 5.55% | |||||
Aerospace & Defense - 0.07% | |||||
Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 8,070 | $ | 393,574 | ||
Air Freight & Logistics - 1.47% | |||||
Deutsche Post AG (Germany) (Note 7) | 7,175 | 217,197 | |||
TNT N.V. (Netherlands) (Note 7) | 9,995 | 408,822 | |||
United Parcel Service, Inc. - Class B | 108,195 | 8,125,445 | |||
| 8,751,464 | |||||
Airlines - 2.86% | |||||
AirTran Holdings, Inc.* | 20,830 | 216,840 | |||
AMR Corp.* | 1,825 | 43,800 | |||
Continental Airlines, Inc. - Class B* | 1,475 | 50,666 | |||
Deutsche Lufthansa AG (Germany) (Note 7) | 11,325 | 334,786 | |||
JetBlue Airways Corp.* | 648,965 | 5,925,050 | |||
Southwest Airlines Co. | 740,330 | 10,520,089 | |||
| 17,091,231 | |||||
Commercial Services & Supplies - 0.03% | |||||
ChoicePoint, Inc.* | 1,725 | 67,827 | |||
Covanta Holding Corp.* | 4,375 | 118,606 | |||
| 186,433 | |||||
Electrical Equipment - 0.05% | |||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) (Note 7) | 7,000 | 211,540 | |||
Hubbell, Inc. - Class B | 1,950 | 107,250 | |||
| 318,790 | |||||
Industrial Conglomerates - 0.97% | |||||
3M Co. | 63,300 | 5,466,588 | |||
Siemens AG (Germany) (Note 7) | 1,090 | 149,002 | |||
Sonae S.A. (SGPS) (Portugal) (Note 7) | 61,250 | 179,203 | |||
| 5,794,793 | |||||
Machinery - 0.10% | |||||
FANUC Ltd. (Japan) (Note 7) | 1,000 | 108,713 | |||
FreightCar America, Inc. | 3,913 | 169,042 | |||
Heidelberger Druckmaschinen AG (Germany) (Note 7) | 2,075 | 84,993 | |||
Mueller Water Products, Inc. - Class B | 9,530 | 100,827 | |||
Schindler Holding AG (Switzerland) (Note 7) | 2,050 | 143,381 | |||
| 606,956 | |||||
Total Industrials | 33,143,241 | ||||
| 61 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology - 12.52% | |||||
Communications Equipment - 1.94% | |||||
Alcatel-Lucent - ADR (France) (Note 7) | 15,690 | $ | 152,036 | ||
Blue Coat Systems, Inc.* | 16,250 | 659,587 | |||
Cisco Systems, Inc.* | 222,690 | 7,362,131 | |||
Harris Stratex Networks, Inc. - Class A* | 26,430 | 505,342 | |||
Juniper Networks, Inc.* | 80,530 | 2,899,080 | |||
| 11,578,176 | |||||
Computers & Peripherals - 0.08% | |||||
Rackable Systems, Inc.* | 34,790 | 475,231 | |||
Electronic Equipment & Instruments - 1.02% | |||||
AU Optronics Corp. - ADR (Taiwan) (Note 7) | 36,350 | 789,885 | |||
KEYENCE Corp. (Japan) (Note 7) | 330 | 75,727 | |||
LG. Philips LCD Co. Ltd. - ADR* (South | 145,010 | 3,922,521 | |||
LoJack Corp.* | 38,145 | 670,208 | |||
Planar Systems, Inc.* | 66,010 | 450,188 | |||
Samsung SDI Co. Ltd. (South Korea) (Note 7) | 2,330 | 186,317 | |||
| 6,094,846 | |||||
Internet Software & Services - 1.48% | |||||
Google, Inc. - Class A* | 11,000 | 7,777,000 | |||
iPass, Inc.* | 113,260 | 543,648 | |||
Online Resources Corp.* | 40,740 | 376,845 | |||
WebMD Health Corp. - Class A* | 3,000 | 137,910 | |||
| 8,835,403 | |||||
IT Services - 3.35% | |||||
Automatic Data Processing, Inc. | 188,125 | 9,323,475 | |||
Gevity HR, Inc. | 37,610 | 375,348 | |||
Paychex, Inc. | 2,475 | 103,405 | |||
RightNow Technologies, Inc.* | 40,875 | 818,318 | |||
Western Union Co. | 426,080 | 9,390,803 | |||
| 20,011,349 | |||||
Office Electronics - 0.01% | |||||
Boewe Systec AG (Germany) (Note 7) | 1,690 | 87,753 | |||
Semiconductors & Semiconductor Equipment - 0.16% | |||||
Hynix Semiconductor, Inc.* (South Korea) (Note 7) | 4,490 | 124,667 | |||
Netlogic Microsystems, Inc.* | 20,440 | 678,608 | |||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) (Note 7) | 14,140 | 150,591 | |||
| 953,866 | |||||
| The accompanying notes are an integral part of the financial statements. | 62 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
Software - 4.48% | |||||
Aladdin Knowledge Systems Ltd.* (Israel) (Note 7) | 29,580 | $ | 708,441 | ||
Amdocs Ltd.* (Guernsey) (Note 7) | 22,870 | 786,728 | |||
Borland Software Corp.* | 125,825 | 551,114 | |||
Electronic Arts, Inc.* | 112,120 | 6,852,774 | |||
Misys plc (United Kingdom) (Note 7) | 27,900 | 140,231 | |||
Salesforce.com, Inc.* | 100,860 | 5,685,478 | |||
SAP AG (Germany) (Note 7) | 5,200 | 282,587 | |||
SAP AG - ADR (Germany) (Note 7) | 103,120 | 5,597,354 | |||
Sonic Solutions* | 66,010 | 792,120 | |||
Square Enix Co. Ltd. (Japan) (Note 7) | 4,600 | 150,741 | |||
Take-Two Interactive Software, Inc.* | 15,235 | 286,113 | |||
TIBCO Software, Inc.* | 391,500 | 3,593,970 | |||
UbiSoft Entertainment S.A.* (France) (Note 7) | 8,260 | 678,224 | |||
Utimaco Safeware AG (Germany) (Note 7) | 53,830 | 613,601 | |||
| 26,719,476 | |||||
Total Information Technology | 74,756,100 | ||||
Materials - 5.05% | |||||
Chemicals - 2.95% | |||||
Arkema* (France) (Note 7) | 67 | 4,557 | |||
Bayer AG (Germany) (Note 7) | 6,775 | 564,829 | |||
Calgon Carbon Corp.* | 13,075 | 194,817 | |||
Lonza Group AG (Switzerland) (Note 7) | 60,665 | 7,066,496 | |||
NITTO DENKO Corp. (Japan) (Note 7) | 198,000 | 9,595,319 | |||
Tronox, Inc. - Class A | 20,000 | 170,200 | |||
| 17,596,218 | |||||
Paper & Forest Products - 2.10% | |||||
Louisiana-Pacific Corp. | 355,165 | 5,846,016 | |||
Norbord, Inc. (Canada) (Note 7) | 48,540 | 411,182 | |||
Weyerhaeuser Co. | 82,540 | 6,265,611 | |||
| 12,522,809 | |||||
Total Materials | 30,119,027 | ||||
Telecommunication Services - 0.32% | |||||
Diversified Telecommunication Services - 0.11% | |||||
France Telecom S.A. (France) (Note 7) | 7,800 | 287,634 | |||
Swisscom AG - ADR (Switzerland) (Note 7) | 5,650 | 208,033 | |||
Telus Corp. (Canada) (Note 7) | 2,480 | 145,402 | |||
| 641,069 | |||||
| 63 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Telecommunication Services (continued) | |||||
Wireless Telecommunication Services - 0.21% | |||||
Hutchison Telecommunications International Ltd. (Hong Kong) (Note 7) | 105,000 | $ | 149,030 | ||
Hutchison Telecommunications International Ltd. - ADR (Hong Kong) (Note 7) | 27,810 | 609,317 | |||
SK Telecom Co. Ltd. (South Korea) (Note 7) | 1,790 | 420,463 | |||
SK Telecom Co. Ltd. - ADR (South Korea) (Note 7) | 3,750 | 115,537 | |||
| 1,294,347 | |||||
Total Telecommunication Services | 1,935,416 | ||||
Utilities - 3.44% | |||||
Electric Utilities - 1.11% | |||||
American Electric Power Co., Inc. | 122,220 | 5,892,226 | |||
E.ON AG (Germany) (Note 7) | 3,300 | 645,546 | |||
Westar Energy, Inc. | 3,850 | 102,487 | |||
| 6,640,259 | |||||
Independent Power Producers & Energy Traders - 1.15% | |||||
Mirant Corp.* | 161,130 | 6,825,467 | |||
Multi-Utilities - 1.11% | |||||
National Grid plc (United Kingdom) (Note 7) | 15,275 | 254,541 | |||
Suez S.A. (France) (Note 7) | 2,575 | 167,460 | |||
Xcel Energy, Inc. | 274,965 | 6,200,461 | |||
| 6,622,462 | |||||
Water Utilities - 0.07% | |||||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) (Brazil) (Note 7) | 8,129 | 212,036 | |||
Companhia de Saneamento de Minas Gerais - Copasa MG (Brazil) (Note 7) | 11,480 | 215,690 | |||
| 427,726 | |||||
Total Utilities | 20,515,914 | ||||
TOTAL COMMON STOCKS | 417,709,419 | ||||
WARRANTS - 0.01% | |||||
Health Care - 0.01% | |||||
Health Care Equipment & Supplies - 0.01% | |||||
Alsius Corp., 8/3/2009 | 123,750 | 69,300 | |||
Life Sciences Tools & Services - 0.00%** | |||||
Caliper Life Sciences, Inc., 8/10/2011 | 8,377 | 12,062 | |||
TOTAL WARRANTS | 81,362 | ||||
| The accompanying notes are an integral part of the financial statements. | 64 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS - 3.38% | ||||||
Convertible Corporate Bonds - 0.44% | ||||||
Consumer Discretionary - 0.14% | ||||||
Hotels, Restaurants & Leisure - 0.06% | ||||||
Carnival Corp., 2.00%, 4/15/2021 | $ | 285,000 | $ | 354,825 | ||
Media - 0.08% | ||||||
Charter Communications, Inc., 6.50%, 10/1/2027 | 546,000 | 475,702 | ||||
Total Consumer Discretionary | 830,527 | |||||
Health Care - 0.12% | ||||||
Biotechnology - 0.10% | ||||||
Amgen, Inc., 0.375%, 2/1/2013 | 635,000 | 594,519 | ||||
Pharmaceuticals - 0.02% | ||||||
Valeant Pharmaceuticals International, 4.00%, 11/15/2013 | 115,000 | 101,919 | ||||
Total Health Care | 696,438 | |||||
Industrials - 0.06% | ||||||
Airlines - 0.06% | ||||||
JetBlue Airways Corp., 3.75%, 3/15/2035 | 420,000 | 385,875 | ||||
Information Technology - 0.08% | ||||||
Software - 0.08% | ||||||
Amdocs Ltd., 0.50%, 3/15/2024 | 435,000 | 446,962 | ||||
Utilities - 0.04% | ||||||
Multi-Utilities - 0.04% | ||||||
Xcel Energy, Inc., 7.50%, 11/21/2007 | 130,000 | 239,688 | ||||
Total Convertible Corporate Bonds | 2,599,490 | |||||
Non-Convertible Corporate Bonds - 2.94% | ||||||
Consumer Discretionary - 0.85% | ||||||
Automobiles - 0.36% | ||||||
Ford Motor Credit Co. LLC, 5.625%, 10/1/2008 | 565,000 | 553,460 | ||||
General Motors Acceptance Corp. LLC, 6.125%, 1/22/2008 | 1,580,000 | 1,575,717 | ||||
| 2,129,177 | ||||||
Hotels, Restaurants & Leisure - 0.10% | ||||||
McDonald’s Corp., 5.80%, 10/15/2017 | 600,000 | 605,851 | ||||
Media - 0.28% | ||||||
AOL Time Warner (now known as Time | 500,000 | 556,311 | ||||
Comcast Corp., 6.50%, 11/15/2035 | 670,000 | 679,713 | ||||
The Walt Disney Co., 7.00%, 3/1/2032 | 380,000 | 432,506 | ||||
| 1,668,530 | ||||||
| 65 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Consumer Discretionary (continued) | ||||||
Multiline Retail - 0.06% | ||||||
Target Corp., 5.875%, 3/1/2012 | $ | 365,000 | $ | 375,959 | ||
Specialty Retail - 0.05% | ||||||
Lowe’s Companies, Inc., 8.25%, 6/1/2010 | 265,000 | 285,929 | ||||
Total Consumer Discretionary | 5,065,446 | |||||
Consumer Staples - 0.05% | ||||||
Food & Staples Retailing - 0.05% | ||||||
The Kroger Co., 7.25%, 6/1/2009 | 140,000 | 144,574 | ||||
The Kroger Co., 6.80%, 4/1/2011 | 145,000 | 152,023 | ||||
Total Consumer Staples | 296,597 | |||||
Energy - 0.14% | ||||||
Oil, Gas & Consumable Fuels - 0.14% | ||||||
Anadarko Petroleum Corp., 5.95%, 9/15/2016 | 220,000 | 221,184 | ||||
Arch Western Finance LLC, 6.75%, 7/1/2013 | 605,000 | 589,875 | ||||
Total Energy | 811,059 | |||||
Financials - 0.81% | ||||||
Capital Markets - 0.28% | ||||||
The Goldman Sachs Group, Inc., 6.345%, 2/15/2034 | 750,000 | 699,721 | ||||
Lehman Brothers Holdings, Inc., 5.63%, 11/16/2009 | 215,000 | 211,994 | ||||
Lehman Brothers Holdings, Inc., 6.50%, 7/19/2017 | 280,000 | 281,993 | ||||
Merrill Lynch & Co., Inc., 6.00%, 2/15/2017 | 265,000 | 260,478 | ||||
Merrill Lynch & Co., Inc., 6.11%, 1/29/2037 | 255,000 | 234,490 | ||||
| 1,688,676 | ||||||
Commercial Banks - 0.30% | ||||||
PNC Bank National Association, 5.25%, 1/15/2017 | 615,000 | 583,870 | ||||
U.S. Bank National Association, 6.375%, 8/1/2011 | 575,000 | 599,216 | ||||
Wachovia Corp., 5.25%, 8/1/2014 | 615,000 | 602,488 | ||||
| 1,785,574 | ||||||
Diversified Financial Services - 0.09% | ||||||
Bank of America Corp. Capital Trust VI, 5.625%, 3/8/2035 | 565,000 | 506,081 | ||||
Insurance - 0.14% | ||||||
Ambac Financial Group, Inc., 5.95%, 12/5/2035 | 625,000 | 529,360 | ||||
| The accompanying notes are an integral part of the financial statements. | 66 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Financials (continued) | ||||||
Insurance (continued) | ||||||
American International Group, Inc., 4.25%, 5/15/2013 | $ | 345,000 | $ | 324,568 | ||
| 853,928 | ||||||
Total Financials | 4,834,259 | |||||
Health Care - 0.12% | ||||||
Pharmaceuticals - 0.12% | ||||||
Abbott Laboratories, 3.50%, 2/17/2009 | 240,000 | 235,655 | ||||
Wyeth, 6.50%, 2/1/2034 | 470,000 | 496,304 | ||||
Total Health Care | 731,959 | |||||
Industrials - 0.51% | ||||||
Aerospace & Defense - 0.04% | ||||||
Boeing Capital Corp., 6.50%, 2/15/2012 | 215,000 | 227,258 | ||||
Air Freight & Logistics - 0.04% | ||||||
FedEx Corp., 3.50%, 4/1/2009 | 240,000 | 234,352 | ||||
Airlines - 0.08% | ||||||
Southwest Airlines Co., 5.25%, 10/1/2014 | 525,000 | 506,070 | ||||
Industrial Conglomerates - 0.10% | ||||||
General Electric Capital Corp., 6.75%, 3/15/2032 | 535,000 | 597,054 | ||||
Machinery - 0.05% | ||||||
John Deere Capital Corp., 5.50%, 4/13/2017 | 275,000 | 273,758 | ||||
Road & Rail - 0.20% | ||||||
CSX Corp., 6.00%, 10/1/2036 | 820,000 | 767,801 | ||||
Union Pacific Corp., 5.65%, 5/1/2017 | 415,000 | 409,314 | ||||
| 1,177,115 | ||||||
Total Industrials | 3,015,607 | |||||
Information Technology - 0.14% | ||||||
Communications Equipment - 0.14% | ||||||
Cisco Systems, Inc., 5.50%, 2/22/2016 | 275,000 | 276,066 | ||||
Corning, Inc., 6.20%, 3/15/2016 | 560,000 | 573,138 | ||||
Total Information Technology | 849,204 | |||||
Materials - 0.04% | ||||||
Metals & Mining - 0.04% | ||||||
Alcoa, Inc., 5.87%, 2/23/2022 | 275,000 | 264,934 | ||||
Utilities - 0.28% | ||||||
Electric Utilities - 0.26% | ||||||
Allegheny Energy Supply Co. LLC2, 8.25%, 4/15/2012 | 220,000 | 238,700 | ||||
| 67 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Principal Amount | Value (Note 2) | ||||
CORPORATE BONDS (continued) | ||||||
Non-Convertible Corporate Bonds (continued) | ||||||
Utilities (continued) | ||||||
Electric Utilities (continued) | ||||||
American Electric Power Co., Inc., 5.375%, 3/15/2010 | $ | 550,000 | $ | 553,178 | ||
Exelon Generation Co. LLC, 5.35%, 1/15/2014 | 770,000 | 756,070 | ||||
| 1,547,948 | ||||||
Multi-Utilities - 0.02% | ||||||
CenterPoint Energy Resources Corp., 7.875%, 4/1/2013 | 135,000 | 148,032 | ||||
Total Utilities | 1,695,980 | |||||
Total Non-Convertible Corporate Bonds | 17,565,045 | |||||
TOTAL CORPORATE BONDS | 20,164,535 | |||||
U.S. TREASURY SECURITIES - 18.94% | ||||||
U.S. Treasury Bonds - 9.51% | ||||||
U.S. Treasury Bond, 5.50%, 8/15/2028 | 51,965,000 | 56,771,762 | ||||
U.S. Treasury Notes - 9.43% | ||||||
U.S. Treasury Note, 3.00%, 2/15/2008 | 5,000,000 | 4,984,765 | ||||
U.S. Treasury Note, 4.875%, 4/30/2011 | 20,000,000 | 20,553,120 | ||||
U.S. Treasury Note, 4.625%, 10/31/2011 | 15,000 | 15,298 | ||||
U.S. Treasury Note, 4.75%, 1/31/2012 | 30,000,000 | 30,750,000 | ||||
Total U.S. Treasury Notes | 56,303,183 | |||||
TOTAL U.S. TREASURY SECURITIES | 113,074,945 | |||||
U.S. GOVERNMENT AGENCIES - 7.22% | ||||||
Mortgage-Backed Securities - 4.84% | ||||||
Fannie Mae, Pool #621881, 5.50%, 1/1/2017 | 2,501 | 2,515 | ||||
Fannie Mae, Pool #252210, 6.50%, 2/1/2019 | 13,084 | 13,430 | ||||
Fannie Mae, Pool #725793, 5.50%, 9/1/2019 | 361,650 | 363,418 | ||||
Fannie Mae, Pool #844917, 4.50%, 11/1/2020 | 413,419 | 400,042 | ||||
Fannie Mae, Pool #813938, 4.50%, 12/1/2020 | 315,922 | 305,700 | ||||
Fannie Mae, Pool #813954, 4.50%, 12/1/2020 | 305,671 | 295,781 | ||||
Fannie Mae, Pool #864435, 4.50%, 12/1/2020 | 179,071 | 173,277 | ||||
Fannie Mae, Pool #837190, 5.00%, 12/1/2020 | 95,686 | 94,258 | ||||
Fannie Mae, Pool #909732, 5.00%, 2/1/2022 | 135,185 | 133,096 | ||||
Fannie Mae, Pool #912520, 5.00%, 2/1/2022 | 1,023,014 | 1,007,343 | ||||
Fannie Mae, Pool #725686, 6.50%, 7/1/2034 | 415,360 | 427,515 | ||||
| The accompanying notes are an integral part of the financial statements. | 68 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Principal Amount | Value (Note 2) | ||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||
Mortgage-Backed Securities (continued) | ||||||
Fannie Mae, Pool #745147, 4.50%, 12/1/2035 | $ | 3,949,590 | $ | 3,683,096 | ||
Fannie Mae, Pool #901895, 6.50%, 9/1/2036 | 816,507 | 835,822 | ||||
Fannie Mae, Pool #898299, 6.50%, 10/1/2036 | 866,014 | 886,500 | ||||
Fannie Mae, TBA3, 4.50%, 11/15/2037 | 2,099,000 | 1,956,006 | ||||
Fannie Mae, TBA3, 6.00%, 11/15/2037 | 2,669,000 | 2,688,185 | ||||
Federal Home Loan Mortgage Corp., Pool #B16835, 5.50%, 10/1/2019 | 327,827 | 328,780 | ||||
Federal Home Loan Mortgage Corp., Pool #G11896, 4.50%, 1/1/2021 | 1,225,271 | 1,185,227 | ||||
Federal Home Loan Mortgage Corp., Pool #G12419, 5.00%, 10/1/2021 | 699,645 | 689,374 | ||||
Federal Home Loan Mortgage Corp., Pool #G18156, 5.00%, 12/1/2021 | 219,727 | 216,501 | ||||
Federal Home Loan Mortgage Corp., Pool #G18168, 5.00%, 2/1/2022 | 291,586 | 287,263 | ||||
Federal Home Loan Mortgage Corp., Pool #G18182, 5.50%, 5/1/2022 | 889,141 | 890,407 | ||||
Federal Home Loan Mortgage Corp., Pool #A22067, 6.50%, 5/1/2034 | 206,565 | 212,207 | ||||
Federal Home Loan Mortgage Corp., Pool #A52716, 6.50%, 10/1/2036 | 1,765,082 | 1,808,081 | ||||
Federal Home Loan Mortgage Corp., TBA3, 4.50%, 11/15/2022 | 1,887,000 | 1,824,493 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 11/15/2022 | 2,129,000 | 2,097,065 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 11/15/2022 | 1,203,000 | 1,204,504 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 11/15/2037 | 3,700,000 | 3,550,845 | ||||
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 11/15/2037 | 1,207,000 | 1,188,141 | ||||
GNMA, Pool #631703, 6.50%, 9/15/2034 | 158,933 | 163,758 | ||||
Total Mortgage-Backed Securities | 28,912,630 | |||||
Other Agencies - 2.38% | ||||||
Fannie Mae, 5.75%, 2/15/2008 | 5,000 | 5,015 | ||||
Fannie Mae, 5.00%, 5/11/2017 | 14,125,000 | 14,186,797 | ||||
Total Other Agencies | 14,191,812 | |||||
TOTAL U.S. GOVERNMENT AGENCIES | 43,104,442 | |||||
| 69 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Extended Term Series | Shares/ Principal Amount | Value (Note 2) | |||||
SHORT-TERM INVESTMENTS - 2.60% | |||||||
Dreyfus Treasury Cash Management - Institutional Shares | 5,540,865 | $ | 5,540,865 | ||||
Federal Home Loan Bank Discount Note, 11/7/2007 | $ | 10,000,000 | 9,991,421 | ||||
TOTAL SHORT-TERM INVESTMENTS | 15,532,286 | ||||||
TOTAL INVESTMENTS - 102.12% | 609,666,989 | ||||||
LIABILITIES, LESS OTHER ASSETS - (2.12%) | (12,676,250 | ) | |||||
NET ASSETS - 100% | $ | 596,990,739 | |||||
*Non-income producing security
**Less than 0.01%
ADR - American Depository Receipt
1Bank of New York Mellon Corp. is the parent company of Mellon Trust of New England N.A., the Fund’s custodian.
2Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security has been sold under rule 144A and has been determined to be liquid under guidelines established by the Board of Directors. This security amounts to $238,700, or 0.04%, of the Series’ net assets as of October 31, 2007.
3Securities purchased on a forward commitment or when-issued basis. TBA - to be announced.
| The accompanying notes are an integral part of the financial statements. | 70 |
Statement of Assets and Liabilities - Pro-Blend® Extended Term Series
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $553,967,129) (Note 2) | $ | 609,666,989 | |
Foreign currency, at value (cost $7,731) | 7,826 | ||
Interest receivable | 1,674,075 | ||
Receivable for fund shares sold | 1,388,431 | ||
Receivable for securities sold | 878,146 | ||
Dividends receivable | 168,231 | ||
Foreign tax reclaims receivable | 103,718 | ||
TOTAL ASSETS | 613,887,416 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 504,755 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 34,964 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 804 | ||
Payable for purchases of delayed delivery securities (Note 2) | 14,453,067 | ||
Payable for securities purchased | 1,550,321 | ||
Payable for fund shares repurchased | 276,967 | ||
Audit fees payable | 32,829 | ||
Other payables and accrued expenses | 42,970 | ||
TOTAL LIABILITIES | 16,896,677 | ||
TOTAL NET ASSETS | $ | 596,990,739 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 335,055 | |
Additional paid-in-capital | 479,397,783 | ||
Undistributed net investment income | 4,357,890 | ||
Accumulated net realized gain on investments, foreign currency and | 57,192,127 | ||
Net unrealized appreciation on investments, foreign currency and other assets and liabilities | 55,707,884 | ||
TOTAL NET ASSETS | $ | 596,990,739 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION | $ | 17.82 | |
| 71 | The accompanying notes are an integral part of the financial statements. |
Statement of Operations - Pro-Blend® Extended Term Series
For the Year Ended October 31, 2007
INVESTMENT INCOME: | ||||
Interest | $ | 7,694,697 | ||
Dividends (net of foreign tax withheld, $120,912) | 5,615,637 | |||
Total Investment Income | 13,310,334 | |||
| EXPENSES: | ||||
Management fees (Note 3) | 5,365,462 | |||
Fund accounting and transfer agent fees (Note 3) | 374,843 | |||
Directors’ fees (Note 3) | 7,375 | |||
Chief Compliance Officer service fees (Note 3) | 6,001 | |||
Custodian fees | 46,601 | |||
Miscellaneous | 145,092 | |||
Total Expenses | 5,945,374 | |||
NET INVESTMENT INCOME | 7,364,960 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain (loss) on - | ||||
Investments | 57,904,106 | |||
Foreign currency and other assets and liabilities | (12,699 | ) | ||
| 57,891,407 | ||||
Net change in unrealized appreciation on - | ||||
Investments | (485,717 | ) | ||
Foreign currency and other assets and liabilities | 6,391 | |||
| (479,326 | ) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 57,412,081 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 64,777,041 | ||
| The accompanying notes are an integral part of the financial statements. | 72 |
Statements of Changes in Net Assets - Pro-Blend® Extended Term Series
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 7,364,960 | $ | 5,908,169 | ||||
Net realized gain on investments and foreign | 57,891,407 | 32,787,020 | ||||||
Net change in unrealized appreciation on | (479,326 | ) | 24,454,420 | |||||
Net increase from operations | 64,777,041 | 63,149,609 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (7,295,757 | ) | (3,291,554 | ) | ||||
From net realized gain on investments | (33,430,415 | ) | (22,198,806 | ) | ||||
Total distributions to shareholders | (40,726,172 | ) | (25,490,360 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions | 88,936,956 | 80,617,845 | ||||||
Net increase in net assets | 112,987,825 | 118,277,094 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 484,002,914 | 365,725,820 | ||||||
End of year (including undistributed net | $ | 596,990,739 | $ | 484,002,914 | ||||
| 73 | The accompanying notes are an integral part of the financial statements. |
Financial Highlights - Pro-Blend® Extended Term Series
For the Years Ended | ||||||||||
10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $17.12 | $15.82 | $14.45 | $13.14 | $11.55 | |||||
Income from investment operations: | ||||||||||
Net investment income | 0.22 | 0.21 | 0.13 | 0.11 | 0.11 | |||||
Net realized and unrealized gain on | 1.88 | 2.18 | 1.71 | 1.39 | 1.66 | |||||
Total from investment operations | 2.10 | 2.39 | 1.84 | 1.50 | 1.77 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.25) | (0.14) | (0.11) | (0.10) | (0.18) | |||||
From net realized gain on investments | (1.15) | (0.95) | (0.36) | (0.09) | — | |||||
Total distributions to shareholders | (1.40) | (1.09) | (0.47) | (0.19) | (0.18) | |||||
Net asset value - End of year | $17.82 | $17.12 | $15.82 | $14.45 | $13.14 | |||||
Total return1 | 12.95% | 16.03% | 12.92% | 11.52% | 15.45% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 1.11% | 1.14% | 1.17% | 1.17% | 1.17% | |||||
Net investment income | 1.37% | 1.42% | 0.89% | 0.86% | 0.90% | |||||
Portfolio turnover | 82% | 82% | 71% | 50% | 67% | |||||
Net assets - End of year (000’s omitted) | $596,991 | $484,003 | $365,726 | $275,597 | $209,038 | |||||
*The investment advisor did not impose all of its management fee in some years. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows: | ||||||||||
| N/A | N/A | 0.01% | 0.04% | N/A | ||||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain years.
| The accompanying notes are an integral part of the financial statements. | 74 |
Performance Update - Pro-Blend® Maximum Term Series (unaudited)
Average Annual Total Returns As of October 31, 2007 | ||||||||||
| One Year | Five Year | Ten Year | Since Inception1 | |||||||
Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series2 | 14.37% | 16.87% | 10.81% | 12.42% | ||||||
Russell 3000® Index3,5 | 14.53% | 14.83% | 7.39% | 10.41% | ||||||
20%/65%/15% Blended Index3.4.5 | 16.56% | 15.43% | 7.99% | 9.89% | ||||||
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series for the ten years ended October 31, 2007 to the Russell 3000® Index and a 20%/65%/15% Blended Index.
1Performance numbers for the Series and Indices are calculated from November 1, 1995, the Series’ inception date.
2The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 1.12%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.12% for the year ended October 31, 2007.
3The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns, unlike Series returns, do not reflect any fees or expenses.
4The 20%/65%/15% Blended Index is 20% Morgan Stanley Capital International (MSCI) All Country World Index ex U.S., 65% Russell 3000® Index, and 15% Lehman Brothers U.S. Aggregate Bond Index. The MSCI All Country World Index ex U.S. is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global developed and emerging markets and consists of 47 developed and emerging market country indices outside the United States. The Index is denominated in U.S Dollars. The Index returns assume daily reinvestment of gross dividends (which do not account for foreign dividend taxation) from the inception of the Series through December 31, 1998, as net returns were not available. Subsequent to December 31, 1998, the Index returns assume daily reinvestment of net dividends (thus accounting for foreign dividend taxation). The Lehman Brothers U.S. Aggregate Bond Index is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Index returns assume reinvestment of income. Both Indices’ returns, unlike Series returns, do not reflect any fees or expenses.
5Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the comparative Indices’ portfolios.
| 75 |
Shareholder Expense Example - Pro-Blend® Maximum Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,050.40 | $ | 5.84 | |||
Hypothetical | $ | 1,000.00 | $ | 1,019.51 | $ | 5.75 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.13%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data.
| 76 |
Portfolio Composition - Pro-Blend® Maximum Term Series (unaudited)
As of October 31, 2007
Asset Allocation1
1As a percentage of net assets.
2A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
Sector Allocation3
Health Care | 19.70% | |
Information Technology | 16.34% | |
Consumer Discretionary | 16.04% | |
Consumer Staples | 8.79% | |
Financials | 8.74% | |
Industrials | 7.33% | |
Materials | 5.59% | |
Utilities | 3.77% | |
Energy | 3.44% | |
Telecommunication Services | 0.30% |
3Including common stocks and warrants, as a percentage of total investments.
Top Ten Stock Holdings4
International Game Technology | 2.68% | |
Boston Scientific Corp. | 2.51% | |
Novartis AG - ADR (Switzerland) | 2.37% | |
Wachovia Corp. | 2.14% | |
Southwest Airlines Co. | 2.11% | |
Unilever plc - ADR (United Kingdom) | 1.96% | |
Automatic Data Processing, Inc. | 1.92% | |
Western Union Co. | 1.91% | |
NITTO DENKO Corp. (Japan) | 1.91% | |
Nestle S.A. (Switzerland) | 1.86% |
4As a percentage of total investments.
| 77 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS - 90.12% | |||||
Consumer Discretionary - 16.06% | |||||
Auto Components - 0.07% | |||||
Hankook Tire Co. Ltd. (South Korea) (Note 7) | 12,990 | $ | 272,669 | ||
Tenneco, Inc.* | 3,250 | 99,482 | |||
| 372,151 | |||||
Distributors - 0.01% | |||||
Building Materials Holding Corp. | 6,990 | 54,941 | |||
Hotels, Restaurants & Leisure - 4.33% | |||||
Carnival Corp. | 168,818 | 8,099,888 | |||
Club Mediterranee S.A.* (France) (Note 7) | 6,455 | 433,344 | |||
International Game Technology | 318,703 | 13,898,638 | |||
| 22,431,870 | |||||
Household Durables - 1.55% | |||||
Corporacion Geo S.A. de C.V. - Class B* (Mexico) (Note 7) | 35,870 | 132,241 | |||
D.R. Horton, Inc. | 141,900 | 1,800,711 | |||
KB Home | 4,070 | 112,495 | |||
Lennar Corp. - Class A | 80,330 | 1,835,540 | |||
LG Electronics, Inc. (South Korea) (Note 7) | 1,750 | 182,502 | |||
Pulte Homes, Inc. | 134,460 | 1,995,386 | |||
Rossi Residencial S.A. (Brazil) (Note 7) | 8,140 | 274,816 | |||
Toll Brothers, Inc.* | 72,560 | 1,662,350 | |||
| 7,996,041 | |||||
Internet & Catalog Retail - 0.21% | |||||
Audible, Inc.* | 81,088 | 1,069,551 | |||
Leisure Equipment & Products - 0.04% | |||||
Sankyo Co. Ltd. (Japan) (Note 7) | 2,500 | 106,199 | |||
Sega Sammy Holdings, Inc. (Japan) (Note 7) | 6,900 | 94,811 | |||
| 201,010 | |||||
Media - 6.98% | |||||
Acme Communications, Inc. | 12,250 | 46,917 | |||
Charter Communications, Inc. - Class A* | 1,557,460 | 3,223,942 | |||
Comcast Corp. - Class A* | 441,185 | 9,286,944 | |||
The E.W. Scripps Co. - Class A | 194,140 | 8,738,241 | |||
Grupo Televisa S.A. - ADR (Mexico) (Note 7) | 190,770 | 4,740,634 | |||
Impresa S.A. (SGPS)* (Portugal) (Note 7) | 18,150 | 67,561 | |||
Mediacom Communications Corp. - Class A* | 21,580 | 124,085 | |||
Mediaset S.p.A. (Italy) (Note 7) | 7,725 | 80,000 | |||
Playboy Enterprises, Inc. - Class B* | 5,175 | 57,960 | |||
Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 4,500 | 237,015 | |||
| The accompanying notes are an integral part of the financial statements. | 78 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Discretionary (continued) | |||||
Media (continued) | |||||
Societe Television Francaise 1 (France) (Note 7) | 14,250 | $ | 394,010 | ||
Time Warner, Inc. | 493,023 | 9,002,600 | |||
Wolters Kluwer N.V. (Netherlands) (Note 7) | 5,100 | 159,777 | |||
| 36,159,686 | |||||
Specialty Retail - 2.79% | |||||
Build-A-Bear Workshop, Inc.* | 6,740 | 130,756 | |||
Kingfisher plc (United Kingdom) (Note 7) | 48,700 | 199,769 | |||
KOMERI Co. Ltd. (Japan) (Note 7) | 3,700 | 93,823 | |||
Limited Brands, Inc. | 243,754 | 5,365,026 | |||
O’Reilly Automotive, Inc.* | 136,370 | 4,502,937 | |||
Tractor Supply Co.* | 96,679 | 4,006,378 | |||
Valora Holding AG (Switzerland) (Note 7) | 480 | 122,269 | |||
| 14,420,958 | |||||
Textiles, Apparel & Luxury Goods - 0.08% | |||||
Adidas AG (Germany) (Note 7) | 1,870 | 124,266 | |||
LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 1,000 | 128,733 | |||
PPR (France) (Note 7) | 885 | 175,380 | |||
| 428,379 | |||||
Total Consumer Discretionary | 83,134,587 | ||||
Consumer Staples - 8.80% | |||||
Beverages - 1.52% | |||||
The Coca-Cola Co. | 114,868 | 7,094,248 | |||
Diageo plc (United Kingdom) (Note 7) | 6,410 | 146,597 | |||
Kirin Holdings Co. Ltd. (Japan) (Note 7) | 8,000 | 111,313 | |||
Scottish & Newcastle plc (United Kingdom) (Note 7) | 30,500 | 496,518 | |||
| 7,848,676 | |||||
Food & Staples Retailing - 0.15% | |||||
Carrefour S.A. (France) (Note 7) | 4,980 | 358,414 | |||
Casino Guichard-Perrachon S.A. (France) (Note 7) | 1,550 | 173,068 | |||
Tesco plc (United Kingdom) (Note 7) | 26,120 | 265,012 | |||
| 796,494 | |||||
Food Products - 5.78% | |||||
Cadbury Schweppes plc (United Kingdom) (Note 7) | 38,366 | 507,314 | |||
Dean Foods Co. | 177,640 | 4,933,063 | |||
| 79 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Consumer Staples (continued) | |||||
Food Products (continued) | |||||
Groupe Danone (France) (Note 7) | 2,500 | $ | 214,254 | ||
Kellogg Co. | 82,400 | 4,349,896 | |||
Lancaster Colony Corp. | 375 | 15,064 | |||
Nestle S.A. (Switzerland) (Note 7) | 20,890 | 9,641,400 | |||
Suedzucker AG (Germany) (Note 7) | 4,050 | 91,920 | |||
Unilever plc - ADR (United Kingdom) (Note 7) | 300,800 | 10,185,088 | |||
| 29,937,999 | |||||
Household Products - 0.07% | |||||
Central Garden & Pet Co.* | 12,050 | 99,894 | |||
Kao Corp. (Japan) (Note 7) | 2,000 | 57,217 | |||
Reckitt Benckiser Group plc (United Kingdom) (Note 7) | 3,060 | 177,436 | |||
| 334,547 | |||||
Personal Products - 1.28% | |||||
Clarins S.A. (France) (Note 7) | 5,457 | 472,099 | |||
The Estee Lauder Companies, Inc. - Class A | 134,278 | 5,894,804 | |||
L’Oreal S.A. (France) (Note 7) | 1,255 | 164,759 | |||
Natura Cosmeticos S.A. (Brazil) (Note 7) | 9,464 | 112,432 | |||
| 6,644,094 | |||||
Total Consumer Staples | 45,561,810 | ||||
Energy - 3.44% | |||||
Energy Equipment & Services - 3.18% | |||||
Abbot Group plc (United Kingdom) (Note 7) | 92,744 | 655,116 | |||
Baker Hughes, Inc. | 71,313 | 6,184,263 | |||
Calfrac Well Services Ltd. (Canada) (Note 7) | 26,180 | 558,861 | |||
Compagnie Generale de Geophysique - Veritas (CGG - Veritas)* (France) (Note 7) | 2,260 | 740,273 | |||
Trican Well Service Ltd. (Canada) (Note 7) | 18,530 | 392,418 | |||
Weatherford International Ltd.* | 121,944 | 7,915,385 | |||
| 16,446,316 | |||||
Oil, Gas & Consumable Fuels - 0.26% | |||||
BP plc (United Kingdom) (Note 7) | 9,950 | 129,293 | |||
Edge Petroleum Corp.* | 22,980 | 208,658 | |||
Eni S.p.A. (Italy) (Note 7) | 7,887 | 287,872 | |||
Evergreen Energy, Inc.* | 19,995 | 94,176 | |||
Forest Oil Corp.* | 2,550 | 123,904 | |||
Mariner Energy, Inc.* | 1,375 | 34,375 | |||
Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 2,000 | 166,380 | |||
| The accompanying notes are an integral part of the financial statements. | 80 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Energy (continued) | |||||
Oil, Gas & Consumable Fuels (continued) | |||||
Royal Dutch Shell plc - Class B (Netherlands) (Note 7) | 3,414 | $ | 148,703 | ||
Total S.A. (France) (Note 7) | 2,200 | 177,327 | |||
| 1,370,688 | |||||
Total Energy | 17,817,004 | ||||
Financials - 8.75% | |||||
Capital Markets - 1.21% | |||||
Bank of New York Mellon Corp.1 | 3,389 | 165,553 | |||
Daiwa Securities Group, Inc. (Japan) (Note 7) | 4,000 | 38,075 | |||
Deutsche Bank AG (Germany) (Note 7) | 1,657 | 221,975 | |||
Franklin Resources, Inc. | 1,215 | 157,561 | |||
Janus Capital Group, Inc. | 3,555 | 122,683 | |||
Macquarie Bank Ltd. (now known as Macquarie Group Ltd.) (Australia) (Note 7) | 3,237 | 253,352 | |||
Merrill Lynch & Co., Inc. | 2,160 | 142,603 | |||
Morgan Stanley | 1,810 | 121,741 | |||
Nomura Holdings, Inc. (Japan) (Note 7) | 2,300 | 40,876 | |||
SEI Investments Co. | 157,550 | 4,981,731 | |||
| 6,246,150 | |||||
Commercial Banks - 5.43% | |||||
Aareal Bank AG (Germany) (Note 7) | 8,327 | 431,414 | |||
The Bancorp, Inc.* | 9,910 | 177,884 | |||
BNP Paribas (France) (Note 7) | 1,403 | 154,622 | |||
Boston Private Financial Holdings, Inc. | 7,027 | 202,097 | |||
The Chugoku Bank Ltd. (Japan) (Note 7) | 7,300 | 105,624 | |||
Commerzbank AG (Germany) (Note 7) | 3,075 | 130,586 | |||
Credit Agricole S.A. (France) (Note 7) | 2,840 | 112,256 | |||
The Hachijuni Bank Ltd. (Japan) (Note 7) | 13,400 | 101,996 | |||
HSBC Holdings plc (United Kingdom) (Note 7) | 22,057 | 436,114 | |||
HSBC Holdings plc - ADR (United Kingdom) (Note 7) | 2,028 | 201,827 | |||
Huntington Bancshares, Inc. | 3,775 | 67,610 | |||
KeyCorp | 3,498 | 99,518 | |||
Mitsubishi UFJ Financial Group, Inc. (Japan) (Note 7) | 6,000 | 59,246 | |||
PNC Financial Services Group, Inc. | 91,706 | 6,617,505 | |||
Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 53,081 | 570,010 | |||
Societe Generale (France) (Note 7) | 1,180 | 198,017 | |||
Societe Generale - ADR (France) (Note 7) | 1,850 | 62,020 | |||
| 81 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials (continued) | |||||
Commercial Banks (continued) | |||||
The Sumitomo Trust & Banking Co. Ltd. | 12,000 | $ | 88,531 | ||
SunTrust Banks, Inc. | 1,905 | 138,303 | |||
TCF Financial Corp. | 6,360 | 144,817 | |||
U.S. Bancorp | 191,857 | 6,361,978 | |||
UniCredito Italiano S.p.A. (Italy) (Note 7) | 26,122 | 223,604 | |||
Wachovia Corp. | 242,440 | 11,086,781 | |||
Wells Fargo & Co. | 2,150 | 73,121 | |||
Wilmington Trust Corp. | 3,480 | 126,568 | |||
Zions Bancorporation | 2,075 | 122,653 | |||
| 28,094,702 | |||||
Consumer Finance - 0.10% | |||||
Capital One Financial Corp. | 2,135 | 140,035 | |||
Nelnet, Inc. - Class A | 21,337 | 396,441 | |||
| 536,476 | |||||
Diversified Financial Services - 1.33% | |||||
Bank of America Corp. | 119,276 | 5,758,645 | |||
Citigroup, Inc. | 6,745 | 282,615 | |||
Financiere Marc de Lacharriere S.A. (Fimalac) (France) (Note 7) | 3,630 | 287,595 | |||
ING Groep N.V. (Netherlands) (Note 7) | 3,225 | 144,990 | |||
JPMorgan Chase & Co. | 6,031 | 283,457 | |||
Moody’s Corp. | 3,360 | 146,899 | |||
| 6,904,201 | |||||
Insurance - 0.56% | |||||
Allianz SE (Germany) (Note 7) | 3,538 | 796,949 | |||
Ambac Financial Group, Inc. | 3,320 | 122,276 | |||
American International Group, Inc. | 4,200 | 265,104 | |||
Axa (France) (Note 7) | 2,675 | 119,566 | |||
First American Corp. | 5,770 | 173,677 | |||
LandAmerica Financial Group, Inc. | 5,310 | 147,565 | |||
MBIA, Inc. | 3,235 | 139,234 | |||
Muenchener Rueckver AG (Germany) (Note 7) | 1,773 | 338,976 | |||
Principal Financial Group, Inc. | 3,475 | 235,153 | |||
The Progressive Corp. | 7,730 | 143,005 | |||
Torchmark Corp. | 1,450 | 94,482 | |||
Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 7,605 | 321,920 | |||
| 2,897,907 | |||||
| The accompanying notes are an integral part of the financial statements. | 82 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Financials (continued) | |||||
Real Estate Investment Trusts (REITS) - 0.05% | |||||
Alstria Office REIT AG* (Germany) (Note 7) | 13,000 | $ | 228,774 | ||
Real Estate Management & Development - 0.05% | |||||
Rodobens Negocios Imobiliarios S.A. (Brazil) (Note 7) | 21,220 | 260,067 | |||
Thrifts & Mortgage Finance - 0.02% | |||||
Flagstar Bancorp, Inc. | 7,560 | 61,160 | |||
IndyMac Bancorp, Inc. | 4,240 | 56,901 | |||
| 118,061 | |||||
Total Financials | 45,286,338 | ||||
Health Care - 19.71% | |||||
Biotechnology - 2.75% | |||||
Amgen, Inc.* | 118,406 | 6,880,573 | |||
Applera Corp. - Celera Group* | 46,080 | 751,565 | |||
Genzyme Corp.* | 73,923 | 5,615,930 | |||
Monogram Biosciences, Inc.* | 217,071 | 329,948 | |||
Senomyx, Inc.* | 15,362 | 177,585 | |||
Theratechnologies, Inc.* (Canada) (Note 7) | 41,220 | 500,192 | |||
| 14,255,793 | |||||
Health Care Equipment & Supplies - 7.32% | |||||
Abaxis, Inc.* | 15,910 | 466,481 | |||
Alsius Corp.* | 30,371 | 113,891 | |||
AtriCure, Inc.* | 16,790 | 191,070 | |||
Beckman Coulter, Inc. | 8,620 | 610,468 | |||
Boston Scientific Corp.* | 936,596 | 12,990,587 | |||
The Cooper Companies, Inc. | 124,515 | 5,229,630 | |||
Covidien Ltd. (Bermuda) (Note 7) | 19,400 | 807,040 | |||
C.R. Bard, Inc. | 3,300 | 275,913 | |||
DENTSPLY International, Inc. | 8,010 | 332,255 | |||
Dexcom, Inc.* | 43,304 | 402,727 | |||
Edwards Lifesciences Corp.* | 4,215 | 211,677 | |||
ev3, Inc.* | 105,694 | 1,551,588 | |||
Gen-Probe, Inc.* | 5,494 | 384,690 | |||
Hansen Medical, Inc.* | 7,130 | 277,143 | |||
IDEXX Laboratories, Inc.* | 1,712 | 208,487 | |||
Inverness Medical Innovations, Inc.* | 15,275 | 917,875 | |||
Kyphon, Inc.* | 6,908 | 489,639 | |||
Medtronic, Inc. | 164,402 | 7,799,231 | |||
Mentor Corp. | 9,866 | 419,996 | |||
Micrus Endovascular Corp.* | 7,318 | 143,799 | |||
| 83 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Health Care Equipment & Supplies (continued) | |||||
Nobel Biocare Holding AG (Switzerland) (Note 7) | 1,110 | $ | 323,003 | ||
OraSure Technologies, Inc.* | 98,356 | 892,089 | |||
ResMed, Inc.* | 5,400 | 223,722 | |||
Respironics, Inc.* | 5,732 | 286,944 | |||
SonoSite, Inc.* | 14,137 | 497,481 | |||
STAAR Surgical Co.* | 66,780 | 205,682 | |||
Straumann Holding AG (Switzerland) (Note 7) | 1,304 | 363,974 | |||
Synthes, Inc. (Switzerland) (Note 7) | 7,660 | 956,425 | |||
Wright Medical Group, Inc.* | 12,550 | 332,575 | |||
| 37,906,082 | |||||
Health Care Providers & Services - 1.47% | |||||
AMN Healthcare Services, Inc.* | 5,500 | 104,555 | |||
Patterson Companies, Inc.* | 12,370 | 483,791 | |||
Quest Diagnostics, Inc. | 107,510 | 5,717,382 | |||
Sonic Healthcare Ltd. (Australia) (Note 7) | 37,200 | 596,514 | |||
Tenet Healthcare Corp.* | 204,280 | 717,023 | |||
| 7,619,265 | |||||
Health Care Technology - 1.16% | |||||
AMICAS, Inc.* | 135,725 | 361,028 | |||
Eclipsys Corp.* | 250,621 | 5,654,010 | |||
| 6,015,038 | |||||
Life Sciences Tools & Services - 2.88% | |||||
Affymetrix, Inc.* | 122,503 | 3,118,926 | |||
Caliper Life Sciences, Inc.* | 184,520 | 1,092,358 | |||
Invitrogen Corp.* | 40,917 | 3,718,128 | |||
Luminex Corp.* | 42,810 | 682,391 | |||
PerkinElmer, Inc. | 228,611 | 6,291,375 | |||
| 14,903,178 | |||||
Pharmaceuticals - 4.13% | |||||
AstraZeneca plc (United Kingdom) (Note 7) | 675 | 33,302 | |||
AstraZeneca plc - ADR (United Kingdom) (Note 7) | 1,500 | 73,650 | |||
Barr Pharmaceuticals, Inc.* | 14,833 | 850,228 | |||
GlaxoSmithKline plc (United Kingdom) (Note 7) | 6,775 | 174,383 | |||
Johnson & Johnson | 94,280 | 6,144,228 | |||
Novartis AG - ADR (Switzerland) (Note 7) | 231,345 | 12,300,614 | |||
Par Pharmaceutical Companies, Inc.* | 28,160 | 519,270 | |||
Roche Holding AG (Switzerland) (Note 7) | 4,430 | 755,866 | |||
| The accompanying notes are an integral part of the financial statements. | 84 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Pharmaceuticals (continued) | |||||
Sanofi-Aventis (France) (Note 7) | 837 | $ | 73,393 | ||
Santen Pharmaceutical Co. Ltd. (Japan) (Note 7) | 5,500 | 128,739 | |||
Shire plc (United Kingdom) (Note 7) | 9,080 | 226,726 | |||
Takeda Pharmaceutical Co. Ltd. (Japan) (Note 7) | 1,400 | 86,901 | |||
| 21,367,300 | |||||
Total Health Care | 102,066,656 | ||||
Industrials - 7.34% | |||||
Aerospace & Defense - 0.08% | |||||
Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 8,410 | 410,156 | |||
Air Freight & Logistics - 1.73% | |||||
Deutsche Post AG (Germany) (Note 7) | 9,985 | 302,260 | |||
TNT N.V. (Netherlands) (Note 7) | 9,504 | 388,739 | |||
United Parcel Service, Inc. - Class B | 110,463 | 8,295,771 | |||
| 8,986,770 | |||||
Airlines - 3.30% | |||||
AirTran Holdings, Inc.* | 14,860 | 154,693 | |||
AMR Corp.* | 1,275 | 30,600 | |||
Continental Airlines, Inc. - Class B* | 900 | 30,915 | |||
Deutsche Lufthansa AG (Germany) (Note 7) | 8,080 | 238,859 | |||
JetBlue Airways Corp.* | 623,192 | 5,689,743 | |||
Southwest Airlines Co. | 769,070 | 10,928,485 | |||
| 17,073,295 | |||||
Commercial Services & Supplies - 0.04% | |||||
ChoicePoint, Inc.* | 2,892 | 113,713 | |||
Covanta Holding Corp.* | 2,700 | 73,197 | |||
| 186,910 | |||||
Electrical Equipment - 0.05% | |||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) (Note 7) | 5,800 | 175,276 | |||
Hubbell, Inc. - Class B | 1,200 | 66,000 | |||
| 241,276 | |||||
Industrial Conglomerates - 2.03% | |||||
3M Co. | 69,515 | 6,003,315 | |||
Siemens AG (Germany) (Note 7) | 1,030 | 140,800 | |||
Sonae S.A. (SGPS) (Portugal) (Note 7) | 33,275 | 97,355 | |||
Tyco International Ltd. (Bermuda) (Note 7) | 103,767 | 4,272,087 | |||
| 10,513,557 | |||||
| 85 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Industrials (continued) | |||||
Machinery - 0.11% | |||||
FANUC Ltd. (Japan) (Note 7) | 900 | $ | 97,841 | ||
FreightCar America, Inc. | 3,270 | 141,264 | |||
Heidelberger Druckmaschinen AG (Germany) (Note 7) | 2,145 | 87,860 | |||
Mueller Water Products, Inc. - Class B | 8,910 | 94,268 | |||
Schindler Holding AG (Switzerland) (Note 7) | 2,102 | 147,018 | |||
| 568,251 | |||||
Total Industrials | 37,980,215 | ||||
Information Technology - 16.36% | |||||
Communications Equipment - 2.65% | |||||
Alcatel-Lucent - ADR (France) (Note 7) | 14,780 | 143,218 | |||
Blue Coat Systems, Inc.* | 26,290 | 1,067,111 | |||
Cisco Systems, Inc.* | 254,310 | 8,407,489 | |||
Harris Stratex Networks, Inc. - Class A* | 29,730 | 568,438 | |||
Juniper Networks, Inc.* | 97,368 | 3,505,248 | |||
| 13,691,504 | |||||
Computers & Peripherals - 0.08% | |||||
Rackable Systems, Inc.* | 31,530 | 430,700 | |||
Electronic Equipment & Instruments - 1.38% | |||||
AU Optronics Corp. - ADR (Taiwan) (Note 7) | 35,129 | 763,353 | |||
KEYENCE Corp. (Japan) (Note 7) | 220 | 50,485 | |||
LG. Philips LCD Co. Ltd. - ADR* (South | 186,203 | 5,036,791 | |||
LoJack Corp.* | 42,346 | 744,019 | |||
Planar Systems, Inc.* | 57,700 | 393,514 | |||
Samsung SDI Co. Ltd. (South Korea) (Note 7) | 1,690 | 135,140 | |||
| 7,123,302 | |||||
Internet Software & Services - 1.81% | |||||
Google, Inc. - Class A* | 11,790 | 8,335,530 | |||
iPass, Inc.* | 121,317 | 582,322 | |||
Online Resources Corp.* | 38,260 | 353,905 | |||
WebMD Health Corp. - Class A* | 2,300 | 105,731 | |||
| 9,377,488 | |||||
IT Services - 4.04% | |||||
Automatic Data Processing, Inc. | 200,528 | 9,938,168 | |||
Gevity HR, Inc. | 35,000 | 349,300 | |||
Paychex, Inc. | 1,475 | 61,626 | |||
RightNow Technologies, Inc.* | 31,581 | 632,252 | |||
Western Union Co. | 450,210 | 9,922,628 | |||
| 20,903,974 | |||||
| The accompanying notes are an integral part of the financial statements. | 86 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
Office Electronics - 0.01% | |||||
Boewe Systec AG (Germany) (Note 7) | 1,220 | $ | 63,348 | ||
Semiconductors & Semiconductor Equipment - 0.15% | |||||
Hynix Semiconductor, Inc.* (South Korea) (Note 7) | 3,260 | 90,515 | |||
Netlogic Microsystems, Inc.* | 18,090 | 600,588 | |||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) (Note 7) | 9,954 | 106,010 | |||
| 797,113 | |||||
Software - 6.24% | |||||
Aladdin Knowledge Systems Ltd.* (Israel) (Note 7) | 32,063 | 767,909 | |||
Amdocs Ltd.* (Guernsey) (Note 7) | 26,470 | 910,568 | |||
Borland Software Corp.* | 111,683 | 489,172 | |||
Electronic Arts, Inc.* | 135,160 | 8,260,979 | |||
Misys plc (United Kingdom) (Note 7) | 22,890 | 115,050 | |||
Salesforce.com, Inc.* | 111,022 | 6,258,310 | |||
SAP AG (Germany) (Note 7) | 3,200 | 173,900 | |||
SAP AG - ADR (Germany) (Note 7) | 123,580 | 6,707,922 | |||
Sonic Solutions* | 61,330 | 735,960 | |||
Square Enix Co. Ltd. (Japan) (Note 7) | 4,600 | 150,741 | |||
Take-Two Interactive Software, Inc.* | 14,014 | 263,183 | |||
TIBCO Software, Inc.* | 703,582 | 6,458,883 | |||
UbiSoft Entertainment S.A.* (France) (Note 7) | 5,442 | 446,840 | |||
Utimaco Safeware AG (Germany) (Note 7) | 51,506 | 587,110 | |||
| 32,326,527 | |||||
Total Information Technology | 84,713,956 | ||||
Materials - 5.59% | |||||
Chemicals - 2.67% | |||||
Arkema* (France) (Note 7) | 40 | 2,721 | |||
Bayer AG (Germany) (Note 7) | 5,746 | 479,041 | |||
Calgon Carbon Corp.* | 12,448 | 185,475 | |||
Lonza Group AG (Switzerland) (Note 7) | 27,067 | 3,152,870 | |||
NITTO DENKO Corp. (Japan) (Note 7) | 203,900 | 9,881,240 | |||
Tronox, Inc. - Class A | 18,000 | 153,180 | |||
| 13,854,527 | |||||
Paper & Forest Products - 2.92% | |||||
Louisiana-Pacific Corp. | 505,830 | 8,325,962 | |||
Norbord, Inc. (Canada) (Note 7) | 47,027 | 398,365 | |||
Weyerhaeuser Co. | 83,990 | 6,375,681 | |||
| 15,100,008 | |||||
Total Materials | 28,954,535 | ||||
| 87 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares | Value (Note 2) | |||
COMMON STOCKS (continued) | |||||
Telecommunication Services - 0.30% | |||||
Diversified Telecommunication Services - 0.13% | |||||
France Telecom S.A. (France) (Note 7) | 7,070 | $ | 260,714 | ||
Swisscom AG - ADR (Switzerland) (Note 7) | 4,606 | 169,593 | |||
Telenor ASA - ADR (Norway) (Note 7) | 1,950 | 137,280 | |||
Telus Corp. (Canada) (Note 7) | 2,330 | 136,608 | |||
| 704,195 | |||||
Wireless Telecommunication Services - 0.17% | |||||
Hutchison Telecommunications International Ltd. (Hong Kong) (Note 7) | 95,000 | 134,837 | |||
Hutchison Telecommunications International Ltd. - ADR (Hong Kong) (Note 7) | 28,670 | 628,160 | |||
SK Telecom Co. Ltd. - ADR (South Korea) (Note 7) | 3,220 | 99,208 | |||
| 862,205 | |||||
Total Telecommunication Services | 1,566,400 | ||||
Utilities - 3.77% | |||||
Electric Utilities - 1.25% | |||||
American Electric Power Co., Inc. | 123,090 | 5,934,169 | |||
E.ON AG (Germany) (Note 7) | 2,350 | 459,707 | |||
Westar Energy, Inc. | 2,825 | 75,202 | |||
| 6,469,078 | |||||
Independent Power Producers & Energy Traders - 1.28% | |||||
Mirant Corp.* | 156,389 | 6,624,638 | |||
Multi-Utilities - 1.17% | |||||
National Grid plc (United Kingdom) (Note 7) | 11,210 | 186,802 | |||
Suez S.A. (France) (Note 7) | 2,309 | 150,161 | |||
Xcel Energy, Inc. | 254,760 | 5,744,838 | |||
| 6,081,801 | |||||
Water Utilities - 0.07% | |||||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) (Brazil) (Note 7) | 6,976 | 181,962 | |||
Companhia de Saneamento de Minas Gerais - Copasa MG (Brazil) (Note 7) | 9,850 | 185,065 | |||
| 367,027 | |||||
Total Utilities | 19,542,544 | ||||
TOTAL COMMON STOCKS | 466,624,045 | ||||
| The accompanying notes are an integral part of the financial statements. | 88 |
Investment Portfolio - October 31, 2007
| Pro-Blend® Maximum Term Series | Shares/ | Value (Note 2) | |||||
WARRANTS - 0.01% | |||||||
Health Care - 0.01% | |||||||
Health Care Equipment & Supplies - 0.01% | |||||||
Alsius Corp., 8/3/2009 | 89,790 | $ | 50,282 | ||||
Life Sciences Tools & Services - 0.00%** | |||||||
Caliper Life Sciences, Inc., 8/10/2011 | 4,132 | 5,950 | |||||
TOTAL WARRANTS | 56,232 | ||||||
U.S. TREASURY SECURITIES - 6.75% | |||||||
U.S. Treasury Bond, 5.50%, 8/15/2028 | $ | 32,000,000 | 34,960,000 | ||||
SHORT-TERM INVESTMENTS - 3.24% | |||||||
Dreyfus Treasury Cash Management - Institutional Shares | 9,776,691 | 9,776,691 | |||||
Federal Home Loan Bank Discount Note, 11/7/2007 | $ | 7,000,000 | 6,993,994 | ||||
TOTAL SHORT-TERM INVESTMENTS | 16,770,685 | ||||||
TOTAL INVESTMENTS - 100.12% | 518,410,962 | ||||||
LIABILITIES, LESS OTHER ASSETS - (0.12%) | (644,847 | ) | |||||
NET ASSETS - 100% | $ | 517,766,115 | |||||
*Non-income producing security
**Less than 0.01%
ADR - American Depository Receipt
1Bank of New York Mellon Corp. is the parent company of Mellon Trust of New England N.A., the Fund’s custodian.
| 89 | The accompanying notes are an integral part of the financial statements. |
Statement of Assets and Liabilities - Pro-Blend® Maximum Term Series
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $484,830,260) (Note 2) | $ | 518,410,962 | |
Cash | 133,678 | ||
Foreign currency, at value (cost $4,270) | 4,307 | ||
Receivable for securities sold | 5,328,697 | ||
Receivable for fund shares sold | 996,581 | ||
Interest receivable | 373,043 | ||
Dividends receivable | 180,118 | ||
Foreign tax reclaims receivable | 94,242 | ||
TOTAL ASSETS | 525,521,628 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 430,946 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 33,806 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 805 | ||
Payable for securities purchased | 6,640,082 | ||
Payable for fund shares repurchased | 566,023 | ||
Audit fees payable | 31,388 | ||
Other payables and accrued expenses | 52,463 | ||
TOTAL LIABILITIES | 7,755,513 | ||
TOTAL NET ASSETS | $ | 517,766,115 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 264,561 | |
Additional paid-in-capital | 432,520,329 | ||
Undistributed net investment income | 1,622,259 | ||
Accumulated net realized gain on investments, foreign currency and | 49,770,773 | ||
Net unrealized appreciation on investments, foreign currency and other assets and liabilities | 33,588,193 | ||
TOTAL NET ASSETS | $ | 517,766,115 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - CLASS A ($517,766,115/26,456,111 shares) | $ | 19.57 | |
| The accompanying notes are an integral part of the financial statements. | 90 |
Statement of Operations - Pro-Blend® Maximum Term Series
For the Year Ended October 31, 2007
INVESTMENT INCOME: | ||||
Dividends (net of foreign tax withheld, $96,756) | $ | 4,856,489 | ||
Interest | 2,423,772 | |||
Total Investment Income | 7,280,261 | |||
| EXPENSES: | ||||
Management fees (Note 3) | 4,044,935 | |||
Fund accounting and transfer agent fees (Note 3) | 290,844 | |||
Directors’ fees (Note 3) | 7,375 | |||
Chief Compliance Officer service fees (Note 3) | 6,001 | |||
Custodian fees | 41,800 | |||
Miscellaneous | 165,530 | |||
Total Expenses | 4,556,485 | |||
NET INVESTMENT INCOME | 2,723,776 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain (loss) on - | ||||
Investments | 50,364,984 | |||
Foreign currency and other assets and liabilities | (11,902 | ) | ||
| 50,353,082 | ||||
Net change in unrealized appreciation on - | ||||
Investments | (761,043 | ) | ||
Foreign currency and other assets and liabilities | 6,518 | |||
| (754,525 | ) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 49,598,557 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 52,322,333 | ||
| 91 | The accompanying notes are an integral part of the financial statements. |
Statements of Changes in Net Assets - Pro-Blend® Maximum Term Series
For the Year Ended | For the Year Ended | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 2,723,776 | $ | 2,113,602 | ||||
Net realized gain on investments and foreign currency | 50,353,082 | 18,903,630 | ||||||
Net change in unrealized appreciation on investments and foreign currency | (754,525 | ) | 18,949,486 | |||||
Net increase from operations | 52,322,333 | 39,966,718 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (2,695,726 | ) | (1,013,785 | ) | ||||
From net realized gain on investments | (19,147,965 | ) | (14,737,690 | ) | ||||
Total distributions to shareholders | (21,843,691 | ) | (15,751,475 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions (Note 5) | 201,573,397 | 74,951,894 | ||||||
Net increase in net assets | 232,052,039 | 99,167,137 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 285,714,076 | 186,546,939 | ||||||
End of year (including undistributed net investment income of $1,622,259 and $1,606,945, respectively) | $ | 517,766,115 | $ | 285,714,076 | ||||
| The accompanying notes are an integral part of the financial statements. | 92 |
Financial Highlights - Pro-Blend® Maximum Term Series
For the Years Ended | ||||||||||
10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $18.35 | $16.79 | $15.00 | $13.05 | $10.86 | |||||
Income from investment operations: | ||||||||||
Net investment income | 0.11 | 0.14 | 0.08 | 0.04 | 0.04 | |||||
Net realized and unrealized gain on investments | 2.41 | 2.80 | 2.11 | 1.94 | 2.25 | |||||
Total from investment operations | 2.52 | 2.94 | 2.19 | 1.98 | 2.29 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.15) | (0.08) | (0.05) | (0.03) | (0.10) | |||||
From net realized gain on investments | (1.15) | (1.30) | (0.35) | — | — | |||||
Total distributions to shareholders | (1.30) | (1.38) | (0.40) | (0.03) | (0.10) | |||||
Net asset value - End of year | $19.57 | $18.35 | $16.79 | $15.00 | $13.05 | |||||
Total return1 | 14.37% | 18.87% | 14.84% | 15.20% | 21.20% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 1.12% | 1.16% | 1.20% | 1.20% | 1.20% | |||||
Net investment income | 0.67% | 0.94% | 0.51% | 0.31% | 0.37% | |||||
Portfolio turnover | 61% | 56% | 61% | 68% | 73% | |||||
Net assets - End of year (000’s omitted) | $517,766 | $285,714 | $186,547 | $131,747 | $91,859 | |||||
*The investment advisor did not impose all of its management fee in some years. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows: | ||||||||||
| N/A | N/A | 0.02% | 0.06% | 0.09% | ||||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain years.
| 93 | The accompanying notes are an integral part of the financial statements. |
Notes to Financial Statements
| 1. | ORGANIZATION |
Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series (each the “Series”) are no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series are asset allocation funds. Each invests in a combination of stocks, bonds and cash and is managed according to specific goals. The goals are as follows: Pro-Blend® Conservative Term Series - primary goal is preservation of capital; secondary goal is long-term growth of capital. Pro-Blend® Moderate Term Series - equal emphasis on long-term growth of capital and preservation of capital. Pro-Blend® Extended Term Series - primary goal is long-term growth of capital; secondary goal is preservation of capital. Pro-Blend® Maximum Term Series - primary goal is long-term growth of capital.
Each Series is authorized to issue five classes of shares (Class A, B, C, D and E). Currently, only Class A shares have been issued. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.
The Fund’s Advisor is Manning & Napier Advisors, Inc. (the “Advisor”). Shares of each Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 3.0 billion shares of common stock each having a par value of $0.01. As of October 31, 2007, 2.13 billion shares have been designated in total among 21 series, of which 87.5 million have been designated as Pro-Blend® Conservative Term Series Class A common stock and 125 million each have been designated as Pro-Blend® Moderate Term Series Class A common stock, Pro-Blend® Extended Term Series Class A common stock and Pro-Blend® Maximum Term Series Class A common stock.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
Security Valuation
Portfolio securities, including domestic equities, foreign equities, exchange-traded funds, warrants and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Debt securities, including government bonds, corporate bonds and mortgage-backed securities, will normally be valued on the basis of evaluated bid prices provided by the Fund’s pricing service.
Securities for which representative valuations or prices are not available from the Fund’s pricing service may be valued at fair value. Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved
| 94 |
Notes to Financial Statements
| 2. | SIGNIFICANT ACCOUNTING POLICIES (continued) |
Security Valuation (continued)
by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”).
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date, with the exception of exchange-traded funds as noted previously.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series do not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Securities Purchased on a When-Issued Basis or Forward Commitment
Each Series may purchase securities on a when-issued basis or forward commitment. These transactions involve a commitment by the Series to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Series will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Series assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Series may sell the when-issued securities before they are delivered, which may result in a capital gain or loss.
| 95 |
Notes to Financial Statements
| 2. | SIGNIFICANT ACCOUNTING POLICIES (continued) |
Securities Purchased on a When-Issued Basis or Forward Commitment (continued)
In connection with its ability to purchase or sell securities on a forward commitment basis, the Series may enter into forward roll transactions principally using To Be Announced (TBA) securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Series to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-backed pools. During the roll period, the Series forgoes principal and interest paid on the securities. The Series account for such dollar rolls as purchases and sales. Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series and Pro-Blend® Extended Term Series had TBA dollar rolls outstanding as of October 31, 2007, which are included in Payable for Purchases of Delayed Delivery Securities on the Statement of Assets and Liabilities.
Restricted Securities
Restricted securities are purchased in private placement transactions, are not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. Information regarding restricted securities is included at the end of each applicable Series’ Investment Portfolio.
Federal Taxes
Each Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series are not subject to federal income or excise tax to the extent that each Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions of Income and Gains
Distributions to shareholders of net investment income are made semi-annually. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of a Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
| 96 |
Notes to Financial Statements
| 3. | TRANSACTIONS WITH AFFILIATES |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which each Series pays a fee, computed daily and payable monthly, at an annual rate of 0.80% for Pro-Blend® Conservative Term Series and 1.00% for Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, of the Series’ average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended for each active series of the Fund plus a fee for each committee meeting attended.
The Advisor has contractually agreed, until at least February 28, 2009, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series at no more than 1.00% for Pro-Blend® Conservative Term Series Class A and 1.20% for Pro-Blend® Moderate Term Series Class A, Pro-Blend® Extended Term Series Class A and Pro-Blend® Maximum Term Series Class A, of average daily net assets each year. For the year ended October 31, 2007, the Advisor did not waive its management fee or reimburse any expenses of the Pro-Blend® Conservative Term Series Class A, Pro-Blend® Moderate Term Series Class A, Pro-Blend® Extended Term Series Class A or Pro-Blend® Maximum Term Series Class A. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.11% of the Fund’s average daily net assets up to $900 million, 0.07% of the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.04% of the Fund’s average daily net assets over $1.5 billion. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with Citi Fund Services Ohio, Inc. (“Citi”) (formerly BISYS Fund Services Ohio, Inc.) under which Citi serves as sub-accounting services and sub-transfer agent.
| 97 |
Notes to Financial Statements
| 4. | PURCHASES AND SALES OF SECURITIES |
For the year ended October 31, 2007, purchases and sales of securities, other than short-term securities, were as follows:
| Purchases | Sales | |||||||||||
Series | Other Issuers | Government | Other Issuers | Government | ||||||||
Pro-Blend® Conservative Term Series | $ | 23,992,366 | $ | 37,336,315 | $ | 16,115,062 | $ | 20,774,667 | ||||
Pro-Blend® Moderate Term Series | 132,100,230 | 147,636,727 | 115,448,577 | 124,919,463 | ||||||||
Pro-Blend® Extended Term Series | 264,750,648 | 244,186,760 | 218,603,266 | 197,383,193 | ||||||||
Pro-Blend® Maximum Term Series | 390,315,587 | 29,442,918 | 213,920,013 | 20,493,672 | ||||||||
| 5. | CAPITAL STOCK TRANSACTIONS |
Transactions in Class A shares:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||
| Pro-Blend® Conservative Term Series: | ||||||||||||||
Sold | 4,876,424 | $ | 60,404,387 | 3,009,966 | $ | 35,659,270 | ||||||||
Reinvested | 284,828 | 3,457,488 | 184,871 | 2,139,923 | ||||||||||
Repurchased | (2,296,456 | ) | (28,414,629 | ) | (1,238,815 | ) | (14,659,968 | ) | ||||||
Total | 2,864,796 | $ | 35,447,246 | 1,956,022 | $ | 23,139,225 | ||||||||
| Pro-Blend® Moderate Term Series: | ||||||||||||||
Sold | 9,073,065 | $ | 123,510,029 | 9,634,665 | $ | 122,654,372 | ||||||||
Reinvested | 1,322,158 | 17,558,141 | 959,265 | 11,751,483 | ||||||||||
Repurchased | (5,569,323 | ) | (76,013,590 | ) | (3,647,779 | ) | (46,290,436 | ) | ||||||
Total | 4,825,900 | $ | 65,054,580 | 6,946,151 | $ | 88,115,419 | ||||||||
| Pro-Blend® Extended Term Series: | ||||||||||||||
Sold | 9,943,703 | $ | 169,452,954 | 7,260,181 | $ | 115,245,329 | ||||||||
Reinvested | 2,429,935 | 40,020,138 | 1,665,492 | 25,152,958 | ||||||||||
Repurchased | (7,131,585 | ) | (120,536,136 | ) | (3,779,043 | ) | (59,780,442 | ) | ||||||
Total | 5,242,053 | $ | 88,936,956 | 5,146,630 | $ | 80,617,845 | ||||||||
| Pro-Blend® Maximum Term Series: | ||||||||||||||
Sold | 14,828,132 | $ | 275,616,079 | 6,055,159 | $ | 102,468,626 | ||||||||
Reinvested | 1,211,084 | 21,749,413 | 992,699 | 15,692,899 | ||||||||||
Repurchased | (5,151,684 | ) | (95,792,095 | ) | (2,592,617 | ) | (43,209,631 | ) | ||||||
Total | 10,887,532 | $ | 201,573,397 | 4,455,241 | $ | 74,951,894 | ||||||||
| 98 |
Notes to Financial Statements
| 6. | FINANCIAL INSTRUMENTS |
The Series may trade in financial instruments with off-balance sheet risk in the normal course of their investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on October 31, 2007.
| 7. | FOREIGN SECURITIES |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government.
| 8. | FEDERAL INCOME TAX INFORMATION |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including foreign currency gains and losses, losses deferred due to wash sales and market discount. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
Pro-Blend® Conservative Term Series | Pro-Blend® Moderate Term Series | |||||||||||
For the Year Ended | For the Year Ended | For the Year Ended | For the Year Ended | |||||||||
Ordinary income | $ | 2,566,142 | $ | 1,193,410 | $ | 10,202,367 | $ | 4,957,551 | ||||
Long-term capital gains | 922,976 | 960,513 | 7,491,703 | 6,864,491 | ||||||||
| Pro-Blend® Extended Term Series | Pro-Blend® Maximum Term Series | |||||||||||
For the Year Ended | For the Year Ended | For the Year Ended | For the Year Ended | |||||||||
Ordinary income | $ | 16,544,877 | $ | 9,116,789 | $ | 7,856,689 | $ | 6,006,845 | ||||
Long-term capital gains | 24,181,295 | 16,373,571 | 13,987,002 | 9,744,630 | ||||||||
| 99 |
Notes to Financial Statements
| 8. | FEDERAL INCOME TAX INFORMATION (continued) |
Pursuant to Section 852 of the Internal Revenue Code, as amended, each Series hereby designates the long-term capital gains disclosed above as capital gains for its taxable year ended October 31, 2007.
At October 31, 2007, the tax basis components of distributable earnings and the net unrealized appreciation based on identified cost for federal income tax purposes were as follows:
Pro-Blend® Conservative | Pro-Blend® Term Series | Pro-Blend® Extended Term Series | Pro-Blend® Maximum Term Series | |||||||||||||
Cost for federal income tax purposes | $ | 114,907,094 | $ | 363,446,532 | $ | 555,038,938 | $ | 486,068,984 | ||||||||
Unrealized appreciation | $ | 4,417,873 | $ | 28,855,736 | $ | 68,891,254 | $ | 49,181,214 | ||||||||
Unrealized depreciation | (1,106,755 | ) | (7,000,889 | ) | (14,263,203 | ) | (16,839,236 | ) | ||||||||
Net unrealized appreciation | $ | 3,311,118 | $ | 21,854,847 | $ | 54,628,051 | $ | 32,341,978 | ||||||||
Undistributed ordinary income | 2,919,852 | 12,060,181 | 15,735,623 | 22,219,312 | ||||||||||||
Undistributed long-term capital gains | 2,577,654 | 19,734,615 | 46,886,203 | 30,412,444 | ||||||||||||
| 9. | RECENT ACCOUNTING PRONOUNCEMENTS |
In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 provides guidance for how an entity should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the entity has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the current year. FIN 48 needs to be implemented no later than the first required financial statement reporting period for its fiscal year beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Fund is currently evaluating the impact that FIN 48 will have on the Series’ financial statements.
In addition, in September 2006, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”) was issued, and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value, and expands disclosure about fair value measurements. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair value methods and applications. At this time, management is evaluating the implications of FAS 157, but it is not expected to materially impact the Series’ financial statements.
| 100 |
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of - Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series:
In our opinion, the accompanying statements of assets and liabilities, including the investment portfolios, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series (each a series of Manning & Napier Fund, Inc., hereafter collectively referred to as the “Series”) at October 31, 2007, and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Columbus, Ohio
December 13, 2007
| 101 |
Supplemental Tax Information (unaudited)
For federal income tax purposes, each of the Series designate for the current fiscal year the amount disclosed below or, if different, the maximum amount allowable under the tax law as qualified dividend income (“QDI”).
Series | QDI | ||
Pro-Blend® Conservative Term Series | $ | 108,673 | |
Pro-Blend® Moderate Term Series | 2,815,174 | ||
Pro-Blend® Extended Term Series | 5,725,337 | ||
Pro-Blend® Maximum Term Series | 3,530,087 | ||
For corporate shareholders, the percentage of investment income (dividend income plus short-term gain, if any) that qualifies for the dividends received deduction (DRD) for the current fiscal year is as follows:
Series | DRD% | ||
Pro-Blend® Conservative Term Series | 5.9 | % | |
Pro-Blend® Moderate Term Series | 12.0 | % | |
Pro-Blend® Extended Term Series | 18.4 | % | |
Pro-Blend® Maximum Term Series | 39.0 | % |
| 102 |
Renewal of Investment Advisory Agreement (unaudited)
At an in-person meeting held on August 30, 2007, the Board of Directors of Manning & Napier Fund, Inc. (the “Board”) considered the approval of a new investment advisory agreement (the “New Investment Advisory Agreement”) between Manning & Napier Fund, Inc. (the “Fund”) and Manning & Napier Advisors, Inc. (the “Advisor”). Based on the information it received at the meeting and the November 16, 2006 Board meeting, the Board approved the New Investment Advisory Agreement subject to its further approval by the Fund’s shareholders. Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. At the meeting, the Board concluded it was reasonable to take into account the conclusions the Board made when considering and evaluating the renewal of the Current Investment Advisory Agreement (the “Annual Review”), which occurred at the November 16, 2006 in-person Board meeting, as part of its considerations to approve the New Investment Advisory Agreement. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s November 16, 2006 Annual Review of the Current Investment Advisory Agreement and the conclusions made by the Directors when determining to continue the Current Investment Advisory Agreement for an additional one-year period.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
| • | The Board considered the services provided by the Advisor under the Current Investment Advisory Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board also considered the nature and quality of such services provided under the Current Investment Advisory Agreement in light of the Advisor’s services provided to the Fund for 21 years. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Current Investment Advisory Agreement in a reasonable manner. |
| • | The Board considered the investment performance of the various Series of the Fund. The investment performance for each Series was reviewed on a cumulative basis since inception and on a one year basis. In addition, annualized performance for the following time periods was considered: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided for each time period. The Board noted that all the Series were competitive against their respective benchmark indices over all time periods noted above through September 30, 2006. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Fund’s actual performance and comparative performance, especially performance over the current market cycle. |
| • | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Current Investment |
| 103 |
Renewal of Investment Advisory Agreement (unaudited)
Advisory Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Current Investment Advisory Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Current Investment Advisory Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 6 of the 18 active Series of the Fund are currently experiencing expenses above the capped expense ratios. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Current Investment Advisory Agreement was reasonable. |
| • | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractual or voluntary) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series, except the High Yield Bond Series, are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis. |
| • | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research products provided by soft dollars. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
| • | In addition to the factors described above, the Board considered the Advisor’s personnel, investment strategies, policies and procedures relating to compliance with personal securities transactions, and reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
| • | The Board did not consider economies of scale at this time because of the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Current Investment Advisory Agreement, and the overall size of the Fund complex. |
Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, concluded that the compensation under the Current Investment Advisory Agreement was fair and reasonable in light of the services and expenses and such other matters as the Directors considered to be relevant in the exercise of their reasonable judgment. Accordingly, the Board approved the renewal of the Current Investment Advisory Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
| 104 |
Directors’ and Officers’ Information (unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http://www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
INTERESTED DIRECTOR/OFFICER
| Name: | B. Reuben Auspitz* | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 60 | |
| Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
| Term of Office1 & Length of Time Served: | Indefinite - Director since 1984; Vice President 1984 - 2003; President since 2004; Principal Executive Officer since 2002 | |
| Principal Occupation(s) During Past 5 Years: | Executive Vice President; Co-Executive Director; Executive Group Member**; Chief Compliance Officer since 2004 - Manning & Napier Advisors, Inc. President; Director - Manning & Napier Investor Services, Inc. Holds or has held one or more of the following titles for various subsidiaries and affiliates: President, Vice President, Director, Chairman, Treasurer, Chief Compliance Officer or Member. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| INDEPENDENT DIRECTORS | ||
| Name: | Stephen B. Ashley | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 67 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
| Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Genesee Corp. The Ashley Group Fannie Mae | |
| Name: | Peter L. Faber | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 68 | |
| Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
| Principal Occupation(s) During Past 5 Years: | Senior Counsel, McDermott, Will & Emery LLP (law firm) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Partnership for New York City, Inc. New York Collegium Boston Early Music Festival | |
| Name: | Harris H. Rusitzky | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 72 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
| Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants); Partner, The Restaurant Group (restaurants) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| 105 |
Directors’ and Officers’ Information (unaudited)
OFFICERS
| Name: | Jeffrey S. Coons, Ph.D., CFA | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 44 | |
| Current Position(s) Held with Fund: | Vice President | |
| Term of Office1 & Length of Time Served: | Since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Co-Director of Research since 2002 & Executive Group Member**, Manning & Napier Advisors, Inc. Managing Director - Risk Management, Manning & Napier Advisors, Inc., 1993-2002. Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Christine Glavin | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 41 | |
| Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
| Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
| Principal Occupation(s) During Past 5 Years: | Fund Reporting Manager, Manning & Napier Advisors, Inc. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Jodi L. Hedberg | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 39 | |
| Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
| Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Director of Compliance, Manning & Napier Advisors, Inc. and affiliates; Corporate Secretary, Manning & Napier Investor Services, Inc. since 2006 | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor and distributor. Mr. Auspitz serves as the Executive Vice President and Director, Manning & Napier Advisors, Inc. and President and Director, Manning & Napier Investor Services, Inc., the Fund’s distributor.
**The Executive Group performs the duties of the Office of the Chief Executive of Manning & Napier Advisors, Inc.
1The term of office for President, Vice President, Chief Financial Officer, and Corporate Secretary is one year and until their respective successors are chosen and qualified. All other officers’ terms are indefinite.
| 106 |
Literature Requests (unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the Securities and Exchange Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov | |
On the Advisor’s web site | http://www.manningnapieradvisors.com |
Additional information available at www.manningnapieradvisors.com
1. Fund Holdings - Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
| 107 |
Manning & Napier Fund, Inc.
| TAX MANAGED SERIES | | | Annual Report - October 31, 2007 |
Management Discussion and Analysis (unaudited)
Dear Shareholders:
The Tax Managed Series slightly underperformed the strong returns of the Russell 3000® Index for the twelve months ended October 31, 2007. However, the Series continues to outperform the index by a significant margin over the current market cycle time period (beginning 4/1/2000).
Recent performance has been driven primarily by our stock selections in the Information Technology (“IT”) and Energy sectors. On a relative basis versus the benchmark, an underweight to the Financials sector also helped performance, due to the weakness of the broader Financials sector in the third quarter of 2007. Areas that detracted from performance included security selection in the Consumer Discretionary, Industrials, and Materials sectors.
Holdings in the Information Technology sector, more specifically companies that provide IT security and communications infrastructure, did particularly well during the later part of 2006 and first half of 2007. Stock selection and an overweight relative to the benchmark added to performance on an absolute and relative basis.
The Energy sector also was a source of strong performance over the course of the year, as a result of the Series’ holdings in later-cycle energy services companies. Stock selection and an overweight to the sector in the first half of 2007 added to performance during the year. We were able to take advantage of strong price appreciation in holdings in this sector through the second and third quarter of 2007. We reduced holdings in the Energy sector late in the year as valuations increased along with the price of oil.
An underweight to Financials compared to the benchmark helped relative performance during the year mainly as a result of weakness in the sector brought on by the deterioration of the real estate market and the subprime mortgage market. Due to a concern over real estate valuations and residential lending practices, we favored financial service companies with businesses that derive revenue from fee-based services.
Weakness in cable providers in the Consumer Discretionary sector detracted from performance overall. Two other sectors, Industrials and Materials, underperformed the benchmark on a relative basis due to stock selection and slight underweights to both areas. In the Industrials sector, exposure to airline stocks was the main detractor. Starting in April, we selectively added holdings in the Materials sector related to the housing industry, which also detracted from performance.
The Series continues to have comparatively large positions in the Health Care and Information Technology areas, even after reducing Information Technology holdings as a result of strong performance over the last two quarters. The two significant underweights for the Series are in the Financials and Energy sectors. We selectively added to the Financials sector towards the end of the year, and reduced our position in the Energy sector, moving from an overweight relative to the index to an underweight throughout the course of the year.
We appreciate your business and wish you all the best in the coming year.
Sincerely,
Manning & Napier Advisors, Inc.
| 1 |
Performance Update as of October 31, 2007 (unaudited)
| Average Annual Total Returns As of October 31, 2007 | ||||||||||
| One Year | Five Year | Ten Year | Since Inception1 | |||||||
Manning & Napier Fund, Inc. - Tax Managed Series | ||||||||||
Returns Before Taxes2,4 | 13.65% | 16.15% | 9.93% | 12.05% | ||||||
Returns After Taxes on Distributions3,4 | 12.40% | 15.22% | 9.33% | 11.54% | ||||||
Returns After Taxes on Distributions and Sale of Series Shares3,4 | 10.36% | 14.01% | 8.64% | 10.75% | ||||||
Russell 3000® Index5 | 14.53% | 14.83% | 7.39% | 10.41% | ||||||
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Tax Managed Series (returns before taxes) for the ten years ended October 31, 2007 to the Russell 3000® Index.
1Performance numbers for the Series and Index are calculated from November 1, 1995, the Series’ inception date.
2Returns before taxes do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 1.20%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.45% for the year ended October 31, 2007.
3Returns after taxes on distributions assume that an investor owned the Series during the entire period and paid taxes on the Series’ distributions. Returns after taxes on distributions and sale of series shares assume that an investor paid taxes on the Series’ distributions and sold all shares at the end of each period. After-tax returns reflect the historical highest individual federal marginal income tax rates and do not reflect state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown. After-tax returns reflect past tax effects and are not indicative of future tax effects. After-tax returns are not relevant to those investing through 401(k) plans, IRAs or other tax-deferred arrangements.
4The Series’ performance is historical and may not be indicative of future results.
5The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns, unlike Series returns, do not reflect any fees or expenses.
| 2 |
Shareholder Expense Example (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,046.70 | $ | 6.19 | |||
Hypothetical | $ | 1,000.00 | $ | 1,019.16 | $ | 6.11 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.20%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data. The Series’ total return would have been lower had certain expenses not been waived during the period.
| 3 |
Portfolio Composition as of October 31, 2007 (unaudited)
Sector Allocation1
1As a percentage of net assets.
| 4 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS - 94.6% | |||||
Consumer Discretionary - 14.8% | |||||
Hotels, Restaurants & Leisure - 4.8% | |||||
Carnival Corp. | 10,960 | $ | 525,861 | ||
International Game Technology | 16,510 | 720,001 | |||
| 1,245,862 | |||||
Household Durables - 1.2% | |||||
D.R. Horton, Inc. | 8,530 | 108,246 | |||
Lennar Corp. - Class A | 4,830 | 110,365 | |||
Toll Brothers, Inc.* | 4,360 | 99,888 | |||
| 318,499 | |||||
Media - 6.0% | |||||
Cablevision Systems Corp. - Class A* | 8,780 | 257,517 | |||
Comcast Corp. - Class A* | 5,362 | 112,870 | |||
The E.W. Scripps Co. - Class A | 12,170 | 547,772 | |||
Grupo Televisa S.A. - ADR (Mexico) (Note 7) | 2,260 | 56,161 | |||
Time Warner, Inc. | 30,860 | 563,504 | |||
| 1,537,824 | |||||
Specialty Retail - 2.8% | |||||
Limited Brands, Inc. | 14,850 | 326,848 | |||
O’Reilly Automotive, Inc.* | 7,580 | 250,292 | |||
Tractor Supply Co.* | 3,330 | 137,995 | |||
| 715,135 | |||||
Total Consumer Discretionary | 3,817,320 | ||||
Consumer Staples - 10.0% | |||||
Beverages - 1.9% | |||||
The Coca-Cola Co. | 8,075 | 498,712 | |||
Food Products - 6.7% | |||||
Dean Foods Co. | 10,460 | 290,474 | |||
Kellogg Co. | 5,240 | 276,620 | |||
Nestle S.A. (Switzerland) (Note 7) | 1,260 | 581,530 | |||
Unilever plc - ADR (United Kingdom) | 16,790 | 568,509 | |||
| 1,717,133 | |||||
Personal Products - 1.4% | |||||
The Estee Lauder Companies, Inc. - Class A | 8,060 | 353,834 | |||
Total Consumer Staples | 2,569,679 | ||||
Energy - 4.8% | |||||
Energy Equipment & Services - 4.3% | |||||
Baker Hughes, Inc. | 3,630 | 314,794 | |||
| The accompanying notes are an integral part of the financial statements. | 5 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Energy (continued) | |||||
Energy Equipment & Services (continued) | |||||
National - Oilwell Varco, Inc.* | 2,752 | $ | 201,556 | ||
Schlumberger Ltd. | 2,360 | 227,905 | |||
Weatherford International Ltd.* | 5,630 | 365,443 | |||
| 1,109,698 | |||||
Oil, Gas & Consumable Fuels - 0.5% | |||||
Hess Corp. | 1,790 | 128,182 | |||
Total Energy | 1,237,880 | ||||
Financials - 9.0% | |||||
Capital Markets - 1.1% | |||||
SEI Investments Co. | 8,550 | 270,351 | |||
Commercial Banks - 5.6% | |||||
PNC Financial Services Group, Inc. | 4,900 | 353,584 | |||
U.S. Bancorp | 11,400 | 378,024 | |||
Wachovia Corp. | 15,410 | 704,699 | |||
| 1,436,307 | |||||
Consumer Finance - 1.1% | |||||
SLM (Sallie Mae) Corp. | 6,020 | 283,903 | |||
Diversified Financial Services - 1.2% | |||||
Bank of America Corp. | 6,660 | 321,545 | |||
Total Financials | 2,312,106 | ||||
Health Care - 17.8% | |||||
Biotechnology - 2.7% | |||||
Amgen, Inc.* | 6,570 | 381,783 | |||
Genzyme Corp.* | 4,080 | 309,958 | |||
| 691,741 | |||||
Health Care Equipment & Supplies - 6.0% | |||||
Boston Scientific Corp.* | 44,230 | 613,470 | |||
The Cooper Companies, Inc. | 4,400 | 184,800 | |||
Covidien Ltd. (Bermuda) (Note 7) | 7,336 | 305,178 | |||
Medtronic, Inc. | 9,300 | 441,192 | |||
| 1,544,640 | |||||
Health Care Providers & Services - 1.3% | |||||
Quest Diagnostics, Inc. | 6,110 | 324,930 | |||
Health Care Technology - 1.1% | |||||
Eclipsys Corp.* | 12,460 | 281,098 | |||
| 6 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Health Care (continued) | |||||
Life Sciences Tools & Services - 3.1% | |||||
Affymetrix, Inc.* | 7,310 | $ | 186,113 | ||
Invitrogen Corp.* | 3,100 | 281,697 | |||
PerkinElmer, Inc. | 12,050 | 331,616 | |||
| 799,426 | |||||
Pharmaceuticals - 3.6% | |||||
Johnson & Johnson | 5,420 | 353,221 | |||
Novartis AG - ADR (Switzerland) (Note 7) | 10,940 | 581,680 | |||
| 934,901 | |||||
Total Health Care | 4,576,736 | ||||
Industrials - 8.9% | |||||
Air Freight & Logistics - 2.1% | |||||
United Parcel Service, Inc. - Class B | 7,090 | 532,459 | |||
Airlines - 4.0% | |||||
JetBlue Airways Corp.* | 38,650 | 352,874 | |||
Southwest Airlines Co. | 48,040 | 682,648 | |||
| 1,035,522 | |||||
Industrial Conglomerates - 2.8% | |||||
3M Co. | 5,390 | 465,480 | |||
Tyco International Ltd. (Bermuda) (Note 7) | 6,260 | 257,724 | |||
| 723,204 | |||||
Total Industrials | 2,291,185 | ||||
Information Technology - 18.4% | |||||
Communications Equipment - 3.5% | |||||
Cisco Systems, Inc.* | 13,000 | 429,780 | |||
Juniper Networks, Inc.* | 12,915 | 464,940 | |||
| 894,720 | |||||
Computers & Peripherals - 0.9% | |||||
EMC Corp.* | 9,345 | 237,270 | |||
Electronic Equipment & Instruments - 0.8% | |||||
LG. Philips LCD Co. Ltd. - ADR* (South | 7,900 | 213,695 | |||
Internet Software & Services - 1.8% | |||||
Google, Inc. - Class A* | 640 | 452,480 | |||
IT Services - 5.2% | |||||
Automatic Data Processing, Inc. | 11,290 | 559,532 | |||
CheckFree Corp.* | 2,880 | 136,886 | |||
| The accompanying notes are an integral part of the financial statements. | 7 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Information Technology (continued) | |||||
IT Services (continued) | |||||
Western Union Co. | 28,820 | $ | 635,193 | ||
| 1,331,611 | |||||
Software - 6.2% | |||||
Electronic Arts, Inc.* | 8,080 | 493,850 | |||
Salesforce.com, Inc.* | 6,320 | 356,258 | |||
SAP AG - ADR (Germany) (Note 7) | 6,770 | 367,476 | |||
TIBCO Software, Inc.* | 40,500 | 371,790 | |||
| 1,589,374 | |||||
Total Information Technology | 4,719,150 | ||||
Materials - 6.4% | |||||
Chemicals - 4.0% | |||||
Lonza Group AG (Switzerland) (Note 7) | 3,520 | 410,023 | |||
NITTO DENKO Corp. (Japan) (Note 7) | 12,400 | 600,919 | |||
| 1,010,942 | |||||
Paper & Forest Products - 2.4% | |||||
Louisiana-Pacific Corp. | 15,670 | 257,928 | |||
Weyerhaeuser Co. | 4,810 | 365,127 | |||
| 623,055 | |||||
Total Materials | 1,633,997 | ||||
Telecommunication Services - 0.5% | |||||
Wireless Telecommunication Services - 0.5% | |||||
Vodafone Group plc - ADR (United Kingdom) (Note 7) | 3,340 | 131,162 | |||
Utilities - 4.0% | |||||
Electric Utilities - 1.2% | |||||
American Electric Power Co., Inc. | 6,610 | 318,668 | |||
Independent Power Producers & Energy Traders - 1.4% | |||||
Mirant Corp.* | 8,410 | 356,248 | |||
Multi-Utilities - 1.4% | |||||
Xcel Energy, Inc. | 15,410 | 347,496 | |||
Total Utilities | 1,022,412 | ||||
TOTAL COMMON STOCKS | 24,311,627 | ||||
| 8 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
SHORT-TERM INVESTMENTS - 2.3% | |||||
Dreyfus Treasury Cash Management - Institutional | 597,209 | $ | 597,209 | ||
TOTAL INVESTMENTS - 96.9% | 24,908,836 | ||||
OTHER ASSETS, LESS LIABILITIES - 3.1% | 786,434 | ||||
NET ASSETS - 100% | $ | 25,695,270 | |||
*Non-income producing security
ADR - American Depository Receipt
| The accompanying notes are an integral part of the financial statements. | 9 |
Statement of Assets and Liabilities
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $21,901,591) (Note 2) | $ | 24,908,836 | |
Foreign currency, at value (cost $5) | 5 | ||
Receivable for securities sold | 918,201 | ||
Dividends receivable | 5,993 | ||
Foreign tax reclaims receivable | 3,175 | ||
TOTAL ASSETS | 25,836,210 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 17,239 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 1,847 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 805 | ||
Payable for securities purchased | 84,839 | ||
Audit fees payable | 28,217 | ||
Legal fees payable | 3,887 | ||
Payable for fund shares repurchased | 1,150 | ||
Other payables and accrued expenses | 2,956 | ||
TOTAL LIABILITIES | 140,940 | ||
TOTAL NET ASSETS | $ | 25,695,270 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 9,034 | |
Additional paid-in-capital | 22,018,262 | ||
Undistributed net investment income | 60,543 | ||
Accumulated net realized gain on investments, foreign currency and | 599,987 | ||
Net unrealized appreciation on investments, foreign currency and other assets and liabilities | 3,007,444 | ||
TOTAL NET ASSETS | $ | 25,695,270 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION | $ | 28.44 | |
| 10 | The accompanying notes are an integral part of the financial statements. |
Statement of Operations
For the Year Ended October 31, 2007
INVESTMENT INCOME: | ||||
Dividends (net of foreign tax withheld, $2,446) | $ | 235,003 | ||
Interest | 29,512 | |||
Total Investment Income | 264,515 | |||
| EXPENSES: | ||||
Management fees (Note 3) | 166,866 | |||
Fund accounting and transfer agent fees (Note 3) | 14,073 | |||
Directors’ fees (Note 3) | 7,375 | |||
Chief Compliance Officer service fees (Note 3) | 6,001 | |||
Audit fees | 28,075 | |||
Custodian fees | 4,150 | |||
Miscellaneous | 16,122 | |||
Total Expenses | 242,662 | |||
Less reduction of expenses (Note 3) | (41,835 | ) | ||
Net Expenses | 200,827 | |||
NET INVESTMENT INCOME | 63,688 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain (loss) on - | ||||
Investments | 608,096 | |||
Foreign currency and other assets and liabilities | (44 | ) | ||
| 608,052 | ||||
Net change in unrealized appreciation on - | ||||
Investments | 1,436,513 | |||
Foreign currency and other assets and liabilities | 192 | |||
| 1,436,705 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 2,044,757 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,108,445 | ||
| The accompanying notes are an integral part of the financial statements. | 11 |
Statements of Changes in Net Assets
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 63,688 | $ | 36,787 | ||||
Net realized gain on investments and foreign currency | 608,052 | 554,448 | ||||||
Net change in unrealized appreciation on investments and foreign currency | 1,436,705 | 690,849 | ||||||
Net increase from operations | 2,108,445 | 1,282,084 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (38,908 | ) | (15,005 | ) | ||||
From net realized gain on investments | (554,278 | ) | (790,371 | ) | ||||
Total distributions to shareholders | (593,186 | ) | (805,376 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions | 16,595,390 | 222,291 | ||||||
Net increase in net assets | 18,110,649 | 698,999 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 7,584,621 | 6,885,622 | ||||||
End of year (including undistributed net investment income of $60,543 and $35,808, respectively) | $ | 25,695,270 | $ | 7,584,621 | ||||
| 12 | The accompanying notes are an integral part of the financial statements. |
Financial Highlights
| For the Years Ended | ||||||||||
| 10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $27.01 | $25.60 | $23.51 | $20.15 | $17.59 | |||||
Income from investment operations: | ||||||||||
Net investment income | 0.08 | 0.13 | 0.06 | 0.03 | 0.05 | |||||
Net realized and unrealized gain on investments | 3.44 | 4.41 | 3.36 | 3.38 | 2.62 | |||||
Total from investment operations | 3.52 | 4.54 | 3.42 | 3.41 | 2.67 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.14) | (0.06) | (0.02) | (0.05) | (0.11) | |||||
From net realized gain on investments | (1.95) | (3.07) | (1.31) | — | — | |||||
Total distributions to shareholders | (2.09) | (3.13) | (1.33) | (0.05) | (0.11) | |||||
Net asset value - End of year | $28.44 | $27.01 | $25.60 | $23.51 | $20.15 | |||||
Total return1 | 13.65% | 20.01% | 14.96% | 16.96% | 15.27% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% | |||||
Net investment income | 0.38% | 0.54% | 0.23% | 0.10% | 0.26% | |||||
Portfolio turnover | 65% | 61% | 68% | 64% | 34% | |||||
Net assets - End of year (000’s omitted) | $25,695 | $7,585 | $6,886 | $6,205 | $4,875 | |||||
*The investment advisor did not impose all or a portion of its management fee and in some years paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) | ||||||||||
would have been increased as follows: | 0.25% | 0.78% | 0.82% | 0.83% | 2.53% | |||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the year.
| The accompanying notes are an integral part of the financial statements. | 13 |
Notes to Financial Statements
| 1. | ORGANIZATION |
Tax Managed Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to maximize long-term growth while attempting to minimize the impact of taxes on the total return earned by shareholders.
The Series is authorized to issue five classes of shares (Class A, B, C, D and E). Currently, only Class A shares have been issued. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.
The Fund’s Advisor is Manning & Napier Advisor’s, Inc. (the “Advisor”). Shares of the Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 3.0 billion shares of common stock each having a par value of $0.01. As of October 31, 2007, 2.13 billion shares have been designated in total among 21 series, of which 87.5 million have been designated as Tax Managed Series Class A common stock.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Securities for which representative valuations or prices are not available from the Fund’s pricing service may be valued at fair value. Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”).
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
| 14 |
Notes to Financial Statements
| 2. | SIGNIFICANT ACCOUNTING POLICIES (continued) |
Security Transactions, Investment Income and Expenses (continued)
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
| 15 |
Notes to Financial Statements
| 3. | TRANSACTIONS WITH AFFILIATES |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 1.00% of the Series’ average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended for each active series of the Fund plus a fee for each committee meeting attended.
The Advisor has contractually agreed, until at least February 28, 2009, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Class A Series at no more than 1.20% of average daily net assets each year. Accordingly, the Advisor waived fees of $41,835 for the year ended October 31, 2007, which is reflected as a reduction of expenses on the Statement of Operations. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.11% of the Fund’s average daily net assets up to $900 million, 0.07% of the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.04% of the Fund’s average daily net assets over $1.5 billion. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with Citi Fund Services Ohio, Inc. (“Citi”) (formerly BISYS Fund Services Ohio, Inc.) under which Citi serves as sub-accounting services and sub-transfer agent.
| 4. | PURCHASES AND SALES OF SECURITIES |
For the year ended October 31, 2007, purchases and sales of securities, other than United States Government securities and short-term securities, were $24,805,797 and $10,014,727, respectively. There were no purchases or sales of United States Government securities.
| 16 |
Notes to Financial Statements
| 5. | CAPITAL STOCK TRANSACTIONS |
Transactions in Class A shares of Tax Managed Series were:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||
Sold | 658,728 | $ | 17,609,407 | 28,466 | $ | 698,775 | ||||||||
Reinvested | 22,122 | 582,684 | 34,862 | 792,414 | ||||||||||
Repurchased | (58,254 | ) | (1,596,701 | ) | (51,527 | ) | (1,268,898 | ) | ||||||
Total | 622,596 | $ | 16,595,390 | 11,801 | $ | 222,291 | ||||||||
At October 31, 2007, one shareholder owned 581,649 shares of the Series (64.4% of shares outstanding) valued at $16,542,098. Investment activities of this shareholder may have a material effect on the Series.
| 6. | FINANCIAL INSTRUMENTS |
The Series may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on October 31, 2007.
| 7. | FOREIGN SECURITIES |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government.
| 8. | FEDERAL INCOME TAX INFORMATION |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including losses deferred due to wash sales and foreign currency gains and losses. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||
Ordinary income | $ | 38,908 | $ | 15,005 | ||
Long-term capital gains | 554,278 | 790,371 | ||||
| 17 |
Notes to Financial Statements
| 8. | FEDERAL INCOME TAX INFORMATION (continued) |
Pursuant to Section 852 of the Internal Revenue Code, as amended, the Series hereby designates the long-term capital gains disclosed previously as capital gains for its taxable year ended October 31, 2007.
At October 31, 2007, the tax basis components of distributable earnings and the net unrealized appreciation based on identified cost for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 22,022,810 | ||
Unrealized appreciation | $ | 3,116,057 | ||
Unrealized depreciation | (230,031 | ) | ||
Net unrealized appreciation | $ | 2,886,026 | ||
Undistributed ordinary income | 60,543 | |||
Undistributed long-term capital gains | 721,206 | |||
| 9. | RECENT ACCOUNTING PRONOUNCEMENTS |
In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 provides guidance for how an entity should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the entity has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the current year. FIN 48 needs to be implemented no later than the first required financial statement reporting period for its fiscal year beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Fund is currently evaluating the impact that FIN 48 will have on the Series’ financial statements.
In addition, in September 2006, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”) was issued, and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value, and expands disclosure about fair value measurements. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair value methods and applications. At this time, management is evaluating the implications of FAS 157, but it is not expected to materially impact the Series’ financial statements.
| 18 |
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Tax Managed Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Tax Managed Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2007, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Columbus, Ohio
December 13, 2007
| 19 |
Supplemental Tax Information (unaudited)
For federal income tax purposes, the Series designates for the current fiscal year $38,908 or, if different, the maximum amount allowable under the tax law as qualified dividend income.
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends received deduction for the current fiscal year is 100%.
| 20 |
Renewal of Investment Advisory Agreement (unaudited)
At an in-person meeting held on August 30, 2007, the Board of Directors of Manning & Napier Fund, Inc. (the “Board”) considered the approval of a new investment advisory agreement (the “New Investment Advisory Agreement”) between Manning & Napier Fund, Inc. (the “Fund”) and Manning & Napier Advisors, Inc. (the “Advisor”). Based on the information it received at the meeting and the November 16, 2006 Board meeting, the Board approved the New Investment Advisory Agreement subject to its further approval by the Fund’s shareholders. Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. At the meeting, the Board concluded it was reasonable to take into account the conclusions the Board made when considering and evaluating the renewal of the Current Investment Advisory Agreement (the “Annual Review”), which occurred at the November 16, 2006 in-person Board meeting, as part of its considerations to approve the New Investment Advisory Agreement. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s November 16, 2006 Annual Review of the Current Investment Advisory Agreement and the conclusions made by the Directors when determining to continue the Current Investment Advisory Agreement for an additional one-year period.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
| • | The Board considered the services provided by the Advisor under the Current Investment Advisory Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board also considered the nature and quality of such services provided under the Current Investment Advisory Agreement in light of the Advisor’s services provided to the Fund for 21 years. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Current Investment Advisory Agreement in a reasonable manner. |
| • | The Board considered the investment performance of the various Series of the Fund. The investment performance for each Series was reviewed on a cumulative basis since inception and on a one year basis. In addition, annualized performance for the following time periods was considered: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided for each time period. The Board noted that all the Series were competitive against their respective benchmark indices over all time periods noted above through September 30, 2006. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Fund’s actual performance and comparative performance, especially performance over the current market cycle. |
| • | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Current Investment |
| 21 |
Renewal of Investment Advisory Agreement (unaudited)
Advisory Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Current Investment Advisory Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Current Investment Advisory Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 6 of the 18 active Series of the Fund are currently experiencing expenses above the capped expense ratios. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Current Investment Advisory Agreement was reasonable. |
| • | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractual or voluntary) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series, except the High Yield Bond Series, are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis. |
| • | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research products provided by soft dollars. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
| • | In addition to the factors described above, the Board considered the Advisor’s personnel, investment strategies, policies and procedures relating to compliance with personal securities transactions, and reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
| • | The Board did not consider economies of scale at this time because of the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Current Investment Advisory Agreement, and the overall size of the Fund complex. |
Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, concluded that the compensation under the Current Investment Advisory Agreement was fair and reasonable in light of the services and expenses and such other matters as the Directors considered to be relevant in the exercise of their reasonable judgment. Accordingly, the Board approved the renewal of the Current Investment Advisory Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
| 22 |
Directors’ and Officers’ Information (unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http://www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
INTERESTED DIRECTOR/OFFICER
| Name: | B. Reuben Auspitz* | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 60 | |
| Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
| Term of Office1 & Length of Time Served: | Indefinite - Director since 1984; Vice President 1984 - 2003; President since 2004; Principal Executive Officer since 2002 | |
| Principal Occupation(s) During Past 5 Years: | Executive Vice President; Co-Executive Director; Executive Group Member**; Chief Compliance Officer since 2004 - Manning & Napier Advisors, Inc. President; Director - Manning & Napier Investor Services, Inc. Holds or has held one or more of the following titles for various subsidiaries and affiliates: President, Vice President, Director, Chairman, Treasurer, Chief Compliance Officer or Member. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| INDEPENDENT DIRECTORS | ||
| Name: | Stephen B. Ashley | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 67 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
| Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Genesee Corp. The Ashley Group Fannie Mae | |
| Name: | Peter L. Faber | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 68 | |
| Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
| Principal Occupation(s) During Past 5 Years: | Senior Counsel, McDermott, Will & Emery LLP (law firm) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Partnership for New York City, Inc. New York Collegium Boston Early Music Festival | |
| Name: | Harris H. Rusitzky | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 72 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
| Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants); Partner, The Restaurant Group (restaurants) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| 23 |
Directors’ and Officers’ Information (unaudited)
OFFICERS
| Name: | Jeffrey S. Coons, Ph.D., CFA | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 44 | |
| Current Position(s) Held with Fund: | Vice President | |
| Term of Office1 & Length of Time Served: | Since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Co-Director of Research since 2002 & Executive Group Member**, Manning & Napier Advisors, Inc. Managing Director - Risk Management, Manning & Napier Advisors, Inc., 1993 - 2002. Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Christine Glavin | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 41 | |
| Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
| Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
| Principal Occupation(s) During Past 5 Years: | Fund Reporting Manager, Manning & Napier Advisors, Inc. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Jodi L. Hedberg | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 39 | |
| Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
| Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Director of Compliance, Manning & Napier Advisors, Inc. and affiliates; Corporate Secretary, Manning & Napier Investor Services, Inc. since 2006 | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor and distributor. Mr. Auspitz serves as the Executive Vice President and Director, Manning & Napier Advisors, Inc. and President and Director, Manning & Napier Investor Services, Inc., the Fund’s distributor.
**The Executive Group performs the duties of the Office of the Chief Executive of Manning & Napier Advisors, Inc.
1The term of office for President, Vice President, Chief Financial Officer, and Corporate Secretary is one year and until their respective successors are chosen and qualified. All other officers’ terms are indefinite.
| 24 |
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| 25 |
Literature Requests (unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the Securities and Exchange Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov | |
On the Advisor’s web site | http://www.manningnapieradvisors.com |
Additional information available at www.manningnapieradvisors.com
1. Fund Holdings - Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
| 26 |
Manning & Napier Fund, Inc.
| EQUITY SERIES | | | Annual Report - October 31, 2007 |
Management Discussion and Analysis (unaudited)
Dear Shareholders:
The Equity Series slightly underperformed the strong returns of the Russell 3000® Index for the twelve months ended October 31, 2007. However, the Series continues to outperform the index by a significant margin over the current market cycle time period (beginning 4/1/2000).
Recent performance has been driven primarily by our stock selections in the Information Technology (“IT”) and Energy sectors. On a relative basis versus the benchmark, an underweight to the Financials sector also helped performance, due to the weakness of the broader Financials sector in the third quarter of 2007. Areas that detracted from performance included security selection in the Consumer Discretionary, Industrials, and Materials sectors.
Holdings in the Information Technology sector, more specifically companies that provide IT security and communications infrastructure, did particularly well during the later part of 2006 and first half of 2007. Stock selection and an overweight relative to the benchmark added to performance on an absolute and relative basis.
The Energy sector also was a source of strong performance over the course of the year, as a result of the Series’ holdings in later-cycle energy services companies. Stock selection and an overweight to the sector in the first half of 2007 added to performance during the year. We were able to take advantage of strong price appreciation in holdings in this sector through the second and third quarter of 2007. We reduced holdings in the Energy sector late in the year as valuations increased along with the price of oil.
An underweight to Financials compared to the benchmark helped relative performance during the year mainly as a result of weakness in the sector brought on by the deterioration of the real estate market and the subprime mortgage market. Due to a concern over real estate valuations and residential lending practices, we favored financial service companies with businesses that derive revenue from fee-based services.
Weakness in cable providers in the Consumer Discretionary sector detracted from performance overall. Two other sectors, Industrials and Materials, underperformed the benchmark on a relative basis due to stock selection and slight underweights to both areas. In the Industrials sector, exposure to airline stocks was the main detractor. Starting in April, we selectively added holdings in the Materials sector related to the housing industry, which also detracted from performance.
The Series continues to have comparatively large positions in the Health Care and Information Technology areas, even after reducing Information Technology holdings as a result of strong performance over the last two quarters. The two significant underweights for the Series are in the Financials and Energy sectors. We selectively added to the Financials sector towards the end of the year, and reduced our position in the Energy sector, moving from an overweight relative to the index to an underweight throughout the course of the year.
We appreciate your business and wish you all the best in the coming year.
Sincerely,
Manning & Napier Advisors, Inc.
| 1 |
Performance Update as of October 31, 2007 (unaudited)
| Average Annual Total Returns As of October 31, 2007 | ||||||||
| One Year | Five Year | Since Inception1 | ||||||
Manning & Napier Fund, Inc. - Equity Series2,3 | 14.37% | 17.01% | 10.14% | |||||
Russell 3000® Index4 | 14.53% | 14.83% | 5.66% | |||||
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Equity Series from its inception1 (5/1/98) to present (10/31/07) to the Russell 3000® Index.
1Performance numbers for the Series and Index are calculated from May 1, 1998, the Collective’s inception date (see Note 3 below).
2The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 1.05%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.16% for the year ended October 31, 2007.
3For periods prior to the inception of the Series on July 10, 2002, the performance figures reflect the performance of the Exeter Trust Company Group Trust for Employee Benefit Plans - All-Equity Collective Investment Trust (the “Collective”), which was managed by the Advisor and reorganized into the Series. The Collective was not open to the public generally, or registered under the Investment Company Act of 1940 (the “1940 Act”), or subject to certain restrictions that are imposed by the 1940 Act. If the Collective had been registered under the 1940 Act, performance may have been adversely affected. Because the fees of the Collective were lower than the Series’ fees, historical performance would have been lower if the Collective had been subject to the same fees.
4The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns, unlike Series returns, do not reflect any fees or expenses.
| 2 |
Shareholder Expense Example (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,050.50 | $ | 5.43 | |||
Hypothetical | $ | 1,000.00 | $ | 1,019.91 | $ | 5.35 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.05%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data. The Series’ total return would have been lower had certain expenses not been waived during the period.
| 3 |
Portfolio Composition as of October 31, 2007 (unaudited)
Sector Allocation1
1As a percentage of net assets.
| 4 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS - 93.1% | |||||
Consumer Discretionary - 21.7% | |||||
Hotels, Restaurants & Leisure - 5.6% | |||||
Carnival Corp. | 87,190 | $ | 4,183,376 | ||
International Game Technology | 148,790 | 6,488,732 | |||
| 10,672,108 | |||||
Household Durables - 3.1% | |||||
D.R. Horton, Inc. | 83,650 | 1,061,518 | |||
Fortune Brands, Inc. | 19,980 | 1,673,724 | |||
Lennar Corp. - Class A | 47,360 | 1,082,176 | |||
Pulte Homes, Inc. | 79,150 | 1,174,586 | |||
Toll Brothers, Inc.* | 42,740 | 979,173 | |||
| 5,971,177 | |||||
Media - 9.1% | |||||
Charter Communications, Inc. - Class A* | 857,170 | 1,774,342 | |||
Comcast Corp. - Class A* | 246,550 | 5,189,877 | |||
The E.W. Scripps Co. - Class A | 101,820 | 4,582,918 | |||
Time Warner, Inc. | 315,740 | 5,765,412 | |||
| 17,312,549 | |||||
Specialty Retail - 3.9% | |||||
Limited Brands, Inc. | 133,610 | 2,940,756 | |||
O’Reilly Automotive, Inc.* | 74,480 | 2,459,330 | |||
Tractor Supply Co.* | 51,470 | 2,132,917 | |||
| 7,533,003 | |||||
Total Consumer Discretionary | 41,488,837 | ||||
Consumer Staples - 6.1% | |||||
Beverages - 1.9% | |||||
The Coca-Cola Co. | 57,510 | 3,551,818 | |||
Food Products - 2.6% | |||||
Dean Foods Co. | 94,280 | 2,618,156 | |||
Kellogg Co. | 45,370 | 2,395,082 | |||
| 5,013,238 | |||||
Personal Products - 1.6% | |||||
The Estee Lauder Companies, Inc. - Class A | 68,900 | 3,024,710 | |||
Total Consumer Staples | 11,589,766 | ||||
Energy - 3.4% | |||||
Energy Equipment & Services - 3.4% | |||||
Baker Hughes, Inc. | 40,040 | 3,472,269 | |||
Weatherford International Ltd.* | 47,470 | 3,081,278 | |||
Total Energy | 6,553,547 | ||||
| The accompanying notes are an integral part of the financial statements. | 5 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Financials - 11.0% | |||||
Capital Markets - 1.3% | |||||
SEI Investments Co. | 78,010 | $ | 2,466,676 | ||
Commercial Banks - 7.2% | |||||
PNC Financial Services Group, Inc. | 53,480 | 3,859,117 | |||
U.S. Bancorp | 115,190 | 3,819,700 | |||
Wachovia Corp. | 133,960 | 6,125,991 | |||
| 13,804,808 | |||||
Diversified Financial Services - 2.5% | |||||
Bank of America Corp. | 98,280 | 4,744,958 | |||
Total Financials | 21,016,442 | ||||
Health Care - 16.5% | |||||
Biotechnology - 2.7% | |||||
Amgen, Inc.* | 57,010 | 3,312,851 | |||
Genzyme Corp.* | 25,060 | 1,903,808 | |||
| 5,216,659 | |||||
Health Care Equipment & Supplies - 7.2% | |||||
Boston Scientific Corp.* | 496,670 | 6,888,813 | |||
The Cooper Companies, Inc. | 63,070 | 2,648,940 | |||
Medtronic, Inc. | 90,490 | 4,292,846 | |||
| 13,830,599 | |||||
Health Care Providers & Services - 1.6% | |||||
Quest Diagnostics, Inc. | 58,200 | 3,095,076 | |||
Health Care Technology - 0.9% | |||||
Eclipsys Corp.* | 74,510 | 1,680,946 | |||
Life Sciences Tools & Services - 2.4% | |||||
Affymetrix, Inc.* | 63,960 | 1,628,422 | |||
PerkinElmer, Inc. | 103,880 | 2,858,778 | |||
| 4,487,200 | |||||
Pharmaceuticals - 1.7% | |||||
Johnson & Johnson | 50,010 | 3,259,152 | |||
Total Health Care | 31,569,632 | ||||
Industrials - 8.3% | |||||
Air Freight & Logistics - 1.7% | |||||
United Parcel Service, Inc. - Class B | 43,500 | 3,266,850 | |||
Airlines - 4.8% | |||||
JetBlue Airways Corp.* | 319,820 | 2,919,957 | |||
Southwest Airlines Co. | 440,980 | 6,266,326 | |||
| 9,186,283 | |||||
| 6 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Industrials (continued) | |||||
Industrial Conglomerates - 1.8% | |||||
3M Co. | 39,820 | $ | 3,438,855 | ||
Total Industrials | 15,891,988 | ||||
Information Technology - 15.8% | |||||
Communications Equipment - 3.0% | |||||
Cisco Systems, Inc.* | 124,050 | 4,101,093 | |||
Juniper Networks, Inc.* | 43,320 | 1,559,520 | |||
| 5,660,613 | |||||
Internet Software & Services - 2.0% | |||||
Google, Inc. - Class A* | 5,550 | 3,923,850 | |||
IT Services - 5.5% | |||||
Automatic Data Processing, Inc. | 101,390 | 5,024,888 | |||
Western Union Co. | 251,170 | 5,535,787 | |||
| 10,560,675 | |||||
Software - 5.3% | |||||
Electronic Arts, Inc.* | 61,590 | 3,764,381 | |||
Salesforce.com, Inc.* | 54,220 | 3,056,381 | |||
TIBCO Software, Inc.* | 352,450 | 3,235,491 | |||
| 10,056,253 | |||||
Total Information Technology | 30,201,391 | ||||
Materials - 5.5% | |||||
Paper & Forest Products - 5.5% | |||||
Louisiana-Pacific Corp. | 323,500 | 5,324,810 | |||
Weyerhaeuser Co. | 68,010 | 5,162,639 | |||
Total Materials | 10,487,449 | ||||
Utilities - 4.8% | |||||
Electric Utilities - 1.6% | |||||
American Electric Power Co., Inc. | 61,730 | 2,976,003 | |||
Independent Power Producers & Energy Traders - 1.6% | |||||
Mirant Corp.* | 73,100 | 3,096,516 | |||
Multi-Utilities - 1.6% | |||||
Xcel Energy, Inc. | 135,380 | 3,052,819 | |||
Total Utilities | 9,125,338 | ||||
TOTAL COMMON STOCKS | 177,924,390 | ||||
| The accompanying notes are an integral part of the financial statements. | 7 |
Investment Portfolio - October 31, 2007
| Shares/ Principal Amount | Value (Note 2) | ||||||
SHORT-TERM INVESTMENTS - 9.5% | |||||||
Dreyfus Treasury Cash Management - Institutional Shares | 12,041,257 | $ | 12,041,257 | ||||
Federal Home Loan Bank Discount Note, 11/7/2007 | $ | 6,000,000 | 5,994,827 | ||||
TOTAL SHORT-TERM INVESTMENTS | 18,036,084 | ||||||
TOTAL INVESTMENTS - 102.6% | 195,960,474 | ||||||
LIABILITIES, LESS OTHER ASSETS - (2.6%) | (4,934,275 | ) | |||||
NET ASSETS - 100% | $ | 191,026,199 | |||||
*Non-income producing security
| 8 | The accompanying notes are an integral part of the financial statements. |
Statement of Assets and Liabilities
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $192,091,058) (Note 2) | $ | 195,960,474 | |
Receivable for securities sold | 1,785,139 | ||
Receivable for fund shares sold | 1,046,812 | ||
Dividends receivable | 38,514 | ||
TOTAL ASSETS | 198,830,939 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 121,190 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 9,552 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 804 | ||
Payable for securities purchased | 6,977,523 | ||
Payable for fund shares repurchased | 639,094 | ||
Audit fees payable | 28,227 | ||
Accrued proxy fees | 13,000 | ||
Other payables and accrued expenses | 15,350 | ||
TOTAL LIABILITIES | 7,804,740 | ||
TOTAL NET ASSETS | $ | 191,026,199 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 89,139 | |
Additional paid-in-capital | 179,069,629 | ||
Undistributed net investment income | 406,524 | ||
Accumulated net realized gain on investments | 7,591,491 | ||
Net unrealized appreciation on investments | 3,869,416 | ||
TOTAL NET ASSETS | $ | 191,026,199 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION | $ | 21.43 | |
| The accompanying notes are an integral part of the financial statements. | 9 |
Statement of Operations
For the Year Ended October 31, 2007
| INVESTMENT INCOME: | ||||
Dividends | $ | 1,234,057 | ||
Interest | 183,018 | |||
Total Investment Income | 1,417,075 | |||
| EXPENSES: | ||||
Management fees (Note 3) | 941,405 | |||
Fund accounting and transfer agent fees (Note 3) | 61,778 | |||
Directors’ fees (Note 3) | 7,375 | |||
Chief Compliance Officer service fees (Note 3) | 6,001 | |||
Custodian fees | 8,852 | |||
Miscellaneous | 67,999 | |||
Total Expenses | 1,093,410 | |||
Less reduction of expenses (Note 3) | (99,731 | ) | ||
Net Expenses | 993,679 | |||
NET INVESTMENT INCOME | 423,396 | |||
| REALIZED AND UNREALIZED GAIN ON INVESTMENTS: | ||||
Net realized gain on investments | 7,608,792 | |||
Net change in unrealized appreciation on investments | 3,014,467 | |||
NET REALIZED AND UNREALIZED GAIN ON | 10,623,259 | |||
NET INCREASE IN NET ASSETS RESULTING FROM | $ | 11,046,655 | ||
| 10 | The accompanying notes are an integral part of the financial statements. |
Statements of Changes in Net Assets
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 423,396 | $ | 15,778 | ||||
Net realized gain on investments | 7,608,792 | 257,455 | ||||||
Net change in unrealized appreciation on investments | 3,014,467 | 578,152 | ||||||
Net increase from operations | 11,046,655 | 851,385 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (32,650 | ) | — | |||||
From net realized gain on investments | (277,398 | ) | (212,143 | ) | ||||
Total distributions to shareholders | (310,048 | ) | (212,143 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions | 171,979,405 | 4,957,234 | ||||||
Net increase in net assets | 182,716,012 | 5,596,476 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 8,310,187 | 2,713,711 | ||||||
End of year (including undistributed net | $ | 191,026,199 | $ | 8,310,187 | ||||
| The accompanying notes are an integral part of the financial statements. | 11 |
Financial Highlights
| For the Years Ended | ||||||||||
| 10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $19.19 | $17.24 | $15.63 | $13.42 | $11.42 | |||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss) | 0.06 | 0.04 | (0.01) | (0.01) | 0.01 | |||||
Net realized and unrealized gain on investments | 2.65 | 3.25 | 2.45 | 2.23 | 2.02 | |||||
Total from investment operations | 2.71 | 3.29 | 2.44 | 2.22 | 2.03 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.05) | — | — | (0.01) | (0.03) | |||||
From net realized gain on investments | (0.42) | (1.34) | (0.83) | — | — | |||||
Total distributions to shareholders | (0.47) | (1.34) | (0.83) | (0.01) | (0.03) | |||||
Net asset value - End of year | $21.43 | $19.19 | $17.24 | $15.63 | $13.42 | |||||
Total return1 | 14.37% | 20.36% | 16.05% | 16.52% | 17.82% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% | |||||
Net investment income (loss) | 0.45% | 0.35% | (0.04%) | (0.06%) | 0.09% | |||||
Portfolio turnover | 44% | 55% | 57% | 60% | 58% | |||||
Net assets - End of year (000’s omitted) | $191,026 | $8,310 | $2,714 | $1,769 | $1,206 | |||||
*The investment advisor did not impose all or a portion of its management fee and in some years paid a portion of the | ||||||||||
have been increased as follows: | 0.11% | 1.24% | 2.33% | 2.85% | 11.55% | |||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the year.
| 12 | The accompanying notes are an integral part of the financial statements. |
Notes to Financial Statements
| 1. | ORGANIZATION |
Equity Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to provide long-term growth of capital, primarily through investments in U.S. common stocks.
The Fund’s Advisor is Manning & Napier Advisors, Inc. (the “Advisor”). Shares of the Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 3.0 billion shares of common stock each having a par value of $0.01. As of October 31, 2007, 2.13 billion shares have been designated in total among 21 series, of which 125 million have been designated as Equity Series Class A common stock.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Securities for which representative valuations or prices are not available from the Fund’s pricing service may be valued at fair value. Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”).
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
| 13 |
Notes to Financial Statements
| 2. | SIGNIFICANT ACCOUNTING POLICIES (continued) |
Security Transactions, Investment Income and Expenses (continued)
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
| 3. | TRANSACTIONS WITH AFFILIATES |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 1.00% of the Series’ average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended for each active series of the Fund plus a fee for each committee meeting attended.
| 14 |
Notes to Financial Statements
| 3. | TRANSACTIONS WITH AFFILIATES (continued) |
The Advisor has contractually agreed, until at least February 28, 2009, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series at no more than 1.05% of average daily net assets each year. Accordingly, the Advisor waived fees of $99,731 for the year ended October 31, 2007, which is reflected as a reduction of expenses on the Statement of Operations. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.11% of the Fund’s average daily net assets up to $900 million, 0.07% of the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.04% of the Fund’s average daily net assets over $1.5 billion. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with Citi Fund Services Ohio, Inc. (“Citi”) (formerly BISYS Fund Services Ohio, Inc.) under which Citi serves as sub-accounting services and sub-transfer agent.
| 4. | PURCHASES AND SALES OF SECURITIES |
For the year ended October 31, 2007, purchases and sales of securities, other than United States Government securities and short-term securities, were $198,525,829 and $38,701,966, respectively. There were no purchases or sales of United States Government securities.
| 5. | CAPITAL STOCK TRANSACTIONS |
Transactions in shares of Equity Series were:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||
Sold | 9,080,249 | $ | 184,492,831 | 285,373 | $ | 5,132,563 | ||||||||
Reinvested | 15,722 | 309,402 | 12,768 | 210,548 | ||||||||||
Repurchased | (615,168 | ) | (12,822,828 | ) | (22,384 | ) | (385,877 | ) | ||||||
Total | 8,480,803 | $ | 171,979,405 | 275,757 | $ | 4,957,234 | ||||||||
At October 31, 2007, the retirement plan of the advisor and its affiliates owned 170,020 shares of the Series (1.9% of shares outstanding) valued at $3,643,529.
| 6. | FINANCIAL INSTRUMENTS |
The Series may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on October 31, 2007.
| 15 |
Notes to Financial Statements
| 7. | FOREIGN SECURITIES |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government. No such investments were held by the Series on October 31, 2007.
| 8. | FEDERAL INCOME TAX INFORMATION |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including differences in the cost basis of securities contributed in-kind and losses deferred due to wash sales. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||
Ordinary income | $ | 96,775 | $ | 54,198 | ||
Long-term capital gains | 213,273 | 157,945 | ||||
Pursuant to Section 852 of the Internal Revenue Code, as amended, the Series hereby designates the long-term capital gains disclosed above as capital gains for its taxable year ended October 31, 2007.
At October 31, 2007, the tax basis components of distributable earnings and the net unrealized appreciation based on identified cost for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 192,112,602 | ||
Unrealized appreciation | $ | 11,387,230 | ||
Unrealized depreciation | (7,539,358 | ) | ||
Net unrealized appreciation | $ | 3,847,872 | ||
Undistributed ordinary income | 7,276,972 | |||
Undistributed long-term capital gains | 742,063 | |||
| 9. | RECENT ACCOUNTING PRONOUNCEMENTS |
In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 provides guidance for how an entity should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the entity has taken or
| 16 |
Notes to Financial Statements
| 9. | RECENT ACCOUNTING PRONOUNCEMENTS (continued) |
expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the current year. FIN 48 needs to be implemented no later than the first required financial statement reporting period for its fiscal year beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Fund is currently evaluating the impact that FIN 48 will have on the Series’ financial statements.
In addition, in September 2006, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”) was issued, and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value, and expands disclosure about fair value measurements. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair value methods and applications. At this time, management is evaluating the implications of FAS 157, but it is not expected to materially impact the Series’ financial statements.
| 17 |
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Equity Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Equity Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2007, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Columbus, Ohio
December 13, 2007
| 18 |
Supplemental Tax Information (unaudited)
For federal income tax purposes, the Series designates for the current fiscal year $65,036 or, if different, the maximum amount allowable under the tax law as qualified dividend income.
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends received deduction for the current fiscal year is 1.0%.
| 19 |
Renewal of Investment Advisory Agreement (unaudited)
At an in-person meeting held on August 30, 2007, the Board of Directors of Manning & Napier Fund, Inc. (the “Board”) considered the approval of a new investment advisory agreement (the “New Investment Advisory Agreement”) between Manning & Napier Fund, Inc. (the “Fund”) and Manning & Napier Advisors, Inc. (the “Advisor”). Based on the information it received at the meeting and the November 16, 2006 Board meeting, the Board approved the New Investment Advisory Agreement subject to its further approval by the Fund’s shareholders. Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. At the meeting, the Board concluded it was reasonable to take into account the conclusions the Board made when considering and evaluating the renewal of the Current Investment Advisory Agreement (the “Annual Review”), which occurred at the November 16, 2006 in-person Board meeting, as part of its considerations to approve the New Investment Advisory Agreement. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s November 16, 2006 Annual Review of the Current Investment Advisory Agreement and the conclusions made by the Directors when determining to continue the Current Investment Advisory Agreement for an additional one-year period.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
| • | The Board considered the services provided by the Advisor under the Current Investment Advisory Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board also considered the nature and quality of such services provided under the Current Investment Advisory Agreement in light of the Advisor’s services provided to the Fund for 21 years. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Current Investment Advisory Agreement in a reasonable manner. |
| • | The Board considered the investment performance of the various Series of the Fund. The investment performance for each Series was reviewed on a cumulative basis since inception and on a one year basis. In addition, annualized performance for the following time periods was considered: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided for each time period. The Board noted that all the Series were competitive against their respective benchmark indices over all time periods noted above through September 30, 2006. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Fund’s actual performance and comparative performance, especially performance over the current market cycle. |
| • | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Current Investment |
| 20 |
Renewal of Investment Advisory Agreement (unaudited)
Advisory Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Current Investment Advisory Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Current Investment Advisory Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 6 of the 18 active Series of the Fund are currently experiencing expenses above the capped expense ratios. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Current Investment Advisory Agreement was reasonable. |
| • | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractual or voluntary) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series, except the High Yield Bond Series, are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis. |
| • | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research products provided by soft dollars. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
| • | In addition to the factors described above, the Board considered the Advisor’s personnel, investment strategies, policies and procedures relating to compliance with personal securities transactions, and reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
| • | The Board did not consider economies of scale at this time because of the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Current Investment Advisory Agreement, and the overall size of the Fund complex. |
Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, concluded that the compensation under the Current Investment Advisory Agreement was fair and reasonable in light of the services and expenses and such other matters as the Directors considered to be relevant in the exercise of their reasonable judgment. Accordingly, the Board approved the renewal of the Current Investment Advisory Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
| 21 |
Directors’ and Officers’ Information (unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http://www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
INTERESTED DIRECTOR/OFFICER
| Name: | B. Reuben Auspitz* | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 60 | |
| Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
| Term of Office1 & Length of Time Served: | Indefinite - Director since 1984; Vice President 1984 - 2003; President since 2004; Principal Executive Officer since 2002 | |
| Principal Occupation(s) During Past 5 Years: | Executive Vice President; Co-Executive Director; Executive Group Member**; Chief Compliance Officer since 2004 - Manning & Napier Advisors, Inc. President; Director - Manning & Napier Investor Services, Inc. Holds or has held one or more of the following titles for various subsidiaries and affiliates: President, Vice President, Director, Chairman, Treasurer, Chief Compliance Officer or Member. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| INDEPENDENT DIRECTORS | ||
| Name: | Stephen B. Ashley | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 67 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
| Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Genesee Corp. The Ashley Group Fannie Mae | |
| Name: | Peter L. Faber | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 68 | |
| Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
| Principal Occupation(s) During Past 5 Years: | Senior Counsel, McDermott, Will & Emery LLP (law firm) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Partnership for New York City, Inc. New York Collegium Boston Early Music Festival | |
| Name: | Harris H. Rusitzky | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 72 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
| Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants); Partner, The Restaurant Group (restaurants) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| 22 |
Directors’ and Officers’ Information (unaudited)
OFFICERS
| Name: | Jeffrey S. Coons, Ph.D., CFA | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 44 | |
| Current Position(s) Held with Fund: | Vice President | |
| Term of Office1 & Length of Time Served: | Since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Co-Director of Research since 2002 & Executive Group Member**, Manning & Napier Advisors, Inc. Managing Director - Risk Management, Manning & Napier Advisors, Inc., 1993-2002. Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Christine Glavin | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 41 | |
| Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
| Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
| Principal Occupation(s) During Past 5 Years: | Fund Reporting Manager, Manning & Napier Advisors, Inc. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Jodi L. Hedberg | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 39 | |
| Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
| Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Director of Compliance, Manning & Napier Advisors, Inc. and affiliates; Corporate Secretary, Manning & Napier Investor Services, Inc. since 2006 | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor and distributor. Mr. Auspitz serves as the Executive Vice President and Director, Manning & Napier Advisors, Inc. and President and Director, Manning & Napier Investor Services, Inc., the Fund’s distributor.
**The Executive Group performs the duties of the Office of the Chief Executive of Manning & Napier Advisors, Inc.
1The term of office for President, Vice President, Chief Financial Officer, and Corporate Secretary is one year and until their respective successors are chosen and qualified. All other officers’ terms are indefinite.
| 23 |
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| 24 |
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| 25 |
Literature Requests (unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the Securities and Exchange Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov | |
On the Advisor’s web site | http://www.manningnapieradvisors.com |
Additional information available at www.manningnapieradvisors.com
1. Fund Holdings - Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
| 26 |
Manning & Napier Fund, Inc.
| OVERSEAS SERIES | | | Annual Report - October 31, 2007 |
Management Discussion and Analysis (unaudited)
Dear Shareholders:
The Overseas Series produced strong absolute returns while slightly trailing the return of the Morgan Stanley Capital International (MSCI) All Country World Index ex U.S. for the 12-month period ended October 31, 2007. Another year of a weakening dollar versus the Euro and British Pound helped international stock markets to positive gains. Since the current international stock market cycle (which includes both rising and falling markets) began on January 1, 2000, the Overseas Series has substantially outperformed the benchmark.
Our team of analysts uses time-tested strategies to choose stocks for the portfolio. These strategies include the Profile Strategy, Hurdle Rate Strategy, and the Bankable Deal Strategy. Our investment process also follows strict pricing disciplines intended to avoid buying stocks that are not attractively valued.
The Series currently has an overweight position versus the benchmark in the Health Care sector. A majority of the stocks in this sector were bought under our Profile Strategy. In this strategy our analysts seek to identify companies that we believe can grow their earnings faster than global economic growth. Typically this is accomplished by some sustainable competitive advantage that keeps competitors from entering their markets. Our holdings in the Health Care sector are spread among large pharmaceutical companies, specialty health care companies, diagnostic companies, and firms that supply products to the drug discovery market. While our holdings had positive absolute returns, the overweight position detracted from relative returns versus the benchmark as the Health Care sector lagged the overall market.
The Series has maintained a larger position than the benchmark in the Information Technology sector. Interestingly, many of these companies in the Information Technology sector we have owned under the Hurdle Rate Strategy. In this strategy we seek to identify industries in a downturn where profits are temporarily depressed and future expectations are low. When capacity is being taken out of the industry and the supply/demand situation is more in balance we want to own those companies that are in the strongest competitive position to increase profits and market share. We currently own manufacturers of flat panel displays in this strategy; these stocks aided both absolute and relative returns over the year.
The Series is currently underweight in the Financials sector, holding roughly half the position of the benchmark. We have largely shied away from companies with direct exposure to the U.S. subprime mortgage market and positioned the portfolio in companies that earn most of their revenues from fee-based business. These include many large diversified banks in developed European countries. We also hold an insurance brokerage firm and a German bank that is focused in the structured property finance property management business. We hold a few stocks in the Bankable Deal Strategy within the Financials sector. This strategy involves buying companies that are trading at a substantial discount to their intrinsic value. Our analysts look at a variety of valuation techniques in this strategy to identify companies including sum-of-the-parts, transaction-based, or break-up value. While the performance of the Series compared to the benchmark was helped by its relatively small position in Financials, stock selection was a detractor to relative returns.
The Series continues to have a smaller position in Japan than the benchmark, and this benefited performance on both an absolute and relative basis. Japan was one of the worst performing countries in the developed world. Emerging markets was the best performing region over the year and the Series was slightly underweight, which impacted returns compared to the benchmark. The Series is maintaining a large allocation to developed European countries as our analysis has concluded that valuations in certain emerging markets look stretched.
We appreciate your business and wish you all the best in the coming year.
Sincerely,
Manning & Napier Advisors, Inc.
| 1 |
Performance Update as of October 31, 2007 (unaudited)
| Average Annual Total Returns As of October 31, 2007 | ||||||||
| One Year | Five Year | Since Inception1 | ||||||
Manning & Napier Fund, Inc. - Overseas Series2,3 | 28.88% | 24.93% | 15.84% | |||||
Morgan Stanley Capital International (MSCI) All Country World Index ex U.S.4 | 32.43% | 25.89% | 12.15% | |||||
The following graph compares the value of a $5,000,000 investment in the Manning & Napier Fund, Inc. - Overseas Series from its inception1 (9/23/98) to present (10/31/07) to the MSCI All Country World Index ex U.S.
1Performance numbers for the Series are calculated from September 23, 1998, the Collective’s inception date (see Note 3 below). Prior to 2001, the MSCI All Country World Index ex U.S. only published month-end numbers; therefore, performance numbers for the Index are calculated from September 30, 1998.
2The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2007, this net expense ratio was 0.84%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.84% for the year ended October 31, 2007.
3For periods prior to the inception of the Series on July 10, 2002, the performance figures reflect the performance of the Exeter Trust Company Group Trust for Employee Benefit Plans - International Equity Collective Investment Trust (the “Collective”), which was managed by the Advisor and reorganized into the Series. The Collective was not open to the public generally, or registered under the Investment Company Act of 1940 (the “1940 Act”), or subject to certain restrictions that are imposed by the 1940 Act. If the Collective had been registered under the 1940 Act, performance may have been adversely affected. Because the fees of the Collective were lower than the Series’ fees, historical performance would have been lower if the Collective had been subject to the same fees.
4The MSCI All Country World Index ex U.S. is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global developed and emerging markets and consists of 47 developed and emerging market country indices outside the United States. The Index is denominated in U.S. Dollars. The Index returns assume daily reinvestment of gross dividends (which do not account for foreign dividend taxation) from the inception of the Collective (see note 1 above) through December 31, 1998, as net returns were not available. Subsequent to December 31, 1998, the Index returns assume daily reinvestment of net dividends (thus accounting for foreign dividend taxation). Unlike Series returns, the Index returns do not reflect any fees or expenses.
| 2 |
Shareholder Expense Example (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2007 to October 31, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series 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 transaction costs, such as potential wire charges on redemptions. 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 transaction costs were included, your costs would have been higher.
| Beginning Account Value 5/1/07 | Ending Account Value 10/31/07 | Expenses Paid During Period* 5/1/07-10/31/07 | |||||||
Actual | $ | 1,000.00 | $ | 1,095.00 | $ | 4.49 | |||
Hypothetical | $ | 1,000.00 | $ | 1,020.92 | $ | 4.33 | |||
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.85%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratio stated above may differ from the expense ratio stated in the financial highlights, which is based on one-year data.
| 3 |
Portfolio Composition as of October 31, 2007 (unaudited)
Country Allocation1
1As a percentage of net assets.
2Miscellaneous
Bermuda 1.9%
Hong Kong 0.9%
Israel 0.6%
Taiwan 1.6%
Sector Allocation3
3As a percentage of net assets.
| 4 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS - 94.1% | |||||
Consumer Discretionary - 11.7% | |||||
Hotels, Restaurants & Leisure - 3.2% | |||||
Club Mediterranee S.A.* (France) | 104,168 | $ | 6,993,115 | ||
Leisure Equipment & Products - 1.9% | |||||
Sankyo Co. Ltd. (Japan) | 47,100 | 2,000,780 | |||
Sega Sammy Holdings, Inc. (Japan) | 157,000 | 2,157,304 | |||
| 4,158,084 | |||||
Media - 4.2% | |||||
Grupo Televisa S.A. - ADR (Mexico) | 183,900 | 4,569,915 | |||
Societe Television Francaise 1 (France) | 158,670 | 4,387,199 | |||
| 8,957,114 | |||||
Specialty Retail - 1.3% | |||||
Kingfisher plc (United Kingdom) | 698,705 | 2,866,117 | |||
Textiles, Apparel & Luxury Goods - 1.1% | |||||
Adidas AG (Germany) | 36,860 | 2,449,432 | |||
Total Consumer Discretionary | 25,423,862 | ||||
Consumer Staples - 14.7% | |||||
Beverages - 1.3% | |||||
Scottish & Newcastle plc (United Kingdom) | 170,500 | 2,775,614 | |||
Food & Staples Retailing - 1.5% | |||||
Carrefour S.A. (France) | 45,300 | 3,260,272 | |||
Food Products - 7.4% | |||||
Cadbury Schweppes plc (United Kingdom) | 327,200 | 4,326,567 | |||
Nestle S.A. (Switzerland) | 11,145 | 5,143,772 | |||
Unilever plc - ADR (United Kingdom) | 191,870 | 6,496,718 | |||
| 15,967,057 | |||||
Personal Products - 4.5% | |||||
Clarins S.A. (France) | 55,981 | 4,843,059 | |||
L’Oreal S.A. (France) | 24,890 | 3,267,619 | |||
Natura Cosmeticos S.A. (Brazil) | 138,100 | 1,640,626 | |||
| 9,751,304 | |||||
Total Consumer Staples | 31,754,247 | ||||
Energy - 12.2% | |||||
Energy Equipment & Services - 10.5% | |||||
Abbot Group plc (United Kingdom) | 1,496,800 | 10,572,951 | |||
Calfrac Well Services Ltd. (Canada) | 281,400 | 6,007,014 | |||
Compagnie Generale de Geophysique - Veritas (CGG - Veritas)* (France) | 7,949 | 2,603,729 | |||
Trican Well Service Ltd. (Canada) | 172,680 | 3,656,925 | |||
| 22,840,619 | |||||
| The accompanying notes are an integral part of the financial statements. | 5 |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Energy (continued) | |||||
Oil, Gas & Consumable Fuels - 1.7% | |||||
Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) | 43,300 | $ | 3,602,127 | ||
Total Energy | 26,442,746 | ||||
Financials - 12.0% | |||||
Capital Markets - 1.5% | |||||
Macquarie Bank Ltd. (now known as Macquarie Group Ltd.) (Australia) | 42,410 | 3,319,328 | |||
Commercial Banks - 6.0% | |||||
Aareal Bank AG (Germany) | 42,710 | 2,212,764 | |||
HSBC Holdings plc (United Kingdom) | 214,930 | 4,249,624 | |||
Royal Bank of Scotland Group plc (United Kingdom) | 453,325 | 4,868,027 | |||
Societe Generale (France) | 9,990 | 1,676,431 | |||
| 13,006,846 | |||||
Diversified Financial Services - 1.5% | |||||
Financiere Marc de Lacharriere S.A. (Fimalac) (France) | 40,020 | 3,170,670 | |||
Insurance - 3.0% | |||||
Allianz SE (Germany) | 18,515 | 4,170,581 | |||
Willis Group Holdings Ltd. (United Kingdom) | 54,400 | 2,302,752 | |||
| 6,473,333 | |||||
Total Financials | 25,970,177 | ||||
Health Care - 8.2% | |||||
Health Care Equipment & Supplies - 2.2% | |||||
Covidien Ltd. (Bermuda) | 51,468 | 2,141,069 | |||
Straumann Holding AG (Switzerland) | 6,680 | 1,864,528 | |||
Synthes, Inc. (Switzerland) | 5,740 | 716,695 | |||
| 4,722,292 | |||||
Health Care Providers & Services - 2.1% | |||||
BML, Inc. (Japan) | 47,000 | 744,014 | |||
Sonic Healthcare Ltd. (Australia) | 232,920 | 3,734,945 | |||
| 4,478,959 | |||||
Pharmaceuticals - 3.9% | |||||
Novartis AG - ADR (Switzerland) | 123,845 | 6,584,839 | |||
Santen Pharmaceutical Co. Ltd. (Japan) | 85,700 | 2,005,982 | |||
| 8,590,821 | |||||
Total Health Care | 17,792,072 | ||||
| 6 | The accompanying notes are an integral part of the financial statements. |
Investment Portfolio - October 31, 2007
| Shares | Value (Note 2) | ||||
COMMON STOCKS (continued) | |||||
Industrials - 11.3% | |||||
Aerospace & Defense - 2.7% | |||||
Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) | 119,145 | $ | 5,810,702 | ||
Air Freight & Logistics - 4.4% | |||||
Deutsche Post AG (Germany) | 151,000 | 4,570,986 | |||
TNT N.V. (Netherlands) | 122,050 | 4,992,167 | |||
| 9,563,153 | |||||
Electrical Equipment - 1.4% | |||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) | 102,050 | 3,083,951 | |||
Industrial Conglomerates - 2.0% | |||||
Siemens AG (Germany) | 17,180 | 2,348,496 | |||
Tyco International Ltd. (Bermuda) | 49,460 | 2,036,268 | |||
| 4,384,764 | |||||
Machinery - 0.8% | |||||
Heidelberger Druckmaschinen AG (Germany) | 41,375 | 1,694,744 | |||
Total Industrials | 24,537,314 | ||||
Information Technology - 13.2% | |||||
Communications Equipment - 1.0% | |||||
Alcatel-Lucent - ADR (France) | 224,000 | 2,170,560 | |||
Electronic Equipment & Instruments - 3.5% | |||||
AU Optronics Corp. - ADR (Taiwan) | 159,870 | 3,473,975 | |||
LG. Philips LCD Co. Ltd. - ADR* (South Korea) | 148,900 | 4,027,745 | |||
Tyco Electronics Ltd. (Bermuda) | 368 | 13,127 | |||
| 7,514,847 | |||||
Software - 8.7% | |||||
Aladdin Knowledge Systems Ltd.* (Israel) | 52,060 | 1,246,837 | |||
Amdocs Ltd.* (Guernsey) | 172,000 | 5,916,800 | |||
Misys plc (United Kingdom) | 406,145 | 2,041,365 | |||
SAP AG - ADR (Germany) | 80,080 | 4,346,742 | |||
Square Enix Co. Ltd. (Japan) | 76,900 | 2,520,000 | |||
UbiSoft Entertainment S.A.* (France) | 33,360 | 2,739,171 | |||
| 18,810,915 | |||||
Total Information Technology | 28,496,322 | ||||
| The accompanying notes are an integral part of the financial statements. | 7 |
Investment Portfolio - October 31, 2007
Shares/ Principal Amount | Value (Note 2) | |||||
COMMON STOCKS (continued) | ||||||
Materials - 9.1% | ||||||
Chemicals - 7.2% | ||||||
Lonza Group AG (Switzerland) | 93,980 | $ | 10,947,157 | |||
NITTO DENKO Corp. (Japan) | 96,000 | 4,652,276 | ||||
| 15,599,433 | ||||||
Paper & Forest Products - 1.9% | ||||||
Norbord, Inc. (Canada) | 494,350 | 4,187,632 | ||||
Total Materials | 19,787,065 | |||||
Telecommunication Services - 1.7% | ||||||
Wireless Telecommunication Services - 1.7% | ||||||
Hutchison Telecommunications International Ltd. (Hong Kong) | 1,347,000 | 1,911,846 | ||||
SK Telecom Co. Ltd. - ADR (South Korea) | 54,730 | 1,686,231 | ||||
Total Telecommunication Services | 3,598,077 | |||||
TOTAL COMMON STOCKS | 203,801,882 | |||||
SHORT-TERM INVESTMENTS - 3.4% | ||||||
Dreyfus Treasury Cash Management - Institutional Shares | 1,441,984 | 1,441,984 | ||||
Federal Home Loan Bank Discount Note, 11/7/2007 | $ | 6,000,000 | 5,994,704 | |||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $7,437,334) | 7,436,688 | |||||
TOTAL INVESTMENTS - 97.5% | 211,238,570 | |||||
OTHER ASSETS, LESS LIABILITIES - 2.5% | 5,398,883 | |||||
NET ASSETS - 100% | $ | 216,637,453 | ||||
*Non-income producing security
ADR - American Depository Receipt
The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries: United Kingdom - 18.7%; France - 16.2%; Switzerland - 13.1%, Germany - 10.1%.
| 8 | The accompanying notes are an integral part of the financial statements. |
Statement of Assets and Liabilities
October 31, 2007
ASSETS: | |||
Investments, at value (identified cost $184,939,785) (Note 2) | $ | 211,238,570 | |
Cash | 2,229,696 | ||
Foreign currency, at value (cost $18,569) | 18,823 | ||
Receivable for securities sold | 6,404,487 | ||
Dividends receivable | 273,306 | ||
Foreign tax reclaims receivable | 58,960 | ||
TOTAL ASSETS | 220,223,842 | ||
| LIABILITIES: | |||
Accrued management fees (Note 3) | 124,322 | ||
Accrued fund accounting and transfer agent fees (Note 3) | 10,830 | ||
Accrued Chief Compliance Officer service fees (Note 3) | 804 | ||
Payable for securities purchased | 3,401,255 | ||
Audit fees payable | 32,666 | ||
Other payables and accrued expenses | 16,512 | ||
TOTAL LIABILITIES | 3,586,389 | ||
TOTAL NET ASSETS | $ | 216,637,453 | |
NET ASSETS CONSIST OF: | |||
Capital stock | $ | 64,564 | |
Additional paid-in-capital | 170,718,702 | ||
Undistributed net investment income | 1,912,908 | ||
Accumulated net realized gain on investments, foreign currency and | 17,637,575 | ||
Net unrealized appreciation on investments, foreign currency and other assets and liabilities | 26,303,704 | ||
TOTAL NET ASSETS | $ | 216,637,453 | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE ($216,637,453/6,456,420 shares) | $ | 33.55 | |
| The accompanying notes are an integral part of the financial statements. | 9 |
Statement of Operations
For the Year Ended October 31, 2007
INVESTMENT INCOME: | |||
Dividends (net of foreign tax withheld, $170,149) | $ | 2,902,640 | |
Interest | 457,698 | ||
Total Investment Income | 3,360,338 | ||
| EXPENSES: | |||
Management fees (Note 3) | 1,073,775 | ||
Fund accounting and transfer agent fees (Note 3) | 98,897 | ||
Directors’ fees (Note 3) | 7,375 | ||
Chief Compliance Officer service fees (Note 3) | 6,001 | ||
Custodian fees | 54,102 | ||
Miscellaneous | 53,784 | ||
Total Expenses | 1,293,934 | ||
NET INVESTMENT INCOME | 2,066,404 | ||
| REALIZED AND UNREALIZED GAIN ON INVESTMENTS: | |||
Net realized gain on - | |||
Investments | 17,671,580 | ||
Foreign currency and other assets and liabilities | 14,048 | ||
| 17,685,628 | |||
Net change in unrealized appreciation on - | |||
Investments | 20,096,792 | ||
Foreign currency and other assets and liabilities | 4,119 | ||
| 20,100,911 | |||
NET REALIZED AND UNREALIZED GAIN ON | 37,786,539 | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 39,852,943 | |
| 10 | The accompanying notes are an integral part of the financial statements. |
Statements of Changes in Net Assets
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||
| INCREASE (DECREASE) IN NET ASSETS: | ||||||||
| OPERATIONS: | ||||||||
Net investment income | $ | 2,066,404 | $ | 558,113 | ||||
Net realized gain on investments and foreign currency | 17,685,628 | 2,243,777 | ||||||
Net change in unrealized appreciation on investments and foreign currency | 20,100,911 | 6,001,204 | ||||||
Net increase from operations | 39,852,943 | 8,803,094 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (729,409 | ) | (15,768 | ) | ||||
From net realized gain on investments | (2,259,452 | ) | (112,617 | ) | ||||
Total distributions to shareholders | (2,988,861 | ) | (128,385 | ) | ||||
| CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions | 92,355,489 | 77,126,610 | ||||||
Net increase in net assets | 129,219,571 | 85,801,319 | ||||||
| NET ASSETS: | ||||||||
Beginning of year | 87,417,882 | 1,616,563 | ||||||
End of year (including undistributed net investment income of $1,912,908 and $561,865, respectively) | $ | 216,637,453 | $ | 87,417,882 | ||||
| The accompanying notes are an integral part of the financial statements. | 11 |
Financial Highlights
For the Years Ended | ||||||||||
| 10/31/07 | 10/31/06 | 10/31/05 | 10/31/04 | 10/31/03 | ||||||
| Per share data (for a share outstanding throughout each year): | ||||||||||
Net asset value - Beginning of year | $26.69 | $21.56 | $18.84 | $15.66 | $12.54 | |||||
Income from investment operations: | ||||||||||
Net investment income | 0.402 | 0.422 | 0.21 | 0.17 | 0.15 | |||||
Net realized and unrealized gain on investments | 7.16 | 6.42 | 2.85 | 3.18 | 2.97 | |||||
Total from investment operations | 7.56 | 6.84 | 3.06 | 3.35 | 3.12 | |||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.17) | (0.21) | (0.15) | (0.17) | — | |||||
From net realized gain on investments | (0.53) | (1.50) | (0.19) | — | — | |||||
Total distributions to shareholders | (0.70) | (1.71) | (0.34) | (0.17) | — | |||||
Net asset value - End of year | $33.55 | $26.69 | $21.56 | $18.84 | $15.66 | |||||
Total return1 | 28.88% | 33.68% | 16.34% | 21.58% | 24.88% | |||||
| Ratios (to average net assets)/Supplemental Data: | ||||||||||
Expenses* | 0.84% | 0.95% | 1.05% | 1.05% | 1.05% | |||||
Net investment income | 1.34% | 1.69% | 1.15% | 1.08% | 1.15% | |||||
Portfolio turnover | 54% | 54% | 40% | 35% | 30% | |||||
Net assets - End of year (000's omitted) | $216,637 | $87,418 | $1,617 | $1,044 | $701 | |||||
*The investment advisor did not impose all or a portion of its management fee in some years and in some years paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net | ||||||||||
assets) would have been increased as follows: | N/A | 0.09% | 4.16% | 5.63% | 19.95% | |||||
1Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain years.
2Calculated based on average shares outstanding during the year.
| 12 | The accompanying notes are an integral part of the financial statements. |
Notes to Financial Statements
| 1. | ORGANIZATION |
Overseas Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to provide long-term capital growth by investing primarily in common stocks of issuers from outside the United States.
The Fund’s Advisor is Manning & Napier Advisors, Inc. (the “Advisor”). Shares of the Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 3.0 billion shares of common stock each having a par value of $0.01. As of October 31, 2007, 2.13 billion shares have been designated in total among 21 series, of which 100 million have been designated as Overseas Series Class A common stock.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Securities for which representative valuations or prices are not available from the Fund’s pricing service may be valued at fair value. Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”).
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
| 13 |
Notes to Financial Statements
| 2. | SIGNIFICANT ACCOUNTING POLICIES (continued) |
Security Transactions, Investment Income and Expenses (continued)
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
| 3. | TRANSACTIONS WITH AFFILIATES |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.70% of the Series’ average daily net assets.
| 14 |
Notes to Financial Statements
| 3. | TRANSACTIONS WITH AFFILIATES (continued) |
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended for each active series of the Fund plus a fee for each committee meeting attended.
The Advisor has contractually agreed, until at least February 28, 2009, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series at no more than 0.95% of average daily net assets each year. For the year ended October 31, 2007, the Advisor did not waive its management fee or reimburse any expenses of the Series. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.11% of the Fund’s average daily net assets up to $900 million, 0.07% of the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.04% of the Fund’s average daily net assets over $1.5 billion. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with Citi Fund Services Ohio, Inc. (“Citi”) (formerly BISYS Fund Services Ohio, Inc.) under which Citi serves as sub-accounting services and sub-transfer agent.
| 4. | PURCHASES AND SALES OF SECURITIES |
For the year ended October 31, 2007, purchases and sales of securities, other than United States Government securities and short-term securities, were $163,245,938 and $74,417,928, respectively. There were no purchases or sales of United States Government securities.
| 5. | CAPITAL STOCK TRANSACTIONS |
Transactions in shares of Overseas Series were:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||
Sold | 3,148,195 | $ | 91,618,159 | 3,200,190 | $ | 77,121,998 | ||||||||
Reinvested | 89,581 | 2,471,536 | 5,980 | 127,802 | ||||||||||
Repurchased | (57,233 | ) | (1,734,206 | ) | (5,256 | ) | (123,190 | ) | ||||||
Total | 3,180,543 | $ | 92,355,489 | 3,200,914 | $ | 77,126,610 | ||||||||
| 15 |
Notes to Financial Statements
| 5. | CAPITAL STOCK TRANSACTIONS (continued) |
At October 31, 2007, the retirement plan of the Advisor and its affiliates owned 107,189 shares of the Series (1.7% of shares outstanding) valued at $3,596,191. In addition, four shareholders owned 5,382,444 shares of the Series (83.4% of shares outstanding) valued at $180,580,996. Investment activities of these shareholders may have a material effect on the Series.
| 6. | FINANCIAL INSTRUMENTS |
The Series may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on October 31, 2007.
| 7. | FOREIGN SECURITIES |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government.
| 8. | FEDERAL INCOME TAX INFORMATION |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including differences in the cost basis of securities contributed in-kind, losses deferred due to wash sales and foreign currency gains and losses. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
| For the Year Ended 10/31/07 | For the Year Ended 10/31/06 | |||||
Ordinary income | $ | 2,667,063 | $ | 42,577 | ||
Long-term capital gains | 321,798 | 85,808 | ||||
Pursuant to Section 852 of the Internal Revenue Code, as amended, the Series hereby designates the long-term capital gains disclosed above as capital gains for its taxable year ended October 31, 2007.
| 16 |
Notes to Financial Statements
| 8. | FEDERAL INCOME TAX INFORMATION (continued) |
At October 31, 2007, the tax basis components of distributable earnings and the net unrealized appreciation based on identified cost for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 184,996,768 | ||
Unrealized appreciation | $ | 30,663,999 | ||
Unrealized depreciation | (4,422,197 | ) | ||
Net unrealized appreciation | $ | 26,241,802 | ||
Undistributed ordinary income | 15,152,803 | |||
Undistributed long-term capital gains | 4,445,224 | |||
| 9. | RECENT ACCOUNTING PRONOUNCEMENTS |
In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 provides guidance for how an entity should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the entity has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the current year. FIN 48 needs to be implemented no later than the first required financial statement reporting period for its fiscal year beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Fund is currently evaluating the impact that FIN 48 will have on the Series’ financial statements.
In addition, in September 2006, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”) was issued, and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value, and expands disclosure about fair value measurements. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair value methods and applications. At this time, management is evaluating the implications of FAS 157, but it is not expected to materially impact the Series’ financial statements.
| 17 |
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Overseas Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Overseas Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2007, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Columbus, Ohio
December 13, 2007
| 18 |
Supplemental Tax Information (unaudited)
For federal income tax purposes, the Series designates for the current fiscal year $899,413 or, if different, the maximum amount allowable under the tax law as qualified dividend income.
| 19 |
Renewal of Investment Advisory Agreement (unaudited)
At an in-person meeting held on August 30, 2007, the Board of Directors of Manning & Napier Fund, Inc. (the “Board”) considered the approval of a new investment advisory agreement (the “New Investment Advisory Agreement”) between Manning & Napier Fund, Inc. (the “Fund”) and Manning & Napier Advisors, Inc. (the “Advisor”). Based on the information it received at the meeting and the November 16, 2006 Board meeting, the Board approved the New Investment Advisory Agreement subject to its further approval by the Fund’s shareholders. Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. At the meeting, the Board concluded it was reasonable to take into account the conclusions the Board made when considering and evaluating the renewal of the Current Investment Advisory Agreement (the “Annual Review”), which occurred at the November 16, 2006 in-person Board meeting, as part of its considerations to approve the New Investment Advisory Agreement. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s November 16, 2006 Annual Review of the Current Investment Advisory Agreement and the conclusions made by the Directors when determining to continue the Current Investment Advisory Agreement for an additional one-year period.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
| • | The Board considered the services provided by the Advisor under the Current Investment Advisory Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board also considered the nature and quality of such services provided under the Current Investment Advisory Agreement in light of the Advisor’s services provided to the Fund for 21 years. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Current Investment Advisory Agreement in a reasonable manner. |
| • | The Board considered the investment performance of the various Series of the Fund. The investment performance for each Series was reviewed on a cumulative basis since inception and on a one year basis. In addition, annualized performance for the following time periods was considered: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided for each time period. The Board noted that all the Series were competitive against their respective benchmark indices over all time periods noted above through September 30, 2006. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Fund’s actual performance and comparative performance, especially performance over the current market cycle. |
| • | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Current Investment |
| 20 |
Renewal of Investment Advisory Agreement (unaudited)
Advisory Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Current Investment Advisory Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Current Investment Advisory Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 6 of the 18 active Series of the Fund are currently experiencing expenses above the capped expense ratios. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Current Investment Advisory Agreement was reasonable. |
| • | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractual or voluntary) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series, except the High Yield Bond Series, are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis. |
| • | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research products provided by soft dollars. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
| • | In addition to the factors described above, the Board considered the Advisor’s personnel, investment strategies, policies and procedures relating to compliance with personal securities transactions, and reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
| • | The Board did not consider economies of scale at this time because of the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Current Investment Advisory Agreement, and the overall size of the Fund complex. |
Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, concluded that the compensation under the Current Investment Advisory Agreement was fair and reasonable in light of the services and expenses and such other matters as the Directors considered to be relevant in the exercise of their reasonable judgment. Accordingly, the Board approved the renewal of the Current Investment Advisory Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
| 21 |
Directors’ and Officers’ Information (unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http://www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
INTERESTED DIRECTOR/OFFICER
| Name: | B. Reuben Auspitz* | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 60 | |
| Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
| Term of Office1 & Length of Time Served: | Indefinite - Director since 1984; Vice President 1984 - 2003; President since 2004; Principal Executive Officer since 2002 | |
| Principal Occupation(s) During Past 5 Years: | Executive Vice President; Co-Executive Director; Executive Group Member**; Chief Compliance Officer since 2004 - Manning & Napier Advisors, Inc. President; Director - Manning & Napier Investor Services, Inc. Holds or has held one or more of the following titles for various subsidiaries and affiliates: President, Vice President, Director, Chairman, Treasurer, Chief Compliance Officer or Member. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| INDEPENDENT DIRECTORS | ||
| Name: | Stephen B. Ashley | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 67 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
| Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Genesee Corp. The Ashley Group Fannie Mae | |
| Name: | Peter L. Faber | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 68 | |
| Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
| Principal Occupation(s) During Past 5 Years: | Senior Counsel, McDermott, Will & Emery LLP (law firm) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | Partnership for New York City, Inc. New York Collegium Boston Early Music Festival | |
| Name: | Harris H. Rusitzky | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 72 | |
| Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
| Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
| Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants); Partner, The Restaurant Group (restaurants) | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| 22 |
Directors’ and Officers’ Information (unaudited)
OFFICERS
| Name: | Jeffrey S. Coons, Ph.D., CFA | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 44 | |
| Current Position(s) Held with Fund: | Vice President | |
| Term of Office1 & Length of Time Served: | Since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Co-Director of Research since 2002 & Executive Group Member**, Manning & Napier Advisors, Inc. Managing Director - Risk Management, Manning & Napier Advisors, Inc., 1993-2002. Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Christine Glavin | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 41 | |
| Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
| Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
| Principal Occupation(s) During Past 5 Years: | Fund Reporting Manager, Manning & Napier Advisors, Inc. | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
| Name: | Jodi L. Hedberg | |
| Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
| Age: | 39 | |
| Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
| Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004 | |
| Principal Occupation(s) During Past 5 Years: | Director of Compliance, Manning & Napier Advisors, Inc. and affiliates; Corporate Secretary, Manning & Napier Investor Services, Inc. since 2006 | |
| Number of Portfolios Overseen within Fund Complex: | 21 | |
| Other Directorships Held Outside Fund Complex: | N/A | |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor and distributor. Mr. Auspitz serves as the Executive Vice President and Director, Manning & Napier Advisors, Inc. and President and Director, Manning & Napier Investor Services, Inc., the Fund’s distributor.
**The Executive Group performs the duties of the Office of the Chief Executive of Manning & Napier Advisors, Inc.
1The term of office for President, Vice President, Chief Financial Officer, and Corporate Secretary is one year and until their respective successors are chosen and qualified. All other officers’ terms are indefinite.
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| 25 |
Literature Requests (unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the Securities and Exchange Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
By phone | 1-800-466-3863 | |
On the SEC’s web site | http://www.sec.gov | |
On the Advisor’s web site | http://www.manningnapieradvisors.com |
Additional information available at www.manningnapieradvisors.com
1. Fund Holdings - Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
| 26 |
ITEM 2: | CODE OF ETHICS |
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1).
(b) During the period covered by this report, no amendments were made to the provisions of the code of ethics adopted in 2 (a) above.
(c) During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2 (a) above were granted.
(d) Not applicable to the registrant due to the response given in 2 (c) above.
ITEM 3: | AUDIT COMMITTEE FINANCIAL EXPERT |
All of the members of the Audit committee have been determined by the Registrant’s Board of Directors to be Audit Committee Financial Experts as defined in this item. The members of the Audit Committee are: Harris H. Rusitzky and Stephen B. Ashley. All Audit Committee members are independent under applicable rules. This designation will not increase the designee’s duties, obligations or liability as compared to their duties, obligations and liability as a member of the Audit Committee and of the Board.
ITEM 4: | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
Principal Accountant Fees and Services
Aggregate fees for professional services rendered for the Manning & Napier Fund, Inc. (Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series, Pro-Blend® Maximum Term Series, Tax Managed Series, Equity Series, and Overseas Series, collectively the “Fund”) by PricewaterhouseCoopers LLP (“PwC”) as of and for the years ended October 31, 2007 and 2006 were:
| 2007 | 2006 | |||||
Audit Fees (a) | $ | 170,900 | $ | 181,978 | ||
Audit Related Fees (b) | — | — | ||||
Tax Fees (c) | 45,345 | 43,225 | ||||
All Other Fees (d) | — | — | ||||
| $ | 216,245 | $ | 225,203 | |||
(a) | Audit Fees |
These fees relate to professional services rendered by PwC for the audit of the Fund’s annual financial statements or services normally provided by the accountant in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Fund, issuance of consents, income tax provision procedures and assistance with review of documents filed with the SEC.
(b) | Audit-Related Fees |
These fees relate to assurance and related services by PwC that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under “Audit Fees” above.
(c) | Tax Fees |
These fees relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. The tax services provided by PwC related to the preparation of the Fund’s federal and state income tax returns, excise tax calculations and returns, a review of the Fund’s calculations of capital gain and income distributions, and additional tax research for compliance purposes.
(d) | All Other Fees |
These fees relate to products and services provided by PwC other than those reported above under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.
There were no amounts that were approved by the Audit Committee pursuant to the de minimus exception (Rule 2-01(c)(7) of Regulation S-X) for the fiscal years ended October 31, 2007 and 2006.
Non-Audit Services to the Fund’s Service Affiliates that were Pre-Approved by the Fund’s Audit Committee
The Fund’s Audit Committee is required to pre-approve non-audit services which meet both the following criteria:
i) | Directly relate to the Fund’s operations and financial reporting; and |
ii) | Rendered by PwC to the Fund’s advisor, Manning & Napier Advisors, Inc., and entities in a control relationship with the advisor (“service affiliate”) that provide ongoing services to the Fund. For purposes of disclosure, Manning & Napier Investor Services, Inc. is considered to be a service affiliate. |
| 2007 | 2006 | |||||
Audit Related Fees | $ | 9,092 | $ | 8,792 | ||
Tax Fees | — | — | ||||
| $ | 9,092 | $ | 8,792 | |||
The Audit Related fees for the years ended October 31, 2007 and 2006 were for 17Ad-13 internal control examinations, a license for proprietary automated financial statement disclosure software and a license for proprietary authoritative financial reporting and assurance literature library software.
There were no amounts that were approved by the Audit Committee pursuant to the de minimus exception (Rule 2-01(c)(7) of Regulation S-X) for the fiscal years ended October 31, 2007 and 2006.
Aggregate Fees
Aggregate fees billed to the Fund for non-audit services for 2007 and 2006 were $45,345 and $43,225, respectively. Aggregate fees billed to the Fund’s advisor and service affiliates for non-audit services were $9,092 and $8,792, respectively. These amounts include fees for non-audit services required to be pre-approved and fees for non-audit services that did not require pre-approval since they did not relate to the Fund’s operations and financial reporting.
The Fund’s Audit Committee has considered whether the provisions for non-audit services to the Fund’s advisor and service affiliates, that did not require pre-approval, is compatible with maintaining PwC’s independence.
ITEM 5: | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not Applicable.
ITEM 6: | SCHEDULE OF INVESTMENTS |
See Investment Portfolios under Item 1 on this Form N-CSR.
ITEM 7: | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
ITEM 8: | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
ITEM 9: | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable.
ITEM 10: | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
There have been no material changes to the procedure by which shareholders may recommend nominees to the registrant’s board of directors.
ITEM 11: | CONTROLS AND PROCEDURES |
(a) Based on their evaluation of the Funds’ disclosure controls and procedures, as of a date within 90 days of the filing date, the Funds’ Principal Executive Officer and Principal Financial Officer have concluded that the Funds’ disclosure controls and procedures are: (i) reasonably designed to ensure that information required to be disclosed in this report is appropriately communicated to the Funds’ officers to allow timely decisions regarding disclosures required in this report; (ii) reasonably designed to ensure that information required to be disclosed in this report is recorded, processed, summarized and reported in a timely manner; and (iii) are effective in achieving the goals described in (i) and (ii) above.
(b) During the second fiscal quarter of the period covered by this report, there have been no changes in the Funds’ internal control over financial reporting that the above officers believe to have materially affected, or to be reasonably likely to materially affect, the Funds’ internal control over financial reporting.
ITEM 12: | EXHIBITS |
(a)(1) Code of ethics that is subject to the disclosure of Item 2 above.
(a)(2) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as EX-99.CERT.
(a)(3) Not applicable.
(b) A certification of the Registrant’s principal executive officer and principal financial officer, as required by 18 U.S.C Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, is attached as EX-99.906CERT. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Manning & Napier Fund, Inc. |
/s/ B. Reuben Auspitz |
B. Reuben Auspitz |
President & Principal Executive Officer of Manning & Napier Fund, Inc. |
December 28, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ B. Reuben Auspitz |
B. Reuben Auspitz |
President & Principal Executive Officer of Manning & Napier Fund, Inc. |
December 28, 2007 |
/s/ Christine Glavin |
Christine Glavin |
Chief Financial Officer & Principal Financial Officer of Manning & Napier Fund, Inc. |
December 28, 2007 |