Manning & Napier Fund N-CSRS Certified semi-annual shareholder report (management investment company)

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

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Manning & Napier Fund, Inc.

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(Exact name of registrant as specified in charter)

290 Woodcliff Drive, Fairport, NY 14450

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(Address of principal executive offices)(Zip Code)

B. Reuben Auspitz        290 Woodcliff Drive, Fairport, NY  14450

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(Name and address of agent for service)

Registrant’s telephone number, including area code:  585-325-6880

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Date of fiscal year end: October 31

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Date of reporting period: November 1, 2011 through April 30, 2012

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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

ITEM 1: REPORTS TO STOCKHOLDERS.

	EQUITY SERIES
www.manning-napier.com

Equity Series

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 (November 1, 2011 to April 30, 2012).

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. 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                               11/1/11	ENDING  ACCOUNT VALUE                               4/30/12	EXPENSES PAID  DURING PERIOD*                               11/1/11-4/30/12
Actual	$1,000.00	$1,073.70	$5.41
Hypothetical (5% return before expenses)	$1,000.00	$1,019.64	$5.27

*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 182/366 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Series’ total return would have been lower had certain expenses not been waived during the period.

1

Equity Series

Portfolio Composition as of April 30, 2012

(unaudited)

2

Equity Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES			VALUE         (NOTE 2)
COMMON STOCKS - 98.5%
Consumer Discretionary - 19.9%
Hotels, Restaurants & Leisure - 2.4%
Carnival Corp.		1,462,900		$	47,529,621
Household Durables - 1.2%
DR Horton, Inc.		360,930			5,901,205
Lennar Corp. - Class A		232,170			6,440,396
NVR, Inc.*		6,340			4,970,179
Toll Brothers, Inc.*		218,490			5,549,646
			��
					22,861,426
Internet & Catalog Retail - 3.0%
Amazon.com, Inc.*		232,080			53,819,352
HomeAway, Inc.*		165,998			4,324,248
					58,143,600
Media - 12.2%
AMC Networks, Inc. - Class A*		706,430			30,023,275
DIRECTV - Class A*		901,530			44,418,383
Discovery Communications, Inc. - Class A*		617,630			33,611,424
News Corp. - Class A		1,530,180			29,991,528
Time Warner, Inc.		1,265,700			47,413,122
The Walt Disney Co.		781,590			33,694,345
The Washington Post Co. - Class B		50,670			19,161,874
					238,313,951
Specialty Retail - 1.1%
Dick’s Sporting Goods, Inc.		423,690			21,438,714
Total Consumer Discretionary					388,287,312
Consumer Staples - 5.9%
Beverages - 1.7%
The Coca-Cola Co.		440,820			33,643,382
Food & Staples Retailing - 1.6%
The Kroger Co.		1,309,500			30,472,065
Food Products - 2.6%
H.J. Heinz Co.		356,410			19,000,217
Kraft Foods, Inc. - Class A		814,600			32,478,102
					51,478,319
Total Consumer Staples					115,593,766
Energy - 8.9%
Energy Equipment & Services - 5.6%
Baker Hughes, Inc.		1,440,130			63,524,134
Cameron International Corp.*		380,000			19,475,000

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

3

Equity Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Energy Equipment & Services (continued)
Weatherford International Ltd. - ADR (Switzerland)*		1,771,170	$	25,274,596
				108,273,730
Oil, Gas & Consumable Fuels - 3.3%
Apache Corp.		95,450		9,157,473
EOG Resources, Inc.		92,450		10,151,935
Hess Corp.		868,440		45,280,462
				64,589,870
Total Energy				172,863,600
Financials - 10.2%
Capital Markets - 1.5%
The Charles Schwab Corp.		2,052,320		29,348,176
Consumer Finance - 2.7%
American Express Co.		350,620		21,110,830
Discover Financial Services		915,810		31,045,959
				52,156,789
Diversified Financial Services - 4.3%
CME Group, Inc.		151,250		40,205,275
Moody’s Corp.		1,045,190		42,800,531
				83,005,806
Real Estate Investment Trusts (REITS) - 1.7%
Alexandria Real Estate Equities, Inc.		87,980		6,591,462
BioMed Realty Trust, Inc.		324,280		6,427,230
Corporate Office Properties Trust		265,350		6,248,993
Digital Realty Trust, Inc.		90,730		6,812,916
DuPont Fabros Technology, Inc.		282,850		7,679,377
				33,759,978
Total Financials				198,270,749
Health Care - 14.4%
Biotechnology - 1.1%
Myriad Genetics, Inc.*		845,040		21,979,490
Health Care Equipment & Supplies - 7.5%
Alere, Inc.*		2,265,210		54,115,867
Becton, Dickinson and Co.		656,130		51,473,399
Boston Scientific Corp.*		3,251,270		20,352,950
Volcano Corp.*		773,520		21,001,068
				146,943,284
Health Care Technology - 5.0%
Allscripts Healthcare Solutions, Inc.*		1,795,520		19,894,362

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

4

Equity Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Technology (continued)
Cerner Corp.*		837,110	$	67,881,250
Quality Systems, Inc.		250,480		9,367,952
				97,143,564
Life Sciences Tools & Services - 0.8%
Waters Corp.*		186,180		15,659,600
Total Health Care				281,725,938
Industrials - 10.8%
Air Freight & Logistics - 2.1%
FedEx Corp.		233,070		20,566,097
United Parcel Service, Inc. - Class B		257,600		20,128,864
				40,694,961
Airlines - 3.7%
Southwest Airlines Co.		4,430,210		36,682,139
United Continental Holdings, Inc.*		843,150		18,481,848
US Airways Group, Inc.*		1,687,900		17,317,854
				72,481,841
Construction & Engineering - 1.3%
Quanta Services, Inc.*		1,170,400		25,889,248
Electrical Equipment - 0.8%
Cooper Industries plc (Ireland)		246,430		15,419,125
Machinery - 1.8%
Flowserve Corp.		218,460		25,107,608
Pall Corp.		167,940		10,010,903
				35,118,511
Road & Rail - 1.1%
Norfolk Southern Corp.		288,180		21,016,967
Total Industrials				210,620,653
Information Technology - 24.0%
Communications Equipment - 6.4%
Cisco Systems, Inc.		1,604,880		32,338,332
Juniper Networks, Inc.*		1,762,990		37,780,876
Qualcomm, Inc.		268,550		17,144,232
Riverbed Technology, Inc.*		1,866,570		36,827,426
				124,090,866
Computers & Peripherals - 3.5%
EMC Corp.*		2,399,990		67,703,718
Electronic Equipment, Instruments & Components - 2.5%
Amphenol Corp. - Class A		180,160		10,474,502

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

5

Equity Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Electronic Equipment, Instruments & Components (continued)
Corning, Inc.		2,669,880	$	38,312,778
				48,787,280
Internet Software & Services - 4.5%
Google, Inc. - Class A*		146,140		88,448,312
IT Services - 3.5%
MasterCard, Inc. - Class A		77,290		34,955,948
Visa, Inc. - Class A		272,500		33,512,050
				68,467,998
Software - 3.6%
Autodesk, Inc.*		799,170		31,463,323
Electronic Arts, Inc.*		2,561,400		39,394,332
				70,857,655
Total Information Technology				468,355,829
Materials - 4.4%
Chemicals - 3.2%
Monsanto Co.		820,490		62,504,928
Metals & Mining - 1.2%
Alcoa, Inc.		2,435,470		23,697,123
Total Materials				86,202,051
TOTAL COMMON STOCKS (Identified Cost $1,773,825,923)				1,921,919,898
SHORT-TERM INVESTMENTS - 0.6%
Dreyfus Cash Management, Inc. - Institutional Shares1 , 0.06% (Identified Cost $11,745,046)		11,745,046		11,745,046
TOTAL INVESTMENTS - 99.1% (Identified Cost $1,785,570,969)				1,933,664,944
OTHER ASSETS, LESS LIABILITIES - 0.9%				17,487,779
NET ASSETS - 100%			$	1,951,152,723

ADR - American Depository Receipt

*Non-income producing security

¹ Rate shown is the current yield as of April 30, 2012.

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

6

Equity Series

Statement of Assets and Liabilities

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $1,785,570,969) (Note 2)	$	1,933,664,944
Receivable for securities sold		35,419,917
Receivable for fund shares sold		2,317,261
Dividends receivable		232,472
TOTAL ASSETS		1,971,634,594
LIABILITIES:
Accrued management fees (Note 3)		1,572,858
Accrued transfer agent fees (Note 3)		79,245
Accrued fund accounting and administration fees (Note 3)		66,762
Accrued directors’ fees (Note 3)		6,908
Accrued Chief Compliance Officer service fees (Note 3)		415
Payable for securities purchased		11,003,513
Payable for fund shares repurchased		7,709,865
Other payables and accrued expenses		42,305
TOTAL LIABILITIES		20,481,871
TOTAL NET ASSETS	$	1,951,152,723
NET ASSETS CONSIST OF:
Capital stock	$	1,025,311
Additional paid-in-capital		1,731,519,806
Distributions in excess of net investment income		(1,148,655	)
Accumulated net realized gain on investments		71,662,286
Net unrealized appreciation on investments		148,093,975
TOTAL NET ASSETS	$	1,951,152,723
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A ($1,951,152,723/102,531,085 shares)	$	19.03

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

7

Equity Series

Statement of Operations

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Dividends	$	11,777,962
EXPENSES:
Management fees (Note 3)		9,826,833
Transfer agent fees (Note 3)		355,223
Fund accounting and administration fees (Note 3)		134,010
Directors’ fees (Note 3)		25,631
Chief Compliance Officer service fees (Note 3)		1,246
Custodian fees		54,883
Miscellaneous		124,952
Total Expenses		10,522,778
Less reduction of expenses (Note 3)		(203,853	)
Net Expenses		10,318,925
NET INVESTMENT INCOME		1,459,037
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments		84,097,839
Net change in unrealized appreciation (depreciation) on investments		54,655,104
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		138,752,943
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	140,211,980

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

8

Equity Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	1,459,037		$	4,545,974
Net realized gain (loss) on investments		84,097,839			87,039,146
Net change in unrealized appreciation (depreciation) on investments		54,655,104			(77,567,801	)
Net increase (decrease) from operations		140,211,980			14,017,319
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income		(4,425,681	)		(4,615,453	)
From net realized gain on investments		(70,677,622	)		—
Total distributions to shareholders		(75,103,303	)		(4,615,453	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(38,994,439	)		336,313,975
Net increase in net assets		26,114,238			345,715,841
NET ASSETS:
Beginning of period		1,925,038,485			1,579,322,644
End of period (including distributions in excess of net investment income of $1,148,655 and undistributed net investment income of $1,817,989, respectively)	$	1,951,152,723		$	1,925,038,485

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

9

Equity Series

Financial Highlights

	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED
	4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	18.45		$	17.91		$	15.55		$	13.34		$	21.43		$	19.19
Income (loss) from investment operations:
Net investment income		0.01	1		0.04	1		0.03	1		0.04	1		0.07			0.06
Net realized and unrealized gain (loss) on investments		1.26			0.55			2.35			2.24			(7.35	)		2.65
Total from investment operations		1.27			0.59			2.38			2.28			(7.28	)		2.71
Less distributions to shareholders:
From net investment income		(0.04	)		(0.05	)		(0.02	)		(0.07	)		(0.07	)		(0.05	)
From net realized gain on investments		(0.65	)		—			—			—			(0.74	)		(0.42	)
Total distributions to shareholders		(0.69	)		(0.05	)		(0.02	)		(0.07	)		(0.81	)		(0.47	)
Net asset value - End of period	$	19.03		$	18.45		$	17.91		$	15.55		$	13.34		$	21.43
Net assets - End of period (000’s omitted)	$	1,951,153		$	1,925,038		$	1,579,323		$	1,003,043		$	501,583		$	191,026
Total return2		7.37	%		3.30	%		15.29	%		17.23	%		(35.09	%)		14.37	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%3		1.05	%		1.05	%		1.05	%		1.05	%		1.05	%
Net investment income		0.15	%3		0.24	%		0.17	%		0.26	%		0.56	%		0.45	%
Portfolio turnover		31	%		54	%		56	%		50	%		63	%		44	%
*For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amount:
		0.02	%3		0.02	%		0.02	%		0.06	%		0.06	%		0.11	%

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

³Annualized.

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

10

Equity Series

Notes to Financial Statements

(unaudited)

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, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of April 30, 2012, 9.8 billion shares have been designated in total among 41 series, of which 200 million have been designated as Equity Series Class A common stock.

2. Significant Accounting Policies

Security Valuation

Portfolio securities, including domestic equities, 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.

Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as 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”). 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.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

11

Equity Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

The following is a summary of the valuation levels used for major security types as of April 30, 2012 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	388,287,312	$	388,287,312	$	—	$	—
Consumer Staples		115,593,766		115,593,766		—		—
Energy		172,863,600		172,863,600		—		—
Financials		198,270,749		198,270,749		—		—
Health Care		281,725,938		281,725,938		—		—
Industrials		210,620,653		210,620,653		—		—
Information Technology		468,355,829		468,355,829		—		—
Materials		86,202,051		86,202,051		—		—
Mutual Funds		11,745,046		11,745,046		—		—
Total assets	$	1,933,664,944	$	1,933,664,944	$	—	$	—

*Includes common stock, warrants and rights.

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2011 or April 30, 2012.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2012.

Recent Accounting Standard

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04, “Fair Value Measurements (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs” (“ASU 2011-04”). ASU 2011-04 clarifies the application of existing fair value measurement requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements.

Required disclosures are expanded under the new guidance, especially for fair value measurements that are categorized within Level 3 of the fair value hierarchy, for which quantitative information about the unobservable inputs used, and a narrative description of the valuation processes in place and sensitivity of recurring Level 3 measurements to changes in unobservable inputs will be required.

ASU 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is to be applied prospectively. Management is currently assessing the impact of this guidance, but does not expect it to have a material impact on the Series’ financial statements.

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 Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair 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.

12

Equity Series

Notes to Financial Statements (continued)

(unaudited)

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 tax 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.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2012, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2008 through October 31, 2011. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Foreign Taxes

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

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

13

Equity Series

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

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 plus a fee for each committee meeting attended.

The Advisor has contractually agreed, until at least February 28, 2013, 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 $203,853 for the six months ended April 30, 2012, which is included 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.

The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent. The Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0175% on the first $3 billion of average daily net assets (excluding Target Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series); plus a base fee of $25,500 per series. Transfer Agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and cusip-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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2012, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $588,422,694 and $622,821,555, respectively. There were no purchases or sales of U.S. Government securities.

5. Capital Stock Transactions

Transactions in shares of Equity Series were:

	FOR THE SIX MONTHS ENDED  4/30/12						FOR THE YEAR ENDED  10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		17,103,528		$	315,767,472			47,769,996		$	922,192,040
Reinvested		2,205,706			37,144,091			106,294			2,006,821
Repurchased		(21,111,175	)		(391,906,002	)		(31,743,999	)		(587,884,886	)
Total		(1,801,941	)	$	(38,994,439	)		16,132,291		$	336,313,975

At April 30, 2012, the retirement plan of the Advisor and its affiliates owned 221,025 shares of the Series (0.2% of shares outstanding) valued at $4,206,101.

6. Financial Instruments

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various

14

Equity Series

Notes to Financial Statements (continued)

(unaudited)

6. Financial Instruments (continued)

market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms, liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s) and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of April 30, 2012.

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 U.S. 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 U.S. 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. 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 final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2011, were as follows:

Ordinary income                                                                              $         4,615,453

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act made changes to several tax rules including the unlimited carryover of future capital losses, which will retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Series were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At April 30, 2012, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	1,792,180,924
Unrealized appreciation		242,593,049
Unrealized depreciation		(101,109,029	)
Net unrealized appreciation	$	141,484,020

15

Equity Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2011, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board.

Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2011 Annual Review of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.

• The Board considered the services provided by the Advisor under the 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 Agreement in light of the Advisor’s services provided to the Fund for 25 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 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 the various Series were competitive against their respective benchmarks and/or peer groups over various time periods, but in particular over the full market cycle period relevant for the Series. 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 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 Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the 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 10 of the 29 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 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 Pro-Blend Class R and Class C, and Target Class R and Class C (and a few Class K), 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.

16

Equity Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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 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 persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the 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 Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.

17

Equity Series

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 our web site	http://www.manning-napier.com

Additional information available at www.manning-napier.com

1. Fund Holdings - Month-End

2. Fund Holdings - Quarter-End

3. Shareholder Report - Annual

4. Shareholder Report - Semi-Annual

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

MNEQY-04/12-SAR

	TAX MANAGED SERIES
www.manning-napier.com

Tax Managed Series

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 (November 1, 2011 to April 30, 2012).

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. 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                                11/1/11	ENDING  ACCOUNT VALUE                               4/30/12	EXPENSES PAID  DURING  PERIOD*                              11/1/11-4/30/12
Actual	$1,000.00	$1,077.00	$6.20
Hypothetical (5% return before expenses)	$1,000.00	$1,018.90	$6.02

*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 182/366 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Series’ total return would have been lower had certain expenses not been waived during the period.

1

Tax Managed Series

Portfolio Composition as of April 30, 2012

(unaudited)

2

Tax Managed Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 98.1%
Consumer Discretionary - 23.0%
Automobiles - 0.9%
Toyota Motor Corp. - ADR (Japan)		4,920	$	402,358
Hotels, Restaurants & Leisure - 2.8%
Accor S.A. (France)1		4,240		146,622
Carnival Corp.		35,150		1,142,023
				1,288,645
Internet & Catalog Retail - 2.2%
Amazon.com, Inc.*		4,400		1,020,360
Media - 16.1%
AMC Networks, Inc. - Class A*		16,850		716,125
DIRECTV - Class A*		19,250		948,447
Discovery Communications, Inc. - Class A*		10,790		587,192
Imax Corp. (Canada)*		12,250		293,633
News Corp. - Class A		43,210		846,916
Time Warner, Inc.		27,860		1,043,636
Virgin Media, Inc. - ADR (United Kingdom)		32,270		792,551
The Walt Disney Co.		40,430		1,742,937
The Washington Post Co. - Class B		1,290		487,839
				7,459,276
Specialty Retail - 1.0%
Dick’s Sporting Goods, Inc.		9,010		455,906
Total Consumer Discretionary				10,626,545
Consumer Staples - 8.1%
Beverages - 2.6%
Anheuser-Busch InBev N.V. (Belgium)1		8,940		644,353
The Coca-Cola Co.		7,280		555,610
				1,199,963
Food & Staples Retailing - 1.5%
Koninklijke Ahold N.V. (Netherlands)1		12,600		159,924
The Kroger Co.		24,220		563,599
				723,523
Food Products - 4.0%
Danone (France)1		11,410		803,251
Nestle S.A. (Switzerland)1		4,770		292,350
Unilever plc - ADR (United Kingdom)		21,980		754,354
				1,849,955
Total Consumer Staples				3,773,441

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

3

Tax Managed Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Energy - 10.2%
Energy Equipment & Services - 5.6%
Baker Hughes, Inc.		17,500	$	771,925
Cameron International Corp.*		7,730		396,163
Schlumberger Ltd.		11,030		817,764
Weatherford International Ltd. - ADR (Switzerland)*		41,680		594,774
				2,580,626
Oil, Gas & Consumable Fuels - 4.6%
Apache Corp.		2,230		213,946
Chesapeake Energy Corp.		11,940		220,173
Encana Corp. (Canada)		13,540		283,528
EOG Resources, Inc.		1,970		216,326
Hess Corp.		17,010		886,901
Range Resources Corp.		4,880		325,301
				2,146,175
Total Energy				4,726,801
Financials - 10.5%
Capital Markets - 2.2%
The Charles Schwab Corp.		24,410		349,063
State Street Corp.		14,700		679,434
				1,028,497
Commercial Banks - 0.8%
Banco Santander S.A. (Spain)1		59,400		372,949
Consumer Finance - 3.2%
American Express Co.		7,950		478,669
Discover Financial Services		29,690		1,006,491
				1,485,160
Diversified Financial Services - 4.2%
CME Group, Inc.		1,750		465,185
Deutsche Boerse AG (Germany)1		10,860		681,886
Moody’s Corp.		18,930		775,183
				1,922,254
Real Estate Investment Trusts (REITS) - 0.1%
DuPont Fabros Technology, Inc.		1,490		40,453
Total Financials				4,849,313
Health Care - 9.3%
Biotechnology - 1.0%
BioMarin Pharmaceutical, Inc.*		13,200		458,040
Health Care Equipment & Supplies - 3.5%
Alere, Inc.*		1,050		25,085

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

4

Tax Managed Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Becton, Dickinson and Co.		9,120	$	715,464
Boston Scientific Corp.*		71,080		444,961
Volcano Corp.*		16,840		457,206
				1,642,716
Health Care Technology - 3.5%
Allscripts Healthcare Solutions, Inc.*		22,820		252,845
Cerner Corp.*		16,600		1,346,094
				1,598,939
Life Sciences Tools & Services - 1.3%
QIAGEN N.V. - ADR (Netherlands)*		15,000		250,950
Waters Corp.*		4,280		359,991
				610,941
Total Health Care				4,310,636
Industrials - 9.8%
Air Freight & Logistics - 1.9%
FedEx Corp.		5,240		462,378
United Parcel Service, Inc. - Class B		5,480		428,207
				890,585
Airlines - 2.4%
Ryanair Holdings plc - ADR (Ireland)*		16,750		563,973
Southwest Airlines Co.		64,530		534,308
				1,098,281
Construction & Engineering - 1.4%
Quanta Services, Inc.*		30,330		670,900
Machinery - 2.5%
Flowserve Corp.		5,900		678,087
Pall Corp.		3,730		222,345
Westport Innovations, Inc. - ADR (Canada)*		7,500		234,870
				1,135,302
Road & Rail - 1.6%
Norfolk Southern Corp.		10,290		750,450
Total Industrials				4,545,518
Information Technology - 20.7%
Communications Equipment - 6.5%
Cisco Systems, Inc.		34,110		687,317
Juniper Networks, Inc.*		29,420		630,470
Qualcomm, Inc.		20,440		1,304,890

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

5

Tax Managed Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Communications Equipment (continued)
Riverbed Technology, Inc.*		20,560	$	405,649
				3,028,326
Computers & Peripherals - 3.3%
EMC Corp.*		54,010		1,523,622
Electronic Equipment, Instruments & Components - 1.9%
Corning, Inc.		61,860		887,691
Internet Software & Services - 4.0%
Google, Inc. - Class A*		3,090		1,870,161
IT Services - 3.8%
Amadeus IT Holding S.A. - Class A (Spain)1		15,170		310,558
Amdocs Ltd. - ADR (Guernsey)*		10,730		343,360
MasterCard, Inc. - Class A		1,200		542,724
Visa, Inc. - Class A		4,410		542,342
				1,738,984
Software - 1.2%
Autodesk, Inc.*		14,060		553,542
Total Information Technology				9,602,326
Materials - 4.6%
Chemicals - 3.7%
Monsanto Co.		17,520		1,334,674
Syngenta AG (Switzerland)1		1,020		357,690
				1,692,364
Metals & Mining - 0.9%
Alcoa, Inc.		43,460		422,866
Total Materials				2,115,230
Telecommunication Services - 1.9%
Diversified Telecommunication Services - 1.9%
Telenor ASA (Norway)1		48,430		890,212
TOTAL COMMON STOCKS (Identified Cost $36,927,291)				45,440,022

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

6

Tax Managed Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
SHORT-TERM INVESTMENTS - 2.4%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.06% (Identified Cost $1,105,596)		1,105,596	$	1,105,596
TOTAL INVESTMENTS - 100.5% (Identified Cost $38,032,887)				46,545,618
LIABILITIES, LESS OTHER ASSETS - (0.5%)				(245,291	)
NET ASSETS - 100%			$	46,300,327

ADR - American Depository Receipt

*Non-income producing security

¹ A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

² Rate shown is the current yield as of April 30, 2012.

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

7

Tax Managed Series

Statement of Assets and Liabilities

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $38,032,887) (Note 2)	$	46,545,618
Foreign currency (identified cost $6,657)		6,661
Receivable for securities sold		1,701,765
Dividends receivable		34,439
Foreign tax reclaims receivable		31,323
Receivable for fund shares sold		27,781
TOTAL ASSETS		48,347,587
LIABILITIES:
Accrued management fees (Note 3)		34,911
Accrued fund accounting and administration fees (Note 3)		8,894
Accrued transfer agent fees (Note 3)		2,345
Accrued Chief Compliance Officer service fees (Note 3)		415
Accrued directors’ fees (Note 3)		325
Payable for securities purchased		1,969,978
Payable for fund shares repurchased		8,831
Other payables and accrued expenses		21,561
TOTAL LIABILITIES		2,047,260
TOTAL NET ASSETS	$	46,300,327
NET ASSETS CONSIST OF:
Capital stock	$	17,268
Additional paid-in-capital		39,934,126
Distributions in excess of net investment income		(5,133	)
Accumulated net realized loss on investments, foreign currency and translation of other assets and liabilities		(2,160,522	)
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		8,514,588
TOTAL NET ASSETS	$	46,300,327
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A ($46,300,327/1,726,779 shares)	$	26.81

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

8

Tax Managed Series

Statement of Operations

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $10,797)	$	297,438
EXPENSES:
Management fees (Note 3)		232,806
Fund accounting and administration fees (Note 3)		18,055
Transfer agent fees (Note 3)		5,113
Chief Compliance Officer service fees (Note 3)		1,246
Directors’ fees (Note 3)		737
Custodian fees		3,192
Miscellaneous		37,158
Total Expenses		298,307
Less reduction of expenses (Note 3)		(18,940	)
Net Expenses		279,367
NET INVESTMENT INCOME		18,071
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		1,936,642
Foreign currency and translation of other assets and liabilities		291
		1,936,933
Net change in unrealized appreciation (depreciation) on-
Investments		1,573,162
Foreign currency and translation of other assets and liabilities		(1,208	)
		1,571,954
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		3,508,887
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,526,958

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

9

Tax Managed Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	18,071		$	150,021
Net realized gain (loss) on investments and foreign currency		1,936,933			(1,083,014	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency		1,571,954			69,312
Net increase (decrease) from operations		3,526,958			(863,681	)
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income		(136,434	)		(135,784	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(4,753,560	)		3,387,055
Net increase (decrease) in net assets		(1,363,036	)		2,387,590
NET ASSETS:
Beginning of period		47,663,363			45,275,773
End of period (including distributions in excess of net investment income of $5,133 and undistributed net investment income of $113,230, respectively)	$	46,300,327		$	47,663,363

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

10

Tax Managed Series

Financial Highlights

	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED
	4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	24.96		$	25.01		$	21.32		$	18.26		$	28.44		$	27.01
Income (loss) from investment operations: Net investment income		0.01	1		0.08	1		0.06	1		0.06	1		0.12			0.08
Net realized and unrealized gain (loss) on investments		1.91			(0.06	)		3.67			3.11			(9.42	)		3.44
Total from investment operations		1.92			0.02			3.73			3.17			(9.30	)		3.52
Less distributions to shareholders:
From net investment income		(0.07	)		(0.07	)		(0.04	)		(0.11	)		(0.09	)		(0.14	)
From net realized gain on investments		—			—			—			—			(0.79	)		(1.95	)
Total distributions to shareholders		(0.07	)		(0.07	)		(0.04	)		(0.11	)		(0.88	)		(2.09	)
Net asset value - End of period	$	26.81		$	24.96		$	25.01		$	21.32		$	18.26		$	28.44
Net assets - End of period (000’s omitted)	$	46,300		$	47,663		$	45,276		$	29,259		$	15,530		$	25,695
Total return2		7.70	%		0.08	%		17.50	%		17.57	%		(33.62	%)		13.65	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.20	%3		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%
Net investment income		0.08	%3		0.29	%		0.28	%		0.31	%		0.44	%		0.38	%
Portfolio turnover		21	%		57	%		56	%		48	%		96	%		65	%
*For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amount:
		0.08	%3		0.04	%		0.14	%		0.24	%		0.20	%		0.25	%

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

³Annualized.

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

11

Tax Managed Series

Notes to Financial Statements

(unaudited)

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, D, E and Z). 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, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of April 30, 2012, 9.8 billion shares have been designated in total among 41 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.

Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as 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”). 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. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.

12

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of April 30, 2012 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	10,626,545	$	10,479,923	$	146,622	$	—
Consumer Staples		3,773,441		1,873,563		1,899,878		—
Energy		4,726,801		4,726,801		—		—
Financials		4,849,313		3,794,478		1,054,835		—
Health Care		4,310,636		4,310,636		—		—
Industrials		4,545,518		4,545,518		—		—
Information Technology		9,602,326		9,291,768		310,558		—
Materials		2,115,230		1,757,540		357,690		—
Telecommunication Services		890,212		—		890,212		—
Mutual Funds		1,105,596		1,105,596		—		—
Total assets	$	46,545,618	$	41,885,823	$	4,659,795	$	—

*Includes common stock, warrants and rights. Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the security’s fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of October 31, 2011 or April 30, 2012.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2012.

Recent Accounting Standard

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04, “Fair Value Measurements (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs” (“ASU 2011-04”). ASU 2011-04 clarifies the application of existing fair value measurement requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements.

Required disclosures are expanded under the new guidance, especially for fair value measurements that are categorized within Level 3 of the fair value hierarchy, for which quantitative information about the unobservable inputs used, and a narrative description of the valuation processes in place and sensitivity of recurring Level 3 measurements to changes in unobservable inputs will be required.

ASU 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is to be applied prospectively. Management is currently assessing the impact of this guidance, but does not expect it to have a material impact on the Series’ financial statements.

13

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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 Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair 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 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 fair 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 tax 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.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2012, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2008 through October 31, 2011. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Foreign Taxes

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

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.

14

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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 plus a fee for each committee meeting attended.

The Advisor has contractually agreed, until at least February 28, 2013, 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 $18,940 for the six months ended April 30, 2012, which is included 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.

The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent. The Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0175% on the first $3 billion of average daily net assets (excluding Target Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series); plus a base fee of $25,500 per series. Transfer Agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and cusip-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.

15

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

4. Purchases and Sales of Securities

For the six months ended April 30, 2012, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $9,460,983 and $13,113,932, respectively. There were no purchases or sales of U.S. Government securities.

5. Capital Stock Transactions

Transactions in Class A shares of Tax Managed Series were:

	FOR THE SIX MONTHS ENDED  4/30/12						FOR THE YEAR ENDED  10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		136,790		$	3,459,911			570,847		$	15,268,622
Reinvested		2,158			51,213			1,543			40,496
Repurchased		(322,017	)		(8,264,684	)		(473,149	)		(11,922,063	)
Total		(183,069	)	$	(4,753,560	)		99,241		$	3,387,055

At April 30, 2012, one omnibus account owned 1,010,926 shares of the Series (58.5% of shares outstanding) valued at $27,092,821. Investment activities of this shareholder may have a material effect on the Series.

6. Financial Instruments

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms, liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s) and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of April 30, 2012.

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 U.S. 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 U.S. 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. 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 final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2011 were as follows:

Ordinary income $       135,784

16

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

8. Federal Income Tax Information (continued)

At October 31, 2011, the Series had a capital loss carryover of $3,996,162, available to the extent allowed by tax law to offset future net capital gain, if any, that will expire as follows:

LOSS CARRYOVER	EXPIRATION DATE
$1,141,000	October 31, 2016
$1,769,992	October 31, 2017
$1,085,170	October 31, 2019

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act made changes to several tax rules including the unlimited carryover of future capital losses, which will retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Series were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At April 30, 2012, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	38,134,180
Unrealized appreciation		9,318,882
Unrealized depreciation		(907,444	)
Net unrealized appreciation	$	8,411,438

17

Tax Managed Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2011, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board.

Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2011 Annual Review of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.

• The Board considered the services provided by the Advisor under the 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 Agreement in light of the Advisor’s services provided to the Fund for 25 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 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 the various Series were competitive against their respective benchmarks and/or peer groups over various time periods, but in particular over the full market cycle period relevant for the Series. 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 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 Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the 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 10 of the 29 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 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 Pro-Blend Class R and Class C, and Target Class R and Class C (and a few Class K), 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.

18

Tax Managed Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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 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 persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the 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 Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.

19

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20

Tax Managed Series

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 30^th 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 1^st and 3^rd 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 our web site	http://www.manning-napier.com

Additional information available at www.manning-napier.com

1. Fund Holdings - Month-End

2. Fund Holdings - Quarter-End

3. Shareholder Report - Annual

4. Shareholder Report - Semi-Annual

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

MNTAX-04/12-SAR

	TARGET INCOME SERIES
	TARGET 2010 SERIES
	TARGET 2020 SERIES
	TARGET 2030 SERIES
	TARGET 2040 SERIES
	TARGET 2050 SERIES
www.manning-napier.com

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 six month period (November 1, 2011 to April 30, 2012).

Actual Expenses

The Actual lines of the following tables provide information about actual account values and actual expenses. You may use the information in these lines, 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 Actual line for the Series and Class in which you have invested 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 Hypothetical lines of the following tables provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ 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 for the Series and Class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines of the tables are 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                              11/1/11	ENDING ACCOUNT VALUE                              4/30/12	EXPENSES PAID DURING PERIOD                          11/1/11-4/30/121	ANNUALIZED EXPENSE RATIO2
Target Income
Actual (Class K)	$1,000.00	$1,040.10	$1.52	0.30%
Hypothetical3	$1,000.00	$1,023.37	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,038.60	$2.79	0.55%
Hypothetical3	$1,000.00	$1,022.13	$2.77	0.55%
Actual (Class C)	$1,000.00	$1,036.50	$5.32	1.05%
Hypothetical3	$1,000.00	$1,019.64	$5.27	1.05%
Actual (Class I)	$1,000.00	$1,042.50	$0.25	0.05%
Hypothetical3	$1,000.00	$1,024.61	$0.25	0.05%

1

Shareholder Expense Example

(unaudited)

	BEGINNING ACCOUNT VALUE                          11/1/11	ENDING ACCOUNT VALUE                          4/30/12	EXPENSES PAID DURING PERIOD                          11/1/11-4/30/121	ANNUALIZED EXPENSE RATIO2
Target 2010
Actual (Class K)	$1,000.00	$1,048.90	$1.53	0.30%
Hypothetical3	$1,000.00	$1,023.37	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,047.90	$2.80	0.55%
Hypothetical3	$1,000.00	$1,022.13	$2.77	0.55%
Actual (Class C)	$1,000.00	$1,044.70	$5.34	1.05%
Hypothetical3	$1,000.00	$1,019.64	$5.27	1.05%
Actual (Class I)	$1,000.00	$1,050.40	$0.25	0.05%
Hypothetical3	$1,000.00	$1,024.61	$0.25	0.05%
	BEGINNING ACCOUNT VALUE 11/1/11	ENDING ACCOUNT VALUE 4/30/12	EXPENSES PAID DURING PERIOD 11/1/11-4/30/121	ANNUALIZED EXPENSE RATIO2
Target 2020
Actual (Class K)	$1,000.00	$1,057.60	$1.53	0.30%
Hypothetical3	$1,000.00	$1,023.37	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,055.90	$2.81	0.55%
Hypothetical3	$1,000.00	$1,022.13	$2.77	0.55%
Actual (Class C)	$1,000.00	$1,052.60	$5.36	1.05%
Hypothetical3	$1,000.00	$1,019.64	$5.27	1.05%
Actual (Class I)	$1,000.00	$1,058.20	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.61	$0.25	0.05%
	BEGINNING ACCOUNT VALUE 11/1/11	ENDING ACCOUNT VALUE 4/30/12	EXPENSES PAID DURING PERIOD 11/1/11-4/30/121	ANNUALIZED EXPENSE RATIO2
Target 2030
Actual (Class K)	$1,000.00	$1,058.10	$1.54	0.30%
Hypothetical3	$1,000.00	$1,023.37	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,056.20	$2.81	0.55%
Hypothetical3	$1,000.00	$1,022.13	$2.77	0.55%
Actual (Class C)	$1,000.00	$1,053.90	$5.36	1.05%
Hypothetical3	$1,000.00	$1,019.64	$5.27	1.05%
Actual (Class I)	$1,000.00	$1,059.60	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.61	$0.25	0.05%

2

Shareholder Expense Example

(unaudited)

	BEGINNING ACCOUNT VALUE                      11/1/11	ENDING ACCOUNT VALUE                      4/30/12	EXPENSES PAID DURING PERIOD                      11/1/11-4/30/121	ANNUALIZED EXPENSE RATIO2
Target 2040
Actual (Class K)	$1,000.00	$1,071.60	$1.55	0.30%
Hypothetical3	$1,000.00	$1,023.37	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,069.70	$2.83	0.55%
Hypothetical3	$1,000.00	$1,022.13	$2.77	0.55%
Actual (Class C)	$1,000.00	$1,066.90	$5.40	1.05%
Hypothetical3	$1,000.00	$1,019.64	$5.27	1.05%
Actual (Class I)	$1,000.00	$1,071.90	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.61	$0.25	0.05%
	BEGINNING ACCOUNT VALUE 11/1/11	ENDING ACCOUNT VALUE 4/30/12	EXPENSES PAID DURING PERIOD 11/1/11-4/30/121	ANNUALIZED EXPENSE RATIO2
Target 2050
Actual (Class K)	$1,000.00	$1,070.90	$1.54	0.30%
Hypothetical3	$1,000.00	$1,023.37	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,069.60	$2.83	0.55%
Hypothetical3	$1,000.00	$1,022.13	$2.77	0.55%
Actual (Class C)	$1,000.00	$1,066.50	$5.39	1.05%
Hypothetical3	$1,000.00	$1,019.64	$5.27	1.05%
Actual (Class I)	$1,000.00	$1,072.00	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.61	$0.25	0.05%

¹Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Class’ total returns would have been lower had certain expenses not been reimbursed during the period.

²Expense ratios of the Class do not include fees and expenses indirectly incurred by the underlying funds. If these expenses were included, the expense ratios would have been higher.

³Assumes 5% annual return before expenses.

3

Portfolio Composition as of April 30, 2012 - Asset Allocation¹

(unaudited)

¹ As a percentage of net assets of the underlying investment(s) for each Series.

² A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

4

Statement of Assets and Liabilities

April 30, 2012 (unaudited)

	TARGET INCOME			TARGET 2010			TARGET 2020			TARGET 2030		TARGET 2040			TARGET 2050
ASSETS:
Manning & Napier Pro-Blend® Maximum Term
Series - Class I (7,021,587 shares and 2,721,635 shares, respectively)	$	—		$	—		$	—		$	—	$	75,692,710		$	29,339,220
Manning & Napier Pro-Blend® Extended Term
Series - Class I (5,698,980 shares and 10,744,667 shares, respectively)		—			—			58,927,451			111,099,857		—			—
Manning & Napier Pro-Blend® Moderate Term
Series - Class I (2,468,265 shares and 5,538,327 shares, respectively)		—			25,966,143			58,263,196			—		—			—
Manning & Napier Pro-Blend® Conservative Term
Series - Class I (5,128,219 shares and 1,562,472 shares, respectively)		55,384,766			16,874,695			—			—		—			—
Total investments in securities:
At value*		55,384,766			42,840,838			117,190,647			111,099,857		75,692,710			29,339,220
Receivable from Advisor (Note 3)		8,611			9,143			7,071			7,173		8,094			9,663
Receivable for securities sold		520			54,122			507			507		507			507
Receivable for fund shares sold		389,274			15,421			427,159			390,573		168,574			40,191
Prepaid registration and filing fees		22,665			23,665			26,318			24,814		24,012			23,929
TOTAL ASSETS		55,805,836			42,943,189			117,651,702			111,522,924		75,893,897			29,413,510
LIABILITIES:
Accrued fund accounting and administration fees (Note 3)		11,186			11,080			11,601			11,558		11,317			10,996
Accrued distribution and service (Rule 12b-1) fees (Note 3)		11,417			8,349			22,788			19,773		14,978			6,462
Accrued transfer agent fees (Note 3)		2,545			2,129			2,525			2,274		2,477			2,442
Accrued Chief Compliance Officer service fees (Note 3)		416			416			416			416		416			416
Accrued Directors’ fees (Note 3)		326			173			459			360		265			108
Payable for securities purchased		302,988			—			382,853			327,346		137,551			38,501
Payable for fund shares repurchased		86,286			69,035			44,305			60,151		30,792			1,196
Audit fees payable		11,432			11,287			11,271			11,287		11,342			11,389
Other payables and accrued expenses		2,896			3,235			4,670			4,828		3,580			2,857
TOTAL LIABILITIES		429,492			105,704			480,888			437,993		212,718			74,367
TOTAL NET ASSETS	$	55,376,344		$	42,837,485		$	117,170,814		$	111,084,931	$	75,681,179		$	29,339,143
NET ASSETS CONSIST OF:
Capital stock		52,165			43,638			120,636			114,643		74,685			27,624
Additional paid-in-capital		48,561,059			40,424,417			110,264,770			104,041,914		69,386,458			26,956,869
Undistributed net investment income (loss)		(73,203	)		(170,621	)		(191,450	)		18,178		(41,051	)		(24,301	)
Accumulated net realized gain on underlying series		1,606,651			1,491,400			4,598,961			3,610,307		184,160			31,962
Net unrealized appreciation on underlying series		5,229,672			1,048,651			2,377,897			3,299,889		6,076,927			2,346,989
TOTAL NET ASSETS	$	55,376,344		$	42,837,485		$	117,170,814		$	111,084,931	$	75,681,179		$	29,339,143

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

5

Statement of Assets and Liabilities

April 30, 2012 (unaudited)

	TARGET INCOME		TARGET 2010		TARGET 2020		TARGET 2030		TARGET 2040		TARGET 2050
Class K
Net Assets	$	44,517,202	$	23,468,255	$	54,411,244	$	60,323,143	$	41,140,293	$	21,630,282
Shares Outstanding		4,190,713		2,389,753		5,594,135		6,231,963		4,059,203		2,035,449
Net Asset Value, Offering Price, and Redemption Price per share	$	10.62	$	9.82	$	9.73	$	9.68	$	10.14	$	10.63
Class R
Net Assets	$	3,706,575	$	5,684,980	$	20,773,852	$	13,160,867	$	14,624,407	$	3,238,732
Shares Outstanding		352,247		583,750		2,159,825		1,369,059		1,452,836		306,536
Net Asset Value, Offering Price, and Redemption Price per share	$	10.52	$	9.74	$	9.62	$	9.61	$	10.07	$	10.57
Class C
Net Assets	$	1,090,092	$	1,557,723	$	4,303,284	$	2,895,400	$	950,366	$	1,049,877
Shares Outstanding		104,546		160,438		448,606		302,785		95,354		100,534
Net Asset Value, Offering Price, and Redemption Price per share	$	10.43	$	9.71	$	9.59	$	9.56	$	9.97	$	10.44
Class I
Net Assets	$	6,062,475	$	12,126,527	$	37,682,434	$	34,705,521	$	18,966,113	$	3,420,252
Shares Outstanding		568,953		1,229,895		3,861,054		3,560,454		1,861,096		319,905
Net Asset Value, Offering Price, and Redemption Price per share	$	10.66	$	9.86	$	9.76	$	9.75	$	10.19	$	10.69
*At identified cost	$	50,155,094	$	41,792,187	$	114,812,750	$	107,799,968	$	69,615,783	$	26,992,231

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

6

Statement of Operations

For the Six Months Ended April 30, 2012 (unaudited)

	TARGET INCOME			TARGET 2010			TARGET 2020			TARGET 2030			TARGET 2040			TARGET 2050
INVESTMENT INCOME:
Income distributions from underlying series	$	783,195		$	586,736		$	1,477,879		$	1,232,285		$	419,707		$	157,899
EXPENSES:
Distribution and services (Rule 12b-1) fees (Class K) (Note 3)		54,146			28,353			64,136			71,228			47,547			24,289
Distribution and services (Rule 12b-1) fees (Class C) (Note 3)		6,217			8,628			20,381			13,157			4,491			4,861
Distribution and services (Rule 12b-1) fees (Class R) (Note 3)		5,734			13,112			45,754			27,581			32,606			6,908
Fund accounting and administration fees (Note 3)		22,822			22,682			23,519			23,440			23,023			22,493
Transfer agent fees (Note 3)		4,833			4,398			5,476			5,231			5,094			4,965
Chief Compliance Officer service fees (Note 3)		1,246			1,246			1,246			1,246			1,246			1,246
Directors’ fees (Note 3)		738			543			1,356			1,259			864			322
Registration and filing fees		22,410			22,424			22,490			22,467			22,440			22,426
Audit fees		7,937			7,938			7,941			7,941			7,941			7,937
Custodian fees		1,237			1,993			2,235			2,222			1,239			1,237
Miscellaneous		5,519			5,491			7,630			7,378			6,362			5,241
Total Expenses		132,839			116,808			202,164			183,150			152,853			101,925
Less reduction of expenses (Note 3)		(52,915	)		(55,708	)		(44,130	)		(44,999	)		(50,357	)		(58,720	)
Net Expenses		79,924			61,100			158,034			138,151			102,496			43,205
NET INVESTMENT INCOME		703,271			525,636			1,319,845			1,094,134			317,211			114,694
REALIZED AND UNREALIZED
GAIN (LOSS) ON UNDERLYING SERIES:
Net realized gain (loss) on underlying series		626,955			164,561			346,582			166,453			185,661			34,374
Distributions of realized gains from underlying series		982,013			1,327,217			4,255,728			3,448,916			—			—
Net change in unrealized appreciation (depreciation) on underlying series		(196,264	)		(43,131	)		244,116			1,223,367			4,320,616			1,688,931
NET REALIZED AND UNREALIZED GAIN (LOSS) ON UNDERLYING SERIES		1,412,704			1,448,647			4,846,426			4,838,736			4,506,277			1,723,305
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,115,975		$	1,974,283		$	6,166,271		$	5,932,870		$	4,823,488		$	1,837,999

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

7

Statements of Changes in Net Assets

	TARGET INCOME FOR THE SIX						TARGET 2010 FOR THE SIX						TARGET 2020 FOR THE SIX
	MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	703,271		$	1,006,787		$	525,636		$	611,903		$	1,319,845		$	1,649,009
Net realized gain (loss) on underlying series		626,955			1,050,632			164,561			3,090,004			346,582			7,146,008
Distributions of realized gains from underlying series		982,013			1,489,802			1,327,217			614,501			4,255,728			302,122
Net change in unrealized appreciation (depreciation) on underlying series		(196,264	)		(2,211,399	)		(43,131	)		(3,243,066	)		244,116			(6,642,777	)
Net increase from operations		2,115,975			1,335,822			1,974,283			1,073,342			6,166,271			2,454,362
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class K)		(737,666	)		(1,420,895	)		(418,995	)		(479,554	)		(787,891	)		(1,234,032	)
From net investment income (Class R)		(11,052	)		(9,440	)		(88,480	)		(58,775	)		(250,321	)		(218,696	)
From net investment income (Class C)		(19,533	)		(29,218	)		(25,712	)		(24,168	)		(50,831	)		(52,453	)
From net investment income (Class I)		(97,402	)		(12,717	)		(225,399	)		(29,812	)		(594,098	)		(86,948	)
From net realized gain on investments (Class K)		(1,776,212	)		(492,224	)		(2,048,959	)		(529,696	)		(3,524,215	)		(2,143,359	)
From net realized gain on investments (Class R)		(27,719	)		(3,558	)		(462,011	)		(72,781	)		(1,200,023	)		(426,909	)
From net realized gain on investments (Class C)		(60,498	)		(12,892	)		(171,418	)		(43,987	)		(303,902	)		(140,280	)
From net realized gain on investments (Class I)		(216,121	)		(3,136	)		(1,019,074	)		(27,354	)		(2,414,187	)		(128,094	)
Total distributions to shareholders		(2,946,203	)		(1,984,080	)		(4,460,048	)		(1,266,127	)		(9,125,468	)		(4,430,771	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 6)		5,479,236			2,650,464			4,798,633			5,446,293			18,317,774			19,669,116
Net increase in net assets		4,649,008			2,002,206			2,312,868			5,253,508			15,358,577			17,692,707
NET ASSETS:
Beginning of period		50,727,336			48,725,130			40,524,617			35,271,109			101,812,237			84,119,530
End of period1	$	55,376,344		$	50,727,336		$	42,837,485		$	40,524,617		$	117,170,814		$	101,812,237
1 Including undistributed net investment income of:		(73,203	)		89,179			(170,621	)		62,329			(191,450	)		171,846

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

8

Statements of Changes in Net Assets

	TARGET 2030 FOR THE SIX						TARGET 2040 FOR THE SIX						TARGET 2050 FOR THE SIX
	MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	1,094,134		$	1,285,878		$	317,211		$	472,744		$	114,694		$	162,934
Net realized gain (loss) on underlying series		166,453			6,856,640			185,661			3,464,524			34,374			457,861
Distributions of realized gains from underlying series		3,448,916			—			—			—			—			—
Net change in unrealized appreciation (depreciation) on underlying series		1,223,367			(5,730,579	)		4,320,616			(3,996,816	)		1,688,931			(661,564	)
Net increase from operations		5,932,870			2,411,939			4,823,488			(59,548	)		1,837,999			(40,769	)
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class K)		(676,133	)		(1,038,708	)		(231,537	)		(364,102	)		(122,417	)		(130,602	)
From net investment income (Class R)		(110,325	)		(95,429	)		(64,451	)		(55,126	)		(13,145	)		(13,664	)
From net investment income (Class C)		(21,358	)		(20,789	)		(2,080	)		(2,590	)		(2,607	)		(3,344	)
From net investment income (Class I)		(424,498	)		(58,516	)		(121,802	)		(14,836	)		(19,812	)		(1,727	)
From net realized gain on investments (Class K)		(3,843,451	)		(1,998,432	)		(1,939,029	)		(405,746	)		(344,780	)		(29,662	)
From net realized gain on investments (Class R)		(685,589	)		(212,808	)		(649,307	)		(81,999	)		(47,839	)		(4,292	)
From net realized gain on investments (Class C)		(181,828	)		(68,377	)		(48,306	)		(8,299	)		(18,248	)		(1,754	)
From net realized gain on investments (Class I)		(2,137,168	)		(89,785	)		(821,635	)		(10,968	)		(46,342	)		(255	)
Total distributions to shareholders		(8,080,350	)		(3,582,844	)		(3,878,147	)		(943,666	)		(615,190	)		(185,300	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 6)		17,788,866			18,055,075			11,197,168			12,014,839			4,067,547			5,906,849
Net increase in net assets		15,641,386			16,884,170			12,142,509			11,011,625			5,290,356			5,680,780
NET ASSETS:
Beginning of period		95,443,545			78,559,375			63,538,670			52,527,045			24,048,787			18,368,007
End of period1	$	111,084,931		$	95,443,545		$	75,681,179		$	63,538,670		$	29,339,143		$	24,048,787
1 Including undistributed net investment income of:		18,178			156,358			(41,051	)		61,608			(24,301	)		18,986

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

9

Financial Highlights

TARGET INCOME SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.86		$	11.02		$	10.13		$	9.30		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.15			0.23			0.19			0.03			(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.25			0.06			0.92			1.04			(0.69	)
Total from investment operations		0.40			0.29			1.11			1.07			(0.70	)
Less distributions to shareholders:
From net investment income		(0.19	)		(0.33	)		(0.19	)		(0.24	)		—
From net realized gain on investments		(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.64	)		(0.45	)		(0.22	)		(0.24	)		—
Net asset value - End of period	$	10.62		$	10.86		$	11.02		$	10.13		$	9.30
Net assets - End of period (000’s omitted)	$	44,517		$	44,682		$	46,886		$	42,116		$	70,620	3
Total return4		4.01	%		2.77	%		11.22	%		11.80	%		(7.00	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.28	%8,9		0.30	%9		0.30	%5,9
Net investment income (loss)		2.79	%5		2.11	%		1.83	%		0.31	%		(0.27	%)5
Series portfolio turnover10		8	%		14	%		9	%		13	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.21	%5,6		0.22	%7		0.25	%9		0.41	%9		1,571	%5,9,11
TARGET INCOME SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.77		$	10.93		$	10.08		$	9.29		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.02			0.16			0.09			(0.05	)		0.02
Net realized and unrealized gain (loss) on underlying series		0.36			0.10			0.99			1.09			(0.73	)
Total from investment operations		0.38			0.26			1.08			1.04			(0.71	)
Less distributions to shareholders:
From net investment income		(0.18	)		(0.30	)		(0.20	)		(0.25	)		—
From net realized gain on investments		(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.63	)		(0.42	)		(0.23	)		(0.25	)		—
Net asset value - End of period	$	10.52		$	10.77		$	10.93		$	10.08		$	9.29
Net assets - End of period (000’s omitted)	$	3,707		$	553		$	347		$	54		$	93	3
Total return4		3.86	%		2.50	%		10.97	%		11.44	%		(7.10	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.54	%8,9		0.55	%9		0.55	%5,9
Net investment income (loss)		0.35	%5		1.47	%		0.81	%		(0.51	%)		0.34	%5
Series portfolio turnover10		8	%		14	%		9	%		13	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.21	%5,6		0.22	%7		0.37	%9		169.34	%9		43,127	%5,9,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.67%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.69%.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.70%.

¹⁰Reflects activity of the Series and does not include the activity of the underlying series.

¹¹The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

10

Financial Highlights

TARGET INCOME SERIES CLASS C	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.67		$	10.84		$	10.00		$	9.26		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.13			0.13			0.07			(0.03	)		(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.23			0.08			0.95			1.02			(0.73	)
Total from investment operations		0.36			0.21			1.02			0.99			(0.74	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.26	)		(0.15	)		(0.25	)		—
From net realized gain on investments		(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.60	)		(0.38	)		(0.18	)		(0.25	)		—
Net asset value - End of period	$	10.43		$	10.67		$	10.84		$	10.00		$	9.26
Net assets - End of period (000’s omitted)	$	1,090		$	1,424		$	1,195		$	330		$	93	3
Total return4		3.65	%		2.04	%		10.38	%		10.91	%		(7.40	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		0.99	%8,9		1.05	%9		1.05	%5,9
Net investment income (loss)		2.54	%5		1.23	%		0.66	%		(0.30	%)		(0.15	%)5
Series portfolio turnover10		8	%		14	%		9	%		13	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.21	%5,6		0.22	%7		0.29	%9		10.70	%9		43,147	%5,9,11

TARGET INCOME SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.89		$	11.05		$	10.17		$	9.32		$	10.00
Income (loss) from investment operations:
Net investment income2		0.15			0.07			0.19			0.06			0.05
Net realized and unrealized gain (loss) on underlying series		0.27			0.25			0.94			1.04			(0.73	)
Total from investment operations		0.42			0.32			1.13			1.10			(0.68	)
Less distributions to shareholders:
From net investment income		(0.20	)		(0.36	)		(0.22	)		(0.25	)		—
From net realized gain on investments		(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.65	)		(0.48	)		(0.25	)		(0.25	)		—
Net asset value - End of period	$	10.66		$	10.89		$	11.05		$	10.17		$	9.32
Net assets - End of period (000’s omitted)	$	6,062		$	4,068		$	298		$	58		$	93	3
Total return4		4.25	%		3.00	%		11.44	%		12.06	%		(6.80	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.05	%5,6		0.05	%7		0.05	%9		0.05	%9		0.05	%5,9
Net investment income		2.94	%5		0.68	%		1.85	%		0.66	%		0.85	%5
Series portfolio turnover10		8	%		14	%		9	%		13	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.21	%5,6		0.23	%7		0.33	%9		54.69	%9		43,107	%5,9,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.67%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.69%.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.70%.

¹⁰Reflects activity of the Series and does not include the activity of the underlying series.

¹¹The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

11

Financial Highlights

TARGET 2010 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.56		$	10.64		$	9.58		$	8.61		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.12			0.20			0.12			0.02			(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.31			0.10			1.10			1.15			(1.38	)
Total from investment operations		0.43			0.30			1.22			1.17			(1.39	)
Less distributions to shareholders:
From net investment income		(0.20	)		(0.18	)		(0.14	)		(0.20	)		—
From net realized gain on investments		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(1.17	)		(0.38	)		(0.16	)		(0.20	)		—
Net asset value - End of period	$	9.82		$	10.56		$	10.64		$	9.58		$	8.61
Net assets - End of period (000’s omitted)	$	23,468		$	23,653		$	27,904		$	15,782		$	101,213	3
Total return4		4.89	%		2.97	%		12.85	%		13.97	%		(13.90	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.29	%8,9		0.30	%10		0.30	%5,10
Net investment income (loss)		2.56	%5		1.84	%		1.20	%		0.19	%		(0.28	%)5
Series portfolio turnover11		24	%		48	%		11	%		9	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.28	%5,6		0.30	%7		0.42	%9		1.31	%10		1,071	%5,10,12
TARGET 2010 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.48		$	10.57		$	9.54		$	8.61		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.11			0.14			0.12			(0.05	)		0.02
Net realized and unrealized gain (loss) on underlying series		0.31			0.13			1.07			1.18			(1.41	)
Total from investment operations		0.42			0.27			1.19			1.13			(1.39	)
Less distributions to shareholders:
From net investment income		(0.19	)		(0.16	)		(0.14	)		(0.20	)		—
From net realized gain on investments		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(1.16	)		(0.36	)		(0.16	)		(0.20	)		—
Net asset value - End of period	$	9.74		$	10.48		$	10.57		$	9.54		$	8.61
Net assets - End of period (000’s omitted)	$	5,685		$	4,885		$	3,655		$	284		$	86	3
Total return4		4.79	%		2.67	%		12.64	%		13.54	%		(13.90	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.52	%8,9		0.55	%10		0.55	%5,10
Net investment income (loss)		2.22	%5		1.32	%		1.16	%		(0.55	%)		0.36	%5
Series portfolio turnover11		24	%		48	%		11	%		9	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.28	%5,6		0.31	%7		0.41	%9		25.36	%10		42,882	%5,10,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.67% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.69% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.84%.

¹⁰Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹¹Reflects activity of the Series and does not include the activity of the underlying series.

¹²The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

12

Financial Highlights

TARGET 2010 SERIES CLASS C	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.44		$	10.53		$	9.49		$	8.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.10			0.10			0.06			(0.01	)		(0.05	)
Net realized and unrealized gain (loss) on underlying series		0.29			0.12			1.08			1.10			(1.37	)
Total from investment operations		0.39			0.22			1.14			1.09			(1.42	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.11	)		(0.08	)		(0.18	)		—
From net realized gain on investments		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(1.12	)		(0.31	)		(0.10	)		(0.18	)		—
Net asset value - End of period	$	9.71		$	10.44		$	10.53		$	9.49		$	8.58
Net assets - End of period (000’s omitted)	$	1,558		$	2,021		$	2,247		$	1,471		$	98,226	3
Total return4		4.47	%		2.21	%		12.12	%		13.13	%		(14.20	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		0.98	%8,9		1.05	%10		1.05	%5,10
Net investment income (loss)		2.06	%5		0.97	%		0.58	%		(0.12	%)		(1.03	%)5
Series portfolio turnover11		24	%		48	%		11	%		9	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.28	%5,6		0.30	%7		0.44	%9		5.01	%10		919	%5,10,12
TARGET 2010 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.60		$	10.68		$	9.62		$	8.63		$	10.00
Income (loss) from investment operations:
Net investment income2		0.14			0.08			0.14			0.07			0.05
Net realized and unrealized gain (loss) on underlying series		0.30			0.25			1.10			1.12			(1.42	)
Total from investment operations		0.44			0.33			1.24			1.19			(1.37	)
Less distributions to shareholders:
From net investment income		(0.21	)		(0.21	)		(0.16	)		(0.20	)		—
From net realized gain on investments		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(1.18	)		(0.41	)		(0.18	)		(0.20	)		—
Net asset value - End of period	$	9.86		$	10.60		$	10.68		$	9.62		$	8.63
Net assets - End of period (000’s omitted)	$	12,127		$	9,966		$	1,465		$	469		$	159	3
Total return4		5.04	%		3.20	%		13.10	%		14.23	%		(13.70	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%5,6		0.05	%7		0.05	%9		0.05	%10		0.05	%5,10
Net investment income		2.80	%5		0.81	%		1.44	%		0.83	%		0.86	%5
Series portfolio turnover11		24	%		48	%		11	%		9	%		0	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.28	%5,6		0.32	%7		0.43	%9		8.26	%10		42,439	%5,10,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.67% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.69% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.84%.

¹⁰Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹¹Reflects activity of the Series and does not include the activity of the underlying series.

¹²The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

13

Financial Highlights

TARGET 2020 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.12		$	10.33		$	9.16		$	8.14		$	10.00
Income (loss) from investment operations:
Net investment income2		0.12			0.20			0.13			0.02			0.04
Net realized and unrealized gain (loss) on underlying series		0.38			0.12			1.23			1.21			(1.90	)
Total from investment operations		0.50			0.32			1.36			1.23			(1.86	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.19	)		(0.17	)		(0.21	)		—
From net realized gain on investments		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.89	)		(0.53	)		(0.19	)		(0.21	)		—
Net asset value - End of period	$	9.73		$	10.12		$	10.33		$	9.16		$	8.14
Net assets - End of period (000’s omitted)	$	54,411		$	56,290		$	64,613		$	30,089		$	157	3
Total return4		5.76	%		3.14	%		14.89	%		15.72	%		(18.60	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.30	%5,6		0.30	%5		0.29	%7,8		0.30	%9		0.30	%6,9
Net investment income		2.43	%6		1.97	%		1.38	%		0.28	%		0.74	%6
Series portfolio turnover10		11	%		49	%		20	%		9	%		31	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.08	%5,6		0.10	%5		0.17	%8		0.72	%9		34,421	%6,9,11
TARGET 2020 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.02		$	10.24		$	9.10		$	8.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.10			0.15			0.12			(0.05	)		0.04
Net realized and unrealized gain (loss) on underlying series		0.38			0.14			1.21			1.23			(1.91	)
Total from investment operations		0.48			0.29			1.33			1.18			(1.87	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.17	)		(0.17	)		(0.21	)		—
From net realized gain on investments		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.88	)		(0.51	)		(0.19	)		(0.21	)		—
Net asset value - End of period	$	9.62		$	10.02		$	10.24		$	9.10		$	8.13
Net assets - End of period (000’s omitted)	$	20,774		$	16,105		$	12,229		$	562		$	81	3
Total return4		5.59	%		2.85	%		14.72	%		15.13	%		(18.70	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.55	%5,6		0.55	%5		0.52	%7,8		0.55	%9		0.55	%6,9
Net investment income (loss)		2.03	%6		1.48	%		1.25	%		(0.54	%)		0.62	%6
Series portfolio turnover10		11	%		49	%		20	%		9	%		31	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.08	%5,6		0.10	%5		0.18	%8		14.54	%9		38,136	%6,9,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁶Annualized.

⁷During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁸Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.84% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹⁰Reflects activity of the Series and does not include the activity of the underlying series.

¹¹The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

14

Financial Highlights

TARGET 2020 SERIES CLASS C	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	9.99		$	10.21		$	9.06		$	8.10		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.09			0.11			0.10			0.02			(0.05	)
Net realized and unrealized gain (loss) on underlying series		0.36			0.14			1.18			1.13			(1.85	)
Total from investment operations		0.45			0.25			1.28			1.15			(1.90	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.13	)		(0.11	)		(0.19	)		—
From net realized gain on investments		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.85	)		(0.47	)		(0.13	)		(0.19	)		—
Net asset value - End of period	$	9.59		$	9.99		$	10.21		$	9.06		$	8.10
Net assets - End of period (000’s omitted)	$	4,303		$	4,155		$	3,803		$	2,123		$	228,171	3
Total return4		5.26	%		2.42	%		14.24	%		14.74	%		(19.00	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.05	%5,6		1.05	%5		0.98	%7,8		1.05	%9		1.05	%6,9
Net investment income (loss)		1.87	%6		1.08	%		1.03	%		0.25	%		(1.05	%)6
Series portfolio turnover10		11	%		49	%		20	%		9	%		31	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.08	%5,6		0.10	%5		0.18	%8		3.08	%9		158	%6,9,11
TARGET 2020 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.16		$	10.37		$	9.19		$	8.15		$	10.00
Income (loss) from investment operations:
Net investment income2		0.13			0.09			0.18			0.10			—	12
Net realized and unrealized gain (loss) on underlying series		0.38			0.25			1.21			1.15			(1.85	)
Total from investment operations		0.51			0.34			1.39			1.25			(1.85	)
Less distributions to shareholders:
From net investment income		(0.18	)		(0.21	)		(0.19	)		(0.21	)		—
From net realized gain on investments		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.91	)		(0.55	)		(0.21	)		(0.21	)		—
Net asset value - End of period	$	9.76		$	10.16		$	10.37		$	9.19		$	8.15
Net assets - End of period (000’s omitted)	$	37,682		$	25,262		$	3,474		$	1,927		$	51,467	3
Total return4		5.82	%		3.37	%		15.24	%		15.98	%		(18.50	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%5,6		0.05	%5		0.05	%8		0.05	%9		0.05	%6,9
Net investment income (loss)		2.75	%6		0.85	%		1.89	%		1.22	%		(0.02	%)6
Series portfolio turnover10		11	%		49	%		20	%		9	%		31	%
* The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.08	%5,6		0.11	%5		0.19	%8		2.90	%9		871	%6,9,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁶Annualized.

⁷During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁸Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.84% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹⁰Reflects activity of the Series and does not include the activity of the underlying series.

¹¹The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

¹²Less than $0.01.

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

15

Financial Highlights

TARGET 2030 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.02		$	10.15		$	8.85		$	7.81		$	10.00
Income (loss) from investment operations:
Net investment income2		0.10			0.16			0.08			0.01			0.03
Net realized and unrealized gain (loss) on underlying series		0.40			0.16			1.36			1.20			(2.22	)
Total from investment operations		0.50			0.32			1.44			1.21			(2.19	)
Less distributions to shareholders:
From net investment income		(0.13	)		(0.15	)		(0.11	)		(0.17	)		—
From net realized gain on investments		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.84	)		(0.45	)		(0.14	)		(0.17	)		—
Net asset value - End of period	$	9.68		$	10.02		$	10.15		$	8.85		$	7.81
Net assets - End of period (000’s omitted)	$	60,323		$	63,436		$	66,235		$	23,597		$	118	3
Total return4		5.81	%		3.15	%		16.34	%		16.05	%		(21.90	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.29	%8,9		0.30	%10		0.30	%5,10
Net investment income		2.12	%5		1.58	%		0.87	%		0.14	%		0.54	%5
Series portfolio turnover11		22	%		40	%		15	%		9	%		—	%12
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.09	%5,6		0.11	%7		0.20	%9		0.97	%10		37,175	%5,10,13
TARGET 2030 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	9.96		$	10.09		$	8.83		$	7.79		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.08			0.11			0.06			(0.05	)		0.02
Net realized and unrealized gain (loss) on underlying series		0.39			0.19			1.35			1.26			(2.23	)
Total from investment operations		0.47			0.30			1.41			1.21			(2.21	)
Less distributions to shareholders:
From net investment income		(0.11	)		(0.13	)		(0.12	)		(0.17	)		—
From net realized gain on investments		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.82	)		(0.43	)		(0.15	)		(0.17	)		—
Net asset value - End of period	$	9.61		$	9.96		$	10.09		$	8.83		$	7.79
Net assets - End of period (000’s omitted)	$	13,161		$	9,243		$	7,162		$	328		$	78	3
Total return4		5.62	%		2.94	%		16.01	%		16.09	%		(22.10	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.54	%8,9		0.55	%10		0.55	%5,10
Net investment income (loss)		1.67	%5		1.11	%		0.68	%		(0.53	%)		0.31	%5
Series portfolio turnover11		22	%		40	%		15	%		9	%		—	%12
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.09	%5,6		0.11	%7		0.18	%9		28.67	%10		38,768	%5,10,13

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.83%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

¹⁰Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹¹Reflects activity of the Series and does not include the activity of the underlying series.

¹²Less than 1%.

¹³The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

16

Financial Highlights

TARGET 2030 SERIES CLASS C	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	9.90		$	10.05		$	8.78		$	7.77		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.07			0.07			0.03			(0.02	)		(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.38			0.17			1.33			1.19			(2.22	)
Total from investment operations		0.45			0.24			1.36			1.17			(2.23	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.09	)		(0.06	)		(0.16	)		—
From net realized gain on investments		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.79	)		(0.39	)		(0.09	)		(0.16	)		—
Net asset value - End of period	$	9.56		$	9.90		$	10.05		$	8.78		$	7.77
Net assets - End of period (000’s omitted)	$	2,895		$	2,516		$	2,231		$	1,034		$	78	3
Total return4		5.39	%		2.35	%		15.50	%		15.57	%		(22.30	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		1.00	%8,9		1.05	%10		1.05	%5,10
Net investment income (loss)		1.40	%5		0.72	%		0.31	%		(0.22	%)		(0.17	%)5
Series portfolio turnover11		22	%		40	%		15	%		9	%		—	%12
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.09	%5,6		0.11	%7		0.22	%9		5.84	%10		38,789	%5,10,13
TARGET 2030 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.09		$	10.21		$	8.90		$	7.82		$	10.00
Income (loss) from investment operations:
Net investment income2		0.12			0.07			0.13			0.11			0.01
Net realized and unrealized gain (loss) on underlying series		0.39			0.28			1.35			1.14			(2.19	)
Total from investment operations		0.51			0.35			1.48			1.25			(2.18	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.17	)		(0.14	)		(0.17	)		—
From net realized gain on investments		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.85	)		(0.47	)		(0.17	)		(0.17	)		—
Net asset value - End of period	$	9.75		$	10.09		$	10.21		$	8.90		$	7.82
Net assets - End of period (000’s omitted)	$	34,706		$	20,249		$	2,932		$	1,316		$	12,591	3
Total return4		5.96	%		3.47	%		16.76	%		16.56	%		(21.80	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.05	%5,6		0.05	%7		0.05	%9		0.05	%10		0.05	%5,10
Net investment income		2.44	%5		0.74	%		1.34	%		1.37	%		0.16	%5
Series portfolio turnover11		22	%		40	%		15	%		9	%		—	%12
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.09	%5,6		0.12	%7		0.22	%9		6.18	%10		14,979	%5,10,13

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.83%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratios of the underlying series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

¹⁰Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹¹Reflects activity of the Series and does not include the activity of the underlying series.

¹²Less than 1%.

¹³The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

17

Financial Highlights

TARGET 2040 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.10		$	10.20		$	8.79		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income2		0.05			0.09			0.04			—	3		0.02
Net realized and unrealized gain (loss) on underlying series		0.59			(0.02	)		1.46			1.36			(2.44	)
Total from investment operations		0.64			0.07			1.50			1.36			(2.42	)
Less distributions to shareholders:
From net investment income		(0.06	)		(0.08	)		(0.06	)		(0.15	)		—
From net realized gain on investments		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.60	)		(0.17	)		(0.09	)		(0.15	)		—
Net asset value - End of period	$	10.14		$	10.10		$	10.20		$	8.79		$	7.58
Net assets - End of period (000’s omitted)	$	41,140		$	39,853		$	42,417		$	12,880		$	76	4
Total return5		7.16	%		0.70	%		17.10	%		18.60	%		(24.20	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.30	%6,7		0.30	%8		0.29	%7,9		0.30	%7		0.30	%6,7
Net investment income		0.94	%6		0.88	%		0.43	%		0.05	%		0.40	%6
Series portfolio turnover10		1	%		19	%		4	%		7	%		—	%11
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.15	%6,7		0.17	%8		0.32	%7		2.10	%7		28,865	%6,7,12
TARGET 2040 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.04		$	10.14		$	8.76		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.03			0.05			0.04			(0.02	)		0.01
Net realized and unrealized gain (loss) on underlying series		0.59			—	3		1.43			1.35			(2.43	)
Total from investment operations		0.62			0.05			1.47			1.33			(2.42	)
Less distributions to shareholders:
From net investment income		(0.05	)		(0.06	)		(0.06	)		(0.15	)		—
From net realized gain on investments		(0.54	)		(0.09	)		(0.03	)		—			—
	��
Total distributions to shareholders		(0.59	)		(0.15	)		(0.09	)		(0.15	)		—
Net asset value - End of period	$	10.07		$	10.04		$	10.14		$	8.76		$	7.58
Net assets - End of period (000’s omitted)	$	14,624		$	11,475		$	8,168		$	504		$	76	4
Total return5		6.97	%		0.50	%		16.85	%		18.21	%		(24.20	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.55	%6,7		0.55	%8		0.52	%7,9		0.55	%7		0.55	%6,7
Net investment income (loss)		0.65	%6		0.52	%		0.40	%		(0.21	%)		0.14	%6
Series portfolio turnover10		1	%		19	%		4	%		7	%		—	%11
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.15	%6,7		0.17	%8		0.31	%7		16.27	%7		28,865	%6,7,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

⁴Represents the whole number without rounding to the 000’s.

⁵Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁶Annualized.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

⁸Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.84%.

⁹During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

¹⁰Reflects activity of the Series and does not include the activity of the underlying series.

¹¹Less than 1%.

¹²The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

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

18

Financial Highlights

TARGET 2040 SERIES CLASS C	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	9.94		$	10.06		$	8.70		$	7.55		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.01			0.01			(0.01	)		(0.06	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		0.58			(0.01	)		1.43			1.36			(2.43	)
Total from investment operations		0.59			—			1.42			1.30			(2.45	)
Less distributions to shareholders:
From net investment income		(0.02	)		(0.03	)		(0.03	)		(0.15	)		—
From net realized gain on investments		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.56	)		(0.12	)		(0.06	)		(0.15	)		—
Net asset value - End of period	$	9.97		$	9.94		$	10.06		$	8.70		$	7.55
Net assets - End of period (000’s omitted)	$	950		$	913		$	875		$	440		$	75	3
Total return4		6.69	%		(0.01	%)		16.32	%		17.88	%		(24.50	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		0.99	%6,8		1.05	%6		1.05	%5,6
Net investment income (loss)		0.23	%5		0.09	%		(0.12	%)		(0.65	%)		(0.36	%)5
Series portfolio turnover9		1	%		19	%		4	%		7	%		—	%10
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.15	%5,6		0.17	%7		0.37	%6		15.19	%6		28,898	%5,6,11
TARGET 2040 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.16		$	10.26		$	8.83		$	7.60		$	10.00
Income (loss) from investment operations:
Net investment income2		0.06			0.04			0.08			0.07			—	12
Net realized and unrealized gain (loss) on underlying series		0.59			0.06			1.46			1.32			(2.40	)
Total from investment operations		0.65			0.10			1.54			1.39			(2.40	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.11	)		(0.08	)		(0.16	)		—
From net realized gain on investments		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.62	)		(0.20	)		(0.11	)		(0.16	)		—
Net asset value - End of period	$	10.19		$	10.16		$	10.26		$	8.83		$	7.60
Net assets - End of period (000’s omitted)	$	18,966		$	11,298		$	1,066		$	428		$	28,539	3
Total return4		7.19	%		0.93	%		17.52	%		18.86	%		(24.00	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.05	%5,6		0.05	%7		0.05	%6		0.05	%6		0.05	%5,6
Net investment income (loss)		1.17	%5		0.35	%		0.84	%		0.93	%		(0.04	%)5
Series portfolio turnover9		1	%		19	%		4	%		7	%		—	%10
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.15	%5,6		0.18	%7		0.36	%6		18.65	%6		767	%5,6,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.84%.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Reflects activity of the Series and does not include the activity of the underlying series.

¹⁰Less than 1%.

¹¹The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

¹²Less than $0.01.

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

19

Financial Highlights

TARGET 2050 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.20		$	10.22		$	8.85		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.05			0.09			0.03			(0.02	)		0.02
Net realized and unrealized gain (loss) on underlying series		0.64			(0.01	)		1.48			1.52			(2.44	)
Total from investment operations		0.69			0.08			1.51			1.50			(2.42	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.08	)		(0.06	)		(0.23	)		—
From net realized gain on investments		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.26	)		(0.10	)		(0.14	)		(0.23	)		—
Net asset value - End of period	$	10.63		$	10.20		$	10.22		$	8.85		$	7.58
Net assets - End of period (000’s omitted)	$	21,630		$	18,293		$	15,242		$	1,047		$	76	3
Total return4		7.09	%		0.76	%		17.16	%		20.71	%		(24.20	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.30	%6,8		0.30	%6		0.30	%5,6
Net investment income (loss)		0.92	%5		0.82	%		0.28	%		(0.24	%)		0.40	%5
Series portfolio turnover9		2	%		10	%		3	%		46	%		1	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.46	%5,6		0.54	%7		1.07	%6		25.10	%6		35,232	%5,6,10
TARGET 2050 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.14		$	10.16		$	8.82		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.03			0.06			0.03			(0.05	)		0.01
Net realized and unrealized gain (loss) on underlying series		0.64			—	11		1.44			1.52			(2.43	)
Total from investment operations		0.67			0.06			1.47			1.47			(2.42	)
Less distributions to shareholders:
From net investment income		(0.05	)		(0.06	)		(0.05	)		(0.23	)		—
From net realized gain on investments		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.24	)		(0.08	)		(0.13	)		(0.23	)		—
Net asset value - End of period	$	10.57		$	10.14		$	10.16		$	8.82		$	7.58
Net assets - End of period (000’s omitted)	$	3,239		$	2,686		$	2,154		$	601		$	76	3
Total return4		6.96	%		0.56	%		16.85	%		20.31	%		(24.20	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.53	%6,8		0.55	%6		0.55	%5,6
Net investment income (loss)		0.63	%5		0.55	%		0.27	%		(0.50	%)		0.14	%5
Series portfolio turnover9		2	%		10	%		3	%		46	%		1	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.46	%5,6		0.54	%7		1.44	%6		242.05	%6		35,243	%5,6,10

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.84%.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Reflects activity of the Series and does not include the activity of the underlying series.

¹⁰The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

¹¹Less than $0.01.

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

20

Financial Highlights

TARGET 2050 SERIES CLASS C	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.02		$	10.08		$	8.75		$	7.55		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.01			0.01			(0.04	)		(0.06	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		0.63			(0.01	)		1.46			1.49			(2.43	)
Total from investment operations		0.64			—			1.42			1.43			(2.45	)
Less distributions to shareholders:
From net investment income		(0.03	)		(0.04	)		(0.01	)		(0.23	)		—
From net realized gain on investments		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.22	)		(0.06	)		(0.09	)		(0.23	)		—
Net asset value - End of period	$	10.44		$	10.02		$	10.08		$	8.75		$	7.55
Net assets - End of period (000’s omitted)	$	1,050		$	948		$	843		$	99		$	75	3
Total return4		6.65	%		(0.06	%)		16.34	%		19.84	%		(24.50	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		1.02	%6,8		1.05	%6		1.05	%5,6
Net investment income (loss)		0.22	%5		0.09	%		(0.44	%)		(0.71	%)		(0.36	%)5
Series portfolio turnover9		2	%		10	%		3	%		46	%		1	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.46	%5,6		0.55	%7		1.23	%6		73.45	%6		35,267	%5,6,10

TARGET 2050 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED									FOR THE PERIOD
	4/30/12 (UNAUDITED)			10/31/2011			10/31/2010			10/31/2009			3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.26		$	10.28		$	8.90		$	7.60		$	10.00
Income (loss) from investment operations:
Net investment income2		0.06			0.03			0.07			0.16			—	11
Net realized and unrealized gain (loss) on underlying series		0.64			0.08			1.47			1.37			(2.40	)
Total from investment operations		0.70			0.11			1.54			1.53			(2.40	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.11	)		(0.08	)		(0.23	)		—
From net realized gain on investments		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.27	)		(0.13	)		(0.16	)		(0.23	)		—
Net asset value - End of period	$	10.69		$	10.26		$	10.28		$	8.90		$	7.60
Net assets - End of period (000’s omitted)	$	3,420		$	2,121		$	129		$	79		$	17,863	3
Total return4		7.20	%		0.98	%		17.40	%		21.07	%		(24.00	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.05	%5,6		0.05	%7		0.05	%6		0.05	%6		0.05	%5,6
Net investment income (loss)		1.08	%5		0.25	%		0.76	%		2.07	%		(0.03	%)5
Series portfolio turnover9		2	%		10	%		3	%		46	%		1	%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.46	%5,6		0.57	%7		1.90	%6		141.53	%6		1,903	%5,6,10

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents the whole number without rounding to the 000’s.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

⁷Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.84%.

⁸During the year ended October 31, 2010, due to the timing of the renewal of the Series’ distribution plan under Rule 12b-1, the Series incurred approximately 11 months of distribution expense. The expense ratio would have been higher and the net investment income ratio and total return would have been lower had the Series incurred a full year of distribution expense.

⁹Reflects activity of the Series and does not include the activity of the underlying series.

¹⁰The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

¹¹Less than $0.01.

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

21

Notes to Financial Statements

(unaudited)

1. Organization

Target Income Series, Target 2010 Series, Target 2020 Series, Target 2030 Series, Target 2040 Series and Target 2050 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 (the “1940 Act”), as amended, as an open-end management investment company.

Each Series seeks to achieve its investment objectives by investing in a combination of other Manning & Napier mutual funds (the “underlying series”) in order to meet its target asset allocations and investment style. The Series are designed to provide a single investment portfolio that adjusts over time to meet the changing risk and return objectives of investors over their expected investment horizon. As the target retirement date approaches, the Series’ portfolio becomes more conservative with a larger fixed-income investment component. The financial statements of the underlying series should be read in conjunction with the Series’ financial statements.

Each Series is authorized to issue four classes of shares (Class K, R, C and I). 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, LLC (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 15.0 billion shares of common stock each having a par value of $0.01. As of April 30, 2012, 9.8 billion shares have been designated in total among 41 series, of which 10 million have been designated in each of the Series for Class C common stock, 40 million have been designated in each of the Series for Class K and R common stock and 100 million have been designated in each of the Series for Class I common stock.

2. Significant Accounting Policies

Security Valuation

Investments in the underlying series are valued at their net asset value per share on valuation date. In the absence of the availability of a net asset value per share on the underlying series, security valuations may be 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”).

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Board. 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.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level on any input both

22

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of April 30, 2012 in valuing the Series’ assets or liabilities carried at fair value:

	TARGET INCOME SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	55,384,766	$	55,384,766	$	—	$	—
Total assets:	$	55,384,766	$	55,384,766	$	—	$	—
	TARGET 2010 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	42,840,838	$	42,840,838	$	—	$	—
Total assets:	$	42,840,838	$	42,840,838	$	—	$	—
	TARGET 2020 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	117,190,647	$	117,190,647	$	—	$	—
Total assets:	$	117,190,647	$	117,190,647	$	—	$	—
	TARGET 2030 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	111,099,857	$	111,099,857	$	—	$	—
Total assets:	$	111,099,857	$	111,099,857	$	—	$	—
	TARGET 2040 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	75,692,710	$	75,692,710	$	—	$	—
Total assets:	$	75,692,710	$	75,692,710	$	—	$	—
	TARGET 2050 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	29,339,220	$	29,339,220	$	—	$	—
Total assets:	$	29,339,220	$	29,339,220	$	—	$	—

There were no Level 2 or Level 3 securities held by any of the Series as of October 31, 2011 or April 30, 2012.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2012.

Recent Accounting Standard

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04, “Fair Value Measurements (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S.

23

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Recent Accounting Standard (continued)

GAAP and IFRSs” (“ASU 2011-04”). ASU 2011-04 clarifies the application of existing fair value measurement requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements.

Required disclosures are expanded under the new guidance, especially for fair value measurements that are categorized within Level 3 of the fair value hierarchy, for which quantitative information about the unobservable inputs used, and a narrative description of the valuation processes in place and sensitivity of recurring Level 3 measurements to changes in unobservable inputs will be required.

ASU 2011-04 is effective for annual periods beginning after December 15, 2011 and is to be applied prospectively. Management is currently assessing the impact of this guidance, but does not expect it to have a material impact on the Series’ financial statements.

Security Transactions, Investment Income and Expenses

Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Income and capital gains distributions from the Underlying Series, if any, are recorded on the ex-dividend date.

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. Expenses included in the accompanying statements of operations do not include any expense of the underlying series.

Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that Class.

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.

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 tax 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.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2012, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2008 through October 31, 2011. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Foreign Taxes

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/ repatriation transactions for foreign jurisdictions in which they invest, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

24

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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.

3. Transactions with Affiliates

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Advisor does not receive an advisory fee for the services it performs for the Series. However, the Advisor is entitled to receive an advisory fee from each of the underlying series in which the Series invest.

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 plus a fee for each committee meeting attended.

The Advisor has contractually agreed, until at least February 28, 2020, to limit each class’ total direct annual fund operating expenses for the Series at no more than 0.05% for each class, exclusive of distribution and service fees, of average daily net assets each year. The Advisor’s agreement to limit each class’ operating expenses is limited to direct operating expenses and, therefore, does not apply to the indirect expenses incurred by the Series through their investments in the underlying series. For the six months ended April 30, 2012, the Advisor reimbursed expenses of $52,915 for Target Income Series, $55,708 for Target 2010 Series, $44,130 for Target 2020 Series, $44,999 for Target 2030 Series, $50,357 for Target 2040 Series and $58,720 for Target 2050 Series, which is included as a reduction of expenses on the Statements of Operations. The Advisor is not eligible to recoup any expenses that have been 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. Each Series compensates the distributor for distributing and servicing the Series’ Class K, Class R and Class C shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series pays distribution and services fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class K shares, 0.50% of average daily net assets attributable to Class R shares, and 1.00% of average daily net assets attributable to Class C shares. There are no distribution and services fees on the Class I shares of each Series. The fees are accrued daily and paid monthly.

25

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent. The fee rates for these Series are as follows: An annual fee related to fund accounting and administration of 0.0025% of the average daily net assets with an annual base fee of $40,500 per series. Transfer Agent fees are charged to the Fund on a per account basis. Additionally, certain cusip-based and out-of-pocket expenses 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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2012, purchases and sales of underlying series were as follows:

SERIES	PURCHASES		SALES
Target Income Series	$	8,640,942	$	4,447,062
Target 2010 Series	$	12,001,867	$	9,837,668
Target 2020 Series	$	26,992,707	$	12,253,457
Target 2030 Series	$	36,690,954	$	22,465,488
Target 2040 Series	$	8,630,024	$	1,018,838
Target 2050 Series	$	4,106,825	$	560,760

5. Investments in Affiliated Issuers

A summary of the Series’ transactions in the shares of affiliated issuers during the six months ended April 30, 2012 is set forth below:

TARGET INCOME SERIES	VALUE AT 10/31/11		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/12		SHARES HELD AT 4/30/12		DIVIDEND INCOME 10/31/11 THROUGH 4/30/12		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/11 THROUGH 4/30/12
Manning & Napier Pro-Blend® Conservative Term Series - Class I	$	50,760,195	$	8,640,942	$	4,447,062	$	55,384,766		5,128,219	$	783,195	$	1,608,968
	$	50,760,195	$	8,640,942	$	4,447,062	$	55,384,766			$	783,195	$	1,608,968

TARGET 2010 SERIES	VALUE AT 10/31/11		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/12		SHARES HELD AT 4/30/12		DIVIDEND INCOME 10/31/11 THROUGH 4/30/12		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/11 THROUGH 4/30/12
Manning & Napier Pro-Blend® Moderate Term Series - Class I	$	32,326,819	$	3,071,906	$	9,177,892	$	25,966,143		2,468,265	$	458,631	$	1,323,815
Manning & Napier Pro-Blend® Conservative Term Series - Class I		8,228,390		8,929,961		659,776		16,874,695		1,562,472		128,105		167,963
	$	40,555,209	$	12,001,867	$	9,837,668	$	42,840,838			$	586,736	$	1,491,778

26

Notes to Financial Statements (continued)

(unaudited)

5. Investments in Affiliated Issuers (continued)

TARGET 2020 SERIES	VALUE AT 10/31/11		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/12		SHARES HELD AT 4/30/12			DIVIDEND INCOME 10/31/11 THROUGH 4/30/12		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/11 THROUGH 4/30/12
Manning & Napier Pro-Blend® Extended Term Series - Class I	$	60,936,279	$	9,506,736	$	11,136,840	$	58,927,451		5,698,980		$	884,447	$	3,044,052
Manning & Napier Pro-Blend® Moderate Term Series - Class I		40,924,421		17,485,971		1,116,617		58,263,196		5,538,327			593,432		1,558,258
	$	101,860,700	$	26,992,707	$	12,253,457	$	117,190,647				$	1,477,879	$	4,602,310
TARGET 2030 SERIES	VALUE AT 10/31/11		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/12		SHARES HELD AT 4/30/12			DIVIDEND INCOME 10/31/11 THROUGH 4/30/12		DISTRIBUTIONS AND NET REALIZED GAIN (LOSS) 10/31/11 THROUGH 4/30/12
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	18,521,072	$	1,508,720	$	19,732,180	$	—		—		$	121,541	$	(1,298	)
Manning & Napier Pro-Blend® Extended Term Series - Class I		76,963,499		35,182,234		2,733,308		111,099,857		10,744,667			1,110,744		3,616,667
	$	95,484,571	$	36,690,954	$	22,465,488	$	111,099,857				$	1,232,285	$	3,615,369
TARGET 2040 SERIES	VALUE AT 10/31/11		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/12		SHARES HELD AT 4/30/12			DIVIDEND INCOME 10/31/11 THROUGH 4/30/12		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/11 THROUGH 4/30/12
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	63,575,247	$	8,630,024	$	1,018,838	$	75,692,710		7,021,587		$	419,707	$	185,661
	$	63,575,247	$	8,630,024	$	1,018,838	$	75,692,710				$	419,707	$	185,661
TARGET 2050 SERIES	VALUE AT 10/31/11		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/12		SHARES HELD AT 4/30/12			DIVIDEND INCOME 10/31/11 THROUGH 4/30/12		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/11 THROUGH 4/30/12
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	24,069,850	$	4,106,825	$	560,760	$	29,339,220		2,721,635	��	$	157,899	$	34,374
	$	24,069,850	$	4,106,825	$	560,760	$	29,339,220				$	157,899	$	34,374

27

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions

Transactions in Class K, Class R, Class C and Class I shares:

TARGET INCOME SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS K						CLASS K						CLASS R						CLASS R
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		203,677		$	2,127,553			362,556		$	3,910,102			309,573		$	3,173,471			44,775		$	479,118
Reinvested		249,626			2,513,730			182,292			1,912,025			3,638			36,345			1,095			11,394
Repurchased		(377,166	)		(4,023,535	)		(684,328	)		(7,414,278	)		(12,266	)		(127,885	)		(26,311	)		(283,256	)
Total		76,137		$	617,748			(139,480	)	$	(1,592,151	)		300,945		$	3,081,931			19,559		$	207,256
TARGET INCOME SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS C						CLASS C						CLASS I						CLASS I
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		855		$	8,800			25,545		$	271,238			257,127		$	2,755,817			393,080		$	4,289,430
Reinvested		6,914			68,591			3,384			34,894			29,671			299,677			1,499			15,852
Repurchased		(36,783	)		(374,210	)		(5,620	)		(59,932	)		(91,257	)		(979,118	)		(48,088	)		(516,123	)
Total		(29,014	)	$	(296,819	)		23,309		$	246,200			195,541		$	2,076,376			346,491		$	3,789,159
TARGET 2010 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	CLASS K						CLASS K						CLASS R						CLASS R
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		121,119		$	1,181,922			310,020		$	3,277,958			98,121		$	957,118			282,494		$	2,963,932
Reinvested		269,914			2,467,020			97,770			1,009,250			60,694			550,492			12,839			131,556
Repurchased		(240,866	)		(2,452,224	)		(790,894	)		(8,561,266	)		(41,053	)		(405,746	)		(175,273	)		(1,841,204	)
Total		150,167		$	1,196,718			(383,104	)	$	(4,274,058	)		117,762		$	1,101,864			120,060		$	1,254,284
TARGET 2010 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS C						CLASS C						CLASS I						CLASS I
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		3,361		$	32,141			49,120		$	518,688			259,545		$	2,635,857			957,674		$	10,313,222
Reinvested		20,323			184,127			6,272			63,974			135,207			1,239,852			5,512			57,166
Repurchased		(56,883	)		(554,503	)		(75,224	)		(789,515	)		(104,705	)		(1,037,423	)		(160,530	)		(1,697,468	)
Total		(33,199	)	$	(338,235	)		(19,832	)	$	(206,853	)		290,047		$	2,838,286			802,656		$	8,672,920
TARGET 2020 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS K						CLASS K						CLASS R						CLASS R
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		588,285		$	5,617,347			1,675,922		$	17,119,288			542,541		$	5,106,643			595,012		$	6,051,043
Reinvested		483,844			4,311,050			338,950			3,377,391			164,435			1,450,323			65,420			645,605
Repurchased		(1,039,275	)		(10,392,263	)		(2,707,061	)		(28,217,949	)		(154,337	)		(1,468,254	)		(247,831	)		(2,501,394	)
Total		32,854		$	(463,866	)		(692,189	)	$	(7,721,270	)		552,639		$	5,088,712			412,601		$	4,195,254

28

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2020 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS C						CLASS C						CLASS I						CLASS I
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		39,731		$	377,220			145,377		$	1,473,638			1,199,777		$	11,964,209			2,300,696		$	24,268,461
Reinvested		40,152			353,734			19,531			192,191			331,450			2,959,845			21,490			215,042
Repurchased		(47,372	)		(440,262	)		(121,172	)		(1,213,890	)		(156,673	)		(1,521,818	)		(170,809	)		(1,740,310	)
Total		32,511		$	290,692			43,736		$	451,939			1,374,554		$	13,402,236			2,151,377		$	22,743,193
TARGET 2030 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS K						CLASS K						CLASS R						CLASS R
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		589,881		$	5,548,421			1,386,806		$	14,122,320			418,649		$	3,922,396			364,895		$	3,702,652
Reinvested		512,881			4,518,479			304,172			3,037,140			90,890			795,284			31,015			307,921
Repurchased		(1,198,969	)		(11,928,419	)		(1,889,426	)		(19,955,578	)		(68,404	)		(650,027	)		(177,715	)		(1,812,551	)
Total		(96,207	)	$	(1,861,519	)		(198,448	)	$	(2,796,118	)		441,135		$	4,067,653			218,195		$	2,198,022
TARGET 2030 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS C						CLASS C						CLASS I						CLASS I
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		26,975		$	256,062			52,873		$	542,800			1,452,313		$	14,367,620			1,840,303		$	19,567,214
Reinvested		23,301			203,186			9,025			89,165			287,907			2,550,862			14,752			148,301
Repurchased		(1,488	)		(14,260	)		(29,974	)		(296,887	)		(185,745	)		(1,780,738	)		(136,151	)		(1,397,422	)
Total		48,788		$	444,988			31,924		$	335,078			1,554,475		$	15,137,744			1,718,904		$	18,318,093
TARGET 2040 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS K						CLASS K						CLASS R						CLASS R
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		368,981		$	3,618,146			856,765		$	8,988,768			350,357		$	3,424,543			509,743		$	5,324,802
Reinvested		241,379			2,169,997			73,655			769,848			79,798			713,396			13,209			137,125
Repurchased		(496,507	)		(4,993,642	)		(1,142,322	)		(12,527,615	)		(120,670	)		(1,182,237	)		(184,893	)		(1,905,669	)
Total		113,853		$	794,501			(211,902	)	$	(2,768,999	)		309,485		$	2,955,702			338,059		$	3,556,258
TARGET 2040 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS C						CLASS C						CLASS I						CLASS I
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		3,561		$	34,759			16,846		$	177,697			771,433		$	7,744,036			1,065,270		$	11,761,116
Reinvested		5,069			44,909			972			10,017			104,428			942,986			2,453			25,804
Repurchased		(5,115	)		(49,170	)		(12,994	)		(140,032	)		(127,088	)		(1,270,555	)		(59,387	)		(607,022	)
Total		3,515		$	30,498			4,824		$	47,682			748,773		$	7,416,467			1,008,336		$	11,179,898

29

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2050 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS K						CLASS K						CLASS R						CLASS R
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		259,052		$	2,645,760			500,328		$	5,260,037			80,677		$	821,204			97,759		$	1,032,883
Reinvested		49,591			467,150			15,172			160,264			6,487			60,850			1,712			17,956
Repurchased		(67,123	)		(683,516	)		(212,628	)		(2,326,688	)		(45,687	)		(457,795	)		(46,362	)		(491,564	)
Total		241,520		$	2,429,394			302,872		$	3,093,613			41,477		$	424,259			53,109		$	559,275
TARGET 2050 SERIES:	FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11						FOR THE  SIX MONTHS  ENDED 4/30/12						FOR THE YEAR  ENDED 10/31/11
	CLASS C						CLASS C						CLASS I						CLASS I
		SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		6,236		$	64,077			20,449		$	208,493			120,959		$	1,242,352			204,951		$	2,262,297
Reinvested		2,119			19,686			470			4,883			6,965			65,957			186			1,982
Repurchased		(2,443	)		(25,267	)		(9,960	)		(108,643	)		(14,800	)		(152,911	)		(10,896	)		(115,051	)
Total		5,912		$	58,496			10,959		$	104,733			113,124		$	1,155,398			194,241		$	2,149,228

At April 30, 2012, one omnibus account owned the following in Target Income Series and Target 2050 Series and three omnibus accounts owned the following in Target 2010 Series, Target 2020 Series, Target 2030 Series and Target 2040 Series:

SERIES	SHARES OWNED	PERCENTAGE   OF SERIES   SHARES   OUTSTANDING	VALUE
Target Income Series	3,745,936	71.8%	$39,781,845
Target 2010 Series	2,618,906	60.0%	25,738,838
Target 2020 Series	6,099,304	50.6%	59,400,551
Target 2030 Series	6,571,019	57.3%	63,716,072
Target 2040 Series	4,247,403	56.9%	43,114,186
Target 2050 Series	1,755,879	63.6%	18,664,991

Investment activities of these shareholders may have a material effect on the Series.

7. Financial Instruments

The underlying Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The underlying Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms, liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s) and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of April 30, 2012.

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. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution

30

Notes to Financial Statements (continued)

(unaudited)

8. Federal Income Tax Information (continued)

(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 final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions for the year ended October 31, 2011 were as follows:

		TARGET		TARGET		TARGET		TARGET		TARGET		TARGET
		INCOME		2010		2020		2030		2040		2050
		SERIES		SERIES		SERIES		SERIES		SERIES		SERIES
Ordinary income	$	1,599,338	$	601,589	$	1,631,943	$	3,092,457	$	518,465	$	179,306
Long-term capital gain	$	384,742	$	664,538	$	2,798,828	$	490,387	$	425,201	$	5,994

At April 30, 2012, the tax basis of components of distributable earnings and the net unrealized appreciation based on the identified cost for federal income tax purposes were as follows:

		TARGET			TARGET			TARGET			TARGET			TARGET		TARGET
		INCOME			2010			2020			2030			2040		2050
		SERIES			SERIES			SERIES			SERIES			SERIES		SERIES
Cost for federal income tax purposes	$	50,157,233		$	41,793,611		$	114,815,332		$	107,800,029		$	69,615,783	$	26,992,536
Unrealized appreciation	$	5,229,672		$	1,048,651		$	2,377,897		$	3,299,889		$	6,076,927	$	2,346,989
Unrealized depreciation		(2,139	)		(1,424	)		(2,582	)		(61	)		—		(305	)
Net unrealized appreciation	$	5,227,533		$	1,047,227		$	2,375,315		$	3,299,828		$	6,076,927	$	2,346,684

At October 31, 2011, Target 2040 Series and Target 2050 Series had capital loss carryovers of $1,390 and $2,359, respectively, which are subject to limitations under Section 382-384 of the Internal Revenue Code, and are available to the extent allowed by tax law to offset future net capital gains, if any, which will expire on October 31, 2017 for both the Target 2040 Series and Target 2050 Series.

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act made changes to several tax rules including the unlimited carryover of future capital losses, which will retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Series were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

31

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2011, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board.

Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2011 Annual Review of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.

• The Board considered the services provided by the Advisor under the 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 Agreement in light of the Advisor’s services provided to the Fund for 25 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 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 the various Series were competitive against their respective benchmarks and/or peer groups over various time periods, but in particular over the full market cycle period relevant for the Series. 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 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 Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the 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 10 of the 29 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 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 Pro-Blend Class R and Class C, and Target Class R and Class C (and a few Class K), 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.

32

Renewal of Investment Advisory Agreement

(unaudited)

• 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 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 persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the 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 Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.

33

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.manning-napier.com

Additional information available at www.manning-napier.com

1. Fund Holdings - Month-End

2. Fund Holdings - Quarter-End

3. Shareholder Report - Annual

4. Shareholder Report - Semi-Annual

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

MNTGT-04/12-SAR

	DIVIDEND FOCUS SERIES
www.manning-napier.com

Dividend Focus Series

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 (November 1, 2011 to April 30, 2012, except for Class S Actual, which is from March 1, 2012* to April 30, 2012).

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. 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                11/1/11*	ENDING  ACCOUNT VALUE               4/30/12	EXPENSES PAID  DURING PERIOD**               11/1/11-4/30/12	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,011.00	$1.42	0.85%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.64	$4.27	0.85%
Class I
Actual	$1,000.00	$1,089.50	$2.96	0.57%
Hypothetical (5% return before expenses)	$1,000.00	$1,022.03	$2.87	0.57%

*Class S inception date was March 1, 2012.

**Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period (except for the Series’ Class S Actual return information, which reflects the 61 day period ended April 30, 2012 due to its inception date of March 1, 2012).

1

Dividend Focus Series

Portfolio Composition as of April 30, 2012

(unaudited)

2

Dividend Focus Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 96.4%
Consumer Discretionary - 6.8%
Auto Components - 0.1%
Magna International, Inc. (Canada)		4,273	$	187,286
Distributors - 0.2%
Genuine Parts Co.		3,948		255,751
Hotels, Restaurants & Leisure - 2.0%
McDonald’s Corp.		25,989		2,532,628
Leisure Equipment & Products - 0.2%
Mattel, Inc.		8,460		284,256
Media - 1.6%
The McGraw-Hill Companies, Inc.		7,134		350,779
Omnicom Group, Inc.		6,330		324,792
Pearson plc - ADR (United Kingdom)		19,310		365,731
Thomson Reuters Corp.		21,692		646,855
Viacom, Inc. - Class B		6,357		294,901
				1,983,058
Multiline Retail - 0.7%
Kohl’s Corp.		4,460		223,580
Target Corp.		11,919		690,587
				914,167
Specialty Retail - 2.0%
The Home Depot, Inc.		38,762		2,007,484
Limited Brands, Inc.		7,244		360,027
Staples, Inc.		13,210		203,434
				2,570,945
Total Consumer Discretionary				8,728,091
Consumer Staples - 19.7%
Beverages - 5.6%
The Coca-Cola Co.		58,354		4,453,577
PepsiCo, Inc.		40,247		2,656,302
				7,109,879
Food & Staples Retailing - 3.8%
SYSCO Corp.		15,272		441,361
Walgreen Co.		10,269		360,031
Wal-Mart Stores, Inc.		69,230		4,078,339
				4,879,731
Food Products - 2.6%
Archer-Daniels-Midland Co.		13,156		405,600
Campbell Soup Co.		8,188		277,000
ConAgra Foods, Inc.		7,560		195,199

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

3

Dividend Focus Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food Products (continued)
General Mills, Inc.		16,666	$	648,141
H.J. Heinz Co.		8,220		438,208
The Hershey Co.		5,769		386,581
The J.M. Smucker Co.		2,925		232,918
Kellogg Co.		9,178		464,131
Sara Lee Corp.		15,108		332,980
				3,380,758
Household Products - 4.1%
Colgate-Palmolive Co.		9,682		957,937
Kimberly-Clark Corp.		10,092		791,919
The Procter & Gamble Co.		55,714		3,545,639
				5,295,495
Personal Products - 0.2%
Avon Products, Inc.		8,535		184,356
Tobacco - 3.4%
Lorillard, Inc.		3,208		434,010
Philip Morris International, Inc.		43,995		3,937,992
				4,372,002
Total Consumer Staples				25,222,221
Energy - 16.0%
Oil, Gas & Consumable Fuels - 16.0%
BP plc - ADR (United Kingdom)		55,336		2,402,136
Chevron Corp.		43,680		4,654,541
ConocoPhillips		32,839		2,352,258
Exxon Mobil Corp.		55,794		4,817,254
Marathon Oil Corp.		8,599		252,295
Occidental Petroleum Corp.		9,649		880,182
Royal Dutch Shell plc - Class A - ADR (Netherlands)		37,783		2,702,996
Sasol Ltd. - ADR (South Africa)		14,842		703,956
Statoil ASA - ADR (Norway)		65,308		1,757,438
Total Energy				20,523,056
Financials - 0.4%
Insurance - 0.4%
Marsh & McLennan Companies, Inc.		14,309		478,636
Health Care - 22.4%
Biotechnology - 0.5%
Amgen, Inc.		9,195		653,856
Health Care Equipment & Supplies - 1.4%
Baxter International, Inc.		12,599		698,111

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

4

Dividend Focus Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Becton, Dickinson and Co.		4,501	$	353,103
Medtronic, Inc.		18,331		700,244
				1,751,458
Health Care Providers & Services - 0.2%
Cardinal Health, Inc.		6,283		265,582
Pharmaceuticals - 20.3%
Abbott Laboratories		38,951		2,417,299
AstraZeneca plc - ADR (United Kingdom)		32,795		1,439,702
Bristol-Myers Squibb Co.		43,439		1,449,559
Eli Lilly & Co.		29,659		1,227,586
GlaxoSmithKline plc - ADR (United Kingdom)		64,422		2,978,229
Johnson & Johnson		70,982		4,620,218
Merck & Co., Inc.		74,280		2,914,747
Novartis AG - ADR (Switzerland)		48,101		2,653,732
Pfizer, Inc.		195,862		4,491,116
Sanofi - ADR (France)		48,485		1,851,157
				26,043,345
Total Health Care				28,714,241
Industrials - 12.3%
Aerospace & Defense - 3.9%
The Boeing Co.		12,915		991,872
General Dynamics Corp.		7,669		517,658
Honeywell International, Inc.		17,852		1,082,902
Northrop Grumman Corp.		6,570		415,750
Raytheon Co.		7,402		400,744
United Technologies Corp.		19,146		1,563,079
				4,972,005
Air Freight & Logistics - 1.0%
United Parcel Service, Inc. - Class B		16,840		1,315,878
Commercial Services & Supplies - 0.3%
Waste Management, Inc.		11,736		401,371
Electrical Equipment - 1.7%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		47,711		900,307
Cooper Industries plc (Ireland)		4,224		264,296
Emerson Electric Co.		19,131		1,005,143
				2,169,746
Industrial Conglomerates - 2.9%
3M Co.		18,198		1,626,173

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

5

Dividend Focus Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Industrial Conglomerates (continued)
Koninklijke Philips Electronics N.V. - NY Shares (Netherlands)		27,668	$	553,083
Siemens AG - ADR (Germany)		16,755		1,556,037
				3,735,293
Machinery - 1.5%
Deere & Co.		4,586		377,703
Dover Corp.		4,886		306,157
Eaton Corp.		5,978		288,020
Illinois Tool Works, Inc.		12,435		713,520
Stanley Black & Decker, Inc.		2,889		211,359
				1,896,759
Road & Rail - 1.0%
CSX Corp.		11,758		262,321
Norfolk Southern Corp.		6,075		443,050
Union Pacific Corp.		5,519		620,556
				1,325,927
Total Industrials				15,816,979
Information Technology - 10.7%
Communications Equipment - 0.8%
Nokia Corp. - ADR (Finland)		85,675		312,714
Telefonaktiebolaget LM Ericsson - ADR (Sweden)		73,378		733,413
				1,046,127
Computers & Peripherals - 0.5%
Hewlett-Packard Co.		23,662		585,871
Electronic Equipment, Instruments & Components - 0.4%
Corning, Inc.		18,476		265,131
TE Connectivity Ltd. - ADR (Switzerland)		7,793		284,133
				549,264
IT Services - 1.0%
Accenture plc - Class A (Ireland)		8,104		526,355
Automatic Data Processing, Inc.		12,374		688,242
				1,214,597
Office Electronics - 0.8%
Canon, Inc. - ADR (Japan)		23,630		1,071,857
Semiconductors & Semiconductor Equipment - 3.7%
Analog Devices, Inc.		5,469		213,182
Applied Materials, Inc.		23,854		286,010
Intel Corp.		128,269		3,642,840

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

6

Dividend Focus Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Semiconductors & Semiconductor Equipment (continued)
Linear Technology Corp.		6,183	$	202,246
Texas Instruments, Inc.		13,995		447,000
				4,791,278
Software - 3.5%
Microsoft Corp.		138,818		4,444,952
Total Information Technology				13,703,946
Materials - 6.0%
Chemicals - 2.0%
Air Products & Chemicals, Inc.		3,849		329,051
The Dow Chemical Co.		14,201		481,130
E.I. du Pont de Nemours & Co.		23,968		1,281,329
PPG Industries, Inc.		3,897		410,120
				2,501,630
Metals & Mining - 3.8%
ArcelorMittal - NY Shares (Luxembourg)		19,746		342,198
BHP Billiton plc - ADR (United Kingdom)		51,877		3,338,804
Freeport-McMoRan Copper & Gold, Inc.		10,901		417,508
Southern Copper Corp.		15,873		521,904
Teck Resources Ltd. - Class B (Canada)		6,651		248,282
				4,868,696
Paper & Forest Products - 0.2%
International Paper Co.		7,526		250,691
Total Materials				7,621,017
Telecommunication Services - 1.2%
Wireless Telecommunication Services - 1.2%
Mobile Telesystems - ADR (Russia)		12,170		238,045
NTT DoCoMo, Inc. - ADR (Japan)		47,860		819,363
Rogers Communications, Inc. - Class B (Canada)		11,646		434,745
Total Telecommunication Services				1,492,153
Utilities - 0.9%
Electric Utilities - 0.4%
Companhia Energetica de Minas Gerais (CEMIG) - ADR (Brazil)		11,465		282,842
Enersis S.A. - ADR (Chile)		13,850		280,740
				563,582
Multi-Utilities - 0.3%
Public Service Enterprise Group, Inc.		13,456		419,154

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

7

Dividend Focus Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Utilities (continued)
Water Utilities - 0.2%
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) - ADR (Brazil)		2,867	$	226,952
Total Utilities				1,209,688
TOTAL COMMON STOCKS (Identified Cost $116,961,892)				123,510,028
SHORT-TERM INVESTMENTS - 3.5%
Dreyfus Cash Management, Inc. - Institutional Shares1, 0.06% (Identified Cost $4,501,874)		4,501,874		4,501,874
TOTAL INVESTMENTS - 99.9% (Identified Cost $121,463,766)				128,011,902
OTHER ASSETS, LESS LIABILITIES - 0.1%				122,715
NET ASSETS - 100%			$	128,134,617

ADR - American Depository Receipt

¹ Rate shown is the current yield as of April 30, 2012.

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

8

Dividend Focus Series

Statement of Assets and Liabilities

April 30, 2012 (unaudited)

Investments, at value (identified cost $121,463,766) (Note 2)	$	128,011,902
Receivable from investment advisor (Note 3)		640
Receivable from transfer agent (Note 3)		179
Dividends receivable		129,775
Receivable for fund shares sold		97,240
Foreign tax reclaims receivable		4,848
TOTAL ASSETS		128,244,584
LIABILITIES:
Accrued management fees (Note 3)		46,397
Accrued fund accounting and administration fees (Note 3)		12,321
Accrued Chief Compliance Officer service fees (Note 3)		418
Accrued shareholder services fees (Class S) (Note 3)		40
Payable for fund shares repurchased		33,314
Audit fees payable		17,252
Other payables and accrued expenses		225
TOTAL LIABILITIES		109,967
TOTAL NET ASSETS	$	128,134,617
NET ASSETS CONSIST OF:
Capital stock	$	99,721
Additional paid-in-capital		120,371,319
Undistributed net investment income		321,548
Accumulated net realized gain on investments		793,893
Net unrealized appreciation on investments		6,548,136
TOTAL NET ASSETS	$	128,134,617
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($307,830/30,628 shares)	$	10.05
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($127,826,787/9,941,445 shares)	$	12.86

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

9

Dividend Focus Series

Statement of Operations

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $48,068)	$	1,674,473
EXPENSES:
Management fees (Note 3)		239,990
Fund accounting and administration fees (Note 3)		23,876
Transfer agent fees (Note 3)		2,015
Chief Compliance Officer service fees (Note 3)		1,246
Directors’ fees (Note 3)		286
Shareholder services fees (Class S)(Note 3)		41
Custodian fees		7,637
Miscellaneous		30,620
Total Expenses		305,711
NET INVESTMENT INCOME		1,368,762
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments		845,035
Net change in unrealized appreciation (depreciation) on investments		7,375,831
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		8,220,866
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	9,589,628

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

10

Dividend Focus Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED     4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	1,368,762		$	523,429
Net realized gain (loss) on investments		845,035			151,167
Net change in unrealized appreciation (depreciation) on investments		7,375,831			(1,016,872	)
Net increase (decrease) from operations		9,589,628			(342,276	)
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(55	)		—
From net investment income (Class I)		(1,199,626	)		(387,291	)
From net realized gain on investments (Class I)		(185,043	)		(280,255	)
Total distributions to shareholders		(1,384,724	)		(667,546	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		40,901,469			77,394,902
Net increase in net assets		49,106,373			76,385,080
NET ASSETS:
Beginning of period		79,028,244			2,643,164
End of period (including undistributed net investment income of $321,548 and $152,467, respectively)	$	128,134,617		$	79,028,244

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

11

Dividend Focus Series

Financial Highlights - Class S

	FOR THE PERIOD     3/1/20121 TO 4/30/12 (UNAUDITED)
Per share data (for a share outstanding throughout the period):
Net asset value - Beginning of period	$	10.00
Income (loss) from investment operations:
Net investment income2		—	3
Net realized and unrealized gain (loss) on investments		0.11
Total from investment operations		0.11
Less distributions to shareholders:
From net investment income		(0.06	)
Net asset value - End of period	$	10.05
Net assets - End of period(000’s omitted)	$	308
Total return4		1.10	%
Ratios (to average net assets)/Supplemental Data:
Expenses		0.85	%5
Net investment income		0.29	%5
Portfolio turnover		17	%

¹ Commencement of operations.

² Calculated based on average shares outstanding during the period.

³ Less than $0.01 per share.

⁴ Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized.

⁵ Annualized.

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

12

Dividend Focus Series

Financial Highlights - Class I*

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE YEAR ENDED 10/31/10			FOR THE  PERIOD 11/7/081  TO 10/31/09
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.96		$	12.41		$	11.38		$	10.00
Income (loss) from investment operations:
Net investment income2		0.16			0.27			0.36			0.34
Net realized and unrealized gain (loss) on investments		0.90			0.88			1.02			1.22
Total from investment operations		1.06			1.15			1.38			1.56
Less distributions to shareholders:
From net investment income		(0.14	)		(0.30	)		(0.35	)		(0.18	)
From net realized gain on investments		(0.02	)		(1.30	)		—	3		—
Total distributions to shareholders		(0.16	)		(1.60	)		(0.35	)		(0.18	)
Net asset value - End of period	$	12.86		$	11.96		$	12.41		$	11.38
Net assets - End of period(000’s omitted)	$	127,827		$	79,028		$	2,643		$	2,044
Total return4		8.95	%		10.17	%		12.32	%		15.81	%
Ratios (to average net assets)/Supplemental Data:
Expenses**		0.57	%5		0.60	%		0.60	%		0.60	%5
Net investment income		2.57	%5		2.41	%		2.99	%		3.33	%5
Portfolio turnover		17	%		8	%		73	%		28	%
* Effective March 1, 2012, the shares of the Series have been designated as Class I. ** For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			0.45	%		5.01	%		6.21	%5

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods.

³Less than $0.01 per share.

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain periods. Periods less than one year are not annualized.

⁵Annualized.

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

13

Dividend Focus Series

Notes to Financial Statements

(unaudited)

1. Organization

Dividend Focus Series (the “Series”) is a no-load non-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 competitive returns consistent with the broad equity market while providing a level of capital protection during market downturns through a passive quantitative investment approach.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. Effective March 1, 2012, Class A shares of the Series have been redesignated as Class I Shares and the Series issued Class S Shares. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of April 30, 2012, 9.8 billion shares have been designated in total among 41 series, of which 100 million have been designated as Dividend Focus Series Class I common stock and 100 million have been designated as Dividend Focus Series Class S 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.

Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as 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”). 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.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of April 30, 2012 in valuing the Series’ assets or liabilities carried at fair value:

14

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	8,728,091	$	8,728,091	$	—	$	—
Consumer Staples		25,222,221		25,222,221		—		—
Energy		20,523,056		20,523,056		—		—
Financials		478,636		478,636		—		—
Health Care		28,714,241		28,714,241		—		—
Industrials		15,816,979		15,816,979		—		—
Information Technology		13,703,946		13,703,946		—		—
Materials		7,621,017		7,621,017		—		—
Telecommunication Services		1,492,153		1,492,153	��	—		—
Utilities		1,209,688		1,209,688		—		—
Mutual Funds		4,501,874		4,501,874		—		—
Total assets	$	128,011,902	$	128,011,902	$	—	$	—

* Includes common stock, warrants and rights.

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2011 or April 30, 2012.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2012.

Recent Accounting Standard

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04, “Fair Value Measurements (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs” (“ASU 2011-04”). ASU 2011-04 clarifies the application of existing fair value measurement requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements.

Required disclosures are expanded under the new guidance, especially for fair value measurements that are categorized within Level 3 of the fair value hierarchy, for which quantitative information about the unobservable inputs used, and a narrative description of the valuation processes in place and sensitivity of recurring Level 3 measurements to changes in unobservable inputs will be required.

ASU 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is to be applied prospectively. Management is currently assessing the impact of this guidance, but does not expect it to have a material impact on the Series’ financial statements.

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 Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair 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.

15

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

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 fair 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.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2012, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the period ended October 31, 2009 and the years ended October 31, 2010 through October 31, 2011. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Foreign Taxes

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

Distributions of Income and Gains

Distributions to shareholders of net investment income are made quarterly. Distributions of 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

16

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Other (continued)

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 0.45% 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 plus a fee for each committee meeting attended.

Effective March 1, 2012, Class A shares of the Series have been redesignated as Class I shares and the Series issued Class S shares. The Class S shares of the Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund’s Board. The shareholder services fee is intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, Class S of the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.25% of the average daily net assets of Class S. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.

In conjunction with the Agreement, the Advisor has contractually agreed, until at least February 28, 2013, 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 0.60% of average daily net assets each year. For the six months ended April 30, 2012, the Advisor did not waive fees or reimburse expenses for 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.

The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent. The Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0175% on the first $3 billion of average daily net assets (excluding Target Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series); plus a base fee of $25,500 per series. Transfer Agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and cusip-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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2012, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $54,790,224 and $16,969,379, respectively. There were no purchases or sales of U.S. Government securities.

17

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions

Transactions in Class S and I shares of Dividend Focus Series were:

CLASS S	FOR THE PERIOD  3/1/12 (COMMENCEMENT OF OPERATIONS) TO 4/30/12
	SHARES		AMOUNT
Sold		30,623	$	304,975
Reinvested		5		55
Total		30,628	$	305,030

CLASS I	FOR THE SIX MONTHS ENDED  4/30/12						FOR THE YEAR ENDED  10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		4,311,727		$	52,661,028			6,736,803		$	81,351,801
Reinvested		64,259			785,705			44,413			505,619
Repurchased		(1,041,782	)		(12,850,294	)		(386,985	)		(4,462,518	)
Total		3,334,204		$	40,596,439			6,394,231		$	77,394,902

At April 30, 2012, one omnibus account owned 3,897,774 shares of the Series (39.1% of shares outstanding) valued at $50,125,378. In addition, the Advisor owned 60,704 shares (0.6% of shares outstanding) valued at $780,647 and the retirement plan of the Advisor and its affiliates owned 133,673 shares of the Series (1.3% of shares outstanding) valued at $1,719,041. Investment activities of these shareholders may have a material effect on the Series.

6. Financial Instruments

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms, liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s) and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of April 30, 2012.

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 U.S. 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 U.S. 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. 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.

18

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

8. Federal Income Tax Information (continued)

The final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2011 was as follows:

Ordinary income                                                                              $          467,218

Long-term capital gains                                                                               200,328

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act made changes to several tax rules including the unlimited carryover of future capital losses, which will retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Series were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At April 30, 2012, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	121,512,773
Unrealized appreciation		7,991,400
Unrealized depreciation		(1,492,271	)
Net unrealized appreciation	$	6,499,129

19

Dividend Focus Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2011, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board.

Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2011 Annual Review of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.

• The Board considered the services provided by the Advisor under the 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 Agreement in light of the Advisor’s services provided to the Fund for 25 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 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 the various Series were competitive against their respective benchmarks and/or peer groups over various time periods, but in particular over the full market cycle period relevant for the Series. 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 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 Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the 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 10 of the 29 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 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 Pro-Blend Class R and Class C, and Target Class R and Class C (and a few Class K), 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.

20

Dividend Focus Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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 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 persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the 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 Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.

21

Dividend Focus Series

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 30^th 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 our web site	http://www.manning-napier.com

Additional information available at www.manning-napier.com

1. Fund Holdings - Month-End

2. Fund Holdings - Quarter-End

3. Shareholder Report - Annual

4. Shareholder Report - Semi-Annual

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

MNDIV-04/12-SAR

	OVERSEAS SERIES
www.manning-napier.com

Overseas Series

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 (November 1, 2011 to April 30, 2012).

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. 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                              11/1/11	ENDING ACCOUNT VALUE                              4/30/12	EXPENSES PAID DURING PERIOD*                              11/1/11-4/30/12
Actual	$1,000.00	$1,045.60	$3.81
Hypothetical (5% return before expenses)	$1,000.00	$1,021.13	$3.77

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.75%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year.

1

Overseas Series

Portfolio Composition as of April 30, 2012

(unaudited)

2

Overseas Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS - 93.4%
Consumer Discretionary - 11.5%
Automobiles - 2.3%
Suzuki Motor Corp. (Japan)1		769,400	$	18,108,937
Toyota Motor Corp. (Japan)1		547,200		22,423,035
				40,531,972
Diversified Consumer Services - 0.9%
Anhanguera Educacional Participacoes S.A. (Brazil)		1,128,080		14,925,466
Hotels, Restaurants & Leisure - 2.0%
Accor S.A. (France)1		991,010		34,269,707
Internet & Catalog Retail - 0.5%
Ocado Group plc (United Kingdom)*1		4,171,760		8,794,099
Media - 3.4%
British Sky Broadcasting Group plc (United Kingdom)1		248,750		2,737,527
Societe Television Francaise 1 (France)1		2,951,620		28,589,620
Virgin Media, Inc. - ADR (United Kingdom)		1,150,170		28,248,175
				59,575,322
Multiline Retail - 1.3%
Marks & Spencer Group plc (United Kingdom)1		3,910,400		22,663,814
Textiles, Apparel & Luxury Goods - 1.1%
Adidas AG (Germany)1		236,490		19,725,563
Total Consumer Discretionary				200,485,943
Consumer Staples - 20.0%
Beverages - 3.4%
Anheuser-Busch InBev N.V. (Belgium)1		457,690		32,988,140
Carlsberg A/S - Class B (Denmark)1		56,600		4,885,811
Heineken N.V. (Netherlands)1		405,960		22,201,357
				60,075,308
Food & Staples Retailing - 6.6%
Carrefour S.A. (France)1		1,621,970		32,579,603
Distribuidora Internacional de Alimentacion S.A. (Spain)*1		805,180		3,865,864
Koninklijke Ahold N.V. (Netherlands)1		2,581,770		32,768,859
Tesco plc (United Kingdom)1		9,020,830		46,481,478
				115,695,804
Food Products - 7.0%
Danone (France)1		684,500		48,188,052
Nestle S.A. (Switzerland)1		744,080		45,604,125
Unilever plc - ADR (United Kingdom)		845,710		29,024,767
				122,816,944
Household Products - 0.8%
Reckitt Benckiser Group plc (United Kingdom)1		241,860		14,079,503

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

3

Overseas Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE         (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Personal Products - 2.2%
Beiersdorf AG (Germany)1		282,850	$	19,849,445
Natura Cosmeticos S.A. (Brazil)		787,840		17,801,468
				37,650,913
Total Consumer Staples				350,318,472
Energy - 12.8%
Energy Equipment & Services - 6.2%
Compagnie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		675,400		19,368,947
Petroleum Geo-Services ASA (Norway)*1		674,430		10,202,624
Schlumberger Ltd. (United States)		723,780		53,661,049
Trican Well Service Ltd. (Canada)		1,710,020		24,736,737
				107,969,357
Oil, Gas & Consumable Fuels - 6.6%
Cameco Corp. (Canada)		1,756,660		38,822,186
Encana Corp. (Canada)		506,070		10,597,106
Petroleo Brasileiro S.A. - ADR (Brazil)		809,920		17,947,827
Talisman Energy, Inc. (Canada)		3,676,470		48,084,216
				115,451,335
Total Energy				223,420,692
Financials - 7.0%
Commercial Banks - 2.6%
Banco Santander S.A. (Spain)1		2,817,879		17,692,368
HSBC Holdings plc (United Kingdom)1		3,136,640		28,315,039
				46,007,407
Diversified Financial Services - 2.5%
Deutsche Boerse AG (Germany)1		706,450		44,357,125
Insurance - 1.1%
Mapfre S.A. (Spain)1		6,451,600		18,676,736
Real Estate Investment Trusts (REITS) - 0.8%
Land Securities Group plc (United Kingdom)1		1,215,450		14,353,651
Total Financials				123,394,919
Health Care - 10.1%
Health Care Equipment & Supplies - 1.9%
Mindray Medical International Ltd. - ADR (China)		704,180		23,068,937
Straumann Holding AG (Switzerland)1		57,570		9,566,216
				32,635,153
Health Care Providers & Services - 3.5%
Life Healthcare Group Holdings Ltd. (South Africa)1		2,854,910		9,877,457

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

4

Overseas Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Providers & Services (continued)
Sonic Healthcare Ltd. (Australia)1		3,966,430	$	51,887,420
				61,764,877
Life Sciences Tools & Services - 3.6%
Lonza Group AG (Switzerland)1		831,070		37,499,001
QIAGEN N.V. (Netherlands)*1		1,189,700		19,671,129
WuXi PharmaTech (Cayman), Inc. - ADR (China)*		435,490		6,262,346
				63,432,476
Pharmaceuticals - 1.1%
Dr. Reddy’s Laboratories Ltd. - ADR (India)		162,180		5,486,549
Santen Pharmaceutical Co. Ltd. (Japan)1		337,000		14,103,097
				19,589,646
Total Health Care				177,422,152
Industrials - 12.1%
Aerospace & Defense - 1.0%
European Aeronautic Defence and Space Co. N.V. (Netherlands)1		457,720		18,088,433
Air Freight & Logistics - 0.4%
PostNL N.V. (Netherlands)1		1,698,280		7,390,083
Airlines - 3.5%
Ryanair Holdings plc - ADR (Ireland)*		1,813,710		61,067,616
Commercial Services & Supplies - 0.9%
Edenred (France)1		517,510		16,533,132
Electrical Equipment - 1.3%
Nexans S.A. (France)1		258,000		12,930,680
Prysmian S.p.A. (Italy)1		560,310		9,126,811
				22,057,491
Industrial Conglomerates - 1.1%
Siemens AG (Germany)1		198,450		18,420,163
Machinery - 0.4%
Westport Innovations, Inc. - ADR (Canada)*		227,170		7,110,421
Marine - 1.0%
D/S Norden (Denmark)1		98,250		2,788,455
Diana Shipping, Inc. - ADR (Greece)*		347,880		2,734,337
Mitsui OSK Lines Ltd. (Japan)1		1,148,000		4,449,549
Nippon Yusen Kabushiki Kaisha (Japan)1		1,542,000		4,558,207
Pacific Basin Shipping Ltd. (Bermuda)1,2		5,053,000		2,644,283
				17,174,831
Professional Services - 1.6%
Adecco S.A. (Switzerland)1		267,360		13,042,711

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

5

Overseas Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Professional Services (continued)
Randstad Holding N.V. (Netherlands)1		405,780	$	14,057,706
				27,100,417
Road & Rail - 0.4%
All America Latina Logistica S.A. (Brazil)		1,587,700		7,188,233
Transportation Infrastructure - 0.5%
Groupe Eurotunnel S.A. (France)1		1,136,550		9,562,483
Total Industrials				211,693,303
Information Technology - 9.9%
Communications Equipment - 1.0%
Alcatel-Lucent - ADR (France)*		11,573,700		17,476,287
Electronic Equipment, Instruments & Components - 1.1%
Nippon Electric Glass Co. Ltd. (Japan)1		2,265,500		18,304,710
Internet Software & Services - 1.5%
Tencent Holdings Ltd. (China)1		836,300		26,162,646
IT Services - 4.6%
Amadeus IT Holding S.A. - Class A (Spain)1		740,910		15,167,796
Amdocs Ltd. - ADR (Guernsey)*		1,469,671		47,029,472
Cap Gemini S.A. (France)1		482,970		18,868,312
				81,065,580
Semiconductors & Semiconductor Equipment - 1.7%
Sumco Corp. (Japan)*1		1,002,000		10,636,904
Tokyo Electron Ltd. (Japan)1		339,380		18,807,110
				29,444,014
Total Information Technology				172,453,237
Materials - 7.9%
Chemicals - 4.7%
Chr. Hansen Holding A/S (Denmark)1		231,570		6,425,631
Johnson Matthey plc (United Kingdom)1		741,300		27,836,899
Shin-Etsu Chemical Co. Ltd. (Japan)1		163,400		9,431,407
Syngenta AG (Switzerland)1		108,510		38,051,926
				81,745,863
Construction Materials - 2.1%
CRH plc (Ireland)1		919,570		18,639,868
Holcim Ltd. (Switzerland)1		307,900		19,204,403
				37,844,271
Metals & Mining - 1.1%
Alumina Ltd. (Australia)1		7,605,880		9,084,904
Norsk Hydro ASA (Norway)1		1,730,350		8,437,569

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

6

Overseas Series

Investment Portfolio - April 30, 2012

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining (continued)
Umicore S.A. (Belgium)1		32,650	$	1,773,014
				19,295,487
Total Materials				138,885,621
Telecommunication Services - 2.1%
Diversified Telecommunication Services - 2.1%
Telenor ASA (Norway)1		2,035,830		37,421,425
TOTAL COMMON STOCKS (Identified Cost $1,646,795,341)				1,635,495,764
SHORT-TERM INVESTMENTS - 7.9%
Dreyfus Cash Management, Inc. - Institutional Shares3, 0.06%
(Identified Cost $138,537,719)		138,537,719		138,537,719
TOTAL INVESTMENTS - 101.3% (Identified Cost $1,785,333,060)				1,774,033,483
LIABILITIES, LESS OTHER ASSETS - (1.3%)				(22,465,040	)
NET ASSETS - 100%			$	1,751,568,443

ADR - American Depository Receipt

*Non-income producing security

¹ A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

² Traded on Hong Kong exchange.

³ Rate shown is the current yield as of April 30, 2012.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries:

France - 13.6%; United Kingdom - 12.7%.

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

7

Overseas Series

Statement of Assets & Liabilities

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $1,785,333,060) (Note 2)	$	1,774,033,483
Foreign currency (identified cost $16,922,504)		16,923,838
Cash		840,221
Dividends receivable		9,653,355
Foreign tax reclaims receivable		1,839,537
Receivable for fund shares sold		1,135,591
TOTAL ASSETS		1,804,426,025
LIABILITIES:
Accrued management fees (Note 3)		985,888
Accrued fund accounting and administration fees (Note 3)		60,369
Accrued directors’ fees (Note 3)		465
Accrued Chief Compliance Officer service fees (Note 3)		415
Accrued transfer agent fees (Note 3)		178
Payable for securities purchased		50,751,302
Payable for fund shares repurchased		988,277
Other payables and accrued expenses		70,688
TOTAL LIABILITIES		52,857,582
TOTAL NET ASSETS	$	1,751,568,443
NET ASSETS CONSIST OF:
Capital stock	$	779,978
Additional paid-in-capital		1,783,256,373
Undistributed net investment income		13,459,649
Accumulated net realized loss on investments, foreign currency and translation of other assets and liabilities		(34,743,569	)
Net unrealized depreciation on investments, foreign currency and translation of other assets and liabilities		(11,183,988	)
TOTAL NET ASSETS	$	1,751,568,443
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A ($1,751,568,443/77,997,769 shares)	$	22.46

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

8

Overseas Series

Statement of Operations

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $2,193,070)	$	19,342,122
EXPENSES:
Management fees (Note 3)		5,415,914
Fund accounting and administration fees (Note 3)		114,768
Directors’ fees (Note 3)		15,297
Transfer agent fees (Note 3)		2,293
Chief Compliance Officer service fees (Note 3)		1,246
Custodian fees		129,283
Miscellaneous		100,591
Total Expenses		5,779,392
NET INVESTMENT INCOME		13,562,730
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		(25,223,820	)
Foreign currency and translation of other assets and liabilities (net of Brazilian tax of $54,086)		(564,272	)
		(25,788,092	)
Net change in unrealized appreciation (depreciation) on-
Investments		89,598,014
Foreign currency and translation of other assets and liabilities		156,251
		89,754,265
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		63,966,173
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	77,528,903

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

9

Overseas Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	13,562,730		$	34,731,762
Net realized gain (loss) on investments and foreign currency		(25,788,092	)		33,909,582
Net change in unrealized appreciation (depreciation) on investments and foreign currency		89,754,265			(166,547,551	)
Net increase (decrease) from operations		77,528,903			(97,906,207	)
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income		(35,331,200	)		(9,601,100	)
From net realized gain on investments		(34,111,953	)		(31,173	)
Total distributions to shareholders		(69,443,153	)		(9,632,273	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		407,295,383			525,453,301
Net increase in net assets		415,381,133			417,914,821
NET ASSETS:
Beginning of period		1,336,187,310			918,272,489
End of period (including undistributed net investment income of $13,459,649 and $35,228,119, respectively)	$	1,751,568,443		$	1,336,187,310

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

10

Overseas Series

Financial Highlights

	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED
	4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	22.63		$	24.22		$	21.68		$	17.78		$	33.55		$	26.69
Income (loss) from investment operations:
Net investment income		0.19	1		0.75	1		0.32	1		0.36	1		0.34			0.40	1
Net realized and unrealized gain (loss) on investments		0.67			(2.09	)		2.41			4.35			(13.17	)		7.16
Total from investment operations		0.86			(1.34	)		2.73			4.71			(12.83	)		7.56
Less distributions to shareholders:
From net investment income		(0.52	)		(0.25	)		(0.19	)		(0.42	)		(0.29	)		(0.17	)
From net realized gain on investments		(0.51	)		—	2		—			(0.39	)		(2.65	)		(0.53	)
Total distributions to shareholders		(1.03	)		(0.25	)		(0.19	)		(0.81	)		(2.94	)		(0.70	)
Net asset value - End of period	$	22.46		$	22.63		$	24.22		$	21.68		$	17.78		$	33.55
Net assets - End of period(000’s omitted)	$	1,751,568		$	1,336,187		$	918,272		$	448,441		$	174,371		$	216,637
Total return3		4.56	%		(5.61	%)		12.68	%		28.10	%		(41.58	%)		28.88	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.75	%4		0.75	%		0.75	%		0.75	%		0.80	%		0.84	%
Net investment income		1.75	%4		3.04	%		1.42	%		1.97	%		1.48	%		1.34	%
Portfolio turnover		25	%		37	%		36	%		49	%		43	%		54	%
*For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			0.01	%		0.01	%		0.05	%		0.03	%		N/A

¹Calculated based on average shares outstanding during the periods.

²Less than $0.01 per share.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

⁴Annualized.

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

11

Overseas Series

Notes to Financial Statements

(unaudited)

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 growth by investing primarily in common stocks of issuers from outside the United States.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of April 30, 2012, 9.8 billion shares have been designated in total among 41 series, of which 200 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.

Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as 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”). 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. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both

12

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of April 30, 2012 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	200,485,943	$	43,173,641	$	157,312,302	$	—
Consumer Staples		350,318,472		46,826,235		303,492,237		—
Energy		223,420,692		193,849,121		29,571,571		—
Financials		123,394,919		—		123,394,919		—
Health Care		177,422,152		34,817,832		142,604,320		—
Industrials		211,693,303		78,100,607		133,592,696		—
Information Technology		172,453,237		64,505,759		107,947,478		—
Materials		138,885,621		—		138,885,621		—
Telecommunication Services		37,421,425		—		37,421,425		—
Mutual Funds		138,537,719		138,537,719		—		—
Total assets	$	1,774,033,483	$	599,810,914	$	1,174,222,569	$	—

*Includes common stock, warrants and rights. Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the security’s fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of October 31, 2011 or April 30, 2012.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2012.

Recent Accounting Standard

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04, “Fair Value Measurements (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs” (“ASU 2011-04”). ASU 2011-04 clarifies the application of existing fair value measurement requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements.

Required disclosures are expanded under the new guidance, especially for fair value measurements that are categorized within Level 3 of the fair value hierarchy, for which quantitative information about the unobservable inputs used, and a narrative description of the valuation processes in place and sensitivity of recurring Level 3 measurements to changes in unobservable inputs will be required.

ASU 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is to be applied prospectively. Management is currently assessing the impact of this guidance, but does not expect it to have a material impact on the Series’ financial statements.

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 Series is informed of the

13

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Transactions, Investment Income and Expenses (continued)

ex-dividend date. Non-cash dividends, if any, are recorded at the fair 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 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 fair 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 tax 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.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2012, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2008 through October 31, 2011. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Foreign Taxes

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

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

14

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Indemnifications (continued)

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.

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 plus a fee for each committee meeting attended.

The Advisor has contractually agreed, until at least February 28, 2013, 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 0.75% of average daily net assets each year. For the six months ended April 30, 2012, the Advisor did not waive fees or reimburse expenses for 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.

The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent. The Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0175% on the first $3 billion of average daily net assets (excluding Target Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series); plus a base fee of $25,500 per series. Transfer Agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and cusip-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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2012, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $668,262,311 and $360,065,168, respectively. There were no purchases or sales of U.S. Government securities.

15

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions

Transactions in Class A shares of Overseas Series were:

	FOR THE SIX MONTHS ENDED  4/30/12						FOR THE YEAR ENDED  10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		21,349,407		$	463,088,130			25,644,794		$	638,310,503
Reinvested		3,272,558			62,996,742			347,072			8,409,551
Repurchased		(5,672,454	)		(118,789,489	)		(4,851,651	)		(121,266,753	)
Total		18,949,511		$	407,295,383			21,140,215		$	525,453,301

At April 30, 2012, the retirement plan of the Advisor and its affiliates owned 186,208 shares of the Series (0.2% of shares outstanding) valued at $4,182,231.

6. Financial Instruments

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms, liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s) and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of April 30, 2012.

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 U.S. 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 U.S. 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. 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 final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2011, were as follows:

Ordinary income                                                                              $        9,632,273

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act made changes to several tax rules including the unlimited carryover of future capital losses, which will retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Series were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

16

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

8. Federal Income Tax Information (continued)

At April 30, 2012, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	1,803,039,579
Unrealized appreciation		119,886,780
Unrealized depreciation		(148,892,876	)
Net unrealized depreciation	$	(29,006,096	)

17

Overseas Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2011, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board.

Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2011 Annual Review of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.

• The Board considered the services provided by the Advisor under the 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 Agreement in light of the Advisor’s services provided to the Fund for 25 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 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 the various Series were competitive against their respective benchmarks and/or peer groups over various time periods, but in particular over the full market cycle period relevant for the Series. 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 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 Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the 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 10 of the 29 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 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 Pro-Blend Class R and Class C, and Target Class R and Class C (and a few Class K), 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.

18

Overseas Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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 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 persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the 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 Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.

19

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20

Overseas Series

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 our web site	http://www.manning-napier.com

Additional information available at www.manning-napier.com

1. Fund Holdings - Month-End

2. Fund Holdings - Quarter-End

3. Shareholder Report - Annual

4. Shareholder Report - Semi-Annual

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

MNOVS-04/12-SAR

	PRO-BLEND® CONSERVATIVE TERM SERIES
	PRO-BLEND® MODERATE TERM SERIES
	PRO-BLEND® EXTENDED TERM SERIES
	PRO-BLEND® MAXIMUM TERM SERIES
www.manning-napier.com

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 (November 1, 2011 to April 30, 2012).

Actual Expenses

The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, 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 Actual line for the Class in which you have invested 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 Hypothetical lines of the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ 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 for the Class in which you have invested 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. Therefore, the Hypothetical lines of the table are 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               11/1/11	ENDING  ACCOUNT VALUE               4/30/12	EXPENSES PAID  DURING PERIOD               11/1/11-4/30/12*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,040.70	$4.41	0.87%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.54	$4.37	0.87%
Class I
Actual	$1,000.00	$1,042.00	$3.40	0.67%
Hypothetical (5% return before expenses)	$1,000.00	$1,021.53	$3.37	0.67%
Class C
Actual	$1,000.00	$1,037.10	$8.46	1.67%
Hypothetical (5% return before expenses)	$1,000.00	$1,016.56	$8.37	1.67%
Class R
Actual	$1,000.00	$1,039.00	$5.93	1.17%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.05	$5.87	1.17%

*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

1

Portfolio Composition - Pro-Blend^® Conservative Term Series

As of April 30, 2012 (unaudited)

Sector Allocation3			Top Five Stock Holdings4
Financials	16.63	%	Google, Inc. - Class A	0.86	%
Consumer Discretionary	8.58	%	Cerner Corp.	0.83	%
Information Technology	5.70	%	Monsanto Co.	0.79	%
Industrials	4.15	%	Time Warner, Inc.	0.67	%
Energy	3.78	%	EMC Corp.	0.59	%
Health Care	3.76	%
Materials	3.21	%
Consumer Staples	3.04	%
Telecommunication Services	0.88	%	4As a percentage of total investments.
Utilities	0.55	%	Top Five Bond Holdings5
			Fannie Mae, 4.375%, 3/15/2013	2.67	%
			Freddie Mac, 0.875%, 10/28/2013	2.57	%
			Freddie Mac, 2.00%, 8/25/2016	2.46	%
			Fannie Mae, 1.375%, 11/15/2016	2.20	%
			Fannie Mae, 2.50%, 5/15/2014	1.87	%
3Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.
			5As a percentage of total investments.

2

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 23.17%
Consumer Discretionary - 4.13%
Auto Components - 0.02%
Hankook Tire Co. Ltd. (South Korea)1		5,450	$	229,912
Automobiles - 0.28%
Suzuki Motor Corp. (Japan)1		4,700		110,621
Tesla Motors, Inc.*		4,490		148,754
Toyota Motor Corp. (Japan)1		2,600		106,542
Toyota Motor Corp. - ADR (Japan)		36,040		2,947,351
Yamaha Motor Co. Ltd. (Japan)1		12,200		162,950
				3,476,218
Distributors - 0.01%
Inchcape plc (United Kingdom)1		25,370		150,725
Diversified Consumer Services - 0.03%
Anhanguera Educacional Participacoes S.A. (Brazil)		10,310		136,410
Capella Education Co.*		3,600		117,756
Grand Canyon Education, Inc.*		8,050		139,989
				394,155
Hotels, Restaurants & Leisure - 0.49%
Accor S.A. (France)1		24,030		830,971
Carnival Corp.		139,440		4,530,406
Hyatt Hotels Corp. - Class A*		4,520		194,496
Intercontinental Hotels Group plc (United Kingdom)1		15,500		369,581
Orient-Express Hotels Ltd. - Class A - ADR (Bermuda)		11,040		118,018
TUI Travel plc (United Kingdom)1		20,420		63,324
				6,106,796
Household Durables - 0.13%
Corporacion Geo S.A.B. de C.V. - Class B (Mexico)*		25,250		33,729
DR Horton, Inc.		19,490		318,661
Lennar Corp. - Class A		16,150		448,001
LG Electronics, Inc. (South Korea)1		2,150		132,653
NVR, Inc.*		360		282,218
Rodobens Negocios Imobiliarios S.A. (Brazil)		17,780		103,724
Toll Brothers, Inc.*		11,860		301,244
				1,620,230
Internet & Catalog Retail - 0.44%
Amazon.com, Inc.*		22,610		5,243,259
Blue Nile, Inc.*		970		29,372
Ocado Group plc (United Kingdom)*1		101,830		214,658
				5,487,289
Media - 2.59%
AMC Networks, Inc. - Class A*		88,520		3,762,100

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

3

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Media (continued)
DIRECTV - Class A*		100,070	$	4,930,449
Imax Corp. (Canada)*		8,690		208,299
Mediaset Espana Comunicacion S.A. (Spain)1		48,350		220,092
News Corp. - Class A		202,230		3,963,708
Reed Elsevier plc - ADR (United Kingdom)		1,308		43,229
Societe Television Francaise 1 (France)1		16,930		163,985
Time Warner, Inc.		225,050		8,430,373
Valassis Communications, Inc.*		4,450		89,000
Virgin Media, Inc. - ADR (United Kingdom)		193,770		4,758,991
The Walt Disney Co.		122,980		5,301,668
Wolters Kluwer N.V. (Netherlands)1		8,040		138,990
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		61,000		205,854
				32,216,738
Multiline Retail - 0.02%
Marks & Spencer Group plc (United Kingdom)1		18,990		110,062
PPR (France)1		745		124,675
				234,737
Specialty Retail - 0.11%
Aeropostale, Inc.*		6,750		149,715
American Eagle Outfitters, Inc.		8,150		146,781
Belle International Holdings Ltd. (Hong Kong)1		60,000		117,074
Chico’s FAS, Inc.		10,960		168,346
Dick’s Sporting Goods, Inc.		5,330		269,698
Group 1 Automotive, Inc.		1,410		81,611
Inditex S.A. (Spain)1		900		81,121
KOMERI Co. Ltd. (Japan)1		1,500		42,026
Penske Automotive Group, Inc.		2,810		74,296
Sonic Automotive, Inc. - Class A		6,850		115,217
Teavana Holdings, Inc.*		7,840		163,778
				1,409,663
Textiles, Apparel & Luxury Goods - 0.01%
Adidas AG (Germany)1		1,530		127,617
Total Consumer Discretionary				51,454,080
Consumer Staples - 2.41%
Beverages - 0.75%
Anheuser-Busch InBev N.V. (Belgium)1		67,890		4,893,192
The Boston Beer Co., Inc. - Class A*		1,030		106,420
C&C Group plc (Ireland)*1		20,630		103,469
Carlsberg A/S - Class B (Denmark)1		2,200		189,908
Cia Cervecerias Unidas S.A. - ADR (Chile)		1,950		139,659

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

4

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Beverages (continued)
The Coca-Cola Co.		46,640	$	3,559,565
Diageo plc (United Kingdom)1		11,380		287,041
Heineken N.V. (Netherlands)1		2,200		120,315
				9,399,569
Food & Staples Retailing - 0.37%
Carrefour S.A. (France)1		9,650		193,834
Casino Guichard-Perrachon S.A. (France)1		1,100		108,074
Distribuidora Internacional de Alimentacion S.A. (Spain)*1		26,470		127,089
Koninklijke Ahold N.V. (Netherlands)1		9,120		115,755
The Kroger Co.		155,920		3,628,258
SUPERVALU, Inc.		11,870		70,508
Tesco plc (United Kingdom)1		58,505		301,458
				4,544,976
Food Products - 1.24%
Barry Callebaut AG (Switzerland)1		180		173,286
Biostime International Holdings Ltd. (Cayman Islands)1		19,500		55,935
BRF - Brasil Foods S.A. (Brazil)		9,030		163,911
Danone (France)1		4,920		346,363
Flowers Foods, Inc.		4,110		88,159
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		74,480		177,710
Kraft Foods, Inc. - Class A		130,090		5,186,688
M Dias Branco S.A. (Brazil)		2,700		77,906
Nestle S.A. (Switzerland)1		60,550		3,711,066
Suedzucker AG (Germany)1		2,950		89,833
Unilever plc - ADR (United Kingdom)		158,530		5,440,750
				15,511,607
Household Products - 0.03%
Reckitt Benckiser Group plc (United Kingdom)1		6,610		384,791
Personal Products - 0.01%
Beiersdorf AG (Germany)1		930		65,264
Tobacco - 0.01%
Gudang Garam Tbk PT (Indonesia)1		21,000		134,866
Total Consumer Staples				30,041,073
Energy - 2.10%
Energy Equipment & Services - 1.12%
Baker Hughes, Inc.		91,295		4,027,022
Calfrac Well Services Ltd. (Canada)		5,040		138,264
CARBO Ceramics, Inc.		520		43,727
Compagnie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		2,850		81,732
Heckmann Corp.*		19,940		75,772

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

5

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Energy Equipment & Services (continued)
ION Geophysical Corp.*		9,000	$	56,070
Key Energy Services, Inc.*		6,510		82,417
Petroleum Geo-Services ASA (Norway)*1		7,500		113,458
Poseidon Concepts Corp. (Canada)		6,300		81,823
Schlumberger Ltd.		66,160		4,905,102
Trican Well Service Ltd. (Canada)		18,600		269,063
Weatherford International Ltd. - ADR (Switzerland)*		286,834		4,093,121
				13,967,571
Oil, Gas & Consumable Fuels - 0.98%
Apache Corp.		17,280		1,657,843
Cameco Corp. (Canada)		7,780		171,938
Hess Corp.		131,270		6,844,418
Paladin Energy Ltd. (Australia)*2		75,420		124,447
Petroleo Brasileiro S.A. - ADR (Brazil)		7,510		166,422
Range Resources Corp.		39,380		2,625,071
Royal Dutch Shell plc - Class B (Netherlands)1		2,646		96,829
Royal Dutch Shell plc - Class B - ADR (Netherlands)		2,580		189,269
Statoil ASA (Norway)1		5,550		148,920
Talisman Energy, Inc. (Canada)		17,720		231,758
				12,256,915
Total Energy				26,224,486
Financials - 3.17%
Capital Markets - 0.02%
Deutsche Bank AG (Germany)1		2,280		98,982
Evercore Partners, Inc. - Class A		2,190		57,882
Greenhill & Co., Inc.		700		27,195
Lazard Ltd. - Class A - ADR (Bermuda)		1,590		43,741
				227,800
Commercial Banks - 0.24%
Banco Bilbao Vizcaya Argentaria S.A. - ADR (Spain)		12,920		87,210
Banco Santander S.A. - ADR (Spain)		36,710		232,374
Barclays plc (United Kingdom)1		53,130		188,099
BNP Paribas S.A. (France)1		5,750		232,066
CIT Group, Inc.*		7,580		286,903
First Commonwealth Financial Corp.		56,190		361,302
Hong Leong Financial Group Berhad (Malaysia)1		44,060		173,559
HSBC Holdings plc (United Kingdom)1		8,500		76,731
HSBC Holdings plc - ADR (United Kingdom)		6,077		274,498
ICICI Bank Ltd. - ADR (India)		8,860		300,265
Standard Chartered plc (United Kingdom)1		4,590		112,206

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

6

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE    (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Commercial Banks (continued)
U.S. Bancorp		11,620	$	373,815
Wells Fargo & Co.		8,950		299,199
				2,998,227
Consumer Finance - 0.66%
American Express Co.		54,810		3,300,110
Discover Financial Services		144,030		4,882,617
				8,182,727
Diversified Financial Services - 0.43%
CME Group, Inc.		1,390		369,490
Deutsche Boerse AG (Germany)*1		4,380		275,015
ING Groep N.V. (Netherlands)*1		185		1,305
JPMorgan Chase & Co.		8,130		349,427
JSE Ltd. (South Africa)1		46,804		495,654
Moody’s Corp.		94,300		3,861,585
				5,352,476
Insurance - 0.17%
Admiral Group plc (United Kingdom)1		17,370		341,379
Allianz SE (Germany)1		3,600		401,548
The Allstate Corp.		9,090		302,970
AXA S.A. (France)1		1,230		17,478
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		21,600		232,414
Mapfre S.A. (Spain)1		137,180		397,122
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		1,195		173,574
Zurich Insurance Group AG (Switzerland)1		1,080		264,603
				2,131,088
Real Estate Investment Trusts (REITS) - 1.64%
Alexandria Real Estate Equities, Inc.		14,150		1,060,118
Alstria Office REIT AG (Germany)1		19,820		211,302
American Assets Trust, Inc.		10,140		238,391
American Campus Communities, Inc.		10,250		455,612
Apartment Investment & Management Co. - Class A		11,860		321,999
Associated Estates Realty Corp.		4,790		81,095
AvalonBay Communities, Inc.		1,690		245,726
BioMed Realty Trust, Inc.		85,830		1,701,151
Boston Properties, Inc.		6,660		720,945
Camden Property Trust		5,020		339,703
CBL & Associates Properties, Inc.		12,160		226,541
Cedar Realty Trust, Inc.		12,250		63,945
Coresite Realty Corp.		14,830		369,415
Corporate Office Properties Trust		56,480		1,330,104

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

7

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
CubeSmart		25,840	$	324,550
Digital Realty Trust, Inc.		24,640		1,850,218
DuPont Fabros Technology, Inc.		61,800		1,677,870
Education Realty Trust, Inc.		18,930		213,341
Equity Lifestyle Properties, Inc.		3,510		245,489
Equity One, Inc.		14,130		293,621
Equity Residential		4,010		246,374
General Growth Properties, Inc.		21,590		384,302
HCP, Inc.		12,420		514,809
Health Care REIT, Inc.		9,410		533,171
Healthcare Realty Trust, Inc.		7,690		165,181
Home Properties, Inc.		6,300		384,615
Host Hotels & Resorts, Inc.		38,587		642,088
Kimco Realty Corp.		9,390		182,260
Land Securities Group plc (United Kingdom)1		8,260		97,545
LTC Properties, Inc.		5,200		173,056
The Macerich Co.		3,170		195,177
Mack-Cali Realty Corp.		8,870		254,746
Mid-America Apartment Communities, Inc.		6,020		409,781
National Retail Properties, Inc.		6,620		181,256
Pebblebrook Hotel Trust		30,460		733,477
Potlatch Corp.		2,620		82,006
ProLogis, Inc.		4,000		143,120
Public Storage		1,980		283,655
Realty Income Corp.		6,750		265,545
Simon Property Group, Inc.		5,980		930,488
Sovran Self Storage, Inc.		10,060		530,162
Tanger Factory Outlet Centers		3,790		118,703
Taubman Centers, Inc.		1,850		142,783
UDR, Inc.		25,140		661,936
Unibail-Rodamco SE (France)1		930		174,019
				20,401,391
Real Estate Management & Development - 0.01%
General Shopping Brasil S.A. (Brazil)*		15,670		94,950
Thrifts & Mortgage Finance - 0.00%
Aareal Bank AG (Germany)*1		3,745		72,333
Total Financials				39,460,992
Health Care - 2.78%
Biotechnology - 0.13%
Dendreon Corp.*		31,250		364,063
Exact Sciences Corp.*		37,470		403,552

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

8

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Biotechnology (continued)
Myriad Genetics, Inc.*		32,660	$	849,487
				1,617,102
Health Care Equipment & Supplies - 0.60%
Abaxis, Inc.*		15,250		543,205
Alere, Inc.*		21,620		516,502
Becton, Dickinson and Co.		40,690		3,192,131
BioMerieux (France)1		5,040		413,031
DexCom, Inc.*		26,280		257,281
HeartWare International, Inc.*		6,640		517,654
Insulet Corp.*		27,890		498,115
Mindray Medical International Ltd. - ADR (China)		5,460		178,870
Quidel Corp.*		19,500		322,140
Sirona Dental Systems, Inc.*		5,920		299,019
Straumann Holding AG (Switzerland)1		2,305		383,014
Thoratec Corp.*		9,730		338,701
				7,459,663
Health Care Providers & Services - 0.10%
Amil Participacoes S.A. (Brazil)		12,540		122,627
China Cord Blood Corp. - ADR (Hong Kong)*		37,000		108,040
Odontoprev S.A. (Brazil)		47,730		252,153
Sonic Healthcare Ltd. (Australia)1		60,980		797,719
				1,280,539
Health Care Technology - 1.09%
Allscripts Healthcare Solutions, Inc.*		212,120		2,350,290
Cerner Corp.*		128,600		10,428,174
Computer Programs & Systems, Inc.		5,410		322,382
Greenway Medical Technologies, Inc.*		19,490		300,146
Quality Systems, Inc.		5,580		208,692
				13,609,684
Life Sciences Tools & Services - 0.61%
Luminex Corp.*		14,000		350,560
QIAGEN N.V. (Netherlands)*1		5,750		95,074
QIAGEN N.V. - ADR (Netherlands)*		252,720		4,228,006
Waters Corp.*		27,220		2,289,474
WuXi PharmaTech (Cayman), Inc. - ADR (China)*		39,190		563,552
				7,526,666
Pharmaceuticals - 0.25%
AstraZeneca plc (United Kingdom)1		615		26,950
AstraZeneca plc - ADR (United Kingdom)		6,080		266,912

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

9

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Pharmaceuticals (continued)
Bayer AG (Germany)1		4,310	$	303,699
Dr. Reddy’s Laboratories Ltd. - ADR (India)		7,750		262,183
GlaxoSmithKline plc (United Kingdom)1		5,525		127,636
Green Cross Corp. (South Korea)1		3,690		436,087
Hikma Pharmaceuticals plc (United Kingdom)1		35,430		361,148
Novo Nordisk A/S - Class B (Denmark)1		1,220		179,856
Optimer Pharmaceuticals, Inc.*		28,010		414,548
Sanofi (France)1		851		65,001
Santen Pharmaceutical Co. Ltd. (Japan)1		1,400		58,589
Shire plc (Ireland)1		5,745		187,245
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		3,880		177,471
UCB S.A. (Belgium)1		5,770		269,806
				3,137,131
Total Health Care				34,630,785
Industrials - 1.46%
Aerospace & Defense - 0.01%
European Aeronautic Defence and Space Co. N.V. (Netherlands)1		3,150		124,483
Air Freight & Logistics - 0.03%
FedEx Corp.		4,000		352,960
PostNL N.V. (Netherlands)1		10,260		44,646
				397,606
Airlines - 0.41%
Copa Holdings S.A. - ADR - Class A (Panama)		4,000		325,240
Deutsche Lufthansa AG (Germany)1		6,570		85,557
Ryanair Holdings plc - ADR (Ireland)*		7,710		259,596
Southwest Airlines Co.		478,845		3,964,837
Spirit Airlines, Inc.*		6,900		165,738
US Airways Group, Inc.*		26,780		274,763
				5,075,731
Commercial Services & Supplies - 0.05%
Edenred (France)1		12,060		385,286
Interface, Inc. - Class A		2,430		34,409
Tomra Systems ASA (Norway)1		26,250		204,883
				624,578
Construction & Engineering - 0.00%
MYR Group, Inc.*		2,460		41,131
Electrical Equipment - 0.08%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		7,950		150,017
Alstom S.A. (France)1		8,390		300,065

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

10

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Electrical Equipment (continued)
Nexans S.A. (France)1		840	$	42,100
Polypore International, Inc.*		5,320		198,702
Prysmian S.p.A. (Italy)1		7,600		123,795
Schneider Electric S.A. (France)1		2,080		128,119
				942,798
Industrial Conglomerates - 0.03%
Siemens AG (Germany)1		4,620		428,829
Machinery - 0.39%
Astec Industries, Inc.*		1,300		40,677
FANUC Corp. (Japan)1		2,000		337,301
Flowserve Corp.		33,041		3,797,402
Graham Corp.		1,870		41,290
Titan International, Inc.		3,800		109,782
Wabash National Corp.*		19,870		166,312
Westport Innovations, Inc. - ADR (Canada)*		13,020		407,526
				4,900,290
Marine - 0.02%
Baltic Trading Ltd.		5,560		25,854
D/S Norden (Denmark)1		3,140		89,117
Mitsui OSK Lines Ltd. (Japan)1		4,000		15,504
Nippon Yusen Kabushiki Kaisha (Japan)1		6,000		17,736
Pacific Basin Shipping Ltd. (Bermuda)1,3		28,000		14,653
Sinotrans Shipping Ltd. (Hong Kong)1		170,000		40,460
				203,324
Professional Services - 0.08%
The Advisory Board Co.*		6,160		561,546
Qualicorp S.A. (Brazil)*		48,020		418,441
				979,987
Road & Rail - 0.30%
All America Latina Logistica S.A. (Brazil)		71,640		324,347
Norfolk Southern Corp.		43,900		3,201,627
RailAmerica, Inc.*		9,930		230,177
				3,756,151
Transportation Infrastructure - 0.06%
Groupe Eurotunnel S.A. (France)1		44,610		375,331
Malaysia Airports Holdings Berhad (Malaysia)1		191,750		366,444
				741,775
Total Industrials				18,216,683

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

11

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology - 5.20%
Communications Equipment - 1.06%
Alcatel-Lucent - ADR (France)*		128,570	$	194,141
Cisco Systems, Inc.		238,158		4,798,884
Infinera Corp.*		71,690		513,300
Juniper Networks, Inc.*		210,090		4,502,229
Qualcomm, Inc.		43,920		2,803,853
Riverbed Technology, Inc.*		21,160		417,487
				13,229,894
Computers & Peripherals - 0.66%
Apple, Inc.*		900		525,816
EMC Corp.*		264,810		7,470,290
Immersion Corp.*		41,020		223,559
				8,219,665
Electronic Equipment, Instruments & Components - 0.45%
Amphenol Corp. - Class A		3,450		200,583
Corning, Inc.		314,390		4,511,497
Hitachi Ltd. (Japan)1		61,400		391,072
Keyence Corp. (Japan)1		660		155,776
Maxwell Technologies, Inc.*		5,210		49,547
Nippon Electric Glass Co. Ltd. (Japan)1		32,800		265,016
				5,573,491
Internet Software & Services - 1.03%
The Active Network, Inc.*		31,330		526,344
comScore, Inc.*		19,750		393,420
Google, Inc. - Class A*		17,795		10,770,068
LogMeIn, Inc.*		2,890		104,069
Tencent Holdings Ltd. (China)1		15,600		488,027
Velti plc - ADR (Ireland)*		44,090		526,875
				12,808,803
IT Services - 1.20%
Amadeus IT Holding S.A. - Class A (Spain)1		120,300		2,462,763
Amdocs Ltd. - ADR (Guernsey)*		17,140		548,480
Cap Gemini S.A. (France)1		16,320		637,578
Euronet Worldwide, Inc.*		17,100		369,873
MasterCard, Inc. - Class A		11,930		5,395,581
Visa, Inc. - Class A		42,080		5,174,998
The Western Union Co.		22,320		410,242
				14,999,515
Semiconductors & Semiconductor Equipment - 0.09%
Aixtron SE NA (Germany)1		9,200		168,094

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

12

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Semiconductors & Semiconductor Equipment (continued)
Samsung Electronics Co. Ltd. (South Korea)1		260	$	318,230
Sumco Corp. (Japan)*1		22,300		236,729
Tokyo Electron Ltd. (Japan)1		3,900		216,123
Veeco Instruments, Inc.*		5,200		156,988
				1,096,164
Software - 0.71%
Autodesk, Inc.*		108,140		4,257,472
Aveva Group plc (United Kingdom)1		6,270		169,775
Electronic Arts, Inc.*		264,460		4,067,395
RealPage, Inc.*		13,310		241,577
SAP AG (Germany)1		2,290		151,858
				8,888,077
Total Information Technology				64,815,609
Materials - 1.44%
Chemicals - 1.11%
Arkema S.A. (France)1		2		177
BASF SE (Germany)1		3,350		275,815
Calgon Carbon Corp.*		9,140		126,498
Flotek Industries, Inc.*		5,370		73,247
Johnson Matthey plc (United Kingdom)1		9,480		355,988
Linde AG (Germany)1		1,490		255,033
Monsanto Co.		129,730		9,882,831
Shin-Etsu Chemical Co. Ltd. (Japan)1		1,200		69,264
Syngenta AG (Switzerland)1		8,010		2,808,920
				13,847,773
Construction Materials - 0.02%
CRH plc (Ireland)1		5,320		107,837
Eagle Materials, Inc.		2,260		79,597
Holcim Ltd. (Switzerland)1		1,230		76,718
				264,152
Metals & Mining - 0.31%
Alcoa, Inc.		383,680		3,733,206
Alumina Ltd. (Australia)1		41,870		50,012
Norsk Hydro ASA (Norway)1		9,330		45,495
				3,828,713
Total Materials				17,940,638
Telecommunication Services - 0.45%
Diversified Telecommunication Services - 0.41%
Swisscom AG - ADR (Switzerland)4		3,150		116,707

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

13

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Telecommunication Services (continued)
Diversified Telecommunication Services (continued)
Telefonica S.A. - ADR (Spain)		19,310	$	282,505
Telenor ASA (Norway)1		241,940		4,447,198
Telenor ASA - ADR (Norway)4		4,550		250,659
				5,097,069
Wireless Telecommunication Services - 0.04%
DiGi.com Berhad (Malaysia)1		255,910		340,576
MTN Group Ltd. (South Africa)1		4,350		76,072
SK Telecom Co. Ltd. - ADR (South Korea)		11,320		153,046
				569,694
Total Telecommunication Services				5,666,763
Utilities - 0.03%
Electric Utilities - 0.01%
E.ON AG (Germany)1		4,875		110,378
Multi-Utilities - 0.01%
National Grid plc (United Kingdom)1		8,760		94,595
Water Utilities - 0.01%
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		5,860		137,266
Total Utilities				342,239
TOTAL COMMON STOCKS
(Identified Cost $258,091,635)				288,793,348
PREFERRED STOCKS - 0.24%
Financials - 0.24%
Commercial Banks - 0.15%
BB&T Corp. (non-cumulative), 5.85%5		23,500		587,500
PNC Financial Services Group, Inc., Series K (non-cumulative), 8.25%5		180,000		186,667
U.S. Bancorp., Series F (non-cumulative), 6.50%5		39,000		1,055,340
				1,829,507
Diversified Financial Services - 0.05%
Bank of America Corp., Series M (non-cumulative), 8.125%5		585,000		606,177
Real Estate Investment Trusts (REITS) - 0.04%
Public Storage, Series Q, 6.50%		18,560		510,771
Total Financials				2,946,455
TOTAL PREFERRED STOCKS
(Identified Cost $2,798,208)				2,946,455

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

14

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS - 27.25%
Convertible Corporate Bonds - 0.09%
Financials - 0.04%
Real Estate Investment Trusts (REITS) - 0.04%
BioMed Realty LP6, 3.75%, 1/15/2030	$	410,000	$	495,075
Health Care - 0.01%
Health Care Equipment & Supplies - 0.01%
Alere, Inc., 3.00%, 5/15/2016		180,000		174,600
Information Technology - 0.01%
Computers & Peripherals - 0.01%
EMC Corp., 1.75%, 12/1/2013		40,000		71,100
Materials - 0.03%
Containers & Packaging - 0.03%
Owens-Brockway Glass Container, Inc.6, 3.00%, 6/1/2015		360,000		351,450
Total Convertible Corporate Bonds
(Identified Cost $1,032,794)				1,092,225
Non-Convertible Corporate Bonds - 27.16%
Consumer Discretionary - 4.52%
Auto Components - 0.02%
UCI International, Inc., 8.625%, 2/15/2019		295,000		302,375
Hotels, Restaurants & Leisure - 0.38%
International Game Technology, 7.50%, 6/15/2019		4,000,000		4,751,708
Household Durables - 0.49%
Newell Rubbermaid, Inc., 4.70%, 8/15/2020		820,000		887,428
Taylor Morrison Communities, Inc. - Monarch Communities, Inc.6, 7.75%, 4/15/2020		340,000		350,200
Tupperware Brands Corp., 4.75%, 6/1/2021		4,750,000		4,885,703
				6,123,331
Media - 3.09%
Cablevision Systems Corp., 8.625%, 9/15/2017		290,000		318,275
Columbus International, Inc. (Barbados)6, 11.50%, 11/20/2014		130,000		141,050
Comcast Corp., 5.15%, 3/1/2020		8,000,000		9,334,400
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		6,000,000		6,667,542
Discovery Communications LLC, 5.05%, 6/1/2020		6,580,000		7,518,295
Intelsat Jackson Holdings S.A. (Luxembourg), 7.25%, 4/1/2019		305,000		317,963
Kabel BW GmbH (Germany)6, 7.50%, 3/15/2019		280,000		298,900
MDC Partners, Inc. (Canada), 11.00%, 11/1/2016		270,000		293,625
Nara Cable Funding Ltd. (Ireland)6, 8.875%, 12/1/2018		370,000		338,550
NBCUniversal Media LLC, 5.15%, 4/30/2020		980,000		1,127,606
Time Warner, Inc., 4.875%, 3/15/2020		6,000,000		6,718,200
Time Warner, Inc., 4.75%, 3/29/2021		4,215,000		4,702,106
Unitymedia Hessen GmbH & Co. KG - Unitymedia NRW GmbH (Germany)6, 8.125%, 12/1/2017		475,000		509,437

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

15

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Media (continued)
XM Satellite Radio, Inc.6, 7.625%, 11/1/2018	$	170,000	$	185,300
				38,471,249
Multiline Retail - 0.03%
Target Corp., 6.00%, 1/15/2018		325,000		399,394
Specialty Retail - 0.45%
Advance Auto Parts, Inc., 4.50%, 1/15/2022		1,490,000		1,570,327
The Home Depot, Inc., 5.40%, 3/1/2016		510,000		588,630
Lowe’s Companies, Inc., 6.10%, 9/15/2017		1,800,000		2,176,681
Rent-A-Center, Inc., 6.625%, 11/15/2020		550,000		574,750
Toys R Us Property Co. II LLC, 8.50%, 12/1/2017		605,000		629,200
				5,539,588
Textiles, Apparel & Luxury Goods - 0.06%
Jones Group - Apparel Group Holdings - Apparel Group USA - Footwear Accessories Retail, 6.875%, 3/15/2019		330,000		321,337
VF Corp., 5.95%, 11/1/2017		330,000		393,885
				715,222
Total Consumer Discretionary				56,302,867
Consumer Staples - 0.65%
Beverages - 0.06%
Constellation Brands, Inc., 7.25%, 9/1/2016		305,000		344,650
Constellation Brands, Inc., 7.25%, 5/15/2017		155,000		175,150
PepsiCo, Inc., 5.00%, 6/1/2018		110,000		129,616
PepsiCo, Inc., 7.90%, 11/1/2018		63,000		85,482
				734,898
Food Products - 0.56%
Kraft Foods, Inc., 6.125%, 2/1/2018		335,000		403,350
Kraft Foods, Inc., 5.375%, 2/10/2020		5,665,000		6,635,970
				7,039,320
Personal Products - 0.03%
Revlon Consumer Products Corp., 9.75%, 11/15/2015		335,000		361,381
Total Consumer Staples				8,135,599
Energy - 1.71%
Energy Equipment & Services - 0.81%
Baker Hughes, Inc., 7.50%, 11/15/2018		305,000		405,913
Calfrac Holdings LP6, 7.50%, 12/1/2020		665,000		651,700
Schlumberger Oilfield plc (United Kingdom)6, 4.20%, 1/15/2021		125,000		138,141
SESI LLC, 6.375%, 5/1/2019		280,000		291,200
Thermon Industries, Inc., 9.50%, 5/1/2017		307,000		337,700

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

16

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE  (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Energy Equipment & Services (continued)
Trinidad Drilling Ltd. (Canada)6, 7.875%, 1/15/2019	$	330,000	$	351,450
Weatherford International Ltd. (Switzerland), 9.625%, 3/1/2019		6,000,000		7,937,274
				10,113,378
Oil, Gas & Consumable Fuels - 0.90%
Anadarko Petroleum Corp., 5.95%, 9/15/2016		2,950,000		3,410,625
Anadarko Petroleum Corp., 8.70%, 3/15/2019		1,220,000		1,623,081
Anadarko Petroleum Corp., 6.95%, 6/15/2019		3,000,000		3,696,840
Apache Corp., 6.90%, 9/15/2018		155,000		196,671
Chaparral Energy, Inc., 8.25%, 9/1/2021		295,000		314,175
Chaparral Energy, Inc.6, 7.625%, 11/15/2022		200,000		204,000
Chesapeake Oilfield Operating LLC - Chesapeake Oilfield Finance, Inc.6, 6.625%, 11/15/2019		530,000		498,200
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017		305,000		334,737
PBF Holding Co. LLC - PBF Finance Corp.6, 8.25%, 2/15/2020		370,000		382,950
Targa Resources Partners LP - Targa Resources Partners Finance Corp., 8.25%, 7/1/2016		175,000		184,188
Tesoro Corp., 9.75%, 6/1/2019		255,000		290,063
				11,135,530
Total Energy				21,248,908
Financials - 13.31%
Capital Markets - 3.12%
Barclays Bank plc (United Kingdom)6, 2.50%, 9/21/2015		1,305,000		1,338,391
BNP Paribas Home Loan Covered Bonds S.A. (France)6, 2.20%, 11/2/2015		1,305,000		1,308,351
The Charles Schwab Corp., 4.45%, 7/22/2020		7,000,000		7,763,840
Credit Suisse AG (Switzerland)6, 2.60%, 5/27/2016		7,795,000		7,979,500
GFI Group, Inc., 8.375%, 7/19/2018		435,000		401,287
Goldman Sachs Capital I, 6.345%, 2/15/2034		380,000		354,379
Goldman Sachs Capital II7, 5.793%, 6/1/2043		1,500,000		1,031,250
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018		335,000		364,644
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		8,165,000		8,471,808
Jefferies Group, Inc., 8.50%, 7/15/2019		1,405,000		1,552,525
Merrill Lynch & Co., Inc., 6.05%, 8/15/2012		4,500,000		4,565,205
Morgan Stanley, 5.50%, 1/26/2020		2,650,000		2,590,306
Morgan Stanley, 5.75%, 1/25/2021		1,000,000		987,434
Neuberger Berman Group LLC - Neuberger Berman Finance Corp.6, 5.625%, 3/15/2020		70,000		71,050
Neuberger Berman Group LLC - Neuberger Berman Finance Corp.6, 5.875%, 3/15/2022		140,000		142,450
				38,922,420

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

17

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Commercial Banks - 4.73%
Bank of Montreal (Canada)6, 1.30%, 10/31/2014	$	4,535,000	$	4,595,107
Bank of Montreal (Canada)6, 2.625%, 1/25/2016		3,620,000		3,816,161
Bank of Nova Scotia (Canada)6, 1.45%, 7/26/2013		6,935,000		7,018,296
Bank of Nova Scotia (Canada)6, 1.65%, 10/29/2015		1,305,000		1,330,412
Canadian Imperial Bank of Commerce (Canada)6, 1.50%, 12/12/2014		3,240,000		3,298,589
CIT Group, Inc., 5.25%, 3/15/2018		355,000		365,650
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021		490,000		445,193
KeyBank National Association, 5.45%, 3/3/2016		550,000		610,839
Manufacturers & Traders Trust Co., 6.625%, 12/4/2017		315,000		366,608
National Bank of Canada (Canada)6, 2.20%, 10/19/2016		6,175,000		6,402,950
National City Corp., 6.875%, 5/15/2019		7,000,000		8,286,649
PNC Bank National Association, 5.25%, 1/15/2017		195,000		217,249
Royal Bank of Canada (Canada)6, 3.125%, 4/14/2015		5,815,000		6,161,865
Santander Holdings USA, Inc., 4.625%, 4/19/2016		140,000		139,517
Santander Issuances S.A. Unipersonal (Spain)6, 5.911%, 6/20/2016		450,000		437,912
Societe Generale S.A. (France)6, 5.75%, 4/20/2016		490,000		472,351
The Toronto-Dominion Bank (Canada)6, 2.20%, 7/29/2015		1,305,000		1,356,238
The Toronto-Dominion Bank (Canada)6, 1.625%, 9/14/2016		7,075,000		7,158,711
U.S. Bank National Association, 6.30%, 2/4/2014		100,000		109,052
Wachovia Corp., 5.25%, 8/1/2014		5,935,000		6,381,627
				58,970,976
Consumer Finance - 0.94%
American Express Co., 8.125%, 5/20/2019		7,025,000		9,304,395
American Express Co.7, 6.80%, 9/1/2066		1,190,000		1,215,585
Credit Acceptance Corp., 9.125%, 2/1/2017		550,000		598,125
Discover Financial Services6, 5.20%, 4/27/2022		520,000		539,656
				11,657,761
Diversified Financial Services - 1.66%
Bank of America Corp., 4.875%, 1/15/2013		1,800,000		1,843,063
Bank of America Corp., 5.75%, 8/15/2016		205,000		213,966
Bank of America Corp., 5.65%, 5/1/2018		460,000		486,509
Bank of America Corp., 7.625%, 6/1/2019		4,315,000		4,973,266
Bank of America Corp.8, 5.13%, 2/24/2026		353,000		345,043
Citigroup, Inc., 8.50%, 5/22/2019		7,080,000		8,796,751
CNH Capital LLC6, 6.25%, 11/1/2016		310,000		330,537
JPMorgan Chase & Co., 6.30%, 4/23/2019		2,000,000		2,341,754
JPMorgan Chase & Co., 4.95%, 3/25/2020		1,255,000		1,378,171
				20,709,060
Insurance - 0.22%
American International Group, Inc., 4.25%, 5/15/2013		200,000		204,016

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

18

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Insurance (continued)
Fidelity National Financial, Inc., 6.60%, 5/15/2017	$	1,075,000	$	1,145,227
Genworth Financial, Inc., 7.625%, 9/24/2021		1,165,000		1,150,319
Hartford Financial Services Group, Inc.7, 8.125%, 6/15/2038		235,000		246,750
				2,746,312
Real Estate Investment Trusts (REITS) - 2.64%
BioMed Realty LP, 3.85%, 4/15/2016		470,000		487,774
Boston Properties LP, 5.875%, 10/15/2019		5,150,000		5,966,033
Camden Property Trust, 5.70%, 5/15/2017		2,270,000		2,553,089
Digital Realty Trust LP, 5.25%, 3/15/2021		880,000		932,059
DuPont Fabros Technology LP, 8.50%, 12/15/2017		450,000		496,125
HCP, Inc., 6.70%, 1/30/2018		6,255,000		7,319,107
Health Care REIT, Inc., 6.20%, 6/1/2016		520,000		576,848
Health Care REIT, Inc., 4.95%, 1/15/2021		4,000,000		4,152,952
Mack-Cali Realty LP, 7.75%, 8/15/2019		315,000		387,515
National Retail Properties, Inc., 6.875%, 10/15/2017		280,000		321,409
Simon Property Group LP, 10.35%, 4/1/2019		6,180,000		8,573,149
UDR, Inc., 4.625%, 1/10/2022		1,080,000		1,129,580
				32,895,640
Total Financials				165,902,169
Health Care - 1.00%
Biotechnology - 0.57%
Amgen, Inc., 3.45%, 10/1/2020		7,000,000		7,161,784
Health Care Equipment & Supplies - 0.13%
Alere, Inc., 9.00%, 5/15/2016		577,000		596,474
Fresenius Medical Care US Finance, Inc., 6.875%, 7/15/2017		395,000		432,031
Fresenius US Finance II, Inc.6, 9.00%, 7/15/2015		470,000		538,738
				1,567,243
Health Care Providers & Services - 0.18%
HCA, Inc., 6.50%, 2/15/2020		340,000		363,800
Health Management Associates, Inc., 6.125%, 4/15/2016		640,000		672,000
STHI Holding Corp.6, 8.00%, 3/15/2018		300,000		319,500
UnitedHealth Group, Inc., 4.70%, 2/15/2021		790,000		901,177
				2,256,477
Life Sciences Tools & Services - 0.04%
Thermo Fisher Scientific, Inc., 4.50%, 3/1/2021		450,000		514,559
Pharmaceuticals - 0.08%
Novartis Securities Investment Ltd. (Bermuda), 5.125%, 2/10/2019		525,000		624,894

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

19

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Health Care (continued)
Pharmaceuticals (continued)
Valeant Pharmaceuticals International6, 6.75%, 8/15/2021	$	350,000	$	340,375
				965,269
Total Health Care				12,465,332
Industrials - 2.72%
Aerospace & Defense - 0.26%
The Boeing Co., 6.00%, 3/15/2019		2,410,000		3,000,185
Ducommun, Inc., 9.75%, 7/15/2018		295,000		311,963
				3,312,148
Air Freight & Logistics - 0.54%
Aguila 3 S.A. (Luxembourg)6, 7.875%, 1/31/2018		570,000		597,075
FedEx Corp., 8.00%, 1/15/2019		4,690,000		6,165,132
				6,762,207
Airlines - 0.23%
Continental Airlines, Inc.6, 6.75%, 9/15/2015		640,000		655,200
Delta Air Lines Pass-Through Trust, Series 2007-1, Class A, 6.821%, 8/10/2022		128,263		138,845
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B, 6.375%, 1/2/2016		395,000		395,000
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015		135,000		135,675
Southwest Airlines Co., 5.25%, 10/1/2014		355,000		381,481
Southwest Airlines Co., 5.75%, 12/15/2016		1,070,000		1,190,521
				2,896,722
Building Products - 0.09%
Building Materials Corp. of America6, 6.875%, 8/15/2018		175,000		183,750
Building Materials Corp. of America6, 7.50%, 3/15/2020		315,000		335,475
Owens Corning, 9.00%, 6/15/2019		445,000		552,110
				1,071,335
Commercial Services & Supplies - 0.37%
Garda World Security Corp. (Canada)6, 9.75%, 3/15/2017		435,000		461,100
International Lease Finance Corp., 8.625%, 1/15/2022		295,000		337,448
Waste Management, Inc., 7.375%, 3/11/2019		3,000,000		3,815,145
				4,613,693
Industrial Conglomerates - 0.75%
General Electric Capital Corp., 5.625%, 5/1/2018		1,800,000		2,086,243
General Electric Capital Corp., 5.50%, 1/8/2020		2,610,000		2,984,261
General Electric Co., 5.25%, 12/6/2017		180,000		210,063
Textron, Inc., 5.60%, 12/1/2017		3,150,000		3,447,218
Textron, Inc., 7.25%, 10/1/2019		350,000		407,790

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

20

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Industrial Conglomerates (continued)
Tyco Electronics Group S.A. (Luxembourg), 4.875%, 1/15/2021	$	170,000	$	187,460
				9,323,035
Machinery - 0.32%
Caterpillar Financial Services Corp., 7.05%, 10/1/2018		305,000		391,080
Dynacast International LLC - Dynacast Finance, Inc.6, 9.25%, 7/15/2019		430,000		451,500
John Deere Capital Corp., 5.75%, 9/10/2018		2,060,000		2,517,135
Kennametal, Inc., 3.875%, 2/15/2022		570,000		580,931
				3,940,646
Marine - 0.04%
Navios Maritime Holdings, Inc. - Navios Maritime Finance US, Inc. (Marshall Island), 8.875%, 11/1/2017		485,000		498,337
Road & Rail - 0.12%
Avis Budget Car Rental LLC - Avis Budget Finance, Inc., 8.25%, 1/15/2019		320,000		335,200
JB Hunt Transport Services, Inc., 3.375%, 9/15/2015		935,000		968,043
Union Pacific Corp., 5.65%, 5/1/2017		175,000		205,208
				1,508,451
Total Industrials				33,926,574
Information Technology - 0.54%
Communications Equipment - 0.08%
Hughes Satellite Systems Corp., 6.50%, 6/15/2019		580,000		620,600
ViaSat, Inc.6, 6.875%, 6/15/2020		300,000		303,750
				924,350
Electronic Equipment, Instruments & Components - 0.36%
Amphenol Corp., 4.00%, 2/1/2022		305,000		312,387
Corning, Inc., 6.625%, 5/15/2019		3,200,000		3,881,968
CPI International, Inc., 8.00%, 2/15/2018		275,000		242,344
				4,436,699
IT Services - 0.05%
The Western Union Co., 5.253%, 4/1/2020		590,000		669,857
Semiconductors & Semiconductor Equipment - 0.02%
Advanced Micro Devices, Inc., 7.75%, 8/1/2020		85,000		93,713
MagnaChip Semiconductor S.A. - MagnaChip Semiconductor Finance Co., 10.50%, 4/15/2018		180,000		202,050
				295,763
Software - 0.03%
Sophia LP - Sophia Finance, Inc.6, 9.75%, 1/15/2019		315,000		337,837
Total Information Technology				6,664,506

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

21

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials - 1.76%
Chemicals - 0.09%
E.I. du Pont de Nemours & Co., 6.00%, 7/15/2018	$	320,000	$	397,208
LyondellBasell Industries N.V. (Netherlands)6, 5.00%, 4/15/2019		340,000		351,050
Taminco Global Chemical Corp.6, 9.75%, 3/31/2020		320,000		334,400
				1,082,658
Containers & Packaging - 0.06%
Longview Fibre Paper & Packaging, Inc.6, 8.00%, 6/1/2016		290,000		292,900
Reynolds Group Issuer, Inc. - Reynolds Group Issuer LLC6, 9.875%, 8/15/2019		480,000		500,400
				793,300
Metals & Mining - 0.65%
Alcoa, Inc., 5.72%, 2/23/2019		2,032,000		2,198,677
Alcoa, Inc., 5.87%, 2/23/2022		295,000		315,503
Allegheny Technologies, Inc., 5.95%, 1/15/2021		550,000		609,562
ArcelorMittal (Luxembourg), 5.50%, 3/1/2021		930,000		916,024
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		925,000		1,170,897
Calcipar S.A. (Luxembourg)6, 6.875%, 5/1/2018		340,000		348,500
Cliffs Natural Resources, Inc., 4.80%, 10/1/2020		615,000		645,121
FMG Resources August 2006 Pty. Ltd. (Australia)6, 6.875%, 2/1/2018		485,000		498,337
Rio Tinto Finance USA Ltd. (Australia), 3.75%, 9/20/2021		770,000		815,924
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		575,000		574,280
				8,092,825
Paper & Forest Products - 0.96%
International Paper Co., 9.375%, 5/15/2019		8,500,000		11,360,080
International Paper Co., 7.50%, 8/15/2021		490,000		622,080
				11,982,160
Total Materials				21,950,943
Telecommunication Services - 0.43%
Diversified Telecommunication Services - 0.27%
Inmarsat Finance plc (United Kingdom)6, 7.375%, 12/1/2017		675,000		725,625
Sable International Finance Ltd. (Cayman Islands)6, 8.75%, 2/1/2020		370,000		393,125
UPCB Finance III Ltd. (Cayman Islands)6, 6.625%, 7/1/2020		340,000		345,100
UPCB Finance VI Ltd. (Cayman Islands)6, 6.875%, 1/15/2022		345,000		354,487
Verizon Communications, Inc., 3.00%, 4/1/2016		475,000		506,423
Wind Acquisition Finance S.A. (Luxembourg)6, 11.75%, 7/15/2017		160,000		157,200
Wind Acquisition Finance S.A. (Luxembourg)6, 7.25%, 2/15/2018		630,000		598,500
Windstream Corp., 7.50%, 6/1/2022		295,000		309,013
				3,389,473
Wireless Telecommunication Services - 0.16%
CC Holdings GS V LLC - Crown Castle GS III Corp.6, 7.75%, 5/1/2017		550,000		599,500

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

22

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL           AMOUNT/          SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Telecommunication Services (continued)
Wireless Telecommunication Services (continued)
Crown Castle Towers LLC6, 6.113%, 1/15/2020	$	390,000	$	445,369
Crown Castle Towers LLC6, 4.883%, 8/15/2020		224,000		237,600
NII Capital Corp., 8.875%, 12/15/2019		230,000		231,725
NII Capital Corp., 7.625%, 4/1/2021		305,000		283,650
SBA Tower Trust6, 5.101%, 4/15/2017		200,000		217,641
				2,015,485
Total Telecommunication Services				5,404,958
Utilities - 0.52%
Electric Utilities - 0.51%
Allegheny Energy Supply Co. LLC6, 5.75%, 10/15/2019		365,000		402,211
Exelon Generation Co. LLC, 5.20%, 10/1/2019		5,000,000		5,632,165
Southwestern Electric Power Co., 6.45%, 1/15/2019		335,000		401,398
				6,435,774
Multi-Utilities - 0.01%
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013		85,000		90,300
Total Utilities				6,526,074
Total Non-Convertible Corporate Bonds
(Identified Cost $316,424,150)				338,527,930
TOTAL CORPORATE BONDS
(Identified Cost $317,456,944)				339,620,155
MUTUAL FUNDS - 0.23%
iShares iBoxx Investment Grade Corporate Bond Fund
(Identified Cost $2,896,457)		24,610		2,866,573
U.S. TREASURY SECURITIES - 4.43%
U.S. Treasury Notes - 4.43%
U.S. Treasury Note, 0.625%, 2/28/2013	$	10,000,000		10,035,550
U.S. Treasury Note, 0.25%, 1/31/2014		8,000,000		8,000,312
U.S. Treasury Note, 2.125%, 12/31/2015		13,800,000		14,602,125
U.S. Treasury Note, 2.00%, 4/30/2016		5,000,000		5,276,170
U.S. Treasury Note, 2.75%, 12/31/2017		12,650,000		13,887,322
U.S. Treasury Note, 3.75%, 11/15/2018		3,000,000		3,488,907
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $52,918,436)				55,290,386

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

23

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE (NOTE 2)
ASSET-BACKED SECURITIES - 0.38%
Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A6, 2.20%, 9/16/2019	$	2,560,000	$	2,566,788
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		1,605,194		1,648,757
Hertz Vehicle Financing LLC, Series 2009-2A, Class A26, 5.29%, 3/25/2016		170,000		186,333
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		300,000		317,819
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $4,634,493)				4,719,697
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.96%
Americold LLC Trust, Series 2010-ARTA, Class A16, 3.847%, 1/14/2029		450,169		477,288
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A47, 5.731%, 5/10/2045		100,000		114,175
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A4, 5.634%, 7/10/2046		1,500,000		1,695,118
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		900,000		986,643
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class A47, 5.719%, 9/11/2038		795,000		905,394
Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		950,000		1,079,633
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26, 3.759%, 4/15/2044		660,000		702,021
Citigroup - Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A47, 5.213%, 7/15/2044		550,000		612,995
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A37, 5.73%, 3/15/2049		100,000		112,968
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class A47, 5.749%, 6/10/2046		400,000		452,568
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16, 3.156%, 7/10/2046		247,242		258,347
DBUBS Mortgage Trust, Series 2011-LC1A, Class A16, 3.742%, 11/10/2046		980,534		1,047,548
FREMF Mortgage Trust, Series 2011-K701, Class B6,7, 4.287%, 7/25/2048		1,000,000		1,019,610
FREMF Mortgage Trust, Series 2011-K702, Class B6,7, 4.77%, 4/25/2044		1,430,000		1,461,729
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A47, 5.874%, 7/10/2038		500,000		569,895
GS Mortgage Securities Corp. II, Series 2010-C2, Class A16, 3.849%, 12/10/2043		1,257,530		1,352,251
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A47, 5.284%, 1/12/2043		1,370,000		1,498,950
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A47, 5.198%, 12/15/2044		325,000		363,781
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A47, 5.87%, 4/15/2045		1,230,000		1,407,878
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A47, 5.87%, 6/15/2038		1,290,000		1,471,954
LSTAR Commercial Mortgage Trust, Series 2011-1, Class A6, 3.913%, 6/25/2043		1,247,757		1,312,571
Merrill Lynch - Countrywide Commercial Mortgage Trust, Series 2006-3, Class A47, 5.414%, 7/12/2046		100,000		111,836
Morgan Stanley Capital I, Series 2005-IQ10, Class A4A7, 5.23%, 9/15/2042		750,000		827,071
Morgan Stanley Capital I, Series 2011-C1, Class A26, 3.884%, 9/15/2047		800,000		856,174

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

24

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Vornado DP LLC, Series 2010-VNO, Class A2FX6, 4.004%, 9/13/2028	$	155,000	$	168,428
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A47, 5.204%, 10/15/2044		100,000		110,437
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A47, 5.734%, 5/15/2043		100,000		113,432
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A37, 6.004%, 6/15/2045		1,090,000		1,249,048
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26, 4.393%, 11/15/2043		265,000		293,843
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A26, 3.791%, 2/15/2044		1,670,000		1,774,213
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $23,277,503)				24,407,799
FOREIGN GOVERNMENT BONDS - 3.25%
Province of British Columbia Canada (Canada), 2.85%, 6/15/2015		5,100,000		5,425,171
Province of Manitoba Canada (Canada), 2.625%, 7/15/2015		1,000,000		1,056,763
Province of Manitoba Canada, Series FH (Canada), 4.90%, 12/6/2016		2,620,000		3,057,181
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017		5,000,000		5,880,200
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017		2,000,000		2,344,298
Province of Ontario Canada (Canada), 2.30%, 5/10/2016		10,315,000		10,733,376
Province of Quebec Canada (Canada), 5.125%, 11/14/2016		9,100,000		10,624,905
Republic of Italy (Italy), 2.125%, 10/5/2012		1,460,000		1,459,422
TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $40,059,808)				40,581,316
U.S. GOVERNMENT AGENCIES - 35.46%
Mortgage-Backed Securities - 11.23%
Fannie Mae, Pool #805347, 5.50%, 1/1/2020		6,510		7,157
Fannie Mae, Pool #816064, 4.50%, 4/1/2020		73,222		80,139
Fannie Mae, Pool #851149, 5.00%, 4/1/2021		90,718		98,623
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		3,058,146		3,349,466
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		210,947		231,173
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		264,287		289,777
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		1,928,680		2,112,407
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		340,645		373,500
Fannie Mae, Pool #899287, 5.00%, 2/1/2022		33,912		36,793
Fannie Mae, Pool #888815, 4.50%, 11/1/2022		286,898		309,156
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		3,381,699		3,703,841
Fannie Mae, Pool #AA1563, 4.50%, 2/1/2024		395,649		425,108
Fannie Mae, Pool #AC1557, 4.50%, 9/1/2024		632,592		679,693
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		203,162		222,028
Fannie Mae, Pool #357319, 6.00%, 12/1/2032		66,599		74,656
Fannie Mae, Pool #790393, 6.50%, 9/1/2034		1,609		1,835

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

25

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE 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	$	233,869	$	250,656
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		5,306,481		5,833,191
Fannie Mae, Pool #886904, 6.50%, 9/1/2036		453,155		512,091
Fannie Mae, Pool #901895, 6.50%, 9/1/2036		37,126		41,955
Fannie Mae, Pool #888021, 6.00%, 12/1/2036		2,112,980		2,342,849
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		2,034,073		2,225,800
Fannie Mae, Pool #899393, 6.00%, 4/1/2037		69,118		76,637
Fannie Mae, Pool #939487, 5.00%, 6/1/2037		36,979		40,182
Fannie Mae, Pool #918516, 5.50%, 6/1/2037		1,066,640		1,167,179
Fannie Mae, Pool #949709, 6.50%, 9/1/2037		824		931
Fannie Mae, Pool #950248, 6.00%, 10/1/2037		104,780		116,178
Fannie Mae, Pool #960196, 5.00%, 11/1/2037		17,487		19,002
Fannie Mae, Pool #933521, 5.00%, 1/1/2038		273,981		297,713
Fannie Mae, Pool #929084, 5.00%, 2/1/2038		112,006		121,708
Fannie Mae, Pool #972107, 5.00%, 2/1/2038		409,152		444,593
Fannie Mae, Pool #961950, 5.00%, 3/1/2038		3,529		3,834
Fannie Mae, Pool #973091, 5.00%, 3/1/2038		13,343		14,499
Fannie Mae, Pool #889260, 5.00%, 4/1/2038		218,662		237,603
Fannie Mae, Pool #912948, 5.00%, 5/1/2038		543,872		590,982
Fannie Mae, Pool #975840, 5.00%, 5/1/2038		412,360		448,079
Fannie Mae, Pool #976516, 5.00%, 5/1/2038		17,734		19,270
Fannie Mae, Pool #981636, 5.00%, 6/1/2038		11,745		12,762
Fannie Mae, Pool #981650, 5.00%, 6/1/2038		183,993		199,931
Fannie Mae, Pool #985554, 5.00%, 6/1/2038		23,438		25,468
Fannie Mae, Pool #982317, 6.00%, 6/1/2038		43,036		47,623
Fannie Mae, Pool #934329, 5.00%, 7/1/2038		156,315		169,856
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		7,823,134		8,674,206
Fannie Mae, Pool #986458, 6.00%, 8/1/2038		197,723		218,800
Fannie Mae, Pool #987831, 6.00%, 9/1/2038		548,050		606,473
Fannie Mae, Pool #988990, 6.00%, 9/1/2038		12,081		13,369
Fannie Mae, Pool #990897, 6.00%, 9/1/2038		1,066,693		1,180,404
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		969,741		1,075,238
Fannie Mae, Pool #983839, 5.00%, 11/1/2038		15,877		17,253
Fannie Mae, Pool #993920, 6.00%, 11/1/2038		325,608		360,318
Fannie Mae, Pool #257497, 6.00%, 12/1/2038		236,617		261,840
Fannie Mae, Pool #AA0675, 6.00%, 12/1/2038		202,808		224,428
Fannie Mae, Pool #971022, 5.00%, 1/1/2039		445,343		483,919
Fannie Mae, Pool #992293, 5.00%, 1/1/2039		141,431		153,682
Fannie Mae, Pool #994216, 5.00%, 1/1/2039		33,950		36,891
Fannie Mae, Pool #AA1717, 5.00%, 1/1/2039		166,635		181,069
Fannie Mae, Pool #AA1810, 5.00%, 1/1/2039		447,998		487,365
Fannie Mae, Pool #988811, 6.00%, 1/1/2039		240,097		265,692
Fannie Mae, Pool #983686, 5.00%, 2/1/2039		595,601		647,937

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

26

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AA1686, 5.00%, 3/1/2039	$	117,423	$	127,741
Fannie Mae, Pool #AA4461, 5.00%, 3/1/2039		25,080		27,284
Fannie Mae, Pool #AA3636, 6.00%, 3/1/2039		143,430		158,719
Fannie Mae, Pool #AA5087, 5.00%, 4/1/2039		38,214		41,572
Fannie Mae, Pool #AA7681, 4.50%, 6/1/2039		6,292,412		6,741,115
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039		2,082,160		2,278,420
Fannie Mae, Pool #AA6788, 6.00%, 8/1/2039		854,669		945,778
Fannie Mae, Pool #AC2881, 6.00%, 8/1/2039		143,115		158,371
Fannie Mae, Pool #AC1901, 5.00%, 9/1/2039		172,884		190,183
Fannie Mae, Pool #AC0463, 5.00%, 11/1/2039		350,178		380,948
Fannie Mae, Pool #AC5111, 5.00%, 11/1/2039		849,886		924,566
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		7,278,290		7,797,295
Fannie Mae, Pool #MA0259, 5.00%, 12/1/2039		295,032		320,957
Fannie Mae, Pool #AC8573, 5.00%, 1/1/2040		642,845		699,332
Fannie Mae, Pool #AC8791, 5.00%, 1/1/2040		28,844		31,478
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		3,130,752		3,465,286
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041		4,422,947		4,738,341
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041		1,679,113		1,802,783
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041		1,020,132		1,095,267
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041		4,223,104		4,534,145
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041		1,096,171		1,176,906
Fannie Mae, Pool #AE0604, 6.00%, 7/1/2039		7,288,665		8,105,726
Freddie Mac, Pool #B16835, 5.50%, 10/1/2019		4,720		5,138
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		1,101,380		1,199,047
Freddie Mac, Pool #G11912, 5.50%, 3/1/2021		140,088		153,430
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		334,044		362,114
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		233,107		252,695
Freddie Mac, Pool #J06512, 5.00%, 12/1/2022		54,292		58,604
Freddie Mac, Pool #G12966, 5.50%, 1/1/2023		23,921		25,952
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		192,522		208,579
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		339,727		373,953
Freddie Mac, Pool #G13136, 4.50%, 5/1/2023		37,622		40,245
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		164,721		178,710
Freddie Mac, Pool #G01736, 6.50%, 9/1/2034		4,619		5,287
Freddie Mac, Pool #G08216, 5.50%, 8/1/2037		3,336,440		3,637,892
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037		374,032		413,261
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		1,614,278		1,760,130
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		6,703,638		7,406,734
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		3,962,087		4,320,067
Freddie Mac, Pool #G04176, 5.50%, 5/1/2038		1,695,043		1,847,134
Freddie Mac, Pool #A78227, 5.50%, 6/1/2038		1,266,241		1,379,856
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		3,902,631		4,252,800
Freddie Mac, Pool #G04471, 5.50%, 7/1/2038		680,400		741,450

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

27

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038	$	2,978,744	$	3,252,533
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039		9,475,631		10,109,869
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040		3,609,368		3,935,480
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040		3,169,961		3,456,372
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		1,206,961		1,333,551
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		731,333		808,037
GNMA, Pool #398655, 6.50%, 5/15/2026		738		851
GNMA, Pool #452826, 9.00%, 1/15/2028		1,957		1,986
GNMA, Pool #460820, 6.00%, 6/15/2028		9,215		10,480
GNMA, Pool #458983, 6.00%, 1/15/2029		18,770		21,339
GNMA, Pool #530481, 8.00%, 8/15/2030		15,817		16,453
GNMA, Pool #577796, 6.00%, 1/15/2032		11,360		12,936
GNMA, Pool #671304, 5.50%, 6/15/2037		75,122		83,994
GNMA, Pool #671531, 5.50%, 9/15/2037		50,886		56,896
GNMA, Pool #671161, 5.50%, 11/15/2037		249,893		279,407
GNMA, Pool #672715, 5.50%, 5/15/2038		145,754		162,945
Total Mortgage-Backed Securities
(Identified Cost $137,053,871)				140,053,228
Other Agencies - 24.23%
Fannie Mae, 4.375%, 3/15/2013		32,396,000		33,562,418
Fannie Mae, 3.875%, 7/12/2013		11,000,000		11,480,425
Fannie Mae, 2.50%, 5/15/2014		22,500,000		23,511,442
Fannie Mae, 3.00%, 9/16/2014		11,000,000		11,686,587
Fannie Mae, 0.625%, 10/30/2014		16,000,000		16,073,456
Fannie Mae, 2.375%, 7/28/2015		15,500,000		16,385,732
Fannie Mae, 5.25%, 9/15/2016		9,500,000		11,266,230
Fannie Mae, 1.375%, 11/15/2016		27,000,000		27,564,921
Fannie Mae, 6.25%, 5/15/2029		2,334,000		3,244,549
Fannie Mae, 7.25%, 5/15/2030		2,102,000		3,238,987
Fannie Mae, 6.625%, 11/15/2030		2,220,000		3,241,415
Federal Farm Credit Bank, 5.125%, 8/25/2016		3,640,000		4,294,308
Federal Home Loan Bank, 3.625%, 10/18/2013		5,500,000		5,765,474
Federal Home Loan Bank, 5.00%, 11/17/2017		7,985,000		9,643,421
Freddie Mac, 0.875%, 10/28/2013		32,000,000		32,273,888
Freddie Mac, 0.75%, 11/25/2014		14,000,000		14,112,224
Freddie Mac, 2.875%, 2/9/2015		12,110,000		12,903,774
Freddie Mac, 2.00%, 8/25/2016		29,500,000		30,914,112
Freddie Mac, 1.00%, 3/8/2017		7,000,000		6,994,603
Freddie Mac, 2.375%, 1/13/2022		17,150,000		17,253,535
Freddie Mac, 6.75%, 3/15/2031		2,190,000		3,240,988

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

28

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL           AMOUNT/          SHARES		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Other Agencies (continued)
Freddie Mac, 6.25%, 7/15/2032	$	2,334,000	$	3,339,032
Total Other Agencies
(Identified Cost $296,268,016)				301,991,521
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $433,321,887)				442,044,749
SHORT-TERM INVESTMENTS - 4.36%
Dreyfus Cash Management, Inc. - Institutional Shares9, 0.06%,
(Identified Cost $54,304,964)		54,304,964		54,304,964
TOTAL INVESTMENTS - 100.73%
(Identified Cost $1,189,760,335)				1,255,575,442
LIABILITIES, LESS OTHER ASSETS - (0.73%)				(9,137,810	)
NET ASSETS - 100%			$	1,246,437,632

ADR - American Depository Receipt

*Non-income producing security

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Traded on Canadian exchange.

³Traded on Hong Kong exchange.

⁴Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁵The rate shown is a fixed rate as of April 30, 2012; the rate becomes floating, based on LIBOR plus a spread, at dates ranging from 2013 to 2022.

⁶Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $85,870,088, or 6.89%, of the Series’ net assets as of April 30, 2012.

⁷The coupon rate is floating and is the effective rate as of April 30, 2012.

⁸Represents a step-up bond that pays initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current coupon as of April 30, 2012.

⁹Rate shown is the current yield as of April 30, 2012.

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

29

Statement of Assets and Liabilities - Pro-Blend^® Conservative Term Series

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $1,189,760,335) (Note 2)	$	1,255,575,442
Foreign currency (identified cost $240,920)		240,732
Interest receivable		7,811,362
Receivable for fund shares sold		2,783,567
Receivable for securities sold		770,393
Dividends receivable		182,437
Foreign tax reclaims receivable		158,433
Other assets		93,303
TOTAL ASSETS		1,267,615,669
LIABILITIES:
Accrued management fees (Note 3)		601,031
Accrued shareholder services fees (Class S) (Note 3)		153,803
Accrued fund accounting and administration fees (Note 3)		62,981
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3)		49,498
Accrued transfer agent fees (Note 3)		33,618
Accrued directors’ fees (Note 3)		2,380
Accrued Chief Compliance Officer service fees (Note 3)		415
Payable for securities purchased		17,638,938
Payable for fund shares repurchased		2,582,675
Other payables and accrued expenses		52,698
TOTAL LIABILITIES		21,178,037
TOTAL NET ASSETS	$	1,246,437,632
NET ASSETS CONSIST OF:
Capital stock	$	988,754
Additional paid-in-capital		1,168,110,420
Undistributed net investment income		5,850,732
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		5,665,214
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		65,822,512
TOTAL NET ASSETS	$	1,246,437,632

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

30

Statement of Assets and Liabilities - Pro-Blend^® Conservative Term Series

April 30, 2012 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($958,222,135/71,981,017 shares)	$	13.31
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($221,078,304/20,476,529 shares)	$	10.80
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($57,207,983/5,468,614 shares)	$	10.46
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($9,929,210/949,248 shares)	$	10.46

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

31

Statement of Operations - Pro-Blend^® Conservative Term Series

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Interest	$	12,480,610
Dividends (net of foreign taxes withheld, $90,279)		2,328,804
Total Investment Income		14,809,414
EXPENSES:
Management fees (Note 3)		3,468,832
Shareholder services fees (Class S) (Note 3)		904,512
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		245,338
Fund accounting and administration fees (Note 3)		125,005
Transfer agent fees (Note 3)		90,002
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		14,970
Directors’ fees (Note 3)		13,231
Chief Compliance Officer service fees (Note 3)		1,246
Custodian fees		42,037
Miscellaneous		155,235
Total Expenses		5,060,408
NET INVESTMENT INCOME		9,749,006
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on- Investments		5,968,826
Foreign currency and translation of other assets and liabilities (net of Brazilian tax of $4,350)		(32,982	)
Forward foreign currency exchange contracts		11,060
		5,946,904
Net change in unrealized appreciation (depreciation) on- Investments		31,715,651
Foreign currency and translation of other assets and liabilities		(778	)
Forward foreign currency exchange contracts		(132	)
		31,714,741
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		37,661,645
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	47,410,651

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

32

Statements of Changes in Net Assets - Pro-Blend^® Conservative Term Series

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	9,749,006		$	18,446,768
Net realized gain (loss) on investments and foreign currency (net of Brazilian tax of $4,350 and $30,868, respectively)		5,946,904			18,539,491
Net change in unrealized appreciation (depreciation) on investments and foreign currency		31,714,741			(9,715,102	)
Net increase from operations		47,410,651			27,271,157
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(10,238,360	)		(13,191,554	)
From net investment income (Class I)		(2,724,216	)		(3,512,349	)
From net investment income (Class C)		(517,279	)		(371,207	)
From net investment income (Class R)		(77,695	)		(4,541	)
From net realized gain on investments (Class S)		(14,036,266	)		(17,869,909	)
From net realized gain on investments (Class I)		(3,415,773	)		(4,243,177	)
From net realized gain on investments (Class C)		(925,150	)		(600,819	)
From net realized gain on investments (Class R)		(105,151	)		(201	)
Total distributions to shareholders		(32,039,890	)		(39,793,757	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		133,303,435			269,691,096
Net increase in net assets		148,674,196			257,168,496
NET ASSETS:
Beginning of period		1,097,763,436			840,594,940
End of period (including undistributed net investment income of $5,850,732 and $9,659,276,respectively)	$	1,246,437,632		$	1,097,763,436

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

33

Financial Highlights - Pro-Blend^® Conservative Term Series - Class S

	FOR THE SIX			FOR THE YEARS ENDED
	MONTHS ENDED 4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	13.16		$	13.37		$	12.21		$	11.13		$	12.74		$	12.35
Income (loss) from investment operations:
Net investment income		0.11	1		0.25	1		0.29	1		0.23	1		0.24			0.30
Net realized and unrealized gain (loss) on investments		0.40			0.12			1.07			1.07			(1.15	)		0.65
Total from investment operations		0.51			0.37			1.36			1.30			(0.91	)		0.95
Less distributions to shareholders:
From net investment income		(0.15	)		(0.24	)		(0.20	)		(0.22	)		(0.27	)		(0.31	)
From net realized gain on investments		(0.21	)		(0.34	)		—			—			(0.43	)		(0.25	)
Total distributions to shareholders		(0.36	)		(0.58	)		(0.20	)		(0.22	)		(0.70	)		(0.56	)
Net asset value - End of period	$	13.31		$	13.16		$	13.37		$	12.21		$	11.13		$	12.74
Net assets - End of period (000’s omitted)	$	958,222		$	870,693		$	683,681		$	328,201		$	139,174		$	110,567
Total return2		4.07	%		2.87	%		11.26	%		11.83	%		(7.52	%)		7.95	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.87	%3		0.89	%		0.90	%		0.90	%		0.92	%		0.99	%
Net investment income		1.69	%3		1.87	%		2.28	%		1.97	%		2.33	%		2.73	%
Series portfolio turnover		20	%		25	%		42	%		47	%		45	%		49	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4		0.03	%		0.05	%		N/A

¹Calculated based on average shares outstanding during the period.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

³Annualized.

⁴Less than 0.01%.

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

34

Financial Highlights - Pro-Blend^® Conservative Term Series - Class I

	FOR THE SIX MONTHS ENDED 4/30/12			FOR THE YEARS ENDED									FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/11			10/31/10			10/31/09
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.75		$	11.03		$	10.11		$	9.27		$	10.00
Income (loss) from investment operations:
Net investment income		0.10	2		0.22	2		0.26	2		0.21	2		0.06
Net realized and unrealized gain (loss) on investments		0.33			0.10			0.88			0.87			(0.74	)
Total from investment operations		0.43			0.32			1.14			1.08			(0.68	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.26	)		(0.22	)		(0.24	)		(0.05	)
From net realized gain on investments		(0.21	)		(0.34	)		—			—			—
Total distributions to shareholders		(0.38	)		(0.60	)		(0.22	)		(0.24	)		(0.05	)
Net asset value - End of period	$	10.80		$	10.75		$	11.03		$	10.11		$	9.27
Net assets - End of period (000’s omitted)	$	221,078		$	181,345		$	139,399		$	95,879		$	77
Total return3		4.20	%		3.07	%		11.49	%		11.94	%		(6.81	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.67	%4		0.69	%		0.70	%		0.70	%		0.70	%4
Net investment income		1.89	%4		2.07	%		2.48	%		2.17	%		1.81	%4
Series portfolio turnover		20	%		25	%		42	%		47	%		45	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%5		0.03	%		0.15	%4

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Less than 0.01%.

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

35

Financial Highlights - Pro-Blend^® Conservative Term Series - Class C

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 1/4/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.42		$	10.73		$	10.00
Income from investment operations:
Net investment income2		0.05			0.11			0.12
Net realized and unrealized gain on investments		0.32			0.10			0.68
Total from investment operations		0.37			0.21			0.80
Less distributions to shareholders:
From net investment income		(0.12	)		(0.18	)		(0.07	)
From net realized gain on investments		(0.21	)		(0.34	)		—
Total distributions to shareholders		(0.33	)		(0.52	)		(0.07	)
Net asset value - End of period	$	10.46		$	10.42		$	10.73
Net assets - End of period (000’s omitted)	$	57,208		$	42,898		$	17,514
Total return3		3.71	%		2.06	%		8.03	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.67	%4		1.69	%		1.70	%4
Net investment income		0.89	%4		1.03	%		1.43	%4
Series portfolio turnover		20	%		25	%		42	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4,5

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

⁴Annualized.

⁵Less than 0.01%.

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

36

Financial Highlights - Pro-Blend^® Conservative Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 6/30/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.44		$	10.76		$	10.00
Income from investment operations:
Net investment income2		0.07			0.13			0.05
Net realized and unrealized gain on investments		0.32			0.13			0.71
Total from investment operations		0.39			0.26			0.76
Less distributions to shareholders:
From net investment income		(0.16	)		(0.24	)		—
From net realized gain on investments		(0.21	)		(0.34	)		—
Total distributions to shareholders		(0.37	)		(0.58	)		—
Net asset value - End of period	$	10.46		$	10.44		$	10.76
Net assets - End of period (000’s omitted)	$	9,929		$	2,828		$	1
Total return3		3.90	%		2.61	%		7.60	%
Ratios (to average net assets)/ Supplemental Data:
Expenses		1.17	%4		1.19	%		1.20	%4
Net investment income		1.40	%4		1.31	%		1.51	%4
Series portfolio turnover		20	%		25	%		42	%

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

⁴Annualized.

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

37

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 (November 1, 2011 to April 30, 2012).

Actual Expenses

The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, 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 Actual line for the Class in which you have invested 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 Hypothetical lines of the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ 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 for the Class in which you have invested 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. Therefore, the Hypothetical lines of the table are 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               11/1/11	ENDING  ACCOUNT VALUE               4/30/12	EXPENSES PAID  DURING PERIOD               11/1/11-4/30/12*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,054.70	$5.47	1.07%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.54	$5.37	1.07%
Class I
Actual	$1,000.00	$1,056.90	$4.19	0.82%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.79	$4.12	0.82%
Class C
Actual	$1,000.00	$1,051.60	$9.28	1.82%
Hypothetical (5% return before expenses)	$1,000.00	$1,015.81	$9.12	1.82%
Class R
Actual	$1,000.00	$1,054.30	$6.74	1.32%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.30	$6.62	1.32%

*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

38

Portfolio Composition - Pro-Blend^® Moderate Term Series

As of April 30, 2012 (unaudited)

Sector Allocation3
Financials	17.62	%
Information Technology	10.77	%
Consumer Discretionary	10.43	%
Health Care	6.81	%
Industrials	5.75	%
Energy	5.41	%
Consumer Staples	5.04	%
Materials	4.72	%
Telecommunication Services	1.83	%
Utilities	0.30	%
3Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings4
Cerner Corp.	1.64	%
Google, Inc. - Class A	1.56	%
Monsanto Co.	1.48	%
Time Warner, Inc.	1.25	%
EMC Corp.	1.11	%
Hess Corp.	0.98	%
Anheuser-Busch InBev N.V. (Belgium)	0.83	%
MasterCard, Inc. - Class A	0.80	%
Visa, Inc. - Class A	0.80	%
Amazon.com, Inc.	0.80	%
4As a percentage of total investments.

39

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 44.43%
Consumer Discretionary - 7.80%
Auto Components - 0.05%
Hankook Tire Co. Ltd. (South Korea)1		13,160	$	555,164
Automobiles - 0.52%
Hyundai Motor Co. (South Korea)1		1,100		259,677
Suzuki Motor Corp. (Japan)1		9,500		223,596
Tesla Motors, Inc.*		11,910		394,578
Toyota Motor Corp. (Japan)1		5,200		213,084
Toyota Motor Corp. - ADR (Japan)		63,470		5,190,577
Yamaha Motor Co. Ltd. (Japan)1		24,400		325,901
				6,607,413
Distributors - 0.02%
Inchcape plc (United Kingdom)1		47,340		281,251
Diversified Consumer Services - 0.06%
Anhanguera Educacional Participacoes S.A. (Brazil)		22,890		302,854
Capella Education Co.*		6,730		220,138
Grand Canyon Education, Inc.*		15,070		262,067
				785,059
Hotels, Restaurants & Leisure - 0.88%
7 Days Group Holdings Ltd. - ADR (Cayman Islands)*		2,710		34,553
Accor S.A. (France)1		34,720		1,200,638
Carnival Corp.		271,880		8,833,381
Hyatt Hotels Corp. - Class A*		5,310		228,489
Intercontinental Hotels Group plc (United Kingdom)1		21,040		501,676
Orient-Express Hotels Ltd. - Class A - ADR (Bermuda)		20,590		220,107
TUI Travel plc (United Kingdom)1		39,870		123,640
				11,142,484
Household Durables - 0.18%
Corporacion Geo S.A.B. de C.V. - Class B (Mexico)*		55,360		73,950
DR Horton, Inc.		22,160		362,316
Lennar Corp. - Class A		20,240		561,458
LG Electronics, Inc. (South Korea)1		4,910		302,942
NVR, Inc.*		430		337,094
Rodobens Negocios Imobiliarios S.A. (Brazil)		36,860		215,032
Toll Brothers, Inc.*		16,510		419,354
				2,272,146
Internet & Catalog Retail - 0.84%
Amazon.com, Inc.*		43,350		10,052,865
Blue Nile, Inc.*		1,880		56,926
Ocado Group plc (United Kingdom)*1		215,910		455,140
				10,564,931

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

40

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Media - 4.94%
AMC Networks, Inc. - Class A*		170,550	$	7,248,375
DIRECTV - Class A*		188,980		9,311,045
Imax Corp. (Canada)*		17,710		424,509
Mediaset Espana Comunicacion S.A. (Spain)1		119,970		546,110
News Corp. - Class A		405,420		7,946,232
Reed Elsevier plc - ADR (United Kingdom)		4,434		146,544
Societe Television Francaise 1 (France)1		37,310		361,388
Time Warner, Inc.		420,940		15,768,412
Valassis Communications, Inc.*		8,290		165,800
Virgin Media, Inc. - ADR (United Kingdom)		405,440		9,957,606
The Walt Disney Co.		230,080		9,918,749
Wolters Kluwer N.V. (Netherlands)1		15,630		270,201
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		135,390		456,894
				62,521,865
Multiline Retail - 0.04%
Marks & Spencer Group plc (United Kingdom)1		42,270		244,988
PPR (France)1		1,625		271,942
				516,930
Specialty Retail - 0.24%
Aeropostale, Inc.*		12,520		277,694
American Eagle Outfitters, Inc.		15,280		275,193
Belle International Holdings Ltd. (Hong Kong)1		113,000		220,490
Chico’s FAS, Inc.		23,930		367,565
Dick’s Sporting Goods, Inc.		11,070		560,142
Group 1 Automotive, Inc.		2,890		167,273
Inditex S.A. (Spain)1		1,900		171,255
KOMERI Co. Ltd. (Japan)1		4,800		134,482
Penske Automotive Group, Inc.		7,670		202,795
Select Comfort Corp.*		4,210		121,585
Sonic Automotive, Inc. - Class A		12,780		214,960
Teavana Holdings, Inc.*		14,580		304,576
				3,018,010
Textiles, Apparel & Luxury Goods - 0.03%
Adidas AG (Germany)1		4,150		346,150
Total Consumer Discretionary				98,611,403
Consumer Staples - 4.78%
Beverages - 1.51%
Anheuser-Busch InBev N.V. (Belgium)1		145,040		10,453,800
The Boston Beer Co., Inc. - Class A*		2,040		210,773
C&C Group plc (Ireland)*1		40,880		205,033

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

41

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Beverages (continued)
Carlsberg A/S - Class B (Denmark)1		4,100	$	353,919
Cia Cervecerias Unidas S.A. - ADR (Chile)		3,630		259,981
The Coca-Cola Co.		86,800		6,624,576
Diageo plc (United Kingdom)1		22,700		572,569
Heineken N.V. (Netherlands)1		4,360		238,442
Kirin Holdings Co. Ltd. (Japan)1		15,200		193,533
				19,112,626
Food & Staples Retailing - 0.73%
Carrefour S.A. (France)1		23,260		467,211
Casino Guichard-Perrachon S.A. (France)1		2,420		237,762
Distribuidora Internacional de Alimentacion S.A. (Spain)*1		55,640		267,141
Koninklijke Ahold N.V. (Netherlands)1		32,290		409,838
The Kroger Co.		291,710		6,788,092
SUPERVALU, Inc.		22,500		133,650
Tesco plc (United Kingdom)1		182,805		941,936
				9,245,630
Food Products - 2.41%
Barry Callebaut AG (Switzerland)1		370		356,199
Biostime International Holdings Ltd. (Cayman Islands)1		37,000		106,134
BRF - Brasil Foods S.A. (Brazil)		16,810		305,131
Charoen Pokphand Foods PCL (Thailand)1	��	182,500		227,012
Danone (France)1		13,550		953,905
Flowers Foods, Inc.		8,085		173,423
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		138,570		330,629
Kraft Foods, Inc. - Class A		241,460		9,627,010
M Dias Branco S.A. (Brazil)		5,100		147,155
Nestle S.A. (Switzerland)1		131,880		8,082,830
Suedzucker AG (Germany)1		6,710		204,332
Unilever plc - ADR (United Kingdom)		288,829		9,912,611
				30,426,371
Household Products - 0.06%
Reckitt Benckiser Group plc (United Kingdom)1		13,150		765,507
Personal Products - 0.05%
Beiersdorf AG (Germany)1		3,150		221,056
Kao Corp. (Japan)1		3,300		88,425
Natura Cosmeticos S.A. (Brazil)		15,200		343,448
				652,929
Tobacco - 0.02%
Gudang Garam Tbk PT (Indonesia)1		38,000		244,043
Total Consumer Staples				60,447,106

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

42

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Energy - 3.96%
Energy Equipment & Services - 2.10%
Baker Hughes, Inc.		168,990	$	7,454,149
Calfrac Well Services Ltd. (Canada)		9,700		266,103
CARBO Ceramics, Inc.		970		81,567
Compagnie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		5,310		152,279
Heckmann Corp.*		37,210		141,398
ION Geophysical Corp.*		18,000		112,140
Key Energy Services, Inc.*		12,140		153,692
Petroleum Geo-Services ASA (Norway)*1		16,200		245,070
Poseidon Concepts Corp. (Canada)		11,750		152,607
Schlumberger Ltd.		126,315		9,364,994
Trican Well Service Ltd. (Canada)		40,240		582,102
Weatherford International Ltd. - ADR (Switzerland)*		552,520		7,884,460
				26,590,561
Oil, Gas & Consumable Fuels - 1.86%
Apache Corp.		32,670		3,134,360
Cameco Corp. (Canada)		18,770		414,817
Hess Corp.		238,710		12,446,339
Pacific Rubiales Energy Corp. (Canada)		10,100		289,754
Paladin Energy Ltd. (Australia)*2		140,800		232,327
Petroleo Brasileiro S.A. - ADR (Brazil)		24,330		539,153
Range Resources Corp.		74,310		4,953,505
Royal Dutch Shell plc - Class B (Netherlands)1		6,202		226,960
Royal Dutch Shell plc - Class B - ADR (Netherlands)		6,790		498,114
Statoil ASA (Norway)1		10,790		289,521
Talisman Energy, Inc. (Canada)		34,450		450,568
				23,475,418
Total Energy				50,065,979
Financials - 5.67%
Capital Markets - 0.09%
The Charles Schwab Corp.		38,300		547,690
Deutsche Bank AG (Germany)1		4,210		182,769
Evercore Partners, Inc. - Class A		4,660		123,164
Greenhill & Co., Inc.		3,980		154,623
Lazard Ltd. - Class A - ADR (Bermuda)		3,570		98,211
				1,106,457
Commercial Banks - 0.50%
Banco Bilbao Vizcaya Argentaria S.A. - ADR (Spain)		25,790		174,083
Banco Santander S.A. (Spain)1		32,800		205,938
Banco Santander S.A. - ADR (Spain)		68,360		432,719
Barclays plc (United Kingdom)1		98,070		347,202

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

43

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Commercial Banks (continued)
BNP Paribas S.A. (France)1		9,640	$	389,064
CIT Group, Inc.*		13,970		528,765
First Commonwealth Financial Corp.		131,350		844,581
Hong Leong Financial Group Berhad (Malaysia)1		86,900		342,313
HSBC Holdings plc (United Kingdom)1		32,900		296,994
HSBC Holdings plc - ADR (United Kingdom)		14,572		658,217
ICICI Bank Ltd. - ADR (India)		16,350		554,101
Standard Chartered plc (United Kingdom)1		12,270		299,949
U.S. Bancorp		18,760		603,509
Wells Fargo & Co.		17,330		579,342
				6,256,777
Consumer Finance - 1.26%
American Express Co.		111,500		6,713,415
Discover Financial Services		273,130		9,259,107
				15,972,522
Diversified Financial Services - 0.89%
CME Group, Inc.		2,910		773,536
Deutsche Boerse AG (Germany)*1		11,900		747,186
ING Groep N.V. (Netherlands)*1		4,775		33,687
JPMorgan Chase & Co.		16,900		726,362
JSE Ltd. (South Africa)1		122,580		1,298,122
Moody’s Corp.		188,740		7,728,903
				11,307,796
Insurance - 0.37%
Admiral Group plc (United Kingdom)1		32,550		639,716
Allianz SE (Germany)1		7,010		781,903
The Allstate Corp.		17,600		586,608
AXA S.A. (France)1		4,080		57,977
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		55,600		598,251
Mapfre S.A. (Spain)1		314,900		911,604
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		3,525		512,006
Zurich Insurance Group AG (Switzerland)1		2,280		558,607
				4,646,672
Real Estate Investment Trusts (REITS) - 2.51%
Alexandria Real Estate Equities, Inc.		22,840		1,711,173
Alstria Office REIT AG (Germany)1		38,200		407,253
American Assets Trust, Inc.		12,960		304,690
American Campus Communities, Inc.		14,830		659,193
Apartment Investment & Management Co. - Class A		14,110		383,086
Associated Estates Realty Corp.		5,940		100,564

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

44

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
AvalonBay Communities, Inc.		2,130	$	309,702
BioMed Realty Trust, Inc.		161,140		3,193,795
Boston Properties, Inc.		8,650		936,363
Camden Property Trust		6,420		434,441
CBL & Associates Properties, Inc.		14,580		271,625
Cedar Realty Trust, Inc.		14,260		74,437
Coresite Realty Corp.		17,260		429,947
Corporate Office Properties Trust		105,450		2,483,347
CubeSmart		30,510		383,206
Digital Realty Trust, Inc.		44,390		3,333,245
DuPont Fabros Technology, Inc.		123,780		3,360,627
Education Realty Trust, Inc.		32,910		370,896
Equity Lifestyle Properties, Inc.		4,600		321,724
Equity One, Inc.		16,730		347,649
Equity Residential		4,640		285,082
General Growth Properties, Inc.		29,160		519,048
HCP, Inc.		16,710		692,629
Health Care REIT, Inc.		12,490		707,683
Healthcare Realty Trust, Inc.		10,040		215,659
Home Properties, Inc.		10,250		625,763
Host Hotels & Resorts, Inc.		51,294		853,532
Kimco Realty Corp.		11,120		215,839
Land Securities Group plc (United Kingdom)1		31,610		373,293
LTC Properties, Inc.		7,050		234,624
The Macerich Co.		4,210		259,210
Mack-Cali Realty Corp.		11,970		343,778
Mid-America Apartment Communities, Inc.		9,110		620,118
National Retail Properties, Inc.		11,060		302,823
Pebblebrook Hotel Trust		47,130		1,134,890
Potlatch Corp.		3,130		97,969
ProLogis, Inc.		7,550		270,139
Public Storage		2,330		333,796
Realty Income Corp.		9,080		357,207
Simon Property Group, Inc.		8,330		1,296,148
Sovran Self Storage, Inc.		12,950		682,465
Tanger Factory Outlet Centers		6,410		200,761
Taubman Centers, Inc.		3,490		269,358
UDR, Inc.		32,900		866,257
Unibail-Rodamco SE (France)1		1,110		207,700
				31,782,734
Real Estate Management & Development - 0.04%
General Shopping Brasil S.A. (Brazil)*		63,530		384,949

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

45

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Management & Development (continued)
Thomas Properties Group, Inc.		31,900	$	155,672
				540,621
Thrifts & Mortgage Finance - 0.01%
Aareal Bank AG (Germany)*1		8,370		161,662
Total Financials				71,775,241
Health Care - 5.51%
Biotechnology - 0.26%
Dendreon Corp.*		57,430		669,059
Exact Sciences Corp.*		72,990		786,102
Myriad Genetics, Inc.*		71,540		1,860,755
				3,315,916
Health Care Equipment & Supplies - 1.20%
Abaxis, Inc.*		31,440		1,119,893
Alere, Inc.*		46,300		1,106,107
Becton, Dickinson and Co.		77,680		6,093,996
BioMerieux (France)1		10,240		839,174
DexCom, Inc.*		51,120		500,465
HeartWare International, Inc.*		12,220		952,671
Insulet Corp.*		57,770		1,031,772
Mindray Medical International Ltd. - ADR (China)		15,430		505,487
Neogen Corp.*		6,500		253,435
Quidel Corp.*		35,180		581,174
Sirona Dental Systems, Inc.*		12,740		643,497
Straumann Holding AG (Switzerland)1		5,370		892,315
Thoratec Corp.*		18,980		660,694
				15,180,680
Health Care Providers & Services - 0.24%
Amil Participacoes S.A. (Brazil)		34,230		334,731
China Cord Blood Corp. - ADR (Hong Kong)*		80,000		233,600
Odontoprev S.A. (Brazil)		117,630		621,427
Sonic Healthcare Ltd. (Australia)1		140,860		1,842,680
				3,032,438
Health Care Technology - 2.11%
Allscripts Healthcare Solutions, Inc.*		406,610		4,505,239
Cerner Corp.*		255,218		20,695,628
Computer Programs & Systems, Inc.		10,140		604,243
Greenway Medical Technologies, Inc.*		34,630		533,302
Quality Systems, Inc.		10,460		391,204
				26,729,616

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

46

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Life Sciences Tools & Services - 1.18%
Lonza Group AG (Switzerland)1		7,590	$	342,471
Luminex Corp.*		27,530		689,351
QIAGEN N.V. (Netherlands)*1		11,170		184,691
QIAGEN N.V. - ADR (Netherlands)*		481,310		8,052,316
Waters Corp.*		52,580		4,422,504
WuXi PharmaTech (Cayman), Inc. - ADR (China)*		82,460		1,185,775
				14,877,108
Pharmaceuticals - 0.52%
AstraZeneca plc (United Kingdom)1		1,890		82,823
AstraZeneca plc - ADR (United Kingdom)		11,950		524,605
Bayer AG (Germany)1		9,575		674,690
Dr. Reddy’s Laboratories Ltd. - ADR (India)		14,350		485,461
GlaxoSmithKline plc (United Kingdom)1		12,270		283,456
Green Cross Corp. (South Korea)1		7,180		848,538
Hikma Pharmaceuticals plc (United Kingdom)1		74,740		761,847
Novo Nordisk A/S - Class B (Denmark)1		2,330		343,496
Optimer Pharmaceuticals, Inc.*		53,190		787,212
Sanofi (France)1		1,960		149,708
Santen Pharmaceutical Co. Ltd. (Japan)1		2,700		112,992
Shire plc (Ireland)1		16,965		552,935
Takeda Pharmaceutical Co. Ltd. (Japan)1		2,400		104,724
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		7,240		331,158
UCB S.A. (Belgium)1		10,740		502,204
				6,545,849
Total Health Care				69,681,607
Industrials - 2.93%
Aerospace & Defense - 0.02%
European Aeronautic Defence and Space Co. N.V. (Netherlands)1		6,190		244,620
Air Freight & Logistics - 0.06%
FedEx Corp.		7,400		652,976
PostNL N.V. (Netherlands)1		19,940		86,769
				739,745
Airlines - 0.79%
Copa Holdings S.A. - ADR - Class A (Panama)		9,310		756,996
Deutsche Lufthansa AG (Germany)1		15,825		206,079
Ryanair Holdings plc - ADR (Ireland)*		20,830		701,346
Southwest Airlines Co.		911,545		7,547,593
Spirit Airlines, Inc.*		13,000		312,260
US Airways Group, Inc.*		51,540		528,800
				10,053,074

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

47

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Commercial Services & Supplies - 0.14%
Edenred (France)1		34,340	$	1,097,076
Interface, Inc. - Class A		4,760		67,402
Ritchie Bros. Auctioneers, Inc. (Canada)		10,800		228,204
Tomra Systems ASA (Norway)1		49,750		388,303
				1,780,985
Construction & Engineering - 0.01%
MYR Group, Inc.*		4,850		81,092
Electrical Equipment - 0.14%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		14,800		279,276
Alstom S.A. (France)1		15,620		558,643
Nexans S.A. (France)1		1,630		81,694
Polypore International, Inc.*		10,160		379,476
Prysmian S.p.A. (Italy)1		14,760		240,424
Schneider Electric S.A. (France)1		3,960		243,919
				1,783,432
Industrial Conglomerates - 0.08%
Siemens AG (Germany)1		10,750		997,817
Machinery - 0.83%
AGCO Corp.*		5,300		246,874
Astec Industries, Inc.*		2,450		76,661
FANUC Corp. (Japan)1		3,800		640,872
Flowserve Corp.		63,650		7,315,295
Graham Corp.		7,910		174,653
Pall Corp.		4,800		286,128
Pentair, Inc.		6,900		299,046
Titan International, Inc.		8,050		232,565
Wabash National Corp.*		42,470		355,474
Westport Innovations, Inc. - ADR (Canada)*		29,170		913,021
				10,540,589
Marine - 0.04%
Baltic Trading Ltd.		10,880		50,592
D/S Norden (Denmark)1		6,410		181,924
Mitsui OSK Lines Ltd. (Japan)1		8,000		31,007
Nippon Yusen Kabushiki Kaisha (Japan)1		11,000		32,516
Pacific Basin Shipping Ltd. (Bermuda)1,3		55,000		28,782
Sinotrans Shipping Ltd. (Hong Kong)1		656,500		156,247
				481,068
Professional Services - 0.15%
The Advisory Board Co.*		11,930		1,087,539

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

48

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Professional Services (continued)
Qualicorp S.A. (Brazil)*		87,570	$	763,076
				1,850,615
Road & Rail - 0.56%
All America Latina Logistica S.A. (Brazil)		172,990		783,204
Norfolk Southern Corp		80,740		5,888,368
RailAmerica, Inc.*		18,550		429,989
				7,101,561
Transportation Infrastructure - 0.11%
Groupe Eurotunnel S.A. (France)1		74,880		630,011
Malaysia Airports Holdings Berhad (Malaysia)1		379,920		726,047
				1,356,058
Total Industrials				37,010,656
Information Technology - 10.04%
Communications Equipment - 2.12%
Alcatel-Lucent - ADR (France)*		417,200		629,972
Cisco Systems, Inc.		497,604		10,026,721
Infinera Corp.*		156,790		1,122,616
Juniper Networks, Inc.*		428,750		9,188,113
Qualcomm, Inc.		78,380		5,003,779
Riverbed Technology, Inc.*		41,230		813,468
				26,784,669
Computers & Peripherals - 1.22%
Apple, Inc.*		1,680		981,523
EMC Corp.*		496,100		13,994,981
Immersion Corp.*		87,100		474,695
				15,451,199
Electronic Equipment, Instruments & Components - 0.86%
Amphenol Corp. - Class A		6,430		373,840
Corning, Inc.		611,340		8,772,729
Hitachi Ltd. (Japan)1		114,200		727,368
Keyence Corp. (Japan)1		1,123		265,080
Maxwell Technologies, Inc.*		24,960		237,370
Nippon Electric Glass Co. Ltd. (Japan)1		64,500		521,145
				10,897,532
Internet Software & Services - 1.96%
The Active Network, Inc.*		64,730		1,087,464
comScore, Inc.*		42,020		837,038
Google, Inc. - Class A*		32,666		19,770,443
LogMeIn, Inc.*		5,360		193,014

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

49

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Internet Software & Services (continued)
NHN Corp. (South Korea)1		2,280	$	515,429
Tencent Holdings Ltd. (China)1		32,700		1,022,980
Velti plc - ADR (Ireland)*		114,130		1,363,853
				24,790,221
IT Services - 2.30%
Amadeus IT Holding S.A. - Class A (Spain)1		246,240		5,040,987
Amdocs Ltd. - ADR (Guernsey)*		31,560		1,009,920
Cap Gemini S.A. (France)1		31,780		1,241,557
Euronet Worldwide, Inc.*		36,700		793,821
MasterCard, Inc. - Class A		22,440		10,148,939
Visa, Inc. - Class A		81,770		10,056,075
The Western Union Co.		41,580		764,240
				29,055,539
Semiconductors & Semiconductor Equipment - 0.20%
Aixtron SE NA (Germany)1		17,600		321,572
Samsung Electronics Co. Ltd. (South Korea)1		590		722,137
Sumco Corp. (Japan)*1		49,600		526,537
Tokyo Electron Ltd. (Japan)1		12,160		673,860
Veeco Instruments, Inc.*		9,800		295,862
				2,539,968
Software - 1.38%
Autodesk, Inc.*		208,650		8,214,551
Aveva Group plc (United Kingdom)1		11,560		313,015
Electronic Arts, Inc.*		516,160		7,938,541
RealPage, Inc.*		37,090		673,183
SAP AG (Germany)1		5,630		373,344
				17,512,634
Total Information Technology				127,031,762
Materials - 2.69%
Chemicals - 2.10%
Arkema S.A. (France)1		20		1,774
BASF SE (Germany)1		6,510		535,987
Calgon Carbon Corp.*		21,105		292,093
Flotek Industries, Inc.*		9,940		135,582
Johnson Matthey plc (United Kingdom)1		20,640		775,062
Linde AG (Germany)1		2,980		510,065
Monsanto Co.		246,160		18,752,469
Shin-Etsu Chemical Co. Ltd. (Japan)1		2,200		126,983

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

50

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Chemicals (continued)
Syngenta AG (Switzerland)1		15,470	$	5,424,968
				26,554,983
Construction Materials - 0.04%
CRH plc (Ireland)1		10,340		209,594
Eagle Materials, Inc.		4,210		148,276
Holcim Ltd. (Switzerland)1		2,450		152,812
				510,682
Metals & Mining - 0.55%
Alcoa, Inc.		698,690		6,798,254
Alumina Ltd. (Australia)1		81,380		97,205
Norsk Hydro ASA (Norway)1		18,130		88,406
				6,983,865
Total Materials				34,049,530
Telecommunication Services - 0.98%
Diversified Telecommunication Services - 0.87%
Swisscom AG - ADR (Switzerland)4		7,815		289,546
Telefonica S.A. - ADR (Spain)		37,580		549,795
Telenor ASA (Norway)1		522,710		9,608,146
Telenor ASA - ADR (Norway)4		8,880		489,199
				10,936,686
Wireless Telecommunication Services - 0.11%
DiGi.com Berhad (Malaysia)1		476,000		633,482
MTN Group Ltd. (South Africa)1		8,310		145,324
SK Telecom Co. Ltd. - ADR (South Korea)		48,180		651,394
				1,430,200
Total Telecommunication Services				12,366,886
Utilities - 0.07%
Electric Utilities - 0.03%
E.ON AG (Germany)1		14,270		323,097
Multi-Utilities - 0.02%
GDF Suez (France)1		3,795		87,377
National Grid plc (United Kingdom)1		20,900		225,690
				313,067
Water Utilities - 0.02%
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		13,330		312,244
Total Utilities				948,408
TOTAL COMMON STOCKS
(Identified Cost $506,377,984)				561,988,578

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

51

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES/ PRINCIPAL AMOUNT		VALUE   (NOTE 2)
PREFERRED STOCKS - 0.35%
Financials - 0.35%
Commercial Banks - 0.18%
BB&T Corp. (non-cumulative), 5.85%5		44,000	$	1,100,000
PNC Financial Services Group, Inc., Series K (non-cumulative), 8.25%5		350,000		362,963
U.S. Bancorp., Series F (non-cumulative), 6.50%5		29,800		806,388
				2,269,351
Diversified Financial Services - 0.09%
Bank of America Corp., Series M (non-cumulative), 8.125%5		1,085,000		1,124,277
Real Estate Investment Trusts (REITS) - 0.08%
Public Storage, Series Q, 6.50%		37,110		1,021,267
Total Financials				4,414,895
TOTAL PREFERRED STOCKS (Identified Cost $4,215,643)				4,414,895
CORPORATE BONDS - 23.85%
Convertible Corporate Bonds - 0.19%
Financials - 0.08%
Real Estate Investment Trusts (REITS) - 0.08%
BioMed Realty LP6 , 3.75%, 1/15/2030	$	825,000		996,187
Health Care - 0.03%
Health Care Equipment & Supplies - 0.03%
Alere, Inc., 3.00%, 5/15/2016		330,000		320,100
Medtronic, Inc., 1.625%, 4/15/2013		90,000		90,562
Total Health Care				410,662
Information Technology - 0.03%
Computers & Peripherals - 0.03%
EMC Corp., 1.75%, 12/1/2013		215,000		382,163
Materials - 0.05%
Containers & Packaging - 0.05%
Owens-Brockway Glass Container, Inc.6, 3.00%, 6/1/2015		655,000		639,444
Total Convertible Corporate Bonds (Identified Cost $2,245,151)				2,428,456
Non-Convertible Corporate Bonds - 23.66%
Consumer Discretionary - 2.63%
Auto Components - 0.05%
UCI International, Inc., 8.625%, 2/15/2019		625,000		640,625
Hotels, Restaurants & Leisure - 0.31%
International Game Technology, 7.50%, 6/15/2019		2,415,000		2,868,844
Yum! Brands, Inc., 3.875%, 11/1/2020		960,000		1,020,722
				3,889,566

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

52

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Household Durables - 0.51%
Newell Rubbermaid, Inc., 4.70%, 8/15/2020	$	1,855,000	$	2,007,535
Taylor Morrison Communities, Inc. - Monarch Communities, Inc.6, 7.75%, 4/15/2020		620,000		638,600
Tupperware Brands Corp., 4.75%, 6/1/2021		3,750,000		3,857,134
				6,503,269
Media - 0.94%
Cablevision Systems Corp., 8.625%, 9/15/2017		535,000		587,163
Columbus International, Inc. (Barbados)6, 11.50%, 11/20/2014		210,000		227,850
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		1,740,000		1,933,587
Discovery Communications LLC, 5.05%, 6/1/2020		1,715,000		1,959,556
Intelsat Jackson Holdings S.A. (Luxembourg), 7.25%, 4/1/2019		565,000		589,013
Kabel BW GmbH (Germany)6, 7.50%, 3/15/2019		310,000		330,925
MDC Partners, Inc. (Canada), 11.00%, 11/1/2016		545,000		592,687
Nara Cable Funding Ltd. (Ireland)6, 8.875%, 12/1/2018		680,000		622,200
NBCUniversal Media LLC, 5.15%, 4/30/2020		1,940,000		2,232,199
Time Warner, Inc., 4.75%, 3/29/2021		1,435,000		1,600,836
Unitymedia Hessen GmbH & Co. KG - Unitymedia NRW GmbH (Germany)6, 8.125%, 12/1/2017		865,000		927,713
XM Satellite Radio, Inc.6, 7.625%, 11/1/2018		300,000		327,000
				11,930,729
Multiline Retail - 0.08%
Target Corp., 6.00%, 1/15/2018		790,000		970,834
Specialty Retail - 0.63%
Advance Auto Parts, Inc., 4.50%, 1/15/2022		1,955,000		2,060,396
The Home Depot, Inc., 5.40%, 3/1/2016		1,615,000		1,863,994
Lowe’s Companies, Inc., 6.10%, 9/15/2017		620,000		749,745
O’Reilly Automotive, Inc., 4.875%, 1/14/2021		920,000		996,757
Rent-A-Center, Inc., 6.625%, 11/15/2020		1,025,000		1,071,125
Toys R Us Property Co. II LLC, 8.50%, 12/1/2017		1,110,000		1,154,400
				7,896,417
Textiles, Apparel & Luxury Goods - 0.11%
Jones Group - Apparel Group Holdings - Apparel Group USA - Footwear Accessories Retail, 6.875%, 3/15/2019		615,000		598,856
VF Corp., 5.95%, 11/1/2017		640,000		763,898
				1,362,754
Total Consumer Discretionary				33,194,194
Consumer Staples - 0.26%
Beverages - 0.12%
Beam, Inc., 5.375%, 1/15/2016		234,000		260,156
Constellation Brands, Inc., 7.25%, 9/1/2016		565,000		638,450

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

53

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Staples (continued)
Beverages (continued)
Constellation Brands, Inc., 7.25%, 5/15/2017	$	290,000	$	327,700
PepsiCo, Inc., 7.90%, 11/1/2018		187,000		253,732
				1,480,038
Food Products - 0.09%
Kraft Foods, Inc., 6.125%, 2/1/2018		950,000		1,143,828
Personal Products - 0.05%
Revlon Consumer Products Corp., 9.75%, 11/15/2015		620,000		668,825
Total Consumer Staples				3,292,691
Energy - 1.44%
Energy Equipment & Services - 0.87%
Baker Hughes, Inc., 7.50%, 11/15/2018		1,085,000		1,443,984
Calfrac Holdings LP6, 7.50%, 12/1/2020		1,230,000		1,205,400
Schlumberger Oilfield plc (United Kingdom)6, 4.20%, 1/15/2021		905,000		1,000,137
SESI LLC, 6.375%, 5/1/2019		565,000		587,600
Thermon Industries, Inc., 9.50%, 5/1/2017		567,000		623,700
Trinidad Drilling Ltd. (Canada)6, 7.875%, 1/15/2019		590,000		628,350
Weatherford International Ltd. (Switzerland), 9.625%, 3/1/2019		4,175,000		5,523,020
				11,012,191
Oil, Gas & Consumable Fuels - 0.57%
Anadarko Petroleum Corp., 5.95%, 9/15/2016		2,100,000		2,427,902
Anadarko Petroleum Corp., 8.70%, 3/15/2019		425,000		565,417
Chaparral Energy, Inc., 8.25%, 9/1/2021		550,000		585,750
Chaparral Energy, Inc.6, 7.625%, 11/15/2022		370,000		377,400
Chesapeake Oilfield Operating LLC - Chesapeake Oilfield Finance, Inc.6, 6.625%, 11/15/2019		990,000		930,600
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017		560,000		614,600
PBF Holding Co. LLC - PBF Finance Corp.6, 8.25%, 2/15/2020		680,000		703,800
Targa Resources Partners LP - Targa Resources Partners Finance Corp., 8.25%, 7/1/2016		465,000		489,413
Tesoro Corp., 9.75%, 6/1/2019		485,000		551,687
				7,246,569
Total Energy				18,258,760
Financials - 11.51%
Capital Markets - 3.48%
Barclays Bank plc (United Kingdom)6, 2.50%, 9/21/2015		4,045,000		4,148,499
BNP Paribas Home Loan Covered Bonds S.A. (France)6, 2.20%, 11/2/2015		4,045,000		4,055,388
The Charles Schwab Corp., 4.45%, 7/22/2020		4,740,000		5,257,229
Credit Suisse AG (Switzerland)6, 2.60%, 5/27/2016		5,710,000		5,845,150
GFI Group, Inc., 8.375%, 7/19/2018		800,000		738,000

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

54

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Capital Markets (continued)
Goldman Sachs Capital I, 6.345%, 2/15/2034	$	795,000	$	741,398
Goldman Sachs Capital II7, 5.793%, 6/1/2043		1,215,000		835,313
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018		890,000		968,756
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		4,285,000		4,446,013
Jefferies Group, Inc., 8.50%, 7/15/2019		2,470,000		2,729,350
Merrill Lynch & Co., Inc., 6.05%, 8/15/2012		4,625,000		4,692,016
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018		1,250,000		1,392,927
Morgan Stanley, 5.55%, 4/27/2017		687,000		698,906
Morgan Stanley, 7.30%, 5/13/2019		940,000		1,008,935
Morgan Stanley, 5.50%, 1/26/2020		4,255,000		4,159,152
Morgan Stanley, 5.75%, 1/25/2021		1,900,000		1,876,125
Neuberger Berman Group LLC - Neuberger Berman Finance Corp.6, 5.625%, 3/15/2020		130,000		131,950
Neuberger Berman Group LLC - Neuberger Berman Finance Corp.6, 5.875%, 3/15/2022		260,000		264,550
				43,989,657
Commercial Banks - 3.36%
Bank of Montreal (Canada)6, 1.30%, 10/31/2014		3,430,000		3,475,461
Bank of Montreal (Canada)6, 2.625%, 1/25/2016		2,730,000		2,877,933
Bank of Nova Scotia (Canada)6, 1.45%, 7/26/2013		2,200,000		2,226,424
Bank of Nova Scotia (Canada)6, 1.65%, 10/29/2015		4,045,000		4,123,768
Canadian Imperial Bank of Commerce (Canada)6, 1.50%, 12/12/2014		2,450,000		2,494,303
CIT Group, Inc., 5.25%, 3/15/2018		645,000		664,350
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021		975,000		885,844
KeyBank National Association, 5.45%, 3/3/2016		1,340,000		1,488,225
Manufacturers & Traders Trust Co., 6.625%, 12/4/2017		2,050,000		2,385,862
National Bank of Canada (Canada)6, 2.20%, 10/19/2016		4,650,000		4,821,655
National City Corp., 6.875%, 5/15/2019		820,000		970,722
PNC Bank National Association, 5.25%, 1/15/2017		545,000		607,184
Royal Bank of Canada (Canada)6, 3.125%, 4/14/2015		5,215,000		5,526,075
Santander Holdings USA, Inc., 4.625%, 4/19/2016		260,000		259,103
Santander Issuances S.A. Unipersonal (Spain)6, 5.911%, 6/20/2016		900,000		875,824
Societe Generale S.A. (France)6, 5.75%, 4/20/2016		970,000		935,062
The Toronto-Dominion Bank (Canada)6, 2.20%, 7/29/2015		4,045,000		4,203,819
The Toronto-Dominion Bank (Canada)6, 1.625%, 9/14/2016		2,300,000		2,327,214
Wachovia Corp., 5.25%, 8/1/2014		1,300,000		1,397,829
				42,546,657
Consumer Finance - 0.81%
American Express Co., 8.125%, 5/20/2019		5,465,000		7,238,223
American Express Co.7, 6.80%, 9/1/2066		950,000		970,425

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

55

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Consumer Finance (continued)
Credit Acceptance Corp., 9.125%, 2/1/2017	$	1,020,000	$	1,109,250
Discover Financial Services6, 5.20%, 4/27/2022		960,000		996,288
				10,314,186
Diversified Financial Services - 1.58%
Bank of America Corp., 5.75%, 8/15/2016		980,000		1,022,861
Bank of America Corp., 5.65%, 5/1/2018		850,000		898,984
Bank of America Corp., 7.625%, 6/1/2019		4,455,000		5,134,624
Bank of America Corp.8, 5.13%, 2/24/2026		940,000		918,811
Citigroup, Inc., 8.50%, 5/22/2019		4,520,000		5,616,005
CNH Capital LLC6, 6.25%, 11/1/2016		575,000		613,094
JPMorgan Chase & Co., 6.30%, 4/23/2019		1,130,000		1,323,091
JPMorgan Chase & Co., 4.95%, 3/25/2020		4,040,000		4,436,502
				19,963,972
Insurance - 0.42%
American International Group, Inc., 4.25%, 5/15/2013		485,000		494,739
Fidelity National Financial, Inc., 6.60%, 5/15/2017		1,985,000		2,114,674
Genworth Financial, Inc., 7.625%, 9/24/2021		2,175,000		2,147,591
Hartford Financial Services Group, Inc.7, 8.125%, 6/15/2038		485,000		509,250
				5,266,254
Real Estate Investment Trusts (REITS) - 1.86%
BioMed Realty LP, 3.85%, 4/15/2016		950,000		985,926
Boston Properties LP, 5.875%, 10/15/2019		1,285,000		1,488,612
Boston Properties LP, 5.625%, 11/15/2020		410,000		471,992
Camden Property Trust, 5.70%, 5/15/2017		705,000		792,920
Digital Realty Trust LP, 5.875%, 2/1/2020		4,750,000		5,233,075
DuPont Fabros Technology LP, 8.50%, 12/15/2017		840,000		926,100
HCP, Inc., 6.70%, 1/30/2018		3,675,000		4,300,195
Health Care REIT, Inc., 6.20%, 6/1/2016		3,640,000		4,037,939
Mack-Cali Realty LP, 7.75%, 8/15/2019		770,000		947,259
National Retail Properties, Inc., 6.875%, 10/15/2017		650,000		746,129
Simon Property Group LP, 10.35%, 4/1/2019		1,060,000		1,470,475
UDR, Inc., 4.625%, 1/10/2022		1,980,000		2,070,896
				23,471,518
Total Financials				145,552,244
Health Care - 1.26%
Biotechnology - 0.38%
Amgen, Inc., 3.45%, 10/1/2020		4,750,000		4,859,782
Health Care Equipment & Supplies - 0.30%
Alere, Inc., 9.00%, 5/15/2016		790,000		816,662

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

56

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
CR Bard, Inc., 4.40%, 1/15/2021	$	905,000	$	1,026,178
Fresenius Medical Care US Finance, Inc., 6.875%, 7/15/2017		785,000		858,594
Fresenius US Finance II, Inc.6, 9.00%, 7/15/2015		975,000		1,117,594
				3,819,028
Health Care Providers & Services - 0.33%
HCA, Inc., 6.50%, 2/15/2020		630,000		674,100
Health Management Associates, Inc., 6.125%, 4/15/2016		1,185,000		1,244,250
STHI Holding Corp.6, 8.00%, 3/15/2018		600,000		639,000
UnitedHealth Group, Inc., 4.70%, 2/15/2021		1,450,000		1,654,059
				4,211,409
Life Sciences Tools & Services - 0.08%
Thermo Fisher Scientific, Inc., 4.50%, 3/1/2021		830,000		949,076
Pharmaceuticals - 0.17%
Novartis Securities Investment Ltd. (Bermuda), 5.125%, 2/10/2019		1,275,000		1,517,599
Valeant Pharmaceuticals International6, 6.75%, 8/15/2021		645,000		627,263
				2,144,862
Total Health Care				15,984,157
Industrials - 2.82%
Aerospace & Defense - 0.16%
The Boeing Co., 6.00%, 3/15/2019		1,185,000		1,475,195
Ducommun, Inc., 9.75%, 7/15/2018		570,000		602,775
				2,077,970
Air Freight & Logistics - 0.15%
Aguila 3 S.A. (Luxembourg)6, 7.875%, 1/31/2018		1,045,000		1,094,637
FedEx Corp., 8.00%, 1/15/2019		570,000		749,280
				1,843,917
Airlines - 0.37%
Continental Airlines, Inc.6, 6.75%, 9/15/2015		1,190,000		1,218,262
Delta Air Lines Pass-Through Trust, Series 2007-1, Class A, 6.821%, 8/10/2022		293,174		317,360
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B, 6.375%, 1/2/2016		515,000		515,000
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015		290,000		291,450
Southwest Airlines Co., 5.25%, 10/1/2014		1,030,000		1,106,831
Southwest Airlines Co., 5.75%, 12/15/2016		1,120,000		1,246,152
				4,695,055
Building Products - 0.16%
Building Materials Corp. of America6, 6.875%, 8/15/2018		345,000		362,250
Building Materials Corp. of America6, 7.50%, 3/15/2020		555,000		591,075

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

57

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Building Products (continued)
Owens Corning, 9.00%, 6/15/2019	$	830,000	$	1,029,778
				1,983,103
Commercial Services & Supplies - 0.28%
Garda World Security Corp. (Canada)6, 9.75%, 3/15/2017		795,000		842,700
International Lease Finance Corp., 8.625%, 1/15/2022		550,000		629,139
Waste Management, Inc., 7.375%, 3/11/2019		1,665,000		2,117,405
				3,589,244
Industrial Conglomerates - 0.73%
General Electric Capital Corp., 5.625%, 5/1/2018		335,000		388,273
General Electric Capital Corp., 5.50%, 1/8/2020		4,860,000		5,556,900
General Electric Co., 5.25%, 12/6/2017		550,000		641,860
Textron, Inc., 7.25%, 10/1/2019		1,000,000		1,165,115
Tyco Electronics Group S.A. (Luxembourg), 4.875%, 1/15/2021		1,350,000		1,488,656
				9,240,804
Machinery - 0.53%
Caterpillar Financial Services Corp., 7.05%, 10/1/2018		1,500,000		1,923,343
Caterpillar Financial Services Corp., 7.15%, 2/15/2019		295,000		383,402
Dynacast International LLC - Dynacast Finance, Inc.6, 9.25%, 7/15/2019		830,000		871,500
John Deere Capital Corp., 5.50%, 4/13/2017		120,000		143,354
John Deere Capital Corp., 5.75%, 9/10/2018		1,895,000		2,315,519
Kennametal, Inc., 3.875%, 2/15/2022		1,055,000		1,075,233
				6,712,351
Marine - 0.07%
Navios Maritime Holdings, Inc. - Navios Maritime Finance US, Inc. (Marshall Island), 8.875%, 11/1/2017		900,000		924,750
Road & Rail - 0.37%
Avis Budget Car Rental LLC - Avis Budget Finance, Inc., 8.25%, 1/15/2019		595,000		623,263
JB Hunt Transport Services, Inc., 3.375%, 9/15/2015		2,305,000		2,386,459
Union Pacific Corp., 5.65%, 5/1/2017		815,000		955,681
Union Pacific Corp., 7.875%, 1/15/2019		495,000		646,111
				4,611,514
Total Industrials				35,678,708
Information Technology - 0.69%
Communications Equipment - 0.14%
Hughes Satellite Systems Corp., 6.50%, 6/15/2019		1,070,000		1,144,900
ViaSat, Inc.6, 6.875%, 6/15/2020		555,000		561,937
				1,706,837

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

58

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Information Technology (continued)
Computers & Peripherals - 0.19%
Dell, Inc., 5.875%, 6/15/2019	$	1,250,000	$	1,505,809
Hewlett-Packard Co., 5.50%, 3/1/2018		815,000		930,133
				2,435,942
Electronic Equipment, Instruments & Components - 0.13%
Amphenol Corp., 4.00%, 2/1/2022		565,000		578,684
Corning, Inc., 6.625%, 5/15/2019		460,000		558,033
CPI International, Inc., 8.00%, 2/15/2018		580,000		511,125
				1,647,842
IT Services - 0.12%
The Western Union Co., 5.253%, 4/1/2020		1,350,000		1,532,724
Semiconductors & Semiconductor Equipment - 0.06%
Advanced Micro Devices, Inc., 7.75%, 8/1/2020		170,000		187,425
MagnaChip Semiconductor S.A. - MagnaChip Semiconductor Finance Co., 10.50%, 4/15/2018		465,000		521,963
				709,388
Software - 0.05%
Sophia LP - Sophia Finance, Inc.6, 9.75%, 1/15/2019		585,000		627,413
Total Information Technology				8,660,146
Materials - 1.97%
Chemicals - 0.21%
E.I. du Pont de Nemours & Co., 6.00%, 7/15/2018		1,185,000		1,470,912
LyondellBasell Industries N.V. (Netherlands)6, 5.00%, 4/15/2019		620,000		640,150
Taminco Global Chemical Corp.6, 9.75%, 3/31/2020		595,000		621,775
				2,732,837
Containers & Packaging - 0.12%
Longview Fibre Paper & Packaging, Inc.6, 8.00%, 6/1/2016		570,000		575,700
Reynolds Group Issuer, Inc. - Reynolds Group Issuer LLC6, 9.875%, 8/15/2019		890,000		927,825
				1,503,525
Metals & Mining - 1.33%
Alcoa, Inc., 5.72%, 2/23/2019		2,166,000		2,343,668
Alcoa, Inc., 5.87%, 2/23/2022		210,000		224,596
Allegheny Technologies, Inc., 5.95%, 1/15/2021		1,345,000		1,490,657
ArcelorMittal (Luxembourg), 5.50%, 3/1/2021		1,900,000		1,871,447
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		1,145,000		1,449,381
Calcipar S.A. (Luxembourg)6, 6.875%, 5/1/2018		630,000		645,750
Cliffs Natural Resources, Inc., 5.90%, 3/15/2020		4,750,000		5,307,854
FMG Resources August 2006 Pty. Ltd. (Australia)6, 6.875%, 2/1/2018		900,000		924,750
Rio Tinto Finance USA Ltd. (Australia), 3.75%, 9/20/2021		1,420,000		1,504,690

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

59

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Metals & Mining (continued)
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019	$	1,065,000	$	1,063,666
				16,826,459
Paper & Forest Products - 0.31%
International Paper Co., 9.375%, 5/15/2019		1,777,000		2,374,925
International Paper Co., 7.50%, 8/15/2021		1,195,000		1,517,113
				3,892,038
Total Materials				24,954,859
Telecommunication Services - 0.86%
Diversified Telecommunication Services - 0.53%
Inmarsat Finance plc (United Kingdom)6, 7.375%, 12/1/2017		1,480,000		1,591,000
Sable International Finance Ltd. (Cayman Islands)6, 8.75%, 2/1/2020		685,000		727,813
UPCB Finance III Ltd. (Cayman Islands)6, 6.625%, 7/1/2020		690,000		700,350
UPCB Finance VI Ltd. (Cayman Islands)6, 6.875%, 1/15/2022		635,000		652,463
Verizon Communications, Inc., 3.00%, 4/1/2016		955,000		1,018,177
Wind Acquisition Finance S.A. (Luxembourg)6, 11.75%, 7/15/2017		460,000		451,950
Wind Acquisition Finance S.A. (Luxembourg)6, 7.25%, 2/15/2018		990,000		940,500
Windstream Corp., 7.50%, 6/1/2022		550,000		576,125
				6,658,378
Wireless Telecommunication Services - 0.33%
CC Holdings GS V LLC - Crown Castle GS III Corp.6, 7.75%, 5/1/2017		970,000		1,057,300
Crown Castle Towers LLC6, 6.113%, 1/15/2020		1,040,000		1,187,651
Crown Castle Towers LLC6, 4.883%, 8/15/2020		333,000		353,218
NII Capital Corp., 8.875%, 12/15/2019		585,000		589,387
NII Capital Corp., 7.625%, 4/1/2021		375,000		348,750
SBA Tower Trust6, 5.101%, 4/15/2017		575,000		625,719
				4,162,025
Total Telecommunication Services				10,820,403
Utilities - 0.22%
Electric Utilities - 0.22%
Allegheny Energy Supply Co. LLC6, 5.75%, 10/15/2019		705,000		776,873
Exelon Generation Co. LLC, 5.35%, 1/15/2014		710,000		757,407
Exelon Generation Co. LLC, 5.20%, 10/1/2019		175,000		197,126
Southwestern Electric Power Co., 6.45%, 1/15/2019		850,000		1,018,473
				2,749,879

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

60

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL         AMOUNT/        SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Utilities (continued)
Multi-Utilities - 0.00%
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013	$	50,000	$	53,118
Total Utilities				2,802,997
Total Non-Convertible Corporate Bonds
(Identified Cost $281,729,050)				299,199,159
TOTAL CORPORATE BONDS
(Identified Cost $283,974,201)				301,627,615
MUTUAL FUNDS - 0.74%
iShares iBoxx High Yield Corporate Bond Fund		39,130		3,568,656
iShares iBoxx Investment Grade Corporate Bond Fund		45,660		5,318,477
iShares S&P India Nifty 50 Index Fund		11,200		254,576
PowerShares India Portfolio		13,600		242,624
TOTAL MUTUAL FUNDS
(Identified Cost $9,423,239)				9,384,333
U.S. TREASURY SECURITIES - 4.05%
U.S. Treasury Notes - 4.05%
U.S. Treasury Note, 0.25%, 1/31/2014	$	14,000,000		14,000,546
U.S. Treasury Note, 0.25%, 2/28/2014		20,000,000		19,999,220
U.S. Treasury Note, 2.375%, 2/28/2015		16,270,000		17,176,288
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $50,192,084)				51,176,054
ASSET-BACKED SECURITIES - 0.22%
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		1,698,126		1,744,212
Hertz Vehicle Financing LLC, Series 2009-2A, Class A26, 5.29%, 3/25/2016		335,000		367,185
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		690,000		730,985
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $2,722,611)				2,842,382
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.95%
Americold LLC Trust, Series 2010-ARTA, Class A16, 3.847%, 1/14/2029		373,640		396,149
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A47, 5.731%, 5/10/2045		1,005,000		1,147,455
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A4, 5.634%, 7/10/2046		1,130,000		1,276,989
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		1,090,000		1,194,934

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

61

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class A47, 5.719%, 9/11/2038	$	765,000	$	871,228
Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		1,155,000		1,312,607
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26, 3.759%, 4/15/2044		540,000		574,381
Citigroup - Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A47, 5.213%, 7/15/2044		1,060,000		1,181,409
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A37, 5.73%, 3/15/2049		160,000		180,748
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class A47, 5.749%, 6/10/2046		225,000		254,569
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16, 3.156%, 7/10/2046		407,222		425,512
DBUBS Mortgage Trust, Series 2011-LC1A, Class A16, 3.742%, 11/10/2046		541,489		578,496
FREMF Mortgage Trust, Series 2011-K701, Class B6,7, 4.287%, 7/25/2048		750,000		764,708
FREMF Mortgage Trust, Series 2011-K702, Class B6,7, 4.77%, 4/25/2044		885,000		904,636
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A47, 5.874%, 7/10/2038		600,000		683,874
GS Mortgage Securities Corp. II, Series 2010-C2, Class A16, 3.849%, 12/10/2043		1,039,881		1,118,208
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A47, 5.284%, 1/12/2043		1,750,000		1,914,717
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A47, 5.198%, 12/15/2044		475,000		531,680
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A47, 5.87%, 4/15/2045		1,670,000		1,911,509
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A47, 5.87%, 6/15/2038		925,000		1,055,471
LSTAR Commercial Mortgage Trust, Series 2011-1, Class A6, 3.913%, 6/25/2043		669,251		704,016
Merrill Lynch - Countrywide Commercial Mortgage Trust, Series 2006-3, Class A47, 5.414%, 7/12/2046		175,000		195,713
Morgan Stanley Capital I, Series 2005-HQ7, Class A47, 5.201%, 11/14/2042		125,000		138,714
Morgan Stanley Capital I, Series 2005-IQ10, Class A4A7, 5.23%, 9/15/2042		425,000		468,673
Morgan Stanley Capital I, Series 2011-C1, Class A26, 3.884%, 9/15/2047		800,000		856,174
OBP Depositor LLC Trust, Series 2010-OBP, Class A6, 4.646%, 7/15/2045		115,000		130,884
Vornado DP LLC, Series 2010-VNO, Class A2FX6, 4.004%, 9/13/2028		350,000		380,321
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A47, 5.204%, 10/15/2044		625,000		690,233
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A47, 5.734%, 5/15/2043		215,000		243,878
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A37, 6.004%, 6/15/2045		850,000		974,029
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26, 4.393%, 11/15/2043		545,000		604,318
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A26, 3.791%, 2/15/2044 .		940,000		998,659
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $23,543,632)				24,664,892

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

62

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
FOREIGN GOVERNMENT BONDS - 2.52%
Province of British Columbia Canada (Canada), 2.85%, 6/15/2015	$	3,800,000	$	4,042,284
Province of Manitoba Canada (Canada), 2.625%, 7/15/2015		1,000,000		1,056,763
Province of Manitoba Canada, Series FH (Canada), 4.90%, 12/6/2016		2,250,000		2,625,441
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017		3,800,000		4,468,952
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017		2,000,000		2,344,298
Province of Ontario Canada (Canada), 2.30%, 5/10/2016		7,600,000		7,908,256
Province of Quebec Canada (Canada), 5.125%, 11/14/2016		6,900,000		8,056,247
Republic of Italy (Italy), 2.125%, 10/5/2012		1,445,000		1,444,428
TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $31,526,873)				31,946,669
U.S. GOVERNMENT AGENCIES - 18.62%
Mortgage-Backed Securities - 7.89%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		2,851,754		3,123,413
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		198,358		217,378
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		246,454		270,225
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		1,798,377		1,969,692
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		317,101		347,686
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		3,152,475		3,452,781
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		189,674		207,288
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		5,354,472		5,885,945
Fannie Mae, Pool #888021, 6.00%, 12/1/2036		1,046,030		1,159,826
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		1,552,161		1,698,464
Fannie Mae, Pool #889575, 6.00%, 6/1/2038		2,556,549		2,829,081
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		10,864,397		12,046,325
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		504,265		559,124
Fannie Mae, Pool #AD0258, 5.50%, 3/1/2039		3,274,775		3,583,448
Fannie Mae, Pool #AA7681, 4.50%, 6/1/2039		4,688,464		5,022,792
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039		1,290,527		1,412,169
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		5,416,402		5,802,638
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		5,632,181		6,234,002
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041		3,322,124		3,559,020
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041		1,259,334		1,352,087
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041		797,557		856,299
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041		3,248,541		3,487,804
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041		803,858		863,064
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		1,454,090		1,612,279
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		1,027,123		1,118,205
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		311,369		337,533
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		217,580		235,863
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		179,672		194,657
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		316,891		348,816
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		155,713		168,937

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

63

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL           AMOUNT/          SHARES		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037	$	667,096	$	737,063
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		1,255,343		1,368,765
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		3,351,819		3,703,367
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		3,023,353		3,296,517
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		2,978,116		3,245,332
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		2,314,991		2,527,771
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039		7,124,014		7,600,850
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040		1,630,618		1,777,947
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040		1,585,218		1,728,445
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		2,145,025		2,370,002
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		1,329,696		1,469,159
GNMA, Pool #286310, 9.00%, 2/15/2020		927		969
GNMA, Pool #263096, 9.50%, 3/15/2020		1,545		1,580
Total Mortgage-Backed Securities (Identified Cost $98,053,413)				99,784,608
Other Agencies - 10.73%
Fannie Mae, 1.625%, 10/26/2015		26,930,000		27,818,097
Fannie Mae, 5.25%, 9/15/2016		17,000,000		20,160,623
Fannie Mae, 1.375%, 11/15/2016		6,000,000		6,125,538
Fannie Mae, 6.25%, 5/15/2029		980,000		1,362,321
Fannie Mae, 7.25%, 5/15/2030		882,000		1,359,080
Fannie Mae, 6.625%, 11/15/2030		932,000		1,360,811
Federal Home Loan Bank, 1.375%, 5/28/2014		8,735,000		8,931,826
Freddie Mac, 2.875%, 2/9/2015		20,000,000		21,310,940
Freddie Mac, 1.00%, 3/8/2017		25,000,000		24,980,725
Freddie Mac, 1.25%, 5/12/2017		5,000,000		5,036,930
Freddie Mac, 2.375%, 1/13/2022		14,330,000		14,416,510
Freddie Mac, 6.75%, 3/15/2031		920,000		1,361,511
Freddie Mac, 6.25%, 7/15/2032		1,020,000		1,459,217
Total Other Agencies (Identified Cost $133,052,744)				135,684,129
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $231,106,157)				235,468,737
SHORT-TERM INVESTMENTS - 3.20%
Dreyfus Cash Management, Inc. - Institutional Shares9, 0.06%, (Identified Cost $40,487,054)		40,487,054		40,487,054

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

64

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	VALUE   (NOTE 2)
TOTAL INVESTMENTS - 99.93%
(Identified Cost $1,183,569,478)	$	1,264,001,209
OTHER ASSETS, LESS LIABILITIES - 0.07%		871,637
NET ASSETS - 100%	$	1,264,872,846

ADR - American Depository Receipt

* Non-income producing security

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Traded on Canadian exchange.

³Traded on Hong Kong exchange.

⁴Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁵The rate shown is a fixed rate as of April 30, 2012; the rate becomes floating, based on LIBOR plus a spread, at dates ranging from 2013 to 2022.

⁶Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $93,617,169, or 7.40%, of the Series’ net assets as of April 30, 2012.

⁷The coupon rate is floating and is the effective rate as of April 30, 2012.

⁸Represents a step-up bond that pays initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current coupon as of April 30, 2012.

⁹Rate shown is the current yield as of April 30, 2012.

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

65

Statement of Assets and Liabilities - Pro-Blend^® Moderate Term Series

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $1,183,569,478) (Note 2)	$	1,264,001,209
Foreign currency (identified cost $383,551)		383,316
Cash		326,074
Interest receivable		5,758,097
Receivable for securities sold		1,622,925
Receivable for fund shares sold		1,299,486
Dividends receivable		386,720
Foreign tax reclaims receivable		354,687
Other assets		240,624
TOTAL ASSETS		1,274,373,138
LIABILITIES:
Accrued management fees (Note 3)		767,955
Accrued shareholder services fees (Class S) (Note 3)		148,200
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3)		69,597
Accrued fund accounting and administration fees (Note 3)		59,233
Accrued transfer agent fees (Note 3)		27,828
Accrued directors’ fees (Note 3)		3,390
Accrued Chief Compliance Officer service fees (Note 3)		415
Payable for securities purchased		5,718,172
Payable for fund shares repurchased		2,634,787
Other payables and accrued expenses		70,715
TOTAL LIABILITIES		9,500,292
TOTAL NET ASSETS	$	1,264,872,846
NET ASSETS CONSIST OF:
Capital stock	$	1,066,199
Additional paid-in-capital		1,173,674,380
Undistributed net investment income		5,309,592
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		4,375,132
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		80,447,543
TOTAL NET ASSETS	$	1,264,872,846

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

66

Statement of Assets and Liabilities - Pro-Blend^® Moderate Term Series

April 30, 2012 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($724,814,930/55,435,291 shares)	$	13.07
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($438,475,181/41,683,425 shares)	$	10.52
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($72,768,344/6,859,492 shares)	$	10.61
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($28,814,391/2,641,649 shares)	$	10.91

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

67

Statement of Operations - Pro-Blend^® Moderate Term Series

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Interest	$	10,686,974
Dividends (net of foreign taxes withheld, $200,219)		4,528,988
Total Investment Income		15,215,962
EXPENSES:
Management fees (Note 3)		4,395,270
Shareholder services fees (Class S) (Note 3)		869,945
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		319,862
Fund accounting and administration fees (Note 3)		117,072
Transfer agent fees (Note 3)		65,961
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		60,427
Directors’ fees (Note 3)		14,440
Chief Compliance Officer service fees (Note 3)		1,246
Custodian fees		48,236
Miscellaneous		153,329
Total Expenses		6,045,788
NET INVESTMENT INCOME		9,170,174
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on- Investments		4,970,730
Foreign currency and translation of other assets and liabilities (net of Brazilian tax of $1,629)		(68,265	)
Forward foreign currency exchange contracts		28,622
		4,931,087
Net change in unrealized appreciation (depreciation) on- Investments		50,765,993
Foreign currency and translation of other assets and liabilities		(9,550	)
Forward foreign currency exchange contracts		(343	)
		50,756,100
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCY		55,687,187
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	64,857,361

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

68

Statements of Changes in Net Assets - Pro-Blend^® Moderate Term Series

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	9,170,174		$	18,384,602
Net realized gain (loss) on investments and foreign currency (net of Brazilian tax of $1,629 and $80,120, respectively)		4,931,087			36,912,629
Net change in unrealized appreciation (depreciation) on investments and foreign currency		50,756,100			(26,676,941	)
Net increase from operations		64,857,361			28,620,290
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(7,006,109	)		(9,718,456	)
From net investment income (Class I)		(5,148,743	)		(6,475,725	)
From net investment income (Class C)		(540,343	)		(482,924	)
From net investment income (Class R)		(294,156	)		(15,533	)
From net realized gain on investments (Class S)		(20,279,851	)		(9,435,174	)
From net realized gain on investments (Class I)		(13,096,537	)		(5,280,876	)
From net realized gain on investments (Class C)		(2,173,898	)		(612,007	)
From net realized gain on investments (Class R)		(828,847	)		(6,337	)
Total distributions to shareholders		(49,368,484	)		(32,027,032	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		137,493,662			155,736,834
Net increase in net assets		152,982,539			152,330,092
NET ASSETS:
Beginning of period		1,111,890,307			959,560,215
End of period (including undistributed net investment income of $5,309,592 and $9,128,769, respectively)	$	1,264,872,846		$	1,111,890,307

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

69

Financial Highlights - Pro-Blend^® Moderate Term Series - Class S

	FOR THE SIX MONTHS ENDED 4/30/12			FOR THE YEARS ENDED
	(UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	12.92		$	12.94		$	11.61		$	10.41		$	14.18		$	13.55
Income (loss) from investment operations:
Net investment income		0.10	1		0.22	1		0.19	1		0.16	1		0.23			0.24
Net realized and unrealized gain (loss) on investments		0.56			0.14			1.28			1.23			(2.75	)		1.19
Total from investment operations		0.66			0.36			1.47			1.39			(2.52	)		1.43
Less distributions to shareholders:
From net investment income		(0.13	)		(0.19	)		(0.14	)		(0.19	)		(0.23	)		(0.23	)
From net realized gain on investments		(0.38	)		(0.19	)		—			—			(1.02	)		(0.57	)
Total distributions to shareholders		(0.51	)		(0.38	)		(0.14	)		(0.19	)		(1.25	)		(0.80	)
Net asset value - End of period	$	13.07		$	12.92		$	12.94		$	11.61		$	10.41		$	14.18
Net assets - End of period (000’s omitted)	$	724,815		$	682,409		$	633,304		$	396,927		$	218,807		$	379,385
Total return2		5.47	%		2.78	%		12.81	%		13.65	%		(19.28	%)		10.91	%
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.07	%3		1.07	%		1.09	%		1.10	%		1.10	%		1.11	%
Net investment income		1.53	%3		1.68	%		1.60	%		1.49	%		1.74	%		1.86	%
Series portfolio turnover		23	%		52	%		56	%		58	%		75	%		78	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4		0.02	%		0.02	%		N/A

¹Calculated based on average shares outstanding during the period.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

³Annualized.

⁴Less than 0.01%.

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

70

Financial Highlights - Pro-Blend^® Moderate Term Series - Class I

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEARS ENDED									FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/11			10/31/10			10/31/09
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.50		$	10.60		$	9.54		$	8.59		$	10.00
Income (loss) from investment operations:
Net investment income		0.09	2		0.20	2		0.18	2		0.15	2		0.06
Net realized and unrealized gain (loss) on investments		0.46			0.11			1.06			1.02			(1.42	)
Total from investment operations		0.55			0.31			1.24			1.17			(1.36	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.22	)		(0.18	)		(0.22	)		(0.05	)
From net realized gain on investments		(0.38	)		(0.19	)		—			—			—
Total distributions to shareholders		(0.53	)		(0.41	)		(0.18	)		(0.22	)		(0.05	)
Net asset value - End of period	$	10.52		$	10.50		$	10.60		$	9.54		$	8.59
Net assets - End of period (000’s omitted)	$	438,475		$	352,611		$	294,000		$	44,134		$	322
Total return3		5.69	%		2.93	%		13.13	%		14.11	%		(13.64	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.82	%4		0.82	%		0.84	%		0.85	%		0.85	%4
Net investment income		1.78	%4		1.93	%		1.85	%		1.67	%		1.47	%4
Series portfolio turnover		23	%		52	%		56	%		58	%		75	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%5		0.02	%		0.10	%4

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Less than 0.01%.

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

71

Financial Highlights - Pro-Blend^® Moderate Term Series - Class C

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 1/4/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.58		$	10.69		$	10.00
Income from investment operations:
Net investment income2		0.04			0.10			0.07
Net realized and unrealized gain on investments		0.46			0.11			0.67
Total from investment operations		0.50			0.21			0.74
Less distributions to shareholders:
From net investment income		(0.09	)		(0.13	)		(0.05	)
From net realized gain on investments		(0.38	)		(0.19	)		—
Total distributions to shareholders		(0.47	)		(0.32	)		(0.05	)
Net asset value - End of period	$	10.61		$	10.58		$	10.69
Net assets - End of period (000’s omitted)	$	72,768		$	58,316		$	32,019
Total return3		5.16	%		1.97	%		7.41	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.82	%4		1.82	%		1.84	%4
Net investment income		0.78	%4		0.92	%		0.85	%4
Series portfolio turnover		23	%		52	%		56	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4,5

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during the period. Periods less than one year are not annualized.

⁴Annualized.

⁵Less than 0.01%.

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

72

Financial Highlights - Pro-Blend^® Moderate Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 6/30/101 TO 10/31/10
Per share data (for a share outstanding throughout the period):
Net asset value - Beginning of period	$	10.88		$	10.99		$	10.00
Income from investment operations:
Net investment income2		0.07			0.11			0.02
Net realized and unrealized gain on investments		0.48			0.16			0.97
Total from investment operations		0.55			0.27			0.99
Less distributions to shareholders:
From net investment income		(0.14	)		(0.19	)		—
From net realized gain on investments		(0.38	)		(0.19	)		—
Total distributions to shareholders		(0.52	)		(0.38	)		—
Net asset value - End of period	$	10.91		$	10.88		$	10.99
Net assets - End of period (000’s omitted)	$	28,814		$	18,554		$	237
Total return3		5.43	%		2.50	%		9.90	%
Ratios (to average net assets)/
Supplemental Data:
Expenses		1.32	%4		1.32	%		1.34	%4
Net investment income		1.28	%4		1.05	%		0.65	%4
Series portfolio turnover		23	%		52	%		56	%

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during the period. Periods less than one year are not annualized.

⁴Annualized.

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

73

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 (November 1, 2011 to April 30, 2012).

Actual Expenses

The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, 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 Actual line for the Class in which you have invested 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 Hypothetical lines of the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ 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 for the Class in which you have invested 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. Therefore, the Hypothetical lines of the table are 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               11/1/11	ENDING  ACCOUNT VALUE               4/30/12	EXPENSES PAID  DURING PERIOD               11/1/11-4/30/12*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,058.50	$5.53	1.08%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.49	$5.42	1.08%
Class I
Actual	$1,000.00	$1,060.70	$4.25	0.83%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.74	$4.17	0.83%
Class C
Actual	$1,000.00	$1,054.90	$9.35	1.83%
Hypothetical (5% return before expenses)	$1,000.00	$1,015.76	$9.17	1.83%
Class R
Actual	$1,000.00	$1,057.70	$6.80	1.33%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.25	$6.67	1.33%

*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

74

Portfolio Composition - Pro-Blend^® Extended Term Series

As of April 30, 2012 (unaudited)

Sector Allocation3		Top Ten Stock Holdings4
Financials	16.65%	Google, Inc. - Class A	2.08%
Information Technology	13.83%	Monsanto Co.	2.00%
Consumer Discretionary	12.33%	Time Warner, Inc.	1.63%
Health Care	7.55%	Cerner Corp.	1.56%
Consumer Staples	6.80%	EMC Corp.	1.49%
Industrials	6.29%	Hess Corp.	1.26%
Energy	5.80%	Anheuser-Busch InBev N.V. (Belgium)	1.15%
Materials	5.00%	Unilever plc - ADR (United Kingdom)	1.11%
Telecommunication Services	2.18%	MasterCard, Inc. - Class A	1.07%
Utilities	0.41%	Visa, Inc. - Class A	1.06%
3Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.		4As a percentage of total investments.

75

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES			VALUE   (NOTE 2)
COMMON STOCKS - 57.23%
Consumer Discretionary - 10.21%
Auto Components - 0.10%
Halla Climate Control Corp. (South Korea)1		12,700		$	256,848
Hankook Tire Co. Ltd. (South Korea)1		17,860			753,437
Mando Corp. (South Korea)1		1,500	��		238,877
					1,249,162
Automobiles - 0.68%
Hyundai Motor Co. (South Korea)1		1,300			306,891
Suzuki Motor Corp. (Japan)1		13,300			313,035
Tesla Motors, Inc.*		12,170			403,192
Toyota Motor Corp. (Japan)1		7,200			295,040
Toyota Motor Corp. - ADR (Japan)		83,180			6,802,460
Yamaha Motor Co. Ltd. (Japan)1		34,000			454,124
					8,574,742
Distributors - 0.03%
Inchcape plc (United Kingdom)1		62,340			370,367
Diversified Consumer Services - 0.08%
Anhanguera Educacional Participacoes S.A. (Brazil)		28,790			380,916
Capella Education Co.*		9,120			298,315
Grand Canyon Education, Inc.*		20,410			354,930
					1,034,161
Hotels, Restaurants & Leisure - 1.12%
Accor S.A. (France)1		37,760			1,305,763
Carnival Corp.		354,350			11,512,832
Hyatt Hotels Corp. - Class A*		6,130			263,774
Intercontinental Hotels Group plc (United Kingdom)1		20,970			500,007
Orient-Express Hotels Ltd. - Class A - ADR (Bermuda)		27,990			299,213
TUI Travel plc (United Kingdom)1		56,260			174,467
					14,056,056
Household Durables - 0.20%
Corporacion Geo S.A.B. de C.V. - Class B (Mexico)*		63,860			85,304
DR Horton, Inc.		25,760			421,176
Lennar Corp. - Class A		21,820			605,287
LG Electronics, Inc. (South Korea)1		5,450			336,259
NVR, Inc.*		490			384,131
Rodobens Negocios Imobiliarios S.A. (Brazil)		50,510			294,663
Toll Brothers, Inc.*		16,080			408,432
					2,535,252
Internet & Catalog Retail - 1.10%
Amazon.com, Inc.*		56,980			13,213,662
Blue Nile, Inc.*		2,620			79,334

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

76

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Internet & Catalog Retail (continued)
Ocado Group plc (United Kingdom)*1		268,930	$	566,906
				13,859,902
Media - 6.51%
AMC Networks, Inc. - Class A*		225,220		9,571,850
DIRECTV - Class A*		250,190		12,326,861
Imax Corp. (Canada)*		22,990		551,070
Mediaset Espana Comunicacion S.A. (Spain)1		128,620		585,486
News Corp. - Class A		534,430		10,474,828
Reed Elsevier plc - ADR (United Kingdom)		7,379		243,876
Societe Television Francaise 1 (France)1		47,150		456,699
Time Warner, Inc.		549,500		20,584,270
Valassis Communications, Inc.*		11,110		222,200
Virgin Media, Inc. - ADR (United Kingdom)		527,410		12,953,190
The Walt Disney Co.		303,960		13,103,716
Wolters Kluwer N.V. (Netherlands)1		21,550		372,542
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		161,000		543,319
				81,989,907
Multiline Retail - 0.05%
Marks & Spencer Group plc (United Kingdom)1		52,450		303,989
PPR (France)1		2,230		373,189
				677,178
Specialty Retail - 0.31%
Aeropostale, Inc.*		16,810		372,846
American Eagle Outfitters, Inc.		20,660		372,087
Belle International Holdings Ltd. (Hong Kong)1		153,000		298,539
Chico’s FAS, Inc.		29,500		453,120
Dick’s Sporting Goods, Inc.		14,770		747,362
Group 1 Automotive, Inc.		3,980		230,362
Inditex S.A. (Spain)1		2,600		234,349
KOMERI Co. Ltd. (Japan)1		7,100		198,921
Penske Automotive Group, Inc.		8,000		211,520
Select Comfort Corp.*		5,580		161,150
Sonic Automotive, Inc. - Class A		11,430		192,253
Teavana Holdings, Inc.*		19,580		409,026
				3,881,535
Textiles, Apparel & Luxury Goods - 0.03%
Adidas AG (Germany)1		5,220		435,399
Total Consumer Discretionary				128,663,661

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

77

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples - 6.54%
Beverages - 2.09%
Anheuser-Busch InBev N.V. (Belgium)1		201,810	$	14,545,515
The Boston Beer Co., Inc. - Class A*		2,840		293,429
C&C Group plc (Ireland)*1		57,090		286,334
Carlsberg A/S - Class B (Denmark)1		5,550		479,086
Cia Cervecerias Unidas S.A. - ADR (Chile)		4,870		348,789
The Coca-Cola Co.		118,120		9,014,918
Diageo plc (United Kingdom)1		31,790		801,849
Heineken N.V. (Netherlands)1		6,220		340,163
Kirin Holdings Co. Ltd. (Japan)1		21,000		267,381
				26,377,464
Food & Staples Retailing - 0.98%
Carrefour S.A. (France)1		29,020		582,908
Casino Guichard-Perrachon S.A. (France)1		3,380		332,081
Distribuidora Internacional de Alimentacion S.A. (Spain)*1		73,750		354,092
Koninklijke Ahold N.V. (Netherlands)1		40,390		512,646
The Kroger Co.		394,730		9,185,367
SUPERVALU, Inc.		33,330		197,980
Tesco plc (United Kingdom)1		229,210		1,181,046
				12,346,120
Food Products - 3.30%
Barry Callebaut AG (Switzerland)1		500		481,350
Biostime International Holdings Ltd. (Cayman Islands)1		49,000		140,555
BRF - Brasil Foods S.A. (Brazil)		22,850		414,768
Charoen Pokphand Foods PCL (Thailand)1		234,500		291,695
Danone (France)1		17,500		1,231,981
Flowers Foods, Inc.		11,340		243,243
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		188,350		449,404
Kraft Foods, Inc. - Class A		327,700		13,065,399
M Dias Branco S.A. (Brazil)		6,800		196,207
Nestle S.A. (Switzerland)1		176,920		10,843,299
Suedzucker AG (Germany)1		7,300		222,299
Unilever plc - ADR (United Kingdom)		408,105		14,006,164
				41,586,364
Household Products - 0.09%
Reckitt Benckiser Group plc (United Kingdom)1		18,500		1,076,949
Personal Products - 0.05%
Beiersdorf AG (Germany)1		2,630		184,564
Kao Corp. (Japan)1		3,000		80,386
Natura Cosmeticos S.A. (Brazil)		18,800		424,791
				689,741

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

78

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Tobacco - 0.03%
Gudang Garam Tbk PT (Indonesia)1		51,000	$	327,531
Total Consumer Staples				82,404,169
Energy - 4.72%
Energy Equipment & Services - 2.82%
Baker Hughes, Inc.		228,410		10,075,165
Calfrac Well Services Ltd. (Canada)		13,400		367,606
CARBO Ceramics, Inc.		1,320		110,999
Compagnie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		7,060		202,465
Heckmann Corp.*		49,000		186,200
ION Geophysical Corp.*		24,000		149,520
Key Energy Services, Inc.*		15,990		202,433
Petroleum Geo-Services ASA (Norway)*1		19,000		287,428
Poseidon Concepts Corp. (Canada)		15,830		205,597
Schlumberger Ltd.		167,180		12,394,725
Trican Well Service Ltd. (Canada)		50,350		728,351
Weatherford International Ltd. - ADR (Switzerland)*		745,020		10,631,435
				35,541,924
Oil, Gas & Consumable Fuels - 1.90%
Apache Corp.		43,350		4,158,999
Cameco Corp. (Canada)		23,120		510,952
Hess Corp.		305,390		15,923,035
Pacific Rubiales Energy Corp. (Canada)		12,500		358,607
Paladin Energy Ltd. (Australia)*2		187,520		309,417
Petroleo Brasileiro S.A. - ADR (Brazil)		29,940		663,470
Royal Dutch Shell plc - Class B (Netherlands)1		9,249		338,463
Royal Dutch Shell plc - Class B - ADR (Netherlands)		9,190		674,178
Statoil ASA (Norway)1		14,880		399,266
Talisman Energy, Inc. (Canada)		47,460		620,725
				23,957,112
Total Energy				59,499,036
Financials - 6.97%
Capital Markets - 0.11%
The Charles Schwab Corp.		57,200		817,960
Deutsche Bank AG (Germany)1		5,590		242,679
Evercore Partners, Inc. - Class A		6,150		162,545
Greenhill & Co., Inc.		2,140		83,139
Lazard Ltd. - Class A - ADR (Bermuda)		4,820		132,598
				1,438,921
Commercial Banks - 0.65%
Banco Bilbao Vizcaya Argentaria S.A. - ADR (Spain)		35,280		238,140

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

79

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Commercial Banks (continued)
Banco Santander S.A. (Spain)1		31,900	$	200,288
Banco Santander S.A. - ADR (Spain)		92,460		585,272
Barclays plc (United Kingdom)1		131,600		465,910
BNP Paribas S.A. (France)1		13,100		528,707
CIT Group, Inc.*		18,790		711,202
First Commonwealth Financial Corp.		149,370		960,449
Hong Leong Financial Group Berhad (Malaysia)1		145,670		573,817
HSBC Holdings plc (United Kingdom)1		40,950		369,663
HSBC Holdings plc - ADR (United Kingdom)		17,182		776,111
ICICI Bank Ltd. - ADR (India)		21,950		743,886
Standard Chartered plc (United Kingdom)1		12,880		314,860
U.S. Bancorp.		28,350		912,020
Wells Fargo & Co.		24,230		810,009
				8,190,334
Consumer Finance - 1.70%
American Express Co.		148,220		8,924,326
Discover Financial Services		369,240		12,517,236
				21,441,562
Diversified Financial Services - 1.15%
CME Group, Inc.		3,000		797,460
Deutsche Boerse AG (Germany)*1		15,620		980,761
ING Groep N.V. (Netherlands)*1		4,650		32,805
JPMorgan Chase & Co.		17,065		733,454
JSE Ltd. (South Africa)1		144,600		1,531,314
Moody’s Corp.		253,060		10,362,807
				14,438,601
Insurance - 0.47%
Admiral Group plc (United Kingdom)1		44,030		865,337
Allianz SE (Germany)1		9,660		1,077,487
The Allstate Corp.		24,610		820,251
AXA S.A. (France)1		4,550		64,656
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		67,500		726,294
Mapfre S.A. (Spain)1		366,670		1,061,473
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		3,955		574,464
Zurich Insurance Group AG (Switzerland)1		2,910		712,959
				5,902,921
Real Estate Investment Trusts (REITS) - 2.82%
Alexandria Real Estate Equities, Inc.		32,410		2,428,157
Alstria Office REIT AG (Germany)1		53,410		569,407
American Assets Trust, Inc.		13,520		317,855

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

80

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
American Campus Communities, Inc.		16,140	$	717,423
Apartment Investment & Management Co. - Class A		14,030		380,915
Associated Estates Realty Corp.		6,030		102,088
AvalonBay Communities, Inc.		2,220		322,788
BioMed Realty Trust, Inc.		190,280		3,771,350
Boston Properties, Inc.		8,960		969,920
Camden Property Trust		6,960		470,983
CBL & Associates Properties, Inc.		16,700		311,121
Cedar Realty Trust, Inc.		16,240		84,773
Coresite Realty Corp.		19,780		492,720
Corporate Office Properties Trust		131,880		3,105,774
CubeSmart		34,780		436,837
Digital Realty Trust, Inc.		52,720		3,958,745
DuPont Fabros Technology, Inc.		149,580		4,061,097
Education Realty Trust, Inc.		37,860		426,682
Equity Lifestyle Properties, Inc.		4,240		296,546
Equity One, Inc.		19,330		401,677
Equity Residential		4,840		297,370
General Growth Properties, Inc.		24,930		443,754
HCP, Inc.		14,780		612,631
Health Care REIT, Inc.		13,260		751,312
Healthcare Realty Trust, Inc.		10,870		233,488
Home Properties, Inc.		11,420		697,191
Host Hotels & Resorts, Inc.		53,424		888,975
Kimco Realty Corp.		12,840		249,224
Land Securities Group plc (United Kingdom)1		34,670		409,430
LTC Properties, Inc.		4,080		135,782
The Macerich Co.		2,230		137,301
Mack-Cali Realty Corp.		17,020		488,814
Mid-America Apartment Communities, Inc.		9,683		659,122
National Retail Properties, Inc.		7,710		211,100
Pebblebrook Hotel Trust		47,440		1,142,355
Potlatch Corp.		3,550		111,115
ProLogis, Inc.		7,890		282,304
Public Storage		2,660		381,072
Realty Income Corp.		9,500		373,730
Simon Property Group, Inc.		8,150		1,268,140
Sovran Self Storage, Inc.		13,360		704,072
Tanger Factory Outlet Centers		4,410		138,121
Taubman Centers, Inc.		1,900		146,642
UDR, Inc.		34,330		903,909

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

81

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
Unibail-Rodamco SE (France)1		1,290	$	241,381
				35,535,193
Real Estate Management & Development - 0.05%
General Shopping Brasil S.A. (Brazil)*		72,560		439,665
Thomas Properties Group, Inc.		53,780		262,446
				702,111
Thrifts & Mortgage Finance - 0.02%
Aareal Bank AG (Germany)*1		11,235		216,998
Total Financials				87,866,641
Health Care - 6.61%
Biotechnology - 0.34%
Dendreon Corp.*		76,160		887,264
Exact Sciences Corp.*		100,790		1,085,508
Myriad Genetics, Inc.*		86,120		2,239,981
				4,212,753
Health Care Equipment & Supplies - 1.50%
Abaxis, Inc.*		40,080		1,427,650
Alere, Inc.*		56,400		1,347,396
Becton, Dickinson and Co.		102,320		8,027,004
BioMerieux (France)1		12,810		1,049,786
DexCom, Inc.*		71,455		699,544
HeartWare International, Inc.*		16,170		1,260,613
Insulet Corp.*		71,690		1,280,383
Mindray Medical International Ltd. - ADR (China)		15,040		492,710
Neogen Corp.*		7,600		296,324
Quidel Corp.*		45,390		749,843
Sirona Dental Systems, Inc.*		16,780		847,558
Straumann Holding AG (Switzerland)1		4,169		692,749
Thoratec Corp.*		22,320		776,959
				18,948,519
Health Care Providers & Services - 0.31%
Amil Participacoes S.A. (Brazil)		40,950		400,445
China Cord Blood Corp. - ADR (Hong Kong)*		105,000		306,600
Odontoprev S.A. (Brazil)		159,630		843,309
Sonic Healthcare Ltd. (Australia)1		177,490		2,321,861
				3,872,215
Health Care Technology - 2.20%
Allscripts Healthcare Solutions, Inc.*		545,310		6,042,035
Cerner Corp.*		242,126		19,633,997

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

82

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Technology (continued)
Computer Programs & Systems, Inc.		13,640	$	812,808
Greenway Medical Technologies, Inc.*		47,280		728,112
Quality Systems, Inc.		14,070		526,218
				27,743,170
Life Sciences Tools & Services - 1.56%
Lonza Group AG (Switzerland)1		10,170		458,884
Luminex Corp.*		37,100		928,984
QIAGEN N.V. (Netherlands)*1		15,390		254,466
QIAGEN N.V. - ADR (Netherlands)*		639,059		10,691,457
Waters Corp.*		69,800		5,870,878
WuXi PharmaTech (Cayman), Inc. - ADR (China)*		102,470		1,473,519
				19,678,188
Pharmaceuticals - 0.70%
AstraZeneca plc (United Kingdom)1		2,540		111,307
AstraZeneca plc - ADR (United Kingdom)		16,540		726,106
Bayer AG (Germany)1		13,685		964,296
Dr. Reddy’s Laboratories Ltd. - ADR (India)		19,240		650,889
GlaxoSmithKline plc (United Kingdom)1		16,925		390,993
Green Cross Corp. (South Korea)1		9,920		1,172,354
Hikma Pharmaceuticals plc (United Kingdom)1		92,840		946,346
Novo Nordisk A/S - Class B (Denmark)1		3,250		479,125
Optimer Pharmaceuticals, Inc.*		71,920		1,064,416
Sanofi (France)1		2,170		165,748
Santen Pharmaceutical Co. Ltd. (Japan)1		3,700		154,841
Shire plc (Ireland)1		21,165		689,824
Takeda Pharmaceutical Co. Ltd. (Japan)1		3,000		130,905
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		9,790		447,795
UCB S.A. (Belgium)1		14,570		681,296
				8,776,241
Total Health Care				83,231,086
Industrials - 3.97%
Aerospace & Defense - 0.03%
European Aeronautic Defence and Space Co. N.V. (Netherlands)1		8,720		344,602
Air Freight & Logistics - 0.06%
FedEx Corp.		6,700		591,208
PostNL N.V. (Netherlands)1		27,470		119,536
				710,744
Airlines - 1.09%
Copa Holdings S.A. - ADR - Class A (Panama)		11,400		926,934
Deutsche Lufthansa AG (Germany)1		19,235		250,485

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

83

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Airlines (continued)
Ryanair Holdings plc - ADR (Ireland)*		28,480	$	958,922
Southwest Airlines Co.		1,259,845		10,431,517
Spirit Airlines, Inc.*		17,500		420,350
US Airways Group, Inc.*		71,190		730,409
				13,718,617
Commercial Services & Supplies - 0.18%
Edenred (France)1		42,080		1,344,349
Interface, Inc. - Class A		6,620		93,739
Ritchie Bros. Auctioneers, Inc. (Canada)		13,100		276,803
Tomra Systems ASA (Norway)1		65,630		512,247
				2,227,138
Construction & Engineering - 0.01%
MYR Group, Inc.*		6,860		114,699
Electrical Equipment - 0.19%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		20,120		379,664
Alstom S.A. (France)1		21,220		758,925
Nexans S.A. (France)1		2,200		110,262
Polypore International, Inc.*		14,690		548,672
Prysmian S.p.A. (Italy)1		20,340		331,315
Schneider Electric S.A. (France)1		5,520		340,008
				2,468,846
Industrial Conglomerates - 0.10%
Siemens AG (Germany)1		13,730		1,274,421
Machinery - 1.15%
AGCO Corp.*		6,400		298,112
Astec Industries, Inc.*		3,280		102,631
Deere & Co.		2,800		230,608
FANUC Corp. (Japan)1		7,000		1,180,554
Flowserve Corp.		83,360		9,580,565
Graham Corp.		5,190		114,595
Pall Corp.		5,650		336,797
Pentair, Inc.		8,300		359,722
Titan International, Inc.		11,080		320,101
Trinity Industries, Inc.		7,500		222,000
Turk Traktor ve Ziraat Makineleri AS (Turkey)1		23,900		418,628
Wabash National Corp.*		52,230		437,165
Westport Innovations, Inc. - ADR (Canada)*		27,640		865,132
				14,466,610
Marine - 0.04%
Baltic Trading Ltd.		15,120		70,308

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

84

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Marine (continued)
D/S Norden (Denmark)1		8,840	$	250,890
Mitsui OSK Lines Ltd. (Japan)1		10,000		38,759
Nippon Yusen Kabushiki Kaisha (Japan)1		15,000		44,341
Pacific Basin Shipping Ltd. (Bermuda)1,3		77,000		40,295
Sinotrans Shipping Ltd. (Hong Kong)1		433,500		103,173
				547,766
Professional Services - 0.20%
The Advisory Board Co.*		16,110		1,468,588
Qualicorp S.A. (Brazil)*		116,760		1,017,435
				2,486,023
Road & Rail - 0.76%
All America Latina Logistica S.A. (Brazil)		216,770		981,415
Norfolk Southern Corp.		110,480		8,057,306
RailAmerica, Inc.*		25,140		582,745
				9,621,466
Trading Companies & Distributors - 0.03%
Mills Estruturas e Servicos de Engenharia S.A. (Brazil)		29,200		379,754
Transportation Infrastructure - 0.13%
Groupe Eurotunnel S.A. (France)1		86,400		726,935
Malaysia Airports Holdings Berhad (Malaysia)1		481,310		919,808
				1,646,743
Total Industrials				50,007,429
Information Technology - 13.22%
Communications Equipment - 2.81%
Alcatel-Lucent - ADR (France)*		506,850		765,344
Cisco Systems, Inc.		649,405		13,085,511
Infinera Corp.*		192,250		1,376,510
Juniper Networks, Inc.*		567,010		12,151,024
Qualcomm, Inc.		108,460		6,924,086
Riverbed Technology, Inc.*		56,950		1,123,624
				35,426,099
Computers & Peripherals - 1.63%
Apple, Inc.*		2,280		1,332,067
EMC Corp.*		663,290		18,711,411
Immersion Corp.*		90,760		494,642
				20,538,120
Electronic Equipment, Instruments & Components - 1.10%
Amphenol Corp. - Class A		8,740		508,144
Corning, Inc.		764,570		10,971,580

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

85

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Electronic Equipment, Instruments & Components (continued)
Hitachi Ltd. (Japan)1		155,200	$	988,507
Keyence Corp. (Japan)1		1,609		379,835
Maxwell Technologies, Inc.*		30,930		294,144
Nippon Electric Glass Co. Ltd. (Japan)1		89,500		723,139
				13,865,349
Internet Software & Services - 2.56%
The Active Network, Inc.*		78,650		1,321,320
comScore, Inc.*		50,280		1,001,578
Google, Inc. - Class A*		43,250		26,176,198
LogMeIn, Inc.*		7,200		259,272
NHN Corp. (South Korea)1		2,800		632,982
Tencent Holdings Ltd. (China)1		41,500		1,298,278
Velti plc - ADR (Ireland)*		136,558		1,631,868
				32,321,496
IT Services - 3.03%
Amadeus IT Holding S.A. - Class A (Spain)1		298,250		6,105,728
Amdocs Ltd. - ADR (Guernsey)*		43,120		1,379,840
Cap Gemini S.A. (France)1		43,850		1,713,099
Cielo S.A. (Brazil)		—		6
Euronet Worldwide, Inc.*		51,000		1,103,130
MasterCard, Inc. - Class A		29,670		13,418,851
Visa, Inc. - Class A		109,040		13,409,739
The Western Union Co.		56,410		1,036,816
				38,167,209
Semiconductors & Semiconductor Equipment - 0.24%
Aixtron SE NA (Germany)1		23,700		433,026
Samsung Electronics Co. Ltd. (South Korea)1		670		820,054
Sumco Corp. (Japan)*1		61,500		652,864
Tokyo Electron Ltd. (Japan)1		12,000		664,993
Veeco Instruments, Inc.*		13,300		401,527
				2,972,464
Software - 1.85%
Autodesk, Inc.*	��	279,005		10,984,427
Aveva Group plc (United Kingdom)1		15,390		416,721
Electronic Arts, Inc.*		688,130		10,583,439
RealPage, Inc.*		45,060		817,839
SAP AG (Germany)1		7,670		508,624
				23,311,050
Total Information Technology				166,601,787

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

86

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Materials - 3.56%
Chemicals - 2.75%
Arkema S.A. (France)1		67	$	5,942
BASF SE (Germany)1		8,980		739,349
Calgon Carbon Corp.*		22,965		317,836
Flotek Industries, Inc.*		13,180		179,775
Johnson Matthey plc (United Kingdom)1		25,190		945,921
Linde AG (Germany)1		4,170		713,749
Monsanto Co.		331,440		25,249,099
Shin-Etsu Chemical Co. Ltd. (Japan)1		3,100		178,931
Syngenta AG (Switzerland)1		17,960		6,298,153
				34,628,755
Construction Materials - 0.06%
CRH plc (Ireland)1		14,240		288,648
Eagle Materials, Inc.		5,700		200,754
Holcim Ltd. (Switzerland)1		3,450		215,184
				704,586
Metals & Mining - 0.75%
Alcoa, Inc.		946,580		9,210,223
Alumina Ltd. (Australia)1		112,110		133,911
Norsk Hydro ASA (Norway)1		24,980		121,808
				9,465,942
Total Materials				44,799,283
Telecommunication Services - 1.34%
Diversified Telecommunication Services - 1.19%
Swisscom AG - ADR (Switzerland)4		9,800		363,090
Telefonica S.A. - ADR (Spain)		51,840		758,419
Telenor ASA (Norway)1		713,370		13,112,746
Telenor ASA - ADR (Norway)4		12,530		690,278
				14,924,533
Wireless Telecommunication Services - 0.15%
DiGi.com Berhad (Malaysia)1		647,300		861,456
MTN Group Ltd. (South Africa)1		11,020		192,716
SK Telecom Co. Ltd. - ADR (South Korea)		63,500		858,520
				1,912,692
Total Telecommunication Services				16,837,225
Utilities - 0.09%
Electric Utilities - 0.03%
E.ON AG (Germany)1		17,750		401,891
Multi-Utilities - 0.03%
GDF Suez (France)1		4,147		95,481

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

87

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES/ PRINCIPAL AMOUNT		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Utilities (continued)
Multi-Utilities (continued)
National Grid plc (United Kingdom)1		22,535	$	243,345
				338,826
Water Utilities - 0.03%
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		19,030		445,762
Total Utilities				1,186,479
TOTAL COMMON STOCKS
(Identified Cost $648,345,560)				721,096,796
PREFERRED STOCKS - 0.37%
Financials - 0.37%
Commercial Banks - 0.19%
BB&T Corp. (non-cumulative), 5.85%5		43,910		1,097,750
PNC Financial Services Group, Inc., Series K (non-cumulative), 8.25%5		480,000		497,778
U.S. Bancorp., Series F (non-cumulative), 6.50%5		30,400		822,624
				2,418,152
Diversified Financial Services - 0.09%
Bank of America Corp., Series M (non-cumulative), 8.125%5		1,105,000		1,145,001
Real Estate Investment Trusts (REITS) - 0.09%
Public Storage, Series Q, 6.50%		39,780		1,094,745
Total Financials				4,657,898
TOTAL PREFERRED STOCKS
(Identified Cost $4,433,529)				4,657,898
CORPORATE BONDS - 19.22%
Convertible Corporate Bonds - 0.22%
Financials - 0.08%
Real Estate Investment Trusts (REITS) - 0.08%
BioMed Realty LP6 , 3.75%, 1/15/2030	$	850,000		1,026,375
Health Care - 0.04%
Health Care Equipment & Supplies - 0.04%
Alere, Inc., 3.00%, 5/15/2016		330,000		320,100

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

88

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Convertible Corporate Bonds (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Medtronic, Inc., 1.625%, 4/15/2013	$	140,000	$	140,875
Total Health Care				460,975
Information Technology - 0.05%
Computers & Peripherals - 0.05%
EMC Corp., 1.75%, 12/1/2013		335,000		595,463
Materials - 0.05%
Containers & Packaging - 0.05%
Owens-Brockway Glass Container, Inc.6, 3.00%, 6/1/2015		660,000		644,325
Total Convertible Corporate Bonds
(Identified Cost $2,481,097)				2,727,138
Non-Convertible Corporate Bonds - 19.00%
Consumer Discretionary - 2.12%
Auto Components - 0.05%
UCI International, Inc., 8.625%, 2/15/2019		635,000		650,875
Hotels, Restaurants & Leisure - 0.21%
International Game Technology, 7.50%, 6/15/2019		1,290,000		1,532,426
Yum! Brands, Inc., 3.875%, 11/1/2020		980,000		1,041,987
				2,574,413
Household Durables - 0.17%
Taylor Morrison Communities, Inc. - Monarch Communities, Inc.6, 7.75%, 4/15/2020		630,000		648,900
Tupperware Brands Corp., 4.75%, 6/1/2021		1,500,000		1,542,854
				2,191,754
Media - 0.94%
Cablevision Systems Corp., 8.625%, 9/15/2017		540,000		592,650
Columbus International, Inc. (Barbados)6, 11.50%, 11/20/2014		295,000		320,075
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		1,330,000		1,477,972
Discovery Communications LLC, 5.05%, 6/1/2020		1,350,000		1,542,507
Intelsat Jackson Holdings S.A. (Luxembourg), 7.25%, 4/1/2019		575,000		599,437
Kabel BW GmbH (Germany)6, 7.50%, 3/15/2019		595,000		635,163
MDC Partners, Inc. (Canada), 11.00%, 11/1/2016		560,000		609,000
Nara Cable Funding Ltd. (Ireland)6 , 8.875%, 12/1/2018		695,000		635,925
NBCUniversal Media LLC, 5.15%, 4/30/2020		2,055,000		2,364,520
Time Warner, Inc., 4.75%, 3/29/2021		1,480,000		1,651,036
Unitymedia Hessen GmbH & Co. KG - Unitymedia NRW GmbH (Germany)6 , 8.125%, 12/1/2017		865,000		927,713
XM Satellite Radio, Inc.6, 7.625%, 11/1/2018		425,000		463,250
				11,819,248

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

89

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Multiline Retail - 0.08%
Target Corp., 6.00%, 1/15/2018	$	845,000	$	1,038,424
Specialty Retail - 0.54%
Advance Auto Parts, Inc., 4.50%, 1/15/2022		2,000,000		2,107,822
The Home Depot, Inc., 5.40%, 3/1/2016		1,220,000		1,408,095
Lowe’s Companies, Inc., 6.10%, 9/15/2017		850,000		1,027,877
Rent-A-Center, Inc., 6.625%, 11/15/2020		1,020,000		1,065,900
Toys R Us Property Co. II LLC, 8.50%, 12/1/2017		1,090,000		1,133,600
				6,743,294
Textiles, Apparel & Luxury Goods - 0.13%
Jones Group - Apparel Group Holdings - Apparel Group USA - Footwear Accessories Retail, 6.875%, 3/15/2019		625,000		608,594
VF Corp., 5.95%, 11/1/2017		880,000		1,050,360
				1,658,954
Total Consumer Discretionary				26,676,962
Consumer Staples - 0.25%
Beverages - 0.11%
Beam, Inc., 5.375%, 1/15/2016		229,000		254,598
Constellation Brands, Inc., 7.25%, 9/1/2016		575,000		649,750
Constellation Brands, Inc., 7.25%, 5/15/2017		285,000		322,050
PepsiCo, Inc., 7.90%, 11/1/2018		163,000		221,168
				1,447,566
Food Products - 0.09%
Kraft Foods, Inc., 6.125%, 2/1/2018		895,000		1,077,606
Personal Products - 0.05%
Revlon Consumer Products Corp., 9.75%, 11/15/2015		620,000		668,825
Total Consumer Staples				3,193,997
Energy - 1.08%
Energy Equipment & Services - 0.50%
Baker Hughes, Inc., 7.50%, 11/15/2018		805,000		1,071,343
Calfrac Holdings LP6 , 7.50%, 12/1/2020		1,250,000		1,225,000
Schlumberger Oilfield plc (United Kingdom)6 , 4.20%, 1/15/2021		400,000		442,050
SESI LLC, 6.375%, 5/1/2019		600,000		624,000
Thermon Industries, Inc., 9.50%, 5/1/2017		576,000		633,600
Trinidad Drilling Ltd. (Canada)6 , 7.875%, 1/15/2019		595,000		633,675
Weatherford International Ltd. (Switzerland), 9.625%, 3/1/2019		1,245,000		1,646,984
				6,276,652
Oil, Gas & Consumable Fuels - 0.58%
Anadarko Petroleum Corp., 5.95%, 9/15/2016		1,690,000		1,953,883

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

90

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Chaparral Energy, Inc., 8.25%, 9/1/2021	$	560,000	$	596,400
Chaparral Energy, Inc.6, 7.625%, 11/15/2022		355,000		362,100
Chesapeake Oilfield Operating LLC - Chesapeake Oilfield Finance, Inc.6, 6.625%, 11/15/2019		985,000		925,900
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017		570,000		625,575
PBF Holding Co. LLC - PBF Finance Corp.6, 8.25%, 2/15/2020		695,000		719,325
Shell International Finance B.V. (Netherlands), 4.30%, 9/22/2019		910,000		1,043,277
Targa Resources Partners LP - Targa Resources Partners Finance Corp., 8.25%, 7/1/2016		465,000		489,412
Tesoro Corp., 9.75%, 6/1/2019		495,000		563,063
				7,278,935
Total Energy				13,555,587
Financials - 9.21%
Capital Markets - 2.61%
Barclays Bank plc (United Kingdom)6, 2.50%, 9/21/2015		5,370,000		5,507,402
BNP Paribas Home Loan Covered Bonds S.A. (France)6, 2.20%, 11/2/2015		5,370,000		5,383,790
Credit Suisse AG (Switzerland)6, 2.60%, 5/27/2016		2,995,000		3,065,889
GFI Group, Inc., 8.375%, 7/19/2018		795,000		733,387
Goldman Sachs Capital II7, 5.793%, 6/1/2043		2,005,000		1,378,438
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018		885,000		963,314
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		3,290,000		3,413,625
Jefferies Group, Inc., 8.50%, 7/15/2019		2,465,000		2,723,825
Merrill Lynch & Co., Inc., 6.05%, 8/15/2012		4,725,000		4,793,465
Morgan Stanley, 5.55%, 4/27/2017		1,210,000		1,230,969
Morgan Stanley, 7.30%, 5/13/2019		1,355,000		1,454,369
Morgan Stanley, 5.75%, 1/25/2021		1,900,000		1,876,125
Neuberger Berman Group LLC - Neuberger Berman Finance Corp.6, 5.625%, 3/15/2020		130,000		131,950
Neuberger Berman Group LLC - Neuberger Berman Finance Corp.6, 5.875%, 3/15/2022		260,000		264,550
				32,921,098
Commercial Banks - 3.10%
Bank of Montreal (Canada)6, 1.30%, 10/31/2014		2,285,000		2,315,285
Bank of Montreal (Canada)6, 2.625%, 1/25/2016		1,845,000		1,944,977
Bank of Nova Scotia (Canada)6, 1.45%, 7/26/2013		2,150,000		2,175,824
Bank of Nova Scotia (Canada)6, 1.65%, 10/29/2015		5,370,000		5,474,570
Canadian Imperial Bank of Commerce (Canada)6, 1.50%, 12/12/2014		1,640,000		1,669,656
CIT Group, Inc., 5.25%, 3/15/2018		655,000		674,650
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021		1,030,000		935,815
KeyBank National Association, 5.45%, 3/3/2016		1,310,000		1,454,907

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

91

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Commercial Banks (continued)
Manufacturers & Traders Trust Co., 6.625%, 12/4/2017	$	1,830,000	$	2,129,818
National Bank of Canada (Canada)6, 2.20%, 10/19/2016		3,120,000		3,235,175
National City Corp., 6.875%, 5/15/2019		1,465,000		1,734,277
PNC Bank National Association, 5.25%, 1/15/2017		1,035,000		1,153,092
Royal Bank of Canada (Canada)6, 3.125%, 4/14/2015		4,725,000		5,006,846
Santander Holdings USA, Inc., 4.625%, 4/19/2016		265,000		264,085
Santander Issuances S.A. Unipersonal (Spain)6, 5.911%, 6/20/2016		950,000		924,481
Societe Generale S.A. (France)6, 5.75%, 4/20/2016		1,025,000		988,081
The Toronto-Dominion Bank (Canada)6, 2.20%, 7/29/2015		5,370,000		5,580,842
Wachovia Corp., 5.25%, 8/1/2014		1,270,000		1,365,571
				39,027,952
Consumer Finance - 0.64%
American Express Co., 8.125%, 5/20/2019		3,825,000		5,066,094
American Express Co.7, 6.80%, 9/1/2066		930,000		949,995
Credit Acceptance Corp., 9.125%, 2/1/2017		1,030,000		1,120,125
Discover Financial Services6, 5.20%, 4/27/2022		980,000		1,017,044
				8,153,258
Diversified Financial Services - 1.21%
Bank of America Corp., 5.75%, 8/15/2016		685,000		714,959
Bank of America Corp., 5.65%, 5/1/2018		860,000		909,560
Bank of America Corp., 7.625%, 6/1/2019		3,660,000		4,218,344
Bank of America Corp.8, 5.13%, 2/24/2026		970,000		948,135
Citigroup, Inc., 8.50%, 5/22/2019		2,700,000		3,354,693
CNH Capital LLC6, 6.25%, 11/1/2016		585,000		623,756
JPMorgan Chase & Co., 6.30%, 4/23/2019		860,000		1,006,954
JPMorgan Chase & Co., 4.95%, 3/25/2020		3,130,000		3,437,191
				15,213,592
Insurance - 0.48%
American International Group, Inc., 4.25%, 5/15/2013		1,245,000		1,270,001
Fidelity National Financial, Inc., 6.60%, 5/15/2017		2,025,000		2,157,287
Genworth Financial, Inc., 7.625%, 9/24/2021		2,170,000		2,142,654
Hartford Financial Services Group, Inc.7, 8.125%, 6/15/2038		495,000		519,750
				6,089,692
Real Estate Investment Trusts (REITS) - 1.17%
BioMed Realty LP, 3.85%, 4/15/2016		1,145,000		1,188,300
Boston Properties LP, 5.875%, 10/15/2019		1,255,000		1,453,859
Camden Property Trust, 5.70%, 5/15/2017		980,000		1,102,215
Digital Realty Trust LP, 5.25%, 3/15/2021		1,870,000		1,980,625
DuPont Fabros Technology LP, 8.50%, 12/15/2017		850,000		937,125

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

92

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
HCP, Inc., 6.70%, 1/30/2018	$	1,270,000	$	1,486,054
Health Care REIT, Inc., 6.20%, 6/1/2016		1,240,000		1,375,562
Mack-Cali Realty LP, 7.75%, 8/15/2019		755,000		928,806
National Retail Properties, Inc., 6.875%, 10/15/2017		650,000		746,129
Simon Property Group LP, 10.35%, 4/1/2019		1,035,000		1,435,794
UDR, Inc., 4.625%, 1/10/2022		1,980,000		2,070,896
				14,705,365
Total Financials				116,110,957
Health Care - 0.91%
Health Care Equipment & Supplies - 0.32%
Alere, Inc., 9.00%, 5/15/2016		944,000		975,860
CR Bard, Inc., 4.40%, 1/15/2021		925,000		1,048,856
Fresenius Medical Care US Finance, Inc., 6.875%, 7/15/2017		835,000		913,281
Fresenius US Finance II, Inc.6, 9.00%, 7/15/2015		1,005,000		1,151,981
				4,089,978
Health Care Providers & Services - 0.34%
HCA, Inc., 6.50%, 2/15/2020		635,000		679,450
Health Management Associates, Inc., 6.125%, 4/15/2016		1,205,000		1,265,250
STHI Holding Corp.6, 8.00%, 3/15/2018		635,000		676,275
UnitedHealth Group, Inc., 4.70%, 2/15/2021		1,460,000		1,665,466
				4,286,441
Life Sciences Tools & Services - 0.08%
Thermo Fisher Scientific, Inc., 4.50%, 3/1/2021		850,000		971,945
Pharmaceuticals - 0.17%
Novartis Securities Investment Ltd. (Bermuda), 5.125%, 2/10/2019		1,245,000		1,481,891
Valeant Pharmaceuticals International6, 6.75%, 8/15/2021		655,000		636,987
				2,118,878
Total Health Care				11,467,242
Industrials - 2.32%
Aerospace & Defense - 0.15%
The Boeing Co., 6.00%, 3/15/2019		980,000		1,219,992
Ducommun, Inc., 9.75%, 7/15/2018		590,000		623,925
				1,843,917
Air Freight & Logistics - 0.17%
Aguila 3 S.A. (Luxembourg)6, 7.875%, 1/31/2018		1,025,000		1,073,688
FedEx Corp., 8.00%, 1/15/2019		785,000		1,031,904
				2,105,592

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

93

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Airlines - 0.41%
Continental Airlines, Inc.6, 6.75%, 9/15/2015	$	1,210,000	$	1,238,737
Delta Air Lines Pass-Through Trust, Series 2007-1, Class A, 6.821%, 8/10/2022		296,838		321,327
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B, 6.375%, 1/2/2016		545,000		545,000
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015		290,000		291,450
Southwest Airlines Co., 5.25%, 10/1/2014		945,000		1,015,490
Southwest Airlines Co., 5.75%, 12/15/2016		1,580,000		1,757,965
				5,169,969
Building Products - 0.16%
Building Materials Corp. of America6, 6.875%, 8/15/2018		340,000		357,000
Building Materials Corp. of America6, 7.50%, 3/15/2020		570,000		607,050
Owens Corning, 9.00%, 6/15/2019		830,000		1,029,779
				1,993,829
Commercial Services & Supplies - 0.23%
Garda World Security Corp. (Canada)6, 9.75%, 3/15/2017		785,000		832,100
International Lease Finance Corp., 8.625%, 1/15/2022		545,000		623,420
Waste Management, Inc., 7.375%, 3/11/2019		1,110,000		1,411,604
				2,867,124
					��
Industrial Conglomerates - 0.52%
General Electric Capital Corp., 5.625%, 5/1/2018		460,000		533,151
General Electric Capital Corp., 5.50%, 1/8/2020		4,020,000		4,596,448
Textron, Inc., 7.25%, 10/1/2019		940,000		1,095,208
Tyco Electronics Group S.A. (Luxembourg), 4.875%, 1/15/2021		325,000		358,380
				6,583,187
Machinery - 0.39%
Caterpillar Financial Services Corp., 7.05%, 10/1/2018		815,000		1,045,017
Dynacast International LLC - Dynacast Finance, Inc.6, 9.25%, 7/15/2019		875,000		918,750
John Deere Capital Corp., 5.50%, 4/13/2017		275,000		328,519
John Deere Capital Corp., 5.75%, 9/10/2018		1,295,000		1,582,373
Kennametal, Inc., 3.875%, 2/15/2022		1,075,000		1,095,616
				4,970,275
Marine - 0.07%
Navios Maritime Holdings, Inc. - Navios Maritime Finance US, Inc. (Marshall Island), 8.875%, 11/1/2017		905,000		929,888
Road & Rail - 0.22%
Avis Budget Car Rental LLC - Avis Budget Finance, Inc., 8.25%, 1/15/2019		605,000		633,737
JB Hunt Transport Services, Inc., 3.375%, 9/15/2015		1,150,000		1,190,641

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

94

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Road & Rail (continued)
Union Pacific Corp., 5.65%, 5/1/2017	$	810,000	$	949,818
				2,774,196
Total Industrials				29,237,977
Information Technology - 0.55%
Communications Equipment - 0.14%
Hughes Satellite Systems Corp., 6.50%, 6/15/2019		1,090,000		1,166,300
ViaSat, Inc.6, 6.875%, 6/15/2020		565,000		572,063
				1,738,363
Electronic Equipment, Instruments & Components - 0.18%
Amphenol Corp., 4.00%, 2/1/2022		575,000		588,926
Corning, Inc., 6.625%, 5/15/2019		1,000,000		1,213,115
CPI International, Inc., 8.00%, 2/15/2018		575,000		506,719
				2,308,760
IT Services - 0.12%
The Western Union Co., 5.253%, 4/1/2020		1,350,000		1,532,724
Semiconductors & Semiconductor Equipment - 0.06%
Advanced Micro Devices, Inc., 7.75%, 8/1/2020		240,000		264,600
MagnaChip Semiconductor S.A. - MagnaChip Semiconductor Finance Co., 10.50%, 4/15/2018		455,000		510,737
				775,337
Software - 0.05%
Sophia LP - Sophia Finance, Inc.6, 9.75%, 1/15/2019		595,000		638,137
Total Information Technology				6,993,321
Materials - 1.39%
Chemicals - 0.19%
E.I. du Pont de Nemours & Co., 6.00%, 7/15/2018		855,000		1,061,291
LyondellBasell Industries N.V. (Netherlands)6, 5.00%, 4/15/2019		630,000		650,475
Taminco Global Chemical Corp.6, 9.75%, 3/31/2020		605,000		632,225
				2,343,991
Containers & Packaging - 0.12%
Longview Fibre Paper & Packaging, Inc.6, 8.00%, 6/1/2016		600,000		606,000
Reynolds Group Issuer, Inc. - Reynolds Group Issuer LLC6, 9.875%, 8/15/2019		900,000		938,250
				1,544,250
Metals & Mining - 0.96%
Alcoa, Inc., 5.72%, 2/23/2019		1,562,000		1,690,125
Allegheny Technologies, Inc., 5.95%, 1/15/2021		1,765,000		1,956,141
ArcelorMittal (Luxembourg), 5.50%, 3/1/2021		1,970,000		1,940,395

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

95

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Metals & Mining (continued)
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019	$	830,000	$	1,050,643
Calcipar S.A. (Luxembourg)6, 6.875%, 5/1/2018		630,000		645,750
Cliffs Natural Resources, Inc., 4.80%, 10/1/2020		1,165,000		1,222,059
FMG Resources August 2006 Pty. Ltd. (Australia)6, 6.875%, 2/1/2018		910,000		935,025
Rio Tinto Finance USA Ltd. (Australia), 3.75%, 9/20/2021		1,460,000		1,547,076
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		1,090,000		1,088,634
				12,075,848
Paper & Forest Products - 0.12%
International Paper Co., 7.50%, 8/15/2021		1,210,000		1,536,157
Total Materials				17,500,246
Telecommunication Services - 0.85%
Diversified Telecommunication Services - 0.51%
Inmarsat Finance plc (United Kingdom)6, 7.375%, 12/1/2017		1,215,000		1,306,125
Sable International Finance Ltd. (Cayman Islands)6, 8.75%, 2/1/2020		695,000		738,438
UPCB Finance III Ltd. (Cayman Islands)6, 6.625%, 7/1/2020		700,000		710,500
UPCB Finance VI Ltd. (Cayman Islands)6, 6.875%, 1/15/2022		650,000		667,875
Verizon Communications, Inc., 3.00%, 4/1/2016		980,000		1,044,831
Wind Acquisition Finance S.A. (Luxembourg)6, 11.75%, 7/15/2017		455,000		447,037
Wind Acquisition Finance S.A. (Luxembourg)6, 7.25%, 2/15/2018		1,015,000		964,250
Windstream Corp., 7.50%, 6/1/2022		560,000		586,600
				6,465,656
Wireless Telecommunication Services - 0.34%
CC Holdings GS V LLC - Crown Castle GS III Corp.6, 7.75%, 5/1/2017		985,000		1,073,650
Crown Castle Towers LLC6, 6.113%, 1/15/2020		1,045,000		1,193,361
Crown Castle Towers LLC6, 4.883%, 8/15/2020		353,000		374,432
NII Capital Corp., 8.875%, 12/15/2019		590,000		594,425
NII Capital Corp., 7.625%, 4/1/2021		375,000		348,750
SBA Tower Trust6, 5.101%, 4/15/2017		575,000		625,719
				4,210,337
Total Telecommunication Services				10,675,993
Utilities - 0.32%
Electric Utilities - 0.31%
Allegheny Energy Supply Co. LLC6, 5.75%, 10/15/2019		1,660,000		1,829,232
Exelon Generation Co. LLC, 5.35%, 1/15/2014		895,000		954,760
Southwestern Electric Power Co., 6.45%, 1/15/2019		880,000		1,054,420
				3,838,412

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

96

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT/          SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Utilities (continued)
Multi-Utilities - 0.01%
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013	$	135,000	$	143,418
Total Utilities				3,981,830
Total Non-Convertible Corporate Bonds     (Identified Cost $227,141,562)				239,394,112
TOTAL CORPORATE BONDS     (Identified Cost $229,622,659)				242,121,250
MUTUAL FUNDS - 0.87%
iShares iBoxx High Yield Corporate Bond Fund		53,626		4,890,691
iShares iBoxx Investment Grade Corporate Bond Fund		46,500		5,416,320
iShares S&P India Nifty 50 Index Fund		13,700		311,401
PowerShares India Portfolio		16,900		301,496
TOTAL MUTUAL FUNDS     (Identified Cost $10,963,807)				10,919,908
U.S. TREASURY SECURITIES - 3.68%
U.S. Treasury Notes - 3.68%
U.S. Treasury Note, 0.25%, 1/31/2014	$	8,000,000		8,000,312
U.S. Treasury Note, 2.375%, 8/31/2014		394,000		412,807
U.S. Treasury Note, 2.375%, 10/31/2014		428,000		449,567
U.S. Treasury Note, 2.375%, 2/28/2015		850,000		897,348
U.S. Treasury Note, 1.25%, 9/30/2015		576,000		591,075
U.S. Treasury Note, 1.375%, 11/30/2015		565,000		582,126
U.S. Treasury Note, 2.00%, 4/30/2016		338,000		356,669
U.S. Treasury Note, 1.00%, 8/31/2016		20,350,000		20,636,162
U.S. Treasury Note, 3.125%, 10/31/2016		235,000		259,987
U.S. Treasury Note, 2.625%, 4/30/2018		13,000,000		14,193,361
TOTAL U.S. TREASURY SECURITIES     (Identified Cost $45,962,380)				46,379,414
ASSET-BACKED SECURITIES - 0.24%
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		1,784,300		1,832,724
Hertz Vehicle Financing LLC, Series 2009-2A, Class A26, 5.29%, 3/25/2016		470,000		515,155
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		700,000		741,579
TOTAL ASSET-BACKED SECURITIES     (Identified Cost $2,953,762)				3,089,458

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

97

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT		VALUE        (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.04%
Americold LLC Trust, Series 2010-ARTA, Class A16 , 3.847%, 1/14/2029	$	283,607	$	300,692
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A47 , 5.731%, 5/10/2045		3,155,000		3,602,209
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A4, 5.634%, 7/10/2046		850,000		960,567
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		2,020,000		2,214,465
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class A47 , 5.719%, 9/11/2038		605,000		689,010
Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		695,000		789,837
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26 , 3.759%, 4/15/2044		420,000		446,741
Citigroup - Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A47 , 5.213%, 7/15/2044		420,000		468,106
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A37 , 5.73%, 3/15/2049		160,000		180,748
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class A47 , 5.749%, 6/10/2046		270,000		305,483
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16 , 3.156%, 7/10/2046		436,309		455,906
DBUBS Mortgage Trust, Series 2011-LC1A, Class A16 , 3.742%, 11/10/2046		336,601		359,606
FREMF Mortgage Trust, Series 2011-K701, Class B6,7 , 4.287%, 7/25/2048		550,000		560,786
FREMF Mortgage Trust, Series 2011-K702, Class B6,7 , 4.77%, 4/25/2044		675,000		689,977
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A47 , 5.874%, 7/10/2038		615,000		700,971
GS Mortgage Securities Corp. II, Series 2010-C2, Class A16 , 3.849%, 12/10/2043		725,498		780,145
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A47 , 5.284%, 1/12/2043		1,605,000		1,756,069
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A47 , 5.198%, 12/15/2044		325,000		363,781
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A47 , 5.87%, 4/15/2045		1,460,000		1,671,139
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A47 , 5.87%, 6/15/2038		775,000		884,314
LSTAR Commercial Mortgage Trust, Series 2011-1, Class A6 , 3.913%, 6/25/2043		404,576		425,591
Merrill Lynch - Countrywide Commercial Mortgage Trust, Series 2006-3, Class A47 , 5.414%, 7/12/2046		175,000		195,713
Morgan Stanley Capital I, Series 2005-HQ7, Class A47 , 5.201%, 11/14/2042		125,000		138,714
Morgan Stanley Capital I, Series 2005-IQ10, Class A4A7 , 5.23%, 9/15/2042		345,000		380,453
Morgan Stanley Capital I, Series 2011-C1, Class A26 , 3.884%, 9/15/2047		765,000		818,716
OBP Depositor LLC Trust, Series 2010-OBP, Class A6 , 4.646%, 7/15/2045		115,000		130,884
Vornado DP LLC, Series 2010-VNO, Class A2FX6 , 4.004%, 9/13/2028		350,000		380,321
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A47 , 5.204%, 10/15/2044		2,425,000		2,678,102
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A47 , 5.734%, 5/15/2043		215,000		243,878
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A37 , 6.004%, 6/15/2045		750,000		859,437

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

98

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL           AMOUNT		VALUE       (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26 , 4.393%, 11/15/2043	$	600,000	$	665,304
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A26 , 3.791%, 2/15/2044		575,000		610,882
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $24,644,870)				25,708,547
FOREIGN GOVERNMENT BONDS - 1.86%
Province of British Columbia Canada (Canada), 2.85%, 6/15/2015		2,500,000		2,659,398
Province of Manitoba Canada (Canada), 2.625%, 7/15/2015		1,000,000		1,056,763
Province of Manitoba Canada, Series FH (Canada), 4.90%, 12/6/2016		1,400,000		1,633,608
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017		3,200,000		3,763,328
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017		2,000,000		2,344,298
Province of Ontario Canada (Canada), 2.30%, 5/10/2016		5,000,000		5,202,800
Province of Quebec Canada (Canada), 5.125%, 11/14/2016		4,600,000		5,370,831
Republic of Italy (Italy), 2.125%, 10/5/2012		1,440,000		1,439,430
TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $23,162,798)				23,470,456
U.S. GOVERNMENT AGENCIES - 11.46%
Mortgage-Backed Securities - 5.62%
Fannie Mae, Pool #621881, 5.50%, 1/1/2017		715		783
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		2,079,894		2,278,026
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		143,810		157,599
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		179,697		197,029
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		1,311,648		1,436,597
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		231,707		254,055
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		2,299,967		2,519,063
Fannie Mae, Pool #990895, 5.50%, 10/1/2023		176,213		192,576
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		138,252		151,090
Fannie Mae, Pool #888021, 6.00%, 12/1/2036		523,015		579,913
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		1,172,307		1,282,806
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		138,998		154,120
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		244,375		270,960
Fannie Mae, Pool #AA7681, 4.50%, 6/1/2039		3,146,206		3,370,557
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039		829,895		908,119
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		3,656,071		3,916,781
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		5,024,011		5,560,847
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041		2,201,645		2,358,641
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041		839,556		901,391
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041		528,614		567,547
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041		2,111,552		2,267,072
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041		529,816		568,838
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		8,297,498		9,200,175

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

99

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL  AMOUNT/          SHARES		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020	$	749,033	$	815,455
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		227,058		246,137
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		158,698		172,033
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		131,025		141,953
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		231,028		254,302
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		105,524		114,486
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037		600,387		663,357
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		1,177,852		1,284,273
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		1,675,909		1,851,684
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		2,283,226		2,489,519
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		2,249,058		2,450,858
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038		6,797,113		7,451,601
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		2,174,504		2,374,371
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039		4,703,233		5,018,037
Freddie Mac, Pool #A89760, 4.50%, 12/1/2039		655,835		699,733
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040		1,238,869		1,350,803
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040		792,609		864,223
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		1,934,578		2,137,481
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		1,227,412		1,356,146
Total Mortgage-Backed Securities (Identified Cost $69,561,630)				70,831,037
Other Agencies - 5.84%
Fannie Mae, 1.375%, 11/15/2016		25,000,000		25,523,075
Fannie Mae, 6.25%, 5/15/2029		2,436,000		3,386,342
Fannie Mae, 7.25%, 5/15/2030		2,196,000		3,383,832
Fannie Mae, 6.625%, 11/15/2030		2,318,000		3,384,505
Freddie Mac, 3.75%, 3/27/2019		17,000,000		19,437,239
Freddie Mac, 2.375%, 1/13/2022		11,460,000		11,529,184
Freddie Mac, 6.75%, 3/15/2031		2,284,000		3,380,098
Freddie Mac, 6.25%, 7/15/2032		2,436,000		3,484,954
Total Other Agencies (Identified Cost $72,063,890)				73,509,229
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $141,625,520)				144,340,266
SHORT-TERM INVESTMENTS - 3.00%
Dreyfus Cash Management, Inc. - Institutional Shares9 , 0.06%, (Identified Cost $37,801,259)		37,801,259		37,801,259

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

100

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	VALUE          (NOTE 2)
TOTAL INVESTMENTS - 99.97% (Identified Cost $1,169,516,144)	$	1,259,585,252
OTHER ASSETS, LESS LIABILITIES - 0.03%		333,386
NET ASSETS - 100%	$	1,259,918,638

ADR - American Depository Receipt

*Non-income producing security

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Traded on Canadian exchange.

³Traded on Hong Kong exchange.

⁴Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁵The rate shown is a fixed rate as of April 30, 2012; the rate becomes floating, based on LIBOR plus a spread, at dates ranging from 2013 to 2022.

⁶Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $88,611,830, or 7.03%, of the Series’ net assets as of April 30, 2012.

⁷The coupon rate is floating and is the effective rate as of April 30, 2012.

⁸Represents a step-up bond that pays initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current coupon as of April 30, 2012.

⁹Rate shown is the current yield as of April 30, 2012.

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

101

Statement of Assets and Liabilities - Pro-Blend^® Extended Term Series

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $1,169,516,144) (Note 2)	$	1,259,585,252
Foreign currency (identified cost $406,943)		404,596
Interest receivable		4,717,584
Receivable for fund shares sold		1,905,882
Receivable for securities sold		1,919,107
Dividends receivable		488,919
Foreign tax reclaims receivable		475,696
Other assets		239,396
TOTAL ASSETS		1,269,736,432
LIABILITIES:
Accrued management fees (Note 3)		768,142
Accrued shareholder services fees (Class S) (Note 3)		151,063
Accrued distribution and services (Rule 12b-1) fees (Class C) (Class R) (Note 3)		75,230
Accrued fund accounting and administration fees (Note 3)		58,214
Accrued transfer agent fees (Note 3)		44,065
Accrued directors’ fees (Note 3)		3,558
Accrued Chief Compliance Officer service fees (Note 3)		415
Payable for securities purchased		6,213,771
Payable for fund shares repurchased		2,388,333
Other payables and accrued expenses		115,003
TOTAL LIABILITIES		9,817,794
TOTAL NET ASSETS	$	1,259,918,638
NET ASSETS CONSIST OF:
Capital stock	$	968,330
Additional paid-in-capital		1,157,399,681
Undistributed net investment income		4,328,056
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		7,130,731
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		90,091,840
TOTAL NET ASSETS	$	1,259,918,638

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

102

Statement of Assets and Liabilities - Pro-Blend^® Extended Term Series

April 30, 2012 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($738,141,712/46,949,250 shares)	$	15.72
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($415,302,565/40,182,017 shares)	$	10.34
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($78,879,596/7,271,655 shares)	$	10.85
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($27,594,765/2,430,108 shares)	$	11.36

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

103

Statement of Operations - Pro-Blend^® Extended Term Series

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Interest	$	8,332,091
Dividends (net of foreign taxes withheld, $269,997)		5,881,637
Total Investment Income		14,213,728
EXPENSES:
Management fees (Note 3)		4,420,240
Shareholder services fees (Class S) (Note 3)		900,247
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		365,349
Fund accounting and administration fees (Note 3)		115,487
Transfer agent fees (Note 3)		84,960
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		54,511
Directors’ fees (Note 3)		14,855
Chief Compliance Officer service fees (Note 3)		1,246
Custodian fees		52,117
Miscellaneous		174,189
Total Expenses		6,183,201
NET INVESTMENT INCOME		8,030,527
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on- Investments		8,757,390
Foreign currency and translation of other assets and liabilities (net of Brazilian tax of $7,790)		(72,056	)
Forward foreign currency exchange contracts		28,317
		8,713,651
Net change in unrealized appreciation (depreciation) on- Investments		53,316,925
Foreign currency and translation of other assets and liabilities		(9,799	)
Forward foreign currency exchange contracts		(340	)
		53,306,786
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCY		62,020,437
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	70,050,964

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

104

Statements of Changes in Net Assets - Pro-Blend^® Extended Term Series

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	8,030,527		$	16,744,293
Net realized gain (loss) on investments and foreign currency (net of Brazilian tax of $7,790 and $73,275, respectively)		8,713,651			48,161,280
Net change in unrealized appreciation (depreciation) on investments and foreign currency		53,306,786			(33,340,882	)
Net increase from operations		70,050,964			31,564,691
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(5,795,978	)		(8,968,239	)
From net investment income (Class I)		(4,686,269	)		(6,522,174	)
From net investment income (Class C)		(594,898	)		(562,393	)
From net investment income (Class R)		(254,010	)		(10,782	)
From net realized gain on investments (Class S)		(21,181,714	)		—
From net realized gain on investments (Class I)		(14,551,102	)		—
From net realized gain on investments (Class C)		(2,996,571	)		—
From net realized gain on investments (Class R)		(855,544	)		—
Total distributions to shareholders		(50,916,086	)		(16,063,588	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		125,898,197			115,070,014
Net increase in net assets		145,033,075			130,571,117
NET ASSETS:
Beginning of period		1,114,885,563			984,314,446
End of period (including undistributed net investment income of $4,328,056 and $7,628,684, respectively)	$	1,259,918,638		$	1,114,885,563

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

105

Financial Highlights - Pro-Blend^® Extended Term Series - Class S

	FOR THE SIX			FOR THE YEARS ENDED
	MONTHS ENDED 4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	15.46		$	15.16		$	13.32		$	11.75		$	17.82		$	17.12
Income (loss) from investment operations:
Net investment income		0.10	1		0.23	1		0.22	1		0.17	1		0.22			0.22
Net realized and unrealized gain (loss) on investments		0.75			0.26			1.78			1.60			(4.36	)		1.88
Total from investment operations		0.85			0.49			2.00			1.77			(4.14	)		2.10
Less distributions to shareholders:
From net investment income		(0.13	)		(0.19	)		(0.16	)		(0.20	)		(0.21	)		(0.25	)
From net realized gain on investments		(0.46	)		—			—			—			(1.72	)		(1.15	)
Total distributions to shareholders		(0.59	)		(0.19	)		(0.16	)		(0.20	)		(1.93	)		(1.40	)
Net asset value - End of period	$	15.72		$	15.46		$	15.16		$	13.32		$	11.75		$	17.82
Net assets - End of period (000’s omitted)	$	738,142		$	716,536		$	676,524		$	511,700		$	424,876		$	596,991
Total return2		5.85	%		3.26	%		15.17	%		15.47	%		(25.70	%)		12.95	%
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.08	%3		1.08	%		1.07	%		1.10	%		1.10	%		1.11	%
Net investment income		1.33	%3		1.49	%		1.52	%		1.48	%		1.50	%		1.37	%
Series portfolio turnover		25	%		65	%		62	%		62	%		76	%		82	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4		0.01	%		0.00	%4		N/A

¹Calculated based on average shares outstanding during the period.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

³Annualized.

⁴Less than 0.01%.

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

106

Financial Highlights - Pro-Blend^® Extended Term Series - Class I

				FOR THE YEARS ENDED 10/31/11
	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			FOR THE PERIOD 3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.38		$	10.26		$	9.08		$	8.10		$	10.00
Income (loss) from investment operations:
Net investment income		0.08	2		0.18	2		0.17	2		0.13	2		0.08
Net realized and unrealized gain (loss) on investments		0.49			0.17			1.22			1.10			(1.91	)
Total from investment operations		0.57			0.35			1.39			1.23			(1.83	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.23	)		(0.21	)		(0.25	)		(0.07	)
From net realized gain on investments		(0.46	)		—			—			—			—
Total distributions to shareholders		(0.61	)		(0.23	)		(0.21	)		(0.25	)		(0.07	)
Net asset value - End of period	$	10.34		$	10.38		$	10.26		$	9.08		$	8.10
Net assets - End of period (000’s omitted)	$	415,303		$	321,632		$	278,210		$	98,015		$	1,084
Total return3		6.07	%		3.43	%		15.39	%		15.82	%		(18.46	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.83	%4		0.83	%		0.83	%		0.85	%		0.85	%4
Net investment income		1.59	%4		1.74	%		1.76	%		1.59	%		1.62	%4
Series portfolio turnover		25	%		65	%		62	%		62	%		76	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%5		0.00	%5		0.02	%4

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized. 5Less than 0.01%.

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

107

Financial Highlights - Pro-Blend^® Extended Term Series - Class C

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 1/4/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.86		$	10.74		$	10.00
Income from investment operations:
Net investment income2		0.03			0.08			0.06
Net realized and unrealized gain on investments		0.51			0.19			0.73
Total from investment operations		0.54			0.27			0.79
Less distributions to shareholders:
From net investment income		(0.09	)		(0.15	)		(0.05	)
From net realized gain on investments		(0.46	)		—			—
Total distributions to shareholders		(0.55	)		(0.15	)		(0.05	)
Net asset value - End of period	$	10.85		$	10.86		$	10.74
Net assets - End of period (000’s omitted)	$	78,880		$	68,436		$	29,468
Total return3		5.49	%		2.49	%		7.97	%
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.83	%4		1.83	%		1.83	%4
Net investment income		0.59	%4		0.71	%		0.75	%4
Series portfolio turnover		25	%		65	%		62	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4,5

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during the period. Periods less than one year are not annualized.

⁴Annualized. 5Less than 0.01%.

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

108

Financial Highlights - Pro-Blend^® Extended Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 6/30/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.36		$	11.22		$	10.00
Income from investment operations:
Net investment income2		0.06			0.11			0.02
Net realized and unrealized gain on investments		0.54			0.23			1.20
Total from investment operations		0.60			0.34			1.22
Less distributions to shareholders:
From net investment income		(0.14	)		(0.20	)		—
From net realized gain on investments		(0.46	)		—			—
Total distributions to shareholders		(0.60	)		(0.20	)		—
Net asset value - End of period	$	11.36		$	11.36		$	11.22
Net assets - End of period (000’s omitted)	$	27,595		$	8,281		$	112
Total return3		5.77	%		3.04	%		12.20	%
Ratios (to average net assets)/
Supplemental Data:
Expenses		1.33	%4		1.33	%		1.33	%4
Net investment income		1.09	%4		0.97	%		0.43	%4
Series portfolio turnover		25	%		65	%		62	%

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during the period. Periods less than one year are not annualized.

⁴Annualized.

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

109

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 (November 1, 2011 to April 30, 2012).

Actual Expenses

The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, 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 Actual line for the Class in which you have invested 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 Hypothetical lines of the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ 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 for the Class in which you have invested 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. Therefore, the Hypothetical lines of the table are 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               11/1/11	ENDING  ACCOUNT VALUE               4/30/12	EXPENSES PAID  DURING PERIOD               11/1/11-4/30/12*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,070.80	$5.66	1.10%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.39	$5.52	1.10%
Class I
Actual	$1,000.00	$1,072.60	$4.38	0.85%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.64	$4.27	0.85%
Class C
Actual	$1,000.00	$1,067.50	$9.51	1.85%
Hypothetical (5% return before expenses)	$1,000.00	$1,015.66	$9.27	1.85%
Class R
Actual	$1,000.00	$1,068.90	$6.94	1.35%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.15	$6.77	1.35%

*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.

110

Portfolio Composition - Pro-Blend^® Maximum Term Series

As of April 30, 2012 (unaudited)

Sector Allocation3			Top Ten Stock Holdings4
Information Technology	18.41	%	Google, Inc. - Class A	2.75	%
Consumer Discretionary	17.43	%	Cerner Corp.	2.46	%
Financials	13.51	%	Monsanto Co.	2.39	%
Health Care	12.08	%	EMC Corp.	2.17	%
Industrials	8.92	%	DIRECTV - Class A	2.00	%
Energy	8.54	%	Time Warner, Inc.	1.90	%
Consumer Staples	7.63	%	Amazon.com, Inc.	1.88	%
Materials	4.32	%	Moody’s Corp.	1.74	%
Telecommunication Services	1.68	%	Carnival Corp.	1.73	%
Utilities	0.13	%	Hess Corp.	1.57	%
3Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.			4As a percentage of total investments.

111

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 89.83%
Consumer Discretionary - 17.28%
Auto Components - 0.13%
Halla Climate Control Corp. (South Korea)1		9,500	$	192,130
Hankook Tire Co. Ltd. (South Korea)1		15,270		644,176
Mando Corp. (South Korea)1		1,100		175,176
				1,011,482
Automobiles - 0.77%
Hyundai Motor Co. (South Korea)1		1,000		236,070
Suzuki Motor Corp. (Japan)1		10,200		240,072
Tesla Motors, Inc.*		9,390		311,091
Toyota Motor Corp. (Japan)1		5,500		225,378
Toyota Motor Corp. - ADR (Japan)		56,940		4,656,553
Yamaha Motor Co. Ltd. (Japan)1		26,000		347,271
				6,016,435
Distributors - 0.03%
Inchcape plc (United Kingdom)1		43,220		256,774
Diversified Consumer Services - 0.10%
Anhanguera Educacional Participacoes S.A. (Brazil)		24,120		319,128
Capella Education Co.*		6,200		202,802
Grand Canyon Education, Inc.*		13,880		241,373
				763,303
Hotels, Restaurants & Leisure - 2.34%
Accor S.A. (France)1		124,190		4,294,563
Carnival Corp.		414,700		13,473,603
Hyatt Hotels Corp. - Class A*		1,950		83,909
Intercontinental Hotels Group plc (United Kingdom)1		4,620		110,159
Orient-Express Hotels Ltd. - Class A - ADR (Bermuda)		19,020		203,324
TUI Travel plc (United Kingdom)1		44,130		136,851
				18,302,409
Household Durables - 0.15%
Corporacion Geo S.A.B. de C.V. - Class B (Mexico)*		66,310		88,577
DR Horton, Inc.		7,590		124,097
Lennar Corp. - Class A		8,080		224,139
LG Electronics, Inc. (South Korea)1		3,720		229,520
NVR, Inc.*		170		133,270
Rodobens Negocios Imobiliarios S.A. (Brazil)		43,750		255,227
Toll Brothers, Inc.*		4,230		107,442
				1,162,272
Internet & Catalog Retail - 1.92%
Amazon.com, Inc.*		62,920		14,591,148
Blue Nile, Inc.*		2,020		61,166

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

112

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Internet & Catalog Retail (continued)
Ocado Group plc (United Kingdom)*1		207,710	$	437,854
				15,090,168
Media - 10.71%
AMC Networks, Inc. - Class A*		217,590		9,247,575
DIRECTV - Class A*		315,100		15,524,977
Discovery Communications, Inc. - Class A*		195,250		10,625,505
Mediaset Espana Comunicacion S.A. (Spain)1		97,570		444,144
News Corp. - Class A		474,210		9,294,516
Reed Elsevier plc - ADR (United Kingdom)		5,125		169,381
Societe Television Francaise 1 (France)1		39,080		378,532
Time Warner, Inc.		394,960		14,795,202
Valassis Communications, Inc.*		7,510		150,200
Virgin Media, Inc. - ADR (United Kingdom)		354,650		8,710,204
The Walt Disney Co.		204,480		8,815,133
The Washington Post Co. - Class B		12,980		4,908,647
Wolters Kluwer N.V. (Netherlands)1		17,270		298,553
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		155,650		525,265
				83,887,834
Multiline Retail - 0.08%
Marks & Spencer Group plc (United Kingdom)1		48,350		280,226
PPR (France)1		1,965		328,841
				609,067
Specialty Retail - 1.01%
Aeropostale, Inc.*		11,330		251,299
American Eagle Outfitters, Inc.		14,040		252,860
Belle International Holdings Ltd. (Hong Kong)1		103,000		200,977
Chico’s FAS, Inc.		15,650		240,384
Dick’s Sporting Goods, Inc.		115,330		5,835,698
Group 1 Automotive, Inc.		3,230		186,952
Inditex S.A. (Spain)1		2,300		207,308
KOMERI Co. Ltd. (Japan)1		5,400		151,292
Penske Automotive Group, Inc.		6,550		173,182
Sonic Automotive, Inc. - Class A		9,350		157,267
Teavana Holdings, Inc.*		13,210		275,957
				7,933,176
Textiles, Apparel & Luxury Goods - 0.04%
Adidas AG (Germany)1		4,050		337,809
Total Consumer Discretionary				135,370,729

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

113

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples - 7.56%
Beverages - 2.63%
Anheuser-Busch InBev N.V. (Belgium)1		167,520	$	12,074,053
The Boston Beer Co., Inc. - Class A*		2,190		226,271
C&C Group plc (Ireland)*1		44,110		221,233
Carlsberg A/S - Class B (Denmark)1		3,750		323,707
Cia Cervecerias Unidas S.A. - ADR (Chile)		3,430		245,657
The Coca-Cola Co.		81,790		6,242,213
Companhia de Bebidas das Americas (AmBev) - ADR (Brazil)		3,400		142,732
Diageo plc (United Kingdom)1		24,560		619,484
Heineken N.V. (Netherlands)1		5,460		298,599
Kirin Holdings Co. Ltd. (Japan)1		18,000		229,184
				20,623,133
Food & Staples Retailing - 1.42%
Carrefour S.A. (France)1		24,970		501,558
Casino Guichard-Perrachon S.A. (France)1		2,880		282,957
Distribuidora Internacional de Alimentacion S.A. (Spain)*1		62,700		301,038
Koninklijke Ahold N.V. (Netherlands)1		163,230		2,071,781
The Kroger Co.		291,760		6,789,255
Raia Drogasil S.A. (Brazil)		14,500		155,030
SUPERVALU, Inc.		27,000		160,380
Tesco plc (United Kingdom)1		171,040		881,315
				11,143,314
Food Products - 3.33%
Barry Callebaut AG (Switzerland)1		390		375,453
Biostime International Holdings Ltd. (Cayman Islands)1		33,000		94,660
BRF - Brasil Foods S.A. (Brazil)		15,610		283,349
Charoen Pokphand Foods PCL (Thailand)1		166,600		207,234
Danone (France)1		127,510		8,976,565
Flowers Foods, Inc.		8,820		189,189
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		128,690		307,055
M Dias Branco S.A. (Brazil)		4,800		138,499
Nestle S.A. (Switzerland)1		60,780		3,725,162
Suedzucker AG (Germany)1		6,820		207,682
Unilever plc - ADR (United Kingdom)		337,274		11,575,244
				26,080,092
Household Products - 0.11%
Reckitt Benckiser Group plc (United Kingdom)1		14,820		862,723
Personal Products - 0.04%
Kao Corp. (Japan)1		3,900		104,502
Natura Cosmeticos S.A. (Brazil)		9,270		209,458
				313,960

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

114

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Tobacco - 0.03%
Gudang Garam Tbk PT (Indonesia)1		34,500	$	221,565
Total Consumer Staples				59,244,787
Energy - 8.47%
Energy Equipment & Services - 4.40%
Baker Hughes, Inc.		207,817		9,166,808
Calfrac Well Services Ltd. (Canada)		11,300		309,996
Cameron International Corp.*		99,810		5,115,262
CARBO Ceramics, Inc.		900		75,681
Compagnie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		4,720		135,359
Heckmann Corp.*		33,970		129,086
ION Geophysical Corp.*		22,000		137,060
Key Energy Services, Inc.*		11,080		140,273
Petroleum Geo-Services ASA (Norway)*1		14,000		211,789
Poseidon Concepts Corp. (Canada)		10,710		139,099
Schlumberger Ltd.		141,500		10,490,810
Tidewater, Inc.		2,800		154,084
Trican Well Service Ltd. (Canada)		44,200		639,387
Weatherford International Ltd. - ADR (Switzerland)*		530,166		7,565,469
				34,410,163
Oil, Gas & Consumable Fuels - 4.07%
Apache Corp.		28,720		2,755,397
Cameco Corp. (Canada)		16,960		374,816
Chesapeake Energy Corp.		147,330		2,716,765
Encana Corp. (Canada)		194,770		4,078,484
EOG Resources, Inc.		25,100		2,756,231
Hess Corp.		234,140		12,208,060
Pacific Rubiales Energy Corp. (Canada)		9,200		263,935
Paladin Energy Ltd. (Australia)*2		127,940		211,107
Petroleo Brasileiro S.A. - ADR (Brazil)		21,710		481,094
Range Resources Corp.		65,880		4,391,561
Royal Dutch Shell plc - Class B (Netherlands)1		7,474		273,508
Royal Dutch Shell plc - Class B - ADR (Netherlands)		7,420		544,331
Statoil ASA (Norway)1		11,920		319,842
Talisman Energy, Inc. (Canada)		40,030		523,549
				31,898,680
Total Energy				66,308,843
Financials - 11.41%
Capital Markets - 1.11%
The Charles Schwab Corp.		573,670		8,203,481
Deutsche Bank AG (Germany)1		3,960		171,915

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

115

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Capital Markets (continued)
Evercore Partners, Inc. - Class A		5,420	$	143,251
Greenhill & Co., Inc.		1,880		73,038
Lazard Ltd. - Class A - ADR (Bermuda)		4,250		116,917
				8,708,602
Commercial Banks - 1.70%
Banco Bilbao Vizcaya Argentaria S.A. - ADR (Spain)		28,160		190,080
Banco Santander S.A. (Spain)1		1,193,881		7,495,915
Banco Santander S.A. - ADR (Spain)		62,740		397,144
Barclays plc (United Kingdom)1		88,550		313,498
BNP Paribas S.A. (France)1		10,210		412,069
CIT Group, Inc.*		12,690		480,317
First Commonwealth Financial Corp.		121,280		779,830
Hong Leong Financial Group Berhad (Malaysia)1		105,620		416,054
HSBC Holdings plc (United Kingdom)1		32,180		290,495
HSBC Holdings plc - ADR (United Kingdom)		12,295		555,365
ICICI Bank Ltd. - ADR (India)		14,770		500,555
Standard Chartered plc (United Kingdom)1		11,010		269,147
U.S. Bancorp.		17,220		553,967
Wells Fargo & Co.		18,770		627,481
				13,281,917
Consumer Finance - 1.93%
American Express Co.		102,600		6,177,546
Discover Financial Services		262,870		8,911,293
				15,088,839
Diversified Financial Services - 3.96%
CME Group, Inc.		28,220		7,501,440
Deutsche Boerse AG (Germany)*1		127,220		7,987,987
ING Groep N.V. (Netherlands)*1		5,355		37,779
JPMorgan Chase & Co.		18,951		814,514
JSE Ltd. (South Africa)1		112,540		1,191,799
Moody’s Corp.		329,490		13,492,615
				31,026,134
Insurance - 0.62%
Admiral Group plc (United Kingdom)1		29,920		588,028
Allianz SE (Germany)1		7,740		863,328
The Allstate Corp.		19,070		635,603
AXA S.A. (France)1		4,615		65,580
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		52,400		563,819
Mapfre S.A. (Spain)1		296,900		859,496
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		3,663		532,051

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

116

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Insurance (continued)
Zurich Insurance Group AG (Switzerland)1		2,910	$	712,959
				4,820,864
Real Estate Investment Trusts (REITS) - 2.03%
Alexandria Real Estate Equities, Inc.		3,800		284,696
Alstria Office REIT AG (Germany)1		41,540		442,861
American Assets Trust, Inc.		3,990		93,805
American Campus Communities, Inc.		10,740		477,393
Apartment Investment & Management Co. - Class A		14,700		399,105
Associated Estates Realty Corp.		5,310		89,898
AvalonBay Communities, Inc.		1,710		248,634
BioMed Realty Trust, Inc.		34,100		675,862
Boston Properties, Inc.		3,220		348,565
Camden Property Trust		3,500		236,845
CBL & Associates Properties, Inc.		6,030		112,339
Cedar Realty Trust, Inc.		5,770		30,119
Coresite Realty Corp.		6,970		173,623
Corporate Office Properties Trust		20,750		488,663
CubeSmart		12,470		156,623
Digital Realty Trust, Inc.		33,150		2,489,233
DuPont Fabros Technology, Inc.		96,550		2,621,333
Education Realty Trust, Inc.		18,150		204,551
Equity Lifestyle Properties, Inc.		3,820		267,171
Equity One, Inc.		6,630		137,771
Equity Residential		3,720		228,557
General Growth Properties, Inc.		11,050		196,690
HCP, Inc.		7,450		308,803
Health Care REIT, Inc.		5,330		301,998
Healthcare Realty Trust, Inc.		2,240		48,115
Home Properties, Inc.		7,540		460,317
Host Hotels & Resorts, Inc.		19,393		322,699
Kimco Realty Corp.		4,410		85,598
Land Securities Group plc (United Kingdom)1		8,400		99,198
LTC Properties, Inc.		3,200		106,496
The Macerich Co.		1,600		98,512
Mack-Cali Realty Corp.		8,340		239,525
Mid-America Apartment Communities, Inc.		5,100		347,157
National Retail Properties, Inc.		6,590		180,434
Pebblebrook Hotel Trust		26,950		648,956
Potlatch Corp.		1,240		38,812
ProLogis, Inc.		2,960		105,909
Public Storage		950		136,097
Realty Income Corp.		5,130		201,814

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

117

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
Simon Property Group, Inc.		3,890	$	605,284
Sovran Self Storage, Inc.		6,630		349,401
Tanger Factory Outlet Centers		3,680		115,258
Taubman Centers, Inc.		1,360		104,965
UDR, Inc.		17,710		466,304
Unibail-Rodamco SE (France)1		440		82,332
				15,858,321
Real Estate Management & Development - 0.04%
General Shopping Brasil S.A. (Brazil)*		48,420		293,393
Thomas Properties Group, Inc.		11,440		55,827
				349,220
Thrifts & Mortgage Finance - 0.02%
Aareal Bank AG (Germany)*1		9,707		187,486
Total Financials				89,321,383
Health Care - 11.98%
Biotechnology - 0.94%
Dendreon Corp.*		51,730		602,655
Exact Sciences Corp.*		75,970		818,197
Myriad Genetics, Inc.*		226,950		5,902,969
				7,323,821
Health Care Equipment & Supplies - 4.67%
Abaxis, Inc.*		32,970		1,174,391
Alere, Inc.*		435,379		10,401,204
Becton, Dickinson and Co.		105,365		8,265,884
BioMerieux (France)1		8,070		661,341
Boston Scientific Corp.*		854,160		5,347,042
DexCom, Inc.*		52,704		515,972
HeartWare International, Inc.*		12,890		1,004,904
Insulet Corp.*		52,300		934,078
Mindray Medical International Ltd. - ADR (China)		11,550		378,378
Neogen Corp.*		5,700		222,243
Quidel Corp.*		34,730		573,740
Sirona Dental Systems, Inc.*		15,580		786,946
Straumann Holding AG (Switzerland)1		1,250		207,708
Thoratec Corp.*		17,700		616,137
Volcano Corp.*		201,380		5,467,467
				36,557,435
Health Care Providers & Services - 0.44%
Amil Participacoes S.A. (Brazil)		39,510		386,363
China Cord Blood Corp. - ADR (Hong Kong)*		98,000		286,160

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

118

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Providers & Services (continued)
Odontoprev S.A. (Brazil)		138,960	$	734,112
Sonic Healthcare Ltd. (Australia)1		157,370		2,058,658
				3,465,293
Health Care Technology - 3.43%
Allscripts Healthcare Solutions, Inc.*		570,410		6,320,143
Cerner Corp.*		235,846		19,124,752
Computer Programs & Systems, Inc.		9,340		556,571
Greenway Medical Technologies, Inc.*		32,590		501,886
Quality Systems, Inc.		9,630		360,162
				26,863,514
Life Sciences Tools & Services - 1.67%
Luminex Corp.*		26,250		657,300
QIAGEN N.V. (Netherlands)*1		12,980		214,618
QIAGEN N.V. - ADR (Netherlands)*		428,830		7,174,326
Waters Corp.*		46,960		3,949,806
WuXi PharmaTech (Cayman), Inc. - ADR (China)*		75,470		1,085,259
				13,081,309
Pharmaceuticals - 0.83%
AstraZeneca plc (United Kingdom)1		2,175		95,312
AstraZeneca plc - ADR (United Kingdom)		12,710		557,969
Bayer AG (Germany)1		11,706		824,848
Dr. Reddy’s Laboratories Ltd. - ADR (India)		13,570		459,073
GlaxoSmithKline plc (United Kingdom)1		14,755		340,863
Green Cross Corp. (South Korea)1		7,780		919,447
Hikma Pharmaceuticals plc (United Kingdom)1		58,560		596,919
Novo Nordisk A/S - Class B (Denmark)1		2,470		364,135
Optimer Pharmaceuticals, Inc.*		43,940		650,312
Sanofi (France)1		1,987		151,770
Santen Pharmaceutical Co. Ltd. (Japan)1		3,100		129,732
Shire plc (Ireland)1		16,590		540,713
Takeda Pharmaceutical Co. Ltd. (Japan)1		2,700		117,815
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		6,650		304,171
UCB S.A. (Belgium)1		10,000		467,602
				6,520,681
Total Health Care				93,812,053
Industrials - 8.79%
Aerospace & Defense - 0.03%
European Aeronautic Defence and Space Co. N.V. (Netherlands)1		6,890		272,283
Air Freight & Logistics - 1.39%
FedEx Corp		61,490		5,425,878

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

119

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Air Freight & Logistics (continued)
PostNL N.V. (Netherlands)1		23,170	$	100,824
United Parcel Service, Inc. - Class B		68,423		5,346,573
				10,873,275
Airlines - 2.67%
Copa Holdings S.A. - ADR - Class A (Panama)		8,600		699,266
Deutsche Lufthansa AG (Germany)1		17,640		229,714
Ryanair Holdings plc - ADR (Ireland)*		278,770		9,386,186
Southwest Airlines Co.		1,169,357		9,682,276
Spirit Airlines, Inc.*		11,900		285,838
US Airways Group, Inc.*		60,050		616,113
				20,899,393
Commercial Services & Supplies - 0.22%
Edenred (France)1		33,190		1,060,336
Interface, Inc. - Class A		5,060		71,650
Ritchie Bros. Auctioneers, Inc. (Canada)		10,170		214,892
Tomra Systems ASA (Norway)1		47,870		373,629
				1,720,507
Construction & Engineering - 1.01%
MYR Group, Inc.*		5,380		89,954
Quanta Services, Inc.*		353,590		7,821,411
				7,911,365
Electrical Equipment - 0.23%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		13,740		259,274
Alstom S.A. (France)1		14,500		518,586
Nexans S.A. (France)1		2,050		102,744
Polypore International, Inc.*		11,100		414,585
Prysmian S.p.A. (Italy)1		17,160		279,517
Schneider Electric S.A. (France)1		4,200		258,702
				1,833,408
Industrial Conglomerates - 0.14%
Siemens AG (Germany)1		11,480		1,065,576
Machinery - 1.86%
AGCO Corp.*		5,210		242,682
Astec Industries, Inc.*		2,380		74,470
Deere & Co.		2,000		164,720
FANUC Corp. (Japan)1		3,500		590,277
Flowserve Corp.		56,240		6,463,663
Graham Corp.		4,030		88,982
Pall Corp.		47,900		2,855,319

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

120

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Machinery (continued)
Pentair, Inc.		5,510	$	238,803
Titan International, Inc.		10,040		290,056
Trinity Industries, Inc.		5,500		162,800
Wabash National Corp.*		30,000		251,100
Westport Innovations, Inc. - ADR (Canada)*		101,220		3,168,186
				14,591,058
Marine - 0.06%
Baltic Trading Ltd.		11,570		53,800
D/S Norden (Denmark)1		8,020		227,617
Mitsui OSK Lines Ltd. (Japan)1		7,000		27,131
Nippon Yusen Kabushiki Kaisha (Japan)1		10,000		29,560
Pacific Basin Shipping Ltd. (Bermuda)1,3		60,000		31,399
Sinotrans Shipping Ltd. (Hong Kong)1		309,000		73,542
				443,049
Professional Services - 0.23%
The Advisory Board Co.*		11,690		1,065,660
Qualicorp S.A. (Brazil)*		80,180		698,680
				1,764,340
Road & Rail - 0.83%
All America Latina Logistica S.A. (Brazil)		135,210		612,157
Norfolk Southern Corp.		75,770		5,525,906
RailAmerica, Inc.*		17,070		395,683
				6,533,746
Transportation Infrastructure - 0.12%
Groupe Eurotunnel S.A. (France)1		39,430		331,748
Malaysia Airports Holdings Berhad (Malaysia)1		327,440		625,755
				957,503
Total Industrials				68,865,503
Information Technology - 18.26%
Communications Equipment - 4.34%
Alcatel-Lucent - ADR (France)*		380,160		574,042
Cisco Systems, Inc.		443,470		8,935,920
Infinera Corp.*		150,340		1,076,434
Juniper Networks, Inc.*		397,890		8,526,783
Qualcomm, Inc.		77,380		4,939,939
Riverbed Technology, Inc.*		502,740		9,919,060
				33,972,178
Computers & Peripherals - 2.33%
Apple, Inc.*		1,670		975,681

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

121

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Computers & Peripherals (continued)
EMC Corp.*		596,440	$	16,825,572
Immersion Corp.*		87,850		478,783
				18,280,036
Electronic Equipment, Instruments & Components - 2.04%
Amphenol Corp. - Class A		68,290		3,970,381
Corning, Inc.		713,900		10,244,465
Hitachi Ltd. (Japan)1		106,000		675,140
Keyence Corp. (Japan)1		1,146		270,532
Maxwell Technologies, Inc.*		23,250		221,107
Nippon Electric Glass Co. Ltd. (Japan)1		70,700		571,239
				15,952,864
Internet Software & Services - 3.26%
The Active Network, Inc.*		59,530		1,000,104
comScore, Inc.*		36,100		719,112
Google, Inc. - Class A*		35,269		21,345,857
LogMeIn, Inc.*		4,890		176,089
NHN Corp. (South Korea)1		2,000		452,130
Tencent Holdings Ltd. (China)1		31,000		969,798
Velti plc - ADR (Ireland)*		70,210		839,009
				25,502,099
IT Services - 3.91%
Amadeus IT Holding S.A. - Class A (Spain)1		210,180		4,302,773
Amdocs Ltd. - ADR (Guernsey)*		158,690		5,078,080
Cap Gemini S.A. (France)1		34,680		1,354,852
Cielo S.A. (Brazil)		—		6
Euronet Worldwide, Inc.*		40,000		865,200
MasterCard, Inc. - Class A		20,510		9,276,058
Visa, Inc. - Class A		73,650		9,057,477
The Western Union Co.		38,330		704,505
				30,638,951
Semiconductors & Semiconductor Equipment - 0.28%
Aixtron SE NA (Germany)1		15,700		286,857
Samsung Electronics Co. Ltd. (South Korea)1		460		563,022
Sumco Corp. (Japan)*1		55,600		590,231
Tokyo Electron Ltd. (Japan)1		9,300		515,370
Veeco Instruments, Inc.*		9,000		271,710
				2,227,190
Software - 2.10%
Autodesk, Inc.*		207,870		8,183,842

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

122

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Software (continued)
Aveva Group plc (United Kingdom)1		10,950	$	296,497
Electronic Arts, Inc.*		455,670		7,008,205
RealPage, Inc.*		27,570		500,395
SAP AG (Germany)1		6,540		433,689
				16,422,628
Total Information Technology				142,995,946
Materials - 4.28%
Chemicals - 3.39%
Arkema S.A. (France)1		40		3,548
BASF SE (Germany)1		7,190		591,973
Calgon Carbon Corp.*		22,488		311,234
Chr. Hansen Holding A/S (Denmark)1		5,800		160,939
Flotek Industries, Inc.*		9,360		127,670
Johnson Matthey plc (United Kingdom)1		19,780		742,768
Linde AG (Germany)1		3,230		552,856
Monsanto Co.		243,470		18,547,545
Shin-Etsu Chemical Co. Ltd. (Japan)1		2,600		150,071
Syngenta AG (Switzerland)1		15,350		5,382,887
				26,571,491
Construction Materials - 0.07%
CRH plc (Ireland)1		12,010		243,445
Eagle Materials, Inc.		3,880		136,654
Holcim Ltd. (Switzerland)1		2,710		169,029
				549,128
Metals & Mining - 0.82%
Alcoa, Inc.		638,840		6,215,913
Alumina Ltd. (Australia)1		94,560		112,948
Norsk Hydro ASA (Norway)1		21,070		102,742
				6,431,603
Total Materials				33,552,222
Telecommunication Services - 1.67%
Diversified Telecommunication Services - 1.49%
Swisscom AG - ADR (Switzerland)4		9,116		337,748
Telefonica S.A. - ADR (Spain)		39,010		570,716
Telenor ASA (Norway)1		553,990		10,183,117
Telenor ASA - ADR (Norway)4		9,830		541,535
				11,633,116
Wireless Telecommunication Services - 0.18%
DiGi.com Berhad (Malaysia)1		440,500		586,237

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

123

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES/ PRINCIPAL AMOUNT		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Telecommunication Services (continued)
Wireless Telecommunication Services (continued)
MTN Group Ltd. (South Africa)1		7,410	$	129,585
SK Telecom Co. Ltd. - ADR (South Korea)		53,960		729,539
				1,445,361
Total Telecommunication Services				13,078,477
Utilities - 0.13%
Electric Utilities - 0.04%
E.ON AG (Germany)1		13,630		308,607
Multi-Utilities - 0.05%
GDF Suez (France)1		4,464		102,780
National Grid plc (United Kingdom)1		24,670		266,400
				369,180
Water Utilities - 0.04%
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		15,510		363,309
Total Utilities				1,041,096
TOTAL COMMON STOCKS
(Identified Cost $650,187,924)				703,591,039
CORPORATE BONDS - 2.05%
Non-Convertible Corporate Bonds - 2.05%
Financials - 1.99%
Capital Markets - 0.73%
Barclays Bank plc (United Kingdom)5, 2.50%, 9/21/2015	$	2,425,000		2,487,048
BNP Paribas Home Loan Covered Bonds S.A. (France)5 , 2.20%, 11/2/2015		2,425,000		2,431,227
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		410,000		425,406
Morgan Stanley, 5.50%, 1/26/2020		405,000		395,877
				5,739,558
Commercial Banks - 1.05%
Bank of Nova Scotia (Canada)5, 1.45%, 7/26/2013		970,000		981,651
Bank of Nova Scotia (Canada)5, 1.65%, 10/29/2015		2,425,000		2,472,222
Royal Bank of Canada (Canada)5, 3.125%, 4/14/2015		2,135,000		2,262,353
The Toronto-Dominion Bank (Canada)5, 2.20%, 7/29/2015		2,425,000		2,520,213
				8,236,439
Consumer Finance - 0.05%
American Express Co., 8.125%, 5/20/2019		315,000		417,208
Diversified Financial Services - 0.16%
Bank of America Corp., 7.625%, 6/1/2019		340,000		391,868
Citigroup, Inc., 8.50%, 5/22/2019		330,000		410,018

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

124

Investment Portfolio - April 30, 2012

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	PRINCIPAL AMOUNT/ SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Diversified Financial Services (continued)
JPMorgan Chase & Co., 4.95%, 3/25/2020	$	385,000	$	422,786
				1,224,672
Total Financials				15,617,877
Industrials - 0.06%
Industrial Conglomerates - 0.06%
General Electric Capital Corp., 5.50%, 1/8/2020		375,000		428,773
TOTAL CORPORATE BONDS (Identified Cost $15,447,955)				16,046,650
U.S. TREASURY SECURITIES - 1.13%
U.S. Treasury Notes - 1.13%
U.S. Treasury Note, 3.125%, 10/31/2016 (Identified Cost $8,808,954)		8,000,000		8,850,624
U.S. GOVERNMENT AGENCIES - 5.41%
Other Agencies - 5.41%
Fannie Mae, 1.25%, 1/30/2017		22,000,000		22,268,774
Fannie Mae, 6.25%, 5/15/2029		1,608,000		2,235,319
Fannie Mae, 7.25%, 5/15/2030		1,448,000		2,231,233
Fannie Mae, 6.625%, 11/15/2030		1,528,000		2,231,028
Freddie Mac, 5.25%, 4/18/2016		7,556,000		8,877,356
Freddie Mac, 6.75%, 3/15/2031		1,508,000		2,231,694
Freddie Mac, 6.25%, 7/15/2032		1,608,000		2,300,413
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $41,623,746)				42,375,817
SHORT-TERM INVESTMENTS - 0.75%
Dreyfus Cash Management, Inc. - Institutional Shares6, 0.06%, (Identified Cost $5,888,812)		5,888,812		5,888,812
TOTAL INVESTMENTS - 99.17% (Identified Cost $721,957,391)				776,752,942
OTHER ASSETS, LESS LIABILITIES - 0.83%				6,474,653
NET ASSETS - 100%			$	783,227,595

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

125

Investment Portfolio - April 30, 2012

(unaudited)

ADR - American Depository Receipt

*Non-income producing security

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Traded on Canadian exchange.

³Traded on Hong Kong exchange.

⁴Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁵Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under rule 144A and have been determined to be liquid. These securities amount to $13,154,714, or 1.68%, of the Series’ net assets as of April 30, 2012.

⁶Rate shown is the current yield as of April 30, 2012.

126

Statement of Assets and Liabilities - Pro-Blend^® Maximum Term Series

April 30, 2012 (unaudited)

ASSETS:
Investments, at value (identified cost $721,957,391) (Note 2)	$	776,752,942
Cash		724,300
Foreign currency (identified cost $116,654)		114,908
Receivable for securities sold		11,278,475
Dividends receivable		876,866
Receivable for fund shares sold		649,571
Foreign tax reclaims receivable		585,383
Interest receivable		373,626
TOTAL ASSETS		791,356,071
LIABILITIES:
Accrued management fees (Note 3)		481,504
Accrued shareholder services fees (Class S) (Note 3)		103,538
Accrued transfer agent fees (Note 3)		58,635
Accrued fund accounting and administration fees (Note 3)		31,669
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R)(Note 3)		20,701
Accrued directors’ fees (Note 3)		3,647
Accrued Chief Compliance Officer service fees (Note 3)		415
Payable for securities purchased		4,300,890
Payable for fund shares repurchased		3,035,913
Other payables and accrued expenses		91,564
TOTAL LIABILITIES		8,128,476
TOTAL NET ASSETS	$	783,227,595
NET ASSETS CONSIST OF:
Capital stock	$	560,954
Additional paid-in-capital		728,482,571
Undistributed net investment income		795,661
Accumulated net realized loss on investments, foreign currency and translation of other assets and liabilities		(1,447,301	)
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		54,835,710
TOTAL NET ASSETS	$	783,227,595

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

127

Statement of Assets and Liabilities - Pro-Blend^® Maximum Term Series

April 30, 2012 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($496,539,072/29,704,991 shares)	$	16.72
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($255,035,459/23,658,778 shares)	$	10.78
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($20,794,637/1,853,843 shares)	$	11.22
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($10,858,427/877,760 shares)	$	12.37

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

128

Statement of Operations - Pro-Blend^® Maximum Term Series

For the Six Months Ended April 30, 2012 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $262,702)	$	4,926,567
Interest		671,325
Total Investment Income		5,597,892
EXPENSES:
Management fees (Note 3)		2,834,204
Shareholder services fees (Class S) (Note 3)		626,085
Transfer agent fees (Note 3)		104,054
Fund accounting and administration fees (Note 3)		68,128
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		93,984
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		20,965
Directors’ fees (Note 3)		10,821
Chief Compliance Officer service fees (Note 3)		1,246
Custodian fees		43,452
Miscellaneous		134,375
Total Expenses		3,937,314
NET INVESTMENT INCOME		1,660,578
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on- Investments		16,700,575
Foreign currency and translation of other assets and liabilities (net of Brazilian tax of $1,515)		8,157
		16,708,732
Net change in unrealized appreciation (depreciation) on- Investments		34,665,715
Foreign currency and translation of other assets and liabilities		(37,464	)
		34,628,251
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		51,336,983
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	52,997,561

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

129

Statements of Changes in Net Assets - Pro-Blend^® Maximum Term Series

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	1,660,578		$	5,050,643
Net realized gain (loss) on investments and foreign currency (net of Brazilian tax of $1,515 and $61,928, respectively)		16,708,732			36,622,584
Net change in unrealized appreciation (depreciation) on investments and foreign currency		34,628,251			(37,022,155	)
Net increase from operations		52,997,561			4,651,072
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(1,359,611	)		(2,786,497	)
From net investment income (Class I)		(1,387,803	)		(2,324,919	)
From net investment income (Class C)		(15,318	)		(42,076	)
From net investment income (Class R)		(38,419	)		(2,032	)
Total distributions to shareholders		(2,801,151	)		(5,155,524	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(11,300,017	)		7,297,306
Net increase in net assets		38,896,393			6,792,854
NET ASSETS:
Beginning of period		744,331,202			737,538,348
End of period (including undistributed net investment income of $795,661 and $1,936,234, respectively)	$	783,227,595		$	744,331,202

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

130

Financial Highlights - Pro-Blend^® Maximum Term Series - Class S

	FOR THE SIX			FOR THE YEARS ENDED
	MONTHS ENDED 4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			10/31/08			10/31/07
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	15.66		$	15.59		$	13.35		$	11.50		$	19.57		$	18.35
Income (loss) from investment operations:
Net investment income		0.03	1		0.10	1		0.08	1		0.06	1		0.12			0.11
Net realized and unrealized gain (loss) on investments		1.07			0.05			2.21			1.90			(6.22	)		2.41
Total from investment operations		1.10			0.15			2.29			1.96			(6.10	)		2.52
Less distributions to shareholders:
From net investment income		(0.04	)		(0.08	)		(0.05	)		(0.11	)		(0.10	)		(0.15	)
From net realized gain on investments		—			—			—			—			(1.87	)		(1.15	)
Total distributions to shareholders		(0.04	)		(0.08	)		(0.05	)		(0.11	)		(1.97	)		(1.30	)
Net asset value - End of period	$	16.72		$	15.66		$	15.59		$	13.35		$	11.50		$	19.57
Net assets - End of period (000’s omitted)	$	496,539		$	512,215		$	539,781		$	443,770		$	342,015		$	517,766
Total return2		7.08	%		0.94	%		17.17	%		17.34	%		(34.19	%)		14.37	%
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.10	%3		1.09	%		1.10	%		1.10	%		1.10	%		1.12	%
Net investment income		0.38	%3		0.59	%		0.54	%		0.55	%		0.77	%		0.67	%
Series portfolio turnover		28	%		65	%		68	%		67	%		82	%		61	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%4		0.03	%		0.04	%		N/A

¹Calculated based on average shares outstanding during the period.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

³Annualized.

⁴Less than 0.01%.

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

131

Financial Highlights - Pro-Blend^® Maximum Term Series - Class I

	FOR THE SIX			FOR THE YEARS ENDED
	MONTHS ENDED 4/30/12 (UNAUDITED)			10/31/11			10/31/10			10/31/09			FOR THE PERIOD 3/28/081 TO 10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.12		$	10.12		$	8.70		$	7.57		$	10.00
Income (loss) from investment operations:
Net investment income		0.03	2		0.09	2		0.08	2		0.05	2		0.05
Net realized and unrealized gain (loss) on investments		0.70			0.03			1.43			1.24			(2.44	)
Total from investment operations		0.73			0.12			1.51			1.29			(2.39	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.12	)		(0.09	)		(0.16	)		(0.04	)
Net asset value - End of period	$	10.78		$	10.12		$	10.12		$	8.70		$	7.57
Net assets - End of period (000’s omitted)	$	255,035		$	210,597		$	190,344		$	52,271		$	2,597
Total return3		7.26	%		1.14	%		17.47	%		17.58	%		(24.01	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		0.85	%4		0.84	%		0.85	%		0.85	%		0.85	%4
Net investment income		0.64	%4		0.83	%		0.81	%		0.68	%		0.88	%4
Series portfolio turnover		28	%		65	%		68	%		67	%		82	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.00	%5		0.02	%		0.08	%4

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Less than 0.01%.

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

132

Financial Highlights - Pro-Blend^® Maximum Term Series - Class C

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 1/4/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.52		$	10.54		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.02	)		(0.02	)		(0.01	)
Net realized and unrealized gain on investments		0.73			0.04			0.58
Total from investment operations		0.71			0.02			0.57
Less distributions to shareholders:
From net investment income		(0.01	)		(0.04	)		(0.03	)
Net asset value - End of period	$	11.22		$	10.52		$	10.54
Net assets - End of period (000’s omitted)	$	20,795		$	18,102		$	7,383
Total return3		6.75	%		0.15	%		5.68	%
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.85	%4		1.84	%		1.85	%4
Net investment loss		(0.36	%)4		(0.15	%)		(0.13	%)4
Series portfolio turnover		28	%		65	%		68	%
* For certain periods presented, the investment advisor did not impose all or a portion of its management fees and/or other fees. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount:
		N/A			N/A			0.01	%4

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

⁴Annualized.

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

133

Financial Highlights - Pro-Blend^® Maximum Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/12 (UNAUDITED)			FOR THE YEAR ENDED 10/31/11			FOR THE  PERIOD 6/30/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.63		$	11.64		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.01			0.00	3		(0.01	)
Net realized and unrealized gain on investments		0.78			0.09			1.65
Total from investment operations		0.79			0.09			1.64
Less distributions to shareholders:
From net investment income		(0.05	)		(0.10	)		—
Net asset value - End of period	$	12.37		$	11.63		$	11.64
Net assets - End of period (000’s omitted)	$	10,858		$	3,418		$	31
Total return4		6.89	%		0.71	%		16.40	%
Ratios (to average net assets)/
Supplemental Data:
Expenses		1.35	%5		1.34	%		1.35	%5
Net investment income		0.14	%5		0.04	%		(0.38	%)5
Series portfolio turnover		28	%		65	%		68	%

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

⁴Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

⁵Annualized.

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

134

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 (the “1940 Act”), 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 six classes of shares (Class C, R, E, I, S and Z). Currently, only Class S, I, C and R shares have been issued. Each class of shares is substantially the same, except that class-specific transfer agency 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, LLC (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 15 billion shares of common stock each having a par value of $0.01. As of April 30, 2012, 9.8 billion shares have been designated in total among 41 series, of which 162.5 million have been designated as Pro-Blend^® Conservative Term Series Class S common stock, 75 million have been designated as Pro-Blend^® Conservative Term Series Class I common stock, 125 million each have been designated as Class S common stock and Class I common stock for Pro-Blend^® Moderate Term Series, 125 million each have been designated as Class S common stock for Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, 200 million each have been designated as Class I common stock for Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, 25 million each have been designated as Class C common stock for Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series and 52.5 million each have been designated as Class R common stock for Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series.

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.

Debt securities, including government bonds, foreign bonds, asset-backed securities, structured notes, supranational obligations, sovereign bonds, corporate bonds and mortgage-backed securities will normally be valued on the basis of evaluated bid prices provided directly by an independent pricing service. The pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as a benchmark yield curves, option-adjusted spreads, credit spreads, estimated defaulted rates, coupon rates, anticipated timing of principal repayments, underlying collateral and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Certain investments in securities held by the Series may be valued on a basis of a price provided directly by a principal market maker. These prices may differ from the value that would have been used had a broader market for securities existed.

Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.

135

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as 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”). 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. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instruments’ level with in the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to their fair value measure. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of April 30, 2012 in valuing the Series’ assets or liabilities carried at fair value:

	PRO-BLEND® CONSERVATIVE TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	51,454,080	$	47,750,647	$	3,703,433	$	—
Consumer Staples		30,041,073		18,639,534		11,401,539		—
Energy		26,224,486		25,783,547		440,939		—
Financials		39,460,992		35,656,472		3,804,520		—
Health Care		34,630,785		30,925,930		3,704,855		—
Industrials		18,216,683		15,092,374		3,124,309		—
Information Technology		64,815,609		59,154,568		5,661,041		—
Materials		17,940,638		13,895,379		4,045,259		—
Telecommunication Services		5,666,763		435,551		5,231,212		—
Utilities		342,239		137,266		204,973		—
Preferred Securities:
Financials		2,946,455		1,098,271		1,848,184		—

136

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

	PRO-BLEND® CONSERVATIVE TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Debt securities:
U.S. Treasury and other U.S. Government agencies	$	497,335,135	$	—	$	497,335,135	$	—
Corporate Debt:
Consumer Discretionary		56,302,867		—		56,302,867		—
Consumer Staples		8,135,599		—		8,135,599		—
Energy		21,248,908		—		21,248,908		—
Financials		165,902,169		—		165,902,169		—
Health Care		12,465,332		—		12,465,332		—
Industrials		33,926,574		—		33,926,574		—
Information Technology		6,664,506		—		6,664,506		—
Materials		21,950,943		—		21,950,943		—
Telecommunication Services		5,404,958		—		5,404,958		—
Utilities		6,526,074		—		6,526,074		—
Convertible corporate debt:
Financials		495,075		—		495,075		—
Health Care		174,600		—		174,600		—
Information Technology		71,100		—		71,100		—
Materials		351,450		—		351,450		—
Asset-backed securities		4,719,697		—		4,719,697		—
Commercial mortgage-backed securities		24,407,799		—		24,407,799		—
Foreign government bonds		40,581,316		—		40,581,316		—
Mutual funds		57,171,537		57,171,537		—		—
Total assets	$	1,255,575,442	$	305,741,076	$	949,834,366	$	—

	PRO-BLEND® MODERATE TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1			LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	98,611,403	$	91,144,794		$	7,466,609	$	—
Consumer Staples		60,447,106		34,856,479			25,590,627		—
Energy		50,065,979		49,152,149			913,830		—
Financials		71,775,241		63,020,296			8,754,945		—
Health Care		69,681,607		61,162,863	��		8,518,744		—
Industrials		37,010,656		30,437,906			6,572,750		—
Information Technology		127,031,762		114,766,751			12,265,011		—
Materials		34,049,530		26,126,674			7,922,856		—
Telecommunication Services		12,366,886		1,201,189			11,165,697		—
Utilities		948,408		312,244			636,164		—
Preferred Securities:
Financials		4,414,895		2,121,267			2,293,628		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		286,644,791		—			286,644,791		—
Corporate Debt:
Consumer Discretionary		33,194,194		—			33,194,194		—

137

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

	PRO-BLEND® MODERATE TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Consumer Staples	$	3,292,691	$	—	$	3,292,691	$	—
Energy		18,258,760		—		18,258,760		—
Financials		145,552,244		—		145,552,244		—
Health Care		15,984,157		—		15,984,157		—
Industrials		35,678,708		—		35,678,708		—
Information Technology		8,660,146		—		8,660,146		—
Materials		24,954,859		—		24,954,859		—
Telecommunication Services		10,820,403		—		10,820,403		—
Utilities		2,802,997		—		2,802,997		—
Convertible corporate debt:
Financials		996,187		—		996,187		—
Health Care		410,662		—		410,662		—
Information Technology		382,163		—		382,163		—
Materials		639,444		—		639,444		—
Asset-backed securities		2,842,382		—		2,842,382		—
Commercial mortgage-backed securities		24,664,892		—		24,664,892		—
Foreign government bonds		31,946,669		—		31,946,669		—
Mutual funds		49,871,387		49,871,387		—		—
Total assets	$	1,264,001,209	$	524,173,999	$	739,827,210	$	—

	PRO-BLEND® EXTENDED TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	128,663,661	$	118,989,208	$	9,674,453	$	—
Consumer Staples		82,404,169		47,840,459		34,563,710		—
Energy		59,499,036		58,271,414		1,227,622		—
Financials		87,866,641		76,832,245		11,034,396		—
Health Care		83,231,086		72,566,305		10,664,781		—
Industrials		50,007,429		40,897,896		9,109,533		—
Information Technology		166,601,787		151,263,937		15,337,850		—
Materials		44,799,283		35,157,687		9,641,596		—
Telecommunication Services		16,837,225		1,616,939		15,220,286		—
Utilities		1,186,479		445,762		740,717		—
Preferred Securities:
Financials		4,657,898		2,192,495		2,465,403		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		190,719,680		—		190,719,680		—
Corporate Debt:
Consumer Discretionary		26,676,962		—		26,676,962		—
Consumer Staples		3,193,997		—		3,193,997		—
Energy		13,555,587		—		13,555,587		—
Financials		116,110,957		—		116,110,957		—
Health Care		11,467,242		—		11,467,242		—
Industrials		29,237,977		—		29,237,977		—

138

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

	PRO-BLEND® EXTENDED TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Information Technology	$	6,993,321	$	—	$	6,993,321	$	—
Materials		17,500,246		—		17,500,246		—
Telecommunication Services		10,675,993		—		10,675,993		—
Utilities		3,981,830		—		3,981,830		—
Convertible corporate debt:
Financials		1,026,375		—		1,026,375		—
Health Care		460,975		—		460,975		—
Information Technology		595,463		—		595,463		—
Materials		644,325		—		644,325		—
Asset-backed securities		3,089,458		—		3,089,458		—
Commercial mortgage-backed securities		25,708,547		—		25,708,547		—
Foreign government bonds		23,470,456		—		23,470,456		—
Mutual funds		48,721,167		48,721,167		—		—
Total assets	$	1,259,585,252	$	654,795,514	$	604,789,738	$	—
	PRO-BLEND® MAXIMUM TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities*:
Consumer Discretionary	$	135,370,729	$	124,691,788	$	10,678,941	$	—
Consumer Staples		59,244,787		26,664,332		32,580,455		—
Energy		66,308,843		65,368,345		940,498		—
Financials		89,321,383		66,301,406		23,019,977		—
Health Care		93,812,053		86,120,572		7,691,481		—
Industrials		68,865,503		62,666,563		6,198,940		—
Information Technology		142,995,946		131,713,816		11,282,130		—
Materials		33,552,222		25,339,016		8,213,206		—
Telecommunication Services		13,078,477		1,300,255		11,778,222		—
Utilities		1,041,096		363,309		677,787		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		51,226,441		—		51,226,441		—
Corporate Debt:
Financials		15,617,877		—		15,617,877		—
Industrials		428,773		—		428,773		—
Mutual funds		5,888,812		5,888,812		—		—
Total assets	$	776,752,942	$	596,418,214	$	180,334,728	$	—

There were no Level 3 securities held by any of the Pro-Blend^® Series as of October 31, 2011 or April 30, 2012.

*Includes common stock, warrants and rights. Please see the Investment Portfolio for each of the Series for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2012.

139

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Recent Accounting Standard

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04, “Fair Value Measurements (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs” (“ASU 2011-04”). ASU 2011-04 clarifies the application of existing fair value measurement requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements.

Required disclosures are expanded under the new guidance, especially for fair value measurements that are categorized within Level 3 of the fair value hierarchy, for which quantitative information about the unobservable inputs used, and a narrative description of the valuation processes in place and sensitivity of recurring Level 3 measurements to changes in unobservable inputs will be required.

ASU 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is to be applied prospectively. Management is currently assessing the impact of this guidance, but does not expect it to have a material impact on the Series’ financial statements.

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 Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair 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.

Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that Class.

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 fair 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.

Forward Foreign Currency Exchange Contracts

The Series may purchase or sell forward foreign currency exchange contracts in order to hedge a portfolio position or specific transaction. Risks may arise if the counterparties to a contract are unable to meet the terms of the contract or if the value of the foreign currency moves unfavorably.

All forward foreign currency exchange contracts are adjusted daily by the exchange rate of the underlying currency and, for financial statement purposes, any gain or loss is recorded as unrealized gain or loss until a contract has been closed. Realized and unrealized gain or loss arising from a transaction is included in net realized and unrealized gain (loss) on investments.

140

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Forward Foreign Currency Exchange Contracts (continued)

Each Series may regularly trade forward foreign currency exchange contracts with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to changes in foreign currency exchange rates.

The notional or contractual amount of these instruments represents the investment the Series have in forward foreign currency exchange contracts and does not necessarily represent the amounts potentially at risk. The measurement of the risks associated with forward foreign currency exchange contracts is meaningful only when all related and offsetting transactions are considered. Investments in forward foreign currency exchange contacts held by each Series, if any, on April 30, 2012 are shown at the end of each Investment Portfolio. The average volume of derivative activity (measured in terms of notional amounts) during the six months ended April 30, 2012 was $61,226, $157,899 and $154,676 for Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series and Pro-Blend^® Extended Term Series, respectively.

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.

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. Information regarding securities purchased on a when-issued basis is included in each applicable Series’ Investment Portfolio. None of the Series had TBA dollar rolls outstanding as of April 30, 2012.

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 tax 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.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2012, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

141

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Federal Taxes (continued)

The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2008 through October 31, 2011. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Foreign Taxes

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

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.

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 0.60% for Pro-Blend^® Conservative Term Series and 0.75% 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 plus a fee for each committee meeting attended.

Class S shares of each Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund’s Board. The shareholder services fee is intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, Class S of each Series pays a fee, computed daily and payable monthly, at an annual rate of 0.20% for Pro-Blend^® Conservative Term Series Class S and 0.25% for Pro-Blend^® Moderate Term Series Class S, Pro-Blend^® Extended Term Series Class S and Pro-Blend^® Maximum Term Series Class S, of the Class’ average daily

142

Notes to Financial Statements (continued)

3. Transactions with Affiliates (continued)

net assets. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.

The Advisor has contractually agreed, until at least February 28, 2013, 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 the amounts presented in the following table, exclusive of shareholder services fees and distribution and service fees (12b-1), of average daily net assets each year. In addition, the Advisor has voluntarily agreed to waive fees and reimburse expenses during the current fiscal year in order to keep total direct annual fund operating expenses for the Series at no more than the amounts presented in the following table, inclusive of shareholder services fees and distribution and service fees (12b-1), of average daily net assets each year.

SERIES/CLASS	EXPENSE LIMIT	VOLUNTARY EXPENSE LIMITATION
Pro-Blend® Conservative Term Series Class S	0.80%	0.90%
Pro-Blend® Conservative Term Series Class I	0.70%	—
Pro-Blend® Conservative Term Series Class C	0.80%	1.70%
Pro-Blend® Conservative Term Series Class R	0.80%	1.20%
Pro-Blend® Moderate Term Series Class S	0.95%	1.10%
Pro-Blend® Moderate Term Series Class I	0.85%	—
Pro-Blend® Moderate Term Series Class C	0.95%	1.85%
Pro-Blend® Moderate Term Series Class R	0.95%	1.35%
Pro-Blend® Extended Term Series Class S	0.95%	1.10%
Pro-Blend® Extended Term Series Class I	0.85%	—
Pro-Blend® Extended Term Series Class C	0.95%	1.85%
Pro-Blend® Extended Term Series Class R	0.95%	1.35%
Pro-Blend® Maximum Term Series Class S	0.95%	1.10%
Pro-Blend® Maximum Term Series Class I	0.85%	—
Pro-Blend® Maximum Term Series Class C	0.95%	1.85%
Pro-Blend® Maximum Term Series Class R	0.95%	1.35%

The Advisor may change or eliminate all or part of its voluntary waiver at any time. For the six months ended April 30, 2012, the Advisor did not waive fees or reimburse expenses for any 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. Each Series compensates the distributor for distributing and servicing the Series’ Class C and Class R shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series pays distribution and services fees to the distributor at an annual rate of 1.00% of average daily net assets attributable to Class C shares and an annual rate of 0.50% of daily net assets attributable to Class R shares. There are no distribution and services fees on the Class S or Class I shares of each Series. The fees are accrued daily and paid monthly.

The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent. The Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0175% on the first $3 billion of average daily net assets (excluding Target Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series); plus a base fee of $25,500 per series. Transfer Agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and cusip-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.

143

Notes to Financial Statements (continued)

4. Purchases and Sales of Securities

For the six months ended April 30, 2012, 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	$	179,102,517	$	185,738,905	$	135,782,893	$	86,089,242
Pro-Blend® Moderate Term Series		237,220,636		144,807,777		233,065,210		34,328,014
Pro-Blend® Extended Term Series		255,052,573		134,683,234		214,462,072		77,398,478
Pro-Blend® Maximum Term Series		175,579,679		44,501,580		178,499,866		27,393,125

5. Capital Stock Transactions

Transactions in Class S, Class I, Class C and Class R shares:

PRO-BLEND® CONSERVATIVE TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		16,719,091		$	218,365,373			41,128,782		$	538,739,989
Reinvested		1,849,804			23,363,027			2,348,318			29,945,209
Repurchased		(12,758,174	)		(166,986,117	)		(28,447,470	)		(372,362,380	)
Total		5,810,721		$	74,742,283			15,029,630		$	196,322,818
PRO-BLEND® CONSERVATIVE TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		6,952,280		$	73,214,021			6,621,598		$	70,534,777
Reinvested		377,703			3,863,900			464,786			4,845,089
Repurchased		(3,728,694	)		(39,428,958	)		(2,853,614	)		(30,612,336	)
Total		3,601,289		$	37,648,963			4,232,770		$	44,767,530
PRO-BLEND® CONSERVATIVE TERM SERIES CLASS C:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,512,787		$	15,615,937			2,878,263		$	29,930,044
Reinvested		137,731			1,370,422			87,934			892,913
Repurchased		(297,447	)		(3,056,691	)		(482,213	)		(5,010,887	)
Total		1,353,071		$	13,929,668			2,483,984		$	25,812,070
PRO-BLEND® CONSERVATIVE TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		735,752		$	7,577,160			313,344		$	3,231,709
Reinvested		17,695			175,711			456			4,741
Repurchased		(75,137	)		(770,350	)		(42,968	)		(447,772	)
Total		678,310		$	6,982,521			270,832		$	2,788,678

144

Notes to Financial Statements (continued)

5. Capital Stock Transactions (continued)

PRO-BLEND® MODERATE TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		8,052,225		$	102,810,193			21,968,787		$	286,379,412
Reinvested		2,221,877			26,795,850			1,475,969			18,769,387
Repurchased		(7,657,008	)		(97,733,043	)		(19,552,324	)		(255,845,262	)
Total		2,617,094		$	31,873,000			3,892,432		$	49,303,537
PRO-BLEND® MODERATE TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		10,525,197		$	107,151,566			10,586,608		$	112,330,732
Reinvested		1,496,933			14,505,281			931,494			9,639,123
Repurchased		(3,909,912	)		(39,730,007	)		(5,691,539	)		(60,329,149	)
Total		8,112,218		$	81,926,840			5,826,563		$	61,640,706
PRO-BLEND® MODERATE TERM SERIES CLASS C:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT
Sold		1,569,974		$	16,332,220			3,188,019		$	34,023,071
Reinvested		269,846			2,647,188			101,484			1,061,587
Repurchased		(491,656	)		(5,137,597	)		(773,849	)		(8,231,166	)
Total		1,348,164		$	13,841,811			2,515,654		$	26,853,492
PRO-BLEND® MODERATE TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,063,862		$	11,271,114			1,781,246		$	19,006,290
Reinvested		110,982			1,117,588			2,016			21,870
Repurchased		(238,340	)		(2,536,691	)		(99,656	)		(1,089,061	)
Total		936,504		$	9,852,011			1,683,606		$	17,939,099
PRO-BLEND® EXTENDED TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		5,153,156		$	78,537,555			16,001,971		$	251,124,390
Reinvested		1,837,166			26,326,833			564,378			8,698,817
Repurchased		(6,382,719	)		(97,895,146	)		(14,847,080	)		(232,518,001	)
Total		607,603		$	6,969,242			1,719,269		$	27,305,206
PRO-BLEND® EXTENDED TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		13,510,865		$	133,602,428			12,745,928		$	134,769,394
Reinvested		1,170,823			11,017,451			363,643			3,769,679
Repurchased		(5,477,351	)		(54,243,678	)		(9,261,024	)		(98,182,021	)
Total		9,204,337		$	90,376,201			3,848,547		$	40,357,052

145

Notes to Financial Statements (continued)

5. Capital Stock Transactions (continued)

PRO-BLEND® EXTENDED TERM SERIES CLASS C:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,083,750		$	11,509,386			4,089,975		$	45,138,799
Reinvested		359,929			3,566,891			50,691			552,372
Repurchased		(475,367	)		(5,061,785	)		(581,472	)		(6,343,489	)
Total		968,312		$	10,014,492			3,559,194		$	39,347,682
PRO-BLEND® EXTENDED TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,812,700		$	19,875,643			742,885		$	8,337,390
Reinvested		107,100			1,109,554			933			10,782
Repurchased		(218,734	)		(2,446,935	)		(24,790	)		(288,098	)
Total		1,701,066		$	18,538,262			719,028		$	8,060,074
‘PRO-BLEND® MAXIMUM TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,676,019		$	42,952,132			10,313,961		$	170,140,771
Reinvested		89,561			1,327,303			167,146			2,721,541
Repurchased		(5,776,097	)		(92,871,026	)		(12,380,054	)		(201,770,974	)
Total		(3,010,517	)	$	(48,591,591	)		(1,898,947	)	$	(28,908,662	)
PRO-BLEND® MAXIMUM TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		7,798,965		$	78,864,181			8,318,101		$	88,898,033
Reinvested		72,111			688,656			94,403			994,204
Repurchased		(5,014,608	)		(50,414,727	)		(6,413,546	)		(68,366,415	)
Total		2,856,468		$	29,138,110			1,998,958		$	21,525,822
PRO-BLEND® MAXIMUM TERM SERIES CLASS C:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		338,763		$	3,674,027			1,158,000		$	12,880,192
Reinvested		1,483			14,790			3,732			41,088
Repurchased		(206,446	)		(2,233,354	)		(141,903	)		(1,528,428	)
Total		133,800		$	1,455,463			1,019,829		$	11,392,852
PRO-BLEND® MAXIMUM TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/12						FOR THE YEAR ENDED 10/31/11
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		649,796		$	7,484,989			319,544		$	3,625,125
Reinvested		3,422			37,565			166			2,032
Repurchased		(69,438	)		(824,553	)		(28,368	)		(339,863	)
Total		583,780		$	6,698,001			291,342		$	3,287,294

146

Notes to Financial Statements (continued)

5. Capital Stock Transactions (continued)

At April 30, 2012, the retirement plan of the Advisor and its affiliates owned the following:

SERIES	SHARES OWNED		PERCENTAGE OF SERIES SHARES OUTSTANDING			VALUE
Pro-Blend® Conservative Term Series		111,100		0.1	%	$	1,199,881
Pro-Blend® Moderate Term Series		248,040		0.2	%		2,609,382
Pro-Blend® Extended Term Series		1,674,678		1.7	%		17,316,168
Pro-Blend® Maximum Term Series		1,644,768		2.9	%		17,730,595

In addition, one shareholder owned 14,892,998 shares of Pro-Blend^® Moderate Term Series (14.0% of shares outstanding) valued at $156,674,341. The Target 2030 Series, another series of the Fund, owned 10,744,667 shares of Pro-Blend^® Extended Term Series (11.1% of shares outstanding) valued at $111,099,857. The Target 2040 Series, another series of the Fund, owned 7,021,587 shares of Pro-Blend^® Maximum Term Series (12.5% of shares outstanding) valued at $75,692,710. Investment activities of these shareholders may have a material effect on the Series.

6. Financial Instruments

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms, liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s) and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of April 30, 2012.

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 U.S. 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 U.S. 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. 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 final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2011 were as follows:

	PRO-BLEND® CONSERVATIVE TERM SERIES		PRO-BLEND® MODERATE TERM SERIES		PRO-BLEND® EXTENDED TERM SERIES		PRO-BLEND® MAXIMUM TERM SERIES
Ordinary income	$	24,078,415	$	16,673,921	$	16,063,588	$	5,155,524
Long-term capital gains		15,715,342		15,353,111		—		—

147

Notes to Financial Statements (continued)

8. Federal Income Tax Information (continued)

At October 31, 2011, the Pro-Blend^® Maximum Term Series had a capital loss carryover of $15,938,718, available to the extent allowed by tax law to offset future net capital gain, if any, which will expire on October 31, 2017.

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act made changes to several tax rules including the unlimited carryover of future capital losses, which will retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Series were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At April 30, 2012, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

	PRO-BLEND® CONSERVATIVE TERM SERIES			PRO-BLEND® MODERATE TERM SERIES			PRO-BLEND® EXTENDED TERM SERIES			PRO-BLEND® MAXIMUM TERM SERIES
Cost for federal income tax purposes	$	1,189,971,341		$	1,184,180,165		$	1,170,715,637		$	723,973,954
Unrealized appreciation		77,510,685			105,473,845			124,136,606			92,514,026
Unrealized depreciation		(11,906,584	)		(25,652,801	)		(35,266,991	)		(39,735,038	)
Net unrealized appreciation	$	65,604,101		$	79,821,044		$	88,869,615		$	52,778,988

148

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2011, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board.

Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2011 Annual Review of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.

• The Board considered the services provided by the Advisor under the 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 Agreement in light of the Advisor’s services provided to the Fund for 25 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 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 the various Series were competitive against their respective benchmarks and/or peer groups over various time periods, but in particular over the full market cycle period relevant for the Series. 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 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 Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the 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 10 of the 29 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 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 Pro-Blend Class R and Class C, and Target Class R and Class C (and a few Class K), 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.

149

Renewal of Investment Advisory Agreement

(unaudited)

• 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 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 persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the 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 Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.

150

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151

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152

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 30^th 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.manning-napier.com

Additional information available at www.manning-napier.com

1. Fund Holdings - Month-End

2. Fund Holdings - Quarter-End

3. Shareholder Report - Annual

4. Shareholder Report - Semi-Annual

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and / or quarterly statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

MNPRO-04/12-SAR

ITEM 2: CODE OF ETHICS

Not applicable for Semi-Annual Reports.

ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT

Not applicable for Semi-Annual Reports.

ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES

Not applicable for Semi-Annual Reports.

ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

ITEM 6: INVESTMENTS

(a) See Investment Portfolios under Item 1 on this Form N-CSR.

(b) Not applicable.

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) Not applicable for Semi-Annual Reports.

(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.

June 18, 2012

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.

June 18, 2012

/s/ Christine Glavin

Christine Glavin

Chief Financial Officer & Principal Financial Officer of Manning & Napier Fund, Inc.

June 18, 2012