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

--------------------------------------------------

Manning & Napier Fund, Inc.

------------------------------------------------------------------------------------

(Exact name of registrant as specified in charter)

290 Woodcliff Drive, Fairport, NY 14450

------------------------------------------------------------------------------------

(Address of principal executive offices)(Zip Code)

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

------------------------------------------------------------------------------------

(Name and address of agent for service)

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

----------------------------------

Date of fiscal year end: October 31

------------------------------------------------------------

Date of reporting period: November 1, 2012 through April 30, 2013

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 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, 2012 to April 30, 2013).

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                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING  PERIOD*                              11/1/12-4/30/13
Actual	$1,000.00	$1,156.20	$5.61
Hypothetical (5% return before expenses)	$1,000.00	$1,019.59	$5.26

*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 181/365 (to reflect the one-half year period). 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, 2013

(unaudited)

2

Equity Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 97.0%
Consumer Discretionary - 17.2%
Hotels, Restaurants & Leisure - 2.3%
BJ’s Restaurants, Inc.*		271,490	$	9,312,107
Yum! Brands, Inc.		263,880		17,975,506
				27,287,613
Household Durables - 1.1%
DR Horton, Inc.		131,380		3,426,390
Lennar Corp. - Class A		74,930		3,088,614
NVR, Inc.*		3,030		3,120,900
Toll Brothers, Inc.*		85,430		2,931,103
				12,567,007
Internet & Catalog Retail - 1.5%
Amazon.com, Inc.*		45,810		11,627,036
HomeAway, Inc.*		198,150		6,053,483
				17,680,519
Media - 10.7%
DIRECTV*		477,800		27,024,368
News Corp. - Class A		380,130		11,772,626
Starz - Liberty Capital*		670,210		15,669,510
Time Warner, Inc.		350,530		20,954,683
Viacom, Inc. - Class B		323,900		20,726,361
The Walt Disney Co.		447,510		28,121,528
				124,269,076
Specialty Retail - 1.6%
Dick’s Sporting Goods, Inc.		240,460		11,566,126
Tiffany & Co.		91,520		6,743,194
				18,309,320
Total Consumer Discretionary				200,113,535
Consumer Staples - 4.9%
Beverages - 1.5%
The Coca-Cola Co.		409,150		17,319,319
Food Products - 3.4%
Kraft Foods Group, Inc.		234,290		12,063,592
Mead Johnson Nutrition Co.		202,590		16,428,023
Mondelez International, Inc. - Class A		364,630		11,467,613
				39,959,228
Total Consumer Staples				57,278,547
Energy - 15.1%
Energy Equipment & Services - 7.8%
Baker Hughes, Inc.		934,580		42,420,586

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

3

Equity Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Energy Equipment & Services (continued)
Cameron International Corp.*		450,660	$	27,738,123
Weatherford International Ltd. - ADR*		1,646,670		21,060,909
				91,219,618
Oil, Gas & Consumable Fuels - 7.3%
Apache Corp.		71,590		5,289,069
Chesapeake Energy Corp.		302,990		5,920,424
EOG Resources, Inc.		99,830		12,095,403
Hess Corp.		694,650		50,139,837
Range Resources Corp.		148,080		10,886,842
				84,331,575
Total Energy				175,551,193
Financials - 5.7%
Consumer Finance - 1.1%
American Express Co.		189,760		12,981,482
Diversified Financial Services - 2.8%
The McGraw-Hill Companies, Inc.		368,280		19,927,631
MSCI, Inc.*		368,070		12,551,187
				32,478,818
Real Estate Investment Trusts (REITS) - 1.8%
Alexandria Real Estate Equities, Inc.		53,680		3,906,294
BioMed Realty Trust, Inc.		194,380		4,375,494
Corporate Office Properties Trust		136,730		3,963,803
Digital Realty Trust, Inc.		56,010		3,949,825
DuPont Fabros Technology, Inc.		153,200		3,851,448
				20,046,864
Total Financials				65,507,164
Health Care - 15.5%
Biotechnology - 1.8%
Biogen Idec, Inc.*		39,650		8,680,575
Myriad Genetics, Inc.*		453,400		12,627,190
				21,307,765
Health Care Equipment & Supplies - 6.6%
Alere, Inc.*		1,453,770		37,332,814
Becton, Dickinson and Co.		244,360		23,043,148
Volcano Corp.*		792,660		16,083,071
				76,459,033
Health Care Providers & Services - 0.5%
Universal Health Services, Inc. - Class B		94,130		6,268,117

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

4

Equity Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Technology - 2.6%
Cerner Corp.*		306,980	$	29,706,455
Life Sciences Tools & Services - 1.0%
Waters Corp.*		124,050		11,462,220
Pharmaceuticals - 3.0%
Johnson & Johnson		410,660		35,000,552
Total Health Care				180,204,142
Industrials - 11.1%
Air Freight & Logistics - 1.6%
C.H. Robinson Worldwide, Inc.		305,970		18,171,558
Airlines - 2.9%
Southwest Airlines Co.		976,810		13,382,297
Spirit Airlines, Inc.*		492,200		13,141,740
US Airways Group, Inc.*		402,680		6,805,292
				33,329,329
Industrial Conglomerates - 1.0%
General Electric Co.		524,280		11,686,201
Machinery - 4.4%
Joy Global, Inc.		395,910		22,376,833
Pall Corp.		258,230		17,226,523
Xylem, Inc.		408,700		11,341,425
				50,944,781
Trading Companies & Distributors - 1.2%
Fastenal Co.		295,110		14,475,145
Total Industrials				128,607,014
Information Technology - 21.4%
Communications Equipment - 7.3%
Juniper Networks, Inc.*		1,831,130		30,305,201
Qualcomm, Inc.		484,880		29,878,306
Riverbed Technology, Inc.*		1,671,080		24,832,249
				85,015,756
Computers & Peripherals - 3.8%
EMC Corp.*		1,977,550		44,356,447
Internet Software & Services - 5.1%
Facebook, Inc. - Class A*		198,660		5,514,802
Google, Inc. - Class A*		57,210		47,173,650
LinkedIn Corp. - Class A*		33,010		6,340,891
				59,029,343

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

5

Equity Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services - 0.8%
VeriFone Systems, Inc.*		439,710	$	9,444,971
Software - 4.4%
Autodesk, Inc.*		315,930		12,441,323
Electronic Arts, Inc.*		1,495,220		26,330,824
MICROS Systems, Inc.*		276,780		11,738,240
				50,510,387
Total Information Technology				248,356,904
Materials - 6.1%
Chemicals - 3.6%
Air Products & Chemicals, Inc.		104,860		9,118,626
Monsanto Co.		304,340		32,509,599
				41,628,225
Metals & Mining - 2.5%
Alcoa, Inc.		3,411,060		28,994,010
Total Materials				70,622,235
TOTAL COMMON STOCKS
(Identified Cost $1,003,756,109)				1,126,240,734
SHORT-TERM INVESTMENT - 0.8%
Dreyfus Cash Management, Inc. - Institutional Shares1 , 0.05%
(Identified Cost $8,989,342)		8,989,342		8,989,342
TOTAL INVESTMENTS - 97.8%
(Identified Cost $1,012,745,451)				1,135,230,076
OTHER ASSETS, LESS LIABILITIES - 2.2%				25,266,354
NET ASSETS - 100%			$	1,160,496,430

ADR - American Depository Receipt

*Non-income producing security.

¹Rate shown is the current yield as of April 30, 2013.

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

6

Equity Series

Statement of Assets and Liabilities

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $ 1,012,745,451) (Note 2)	$	1,135,230,076
Receivable for securities sold		25,942,514
Receivable for fund shares sold		2,823,654
Dividends receivable		190,530
Prepaid and other expenses		5,069
TOTAL ASSETS		1,164,191,843
LIABILITIES:
Accrued management fees (Note 3)		887,114
Accrued transfer agent fees (Note 3)		206,866
Accrued fund accounting and administration fees (Note 3)		27,592
Accrued directors’ fees (Note 3)		3,816
Accrued Chief Compliance Officer service fees (Note 3)		167
Payable for fund shares repurchased		2,464,756
Other payables and accrued expenses		105,102
TOTAL LIABILITIES		3,695,413
TOTAL NET ASSETS	$	1,160,496,430
NET ASSETS CONSIST OF:
Capital stock	$	606,834
Additional paid-in-capital		947,929,688
Distributions in excess of net investment income		(1,505,418	)
Accumulated net realized gain on investments		90,980,701
Net unrealized appreciation (depreciation) on investments		122,484,625
TOTAL NET ASSETS	$	1,160,496,430
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A ($ 1,160,496,430/60,683,407 shares)	$	19.12

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

7

Equity Series

Statement of Operations

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Dividends	$	7,160,417
EXPENSES:
Management fees (Note 3)		6,113,507
Transfer agent fees (Note 3)		498,503
Fund accounting and administration fees (Note 3)		83,658
Directors’ fees (Note 3)		19,770
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		43,726
Miscellaneous		138,509
Total Expenses		6,898,789
Less reduction of expenses (Note 3)		(479,606	)
Net Expenses		6,419,183
NET INVESTMENT INCOME		741,234
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments		99,477,798
Net change in unrealized appreciation (depreciation) on investments		79,128,533
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS		178,606,331
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	179,347,565

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 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	741,234		$	1,025,103
Net realized gain on investments		99,477,798			169,378,428
Net change in unrealized appreciation (depreciation) on investments		79,128,533			(50,082,779	)
Net increase from operations		179,347,565			120,320,752
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income		(2,246,652	)		(4,425,680	)
From net realized gain on investments		(163,857,384	)		(70,677,622	)
Total distributions to shareholders		(166,104,036	)		(75,103,302	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net decrease from capital share transactions (Note 5)		(271,215,474	)		(551,787,560	)
Net decrease in net assets		(257,971,945	)		(506,570,110	)
NET ASSETS:
Beginning of period		1,418,468,375			1,925,038,485
End of period (including distributions in excess of net investment income of $1,505,418 and $0, respectively)	$	1,160,496,430		$	1,418,468,375

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

9

Equity Series

Financial Highlights

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	19.03		$	18.45		$	17.91		$	15.55		$	13.34		$	21.43
Income (loss) from investment operations:
Net investment income		0.01	1		0.01	1		0.04	1		0.03	1		0.04	1		0.07
Net realized and unrealized gain (loss) on investments		2.66			1.26			0.55			2.35			2.24			(7.35	)
Total from investment operations		2.67			1.27			0.59			2.38			2.28			(7.28	)
Less distributions to shareholders:
From net investment income		(0.03	)		(0.04	)		(0.05	)		(0.02	)		(0.07	)		(0.07	)
From net realized gain on investments		(2.55	)		(0.65	)		—			—			—			(0.74	)
Total distributions to shareholders		(2.58	)		(0.69	)		(0.05	)		(0.02	)		(0.07	)		(0.81	)
Net asset value - End of period	$	19.12		$	19.03		$	18.45		$	17.91		$	15.55		$	13.34
Net assets - End of period (000’s omitted)	$	1,160,496		$	1,418,468		$	1,925,038		$	1,579,323		$	1,003,043		$	501,583
Total return2		15.62	%		7.37	%		3.30	%		15.29	%		17.23	%		(35.09	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.05	%3		1.05	%		1.05	%		1.05	%		1.05	%		1.05	%
Net investment income		0.12	%3		0.06	%		0.24	%		0.17	%		0.26	%		0.56	%
Portfolio turnover		29	%		63	%		54	%		56	%		50	%		63	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amounts:
		0.08	%3		0.05	%		0.02	%		0.02	%		0.06	%		0.06	%

¹ Calculated based on average shares outstanding during the periods.

² Represents 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.

³ Annualized.

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.

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, 2013, 10.3 billion shares have been designated in total among 43 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 Stock Market 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 Stock Market 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, 2013 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	200,113,535	$	200,113,535	$	—	$	—
Consumer Staples		57,278,547		57,278,547		—		—
Energy		175,551,193		175,551,193		—		—
Financials		65,507,164		65,507,164		—		—
Health Care		180,204,142		180,204,142		—		—
Industrials		128,607,014		128,607,014		—		—
Information Technology		248,356,904		248,356,904		—		—
Materials		70,622,235		70,622,235		—		—
Mutual Fund		8,989,342		8,989,342		—		—
Total assets	$	1,135,230,076	$	1,135,230,076	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2012 or April 30, 2013.

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, 2013.

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.

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, 2013, 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

12

Equity Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Federal Taxes (continued)

years ended October 31, 2009 through October 31, 2012. 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 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, 2014, 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 $479,606 for the six months ended April 30, 2013, 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 and Strategic Income

13

Equity Series

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series and Strategic Income 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. Effective October 1, 2012, the aforementioned agreements were modified to reduce the annual fee related to fund accounting and administration, as well as transfer agent fees, by 10%, excluding out-of-pocket expenses.

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, 2013, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $348,851,447 and $769,660,966, 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  4/30/13						FOR THE YEAR ENDED  10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		4,923,587		$	91,581,290			22,742,087		$	418,341,849
Reinvested		6,080,928			104,105,491			2,205,706			37,144,091
Repurchased		(24,865,021	)		(466,902,255	)		(54,736,906	)		(1,007,273,500	)
Total		(13,860,506	)	$	(271,215,474	)		(29,789,113	)	$	(551,787,560	)

At April 30, 2013, the retirement plan of the Advisor and its affiliates owned 268,268 shares of the Series (0.4% of shares outstanding) valued at $5,129,277.

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, 2013.

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.

14

Equity Series

Notes to Financial Statements (continued)

(unaudited)

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, 2012, were as follows:

Ordinary income	$	4,409,975
Long-term capital gains		70,693,327

At April 30, 2013, 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	$	1,025,608,886
Unrealized appreciation		156,100,422
Unrealized depreciation		(46,479,232	)
Net unrealized appreciation	$	109,621,190

15

Equity Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. Board of Directors’ meeting, held on November 14, 2012, the Investment Advisory Agreement between the Fund and Manning & Napier Advisors, LLC was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered 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 2012 Annual consideration 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 26 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 performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: 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. 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 Series’ actual performance and comparative performance, especially for those series with 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 18 of the 37 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 Series Class C, and Target Series Class R and Class C, are lower than, or substantially similar to, the Morningstar mean and median reported total expense ratio. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services 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.

16

Equity Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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, 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 then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given 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, the number of newly established series of the Fund 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-04/13-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 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, 2012 to April 30, 2013).

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                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING  PERIOD*                              11/1/12-4/30/13
Actual	$1,000.00	$1,147.60	$6.39
Hypothetical (5% return before expenses)	$1,000.00	$1,018.84	$6.01

*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 181/365 (to reflect the one-half year period). 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, 2013

(unaudited)

2

Tax Managed Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 98.5%
Consumer Discretionary - 15.1%
Automobiles - 0.7%
Toyota Motor Corp. - ADR (Japan)		1,860	$	216,318
Hotels, Restaurants & Leisure - 2.4%
Accor S.A. (France)1		4,240		140,393
BJ’s Restaurants, Inc.*		5,320		182,476
Yum! Brands, Inc.		5,500		374,660
				697,529
Internet & Catalog Retail - 1.3%
Amazon.com, Inc.*		880		223,353
HomeAway, Inc.*		5,000		152,750
				376,103
Media - 9.2%
DIRECTV*		13,340		754,510
News Corp. - Class A		8,300		257,051
Starz - Liberty Capital*		13,450		314,461
Time Warner, Inc.		7,200		430,416
Viacom, Inc. - Class B		8,190		524,078
The Walt Disney Co.		7,050		443,022
				2,723,538
Specialty Retail - 1.5%
Dick’s Sporting Goods, Inc.		4,950		238,095
Tiffany & Co.		3,010		221,777
				459,872
Total Consumer Discretionary				4,473,360
Consumer Staples - 8.3%
Beverages - 3.1%
Anheuser-Busch InBev N.V. (Belgium)1		3,790		364,108
The Coca-Cola Co.		13,490		571,032
				935,140
Food & Staples Retailing - 0.3%
Koninklijke Ahold N.V. (Netherlands)1		5,370		84,831
Food Products - 4.9%
Danone S.A. (France)1		3,120		237,957
Kraft Foods Group, Inc.		4,950		254,875
Nestle S.A. (Switzerland)1		2,240		159,740
Tyson Foods, Inc. - Class A		15,770		388,415
Unilever plc - ADR (United Kingdom)		9,250		400,710
				1,441,697
Total Consumer Staples				2,461,668

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

3

Tax Managed Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Energy - 14.3%
Energy Equipment & Services - 6.3%
Baker Hughes, Inc.		11,450	$	519,715
Cameron International Corp.*		9,690		596,419
Schlumberger Ltd.		6,090		453,279
Weatherford International Ltd. - ADR*		22,940		293,403
				1,862,816
Oil, Gas & Consumable Fuels - 8.0%
Apache Corp.		3,690		272,617
Chesapeake Energy Corp.		7,390		144,400
Encana Corp. (Canada)		7,890		145,571
EOG Resources, Inc.		3,050		369,538
Hess Corp.		14,920		1,076,926
Petroleo Brasileiro S.A. - ADR (Brazil)		7,710		153,969
Range Resources Corp.		2,840		208,797
				2,371,818
Total Energy				4,234,634
Financials - 2.9%
Consumer Finance - 0.8%
American Express Co.		3,660		250,381
Diversified Financial Services - 1.4%
The McGraw-Hill Companies, Inc.		7,550		408,531
Real Estate Investment Trusts (REITS) - 0.7%
Digital Realty Trust, Inc.		1,280		90,266
DuPont Fabros Technology, Inc.		4,060		102,068
				192,334
Total Financials				851,246
Health Care - 12.9%
Biotechnology - 1.8%
Biogen Idec, Inc.*		820		179,522
Myriad Genetics, Inc.*		12,940		360,379
				539,901
Health Care Equipment & Supplies - 3.0%
Alere, Inc.*		12,060		309,701
Becton, Dickinson and Co.		3,480		328,164
Volcano Corp.*		11,960		242,668
				880,533
Health Care Providers & Services - 0.9%
Universal Health Services, Inc. - Class B		4,230		281,676

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

4

Tax Managed Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Technology - 1.8%
Cerner Corp.*		5,480	$	530,300
Life Sciences Tools & Services - 1.6%
QIAGEN N.V. - ADR (Netherlands)*		15,000		298,200
Waters Corp.*		1,840		170,016
				468,216
Pharmaceuticals - 3.8%
Johnson & Johnson		7,240		617,065
Novo Nordisk A/S - Class B (Denmark)1		2,950		519,273
				1,136,338
Total Health Care				3,836,964
Industrials - 16.3%
Air Freight & Logistics - 0.6%
C.H. Robinson Worldwide, Inc.		2,930		174,013
Airlines - 6.5%
Ryanair Holdings plc - ADR (Ireland)		3,860		167,292
Southwest Airlines Co.		86,120		1,179,844
Spirit Airlines, Inc.*		4,010		107,067
US Airways Group, Inc.*		27,110		458,159
				1,912,362
Industrial Conglomerates - 2.4%
General Electric Co.		10,940		243,853
Siemens AG (Germany)1		4,610		481,685
				725,538
Machinery - 4.2%
Joy Global, Inc.		8,960		506,419
Pall Corp.		5,420		361,568
Westport Innovations, Inc. - ADR (Canada)*		4,250		132,047
Xylem, Inc.		8,530		236,707
				1,236,741
Professional Services - 1.3%
Adecco S.A. (Switzerland)1		3,300		176,513
Manpower, Inc.		4,050		215,298
				391,811
Trading Companies & Distributors - 1.3%
Fastenal Co.		7,740		379,647
Total Industrials				4,820,112

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

5

Tax Managed Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology - 21.7%
Communications Equipment - 5.5%
Juniper Networks, Inc.*		35,560	$	588,518
Qualcomm, Inc.		10,120		623,594
Riverbed Technology, Inc.*		27,670		411,176
				1,623,288
Computers & Peripherals - 3.0%
EMC Corp.*		39,020		875,219
Internet Software & Services - 4.2%
Google, Inc. - Class A*		1,110		915,273
LinkedIn Corp. - Class A*		1,740		334,237
				1,249,510
IT Services - 4.7%
Amdocs Ltd. - ADR		13,920		496,944
MasterCard, Inc. - Class A		1,030		569,518
VeriFone Systems, Inc.*		2,430		52,196
The Western Union Co.		19,190		284,204
				1,402,862
Software - 4.3%
Autodesk, Inc.*		16,810		661,978
Electronic Arts, Inc.*		21,630		380,904
MICROS Systems, Inc.*		5,310		225,197
				1,268,079
Total Information Technology				6,418,958
Materials - 5.7%
Chemicals - 3.6%
Air Products & Chemicals, Inc.		2,390		207,834
Monsanto Co.		6,390		682,580
Syngenta AG (Switzerland)1		430		183,833
				1,074,247
Metals & Mining - 2.1%
Alcoa, Inc.		71,070		604,095
Total Materials				1,678,342
Telecommunication Services - 1.3%
Diversified Telecommunication Services - 1.3%
Telenor ASA (Norway)1		16,990		382,869
TOTAL COMMON STOCKS
(Identified Cost $21,904,125)				29,158,153

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

6

Tax Managed Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE (NOTE 2)
SHORT-TERM INVESTMENT - 1.3%
Dreyfus Cash Management, Inc. - Institutional Shares2 , 0.05%
(Identified Cost $ 379,322)		379,322	$	379,322
TOTAL INVESTMENTS - 99.8%
(Identified Cost $ 22,283,447)				29,537,475
OTHER ASSETS, LESS LIABILITIES - 0.2%				55,555
NET ASSETS - 100%			$	29,593,030

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, 2013.

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

7

Tax Managed Series

Statement of Assets and Liabilities

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $22,283,447) (Note 2)	$	29,537,475
Receivable for fund shares sold		50,270
Dividends receivable		28,457
Foreign tax reclaims receivable		18,971
Prepaid and other expenses		83
TOTAL ASSETS		29,635,256
LIABILITIES:
Accrued management fees (Note 3)		19,898
Accrued fund accounting and administration fees (Note 3)		3,215
Accrued transfer agent fees (Note 3)		2,057
Accrued Chief Compliance Officer service fees (Note 3)		167
Accrued Directors’ fees (Note 3)		143
Audit fees payable		12,702
Payable for fund shares repurchased		1,114
Other payables and accrued expenses		2,930
TOTAL LIABILITIES		42,226
TOTAL NET ASSETS	$	29,593,030
NET ASSETS CONSIST OF:
Capital stock	$	9,754
Additional paid-in-capital		20,138,609
Undistributed net investment income		22,605
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		2,167,982
Net unrealized appreciation (depreciation) on investments, foreign currency and translation of other assets and liabilities		7,254,080
TOTAL NET ASSETS	$	29,593,030
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A ($29,593,030/975,380 shares)	$	30.34

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, 2013 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $9,237)	$	222,582
EXPENSES:
Management fees (Note 3)		141,283
Fund accounting and administration fees (Note 3)		14,781
Transfer agent fees (Note 3)		4,319
Chief Compliance Officer service fees (Note 3)		1,116
Directors’ fees (Note 3)		439
Audit fees		12,918
Registration and filing fees		9,400
Custodian fees		3,161
Miscellaneous		9,640
Total Expenses		197,057
Less reduction of expenses (Note 3)		(27,517	)
Net Expenses		169,540
NET INVESTMENT INCOME		53,042
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain on-
Investments		2,213,634
Foreign currency and translation of other assets and liabilities		1,717
		2,215,351
Net change in unrealized appreciation (depreciation) on-
Investments		1,607,909
Foreign currency and translation of other assets and liabilities		(1,313	)
		1,606,596
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCY		3,821,947
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,874,989

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 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	53,042		$	47,863
Net realized gain on investments and foreign currency		2,215,351			5,225,201
Net change in unrealized appreciation (depreciation) on investments and foreign currency		1,606,596			(1,295,150	)
Net increase from operations		3,874,989			3,977,914
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income		(53,257	)		(136,434	)
From net realized gain on investments		(1,176,954	)		—
Total distributions to shareholders		(1,230,211	)		(136,434	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net decrease from capital share transactions (Note 5)		(2,827,388	)		(21,729,203	)
Net decrease in net assets		(182,610	)		(17,887,723	)
NET ASSETS:
Beginning of period		29,775,640			47,663,363
End of period (including undistributed net investment income of $ 22,605 and $ 22,820, respectively)	$	29,593,030		$	29,775,640

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

10

Tax Managed Series

Financial Highlights

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	27.69		$	24.96		$	25.01		$	21.32		$	18.26		$	28.44
Income (loss) from investment operations:
Net investment income		0.05	1		0.03	1		0.08	1		0.06	1		0.06	1		0.12
Net realized and unrealized gain (loss) on investments		3.90			2.77			(0.06	)		3.67			3.11			(9.42	)
Total from investment operations		3.95			2.80			0.02			3.73			3.17			(9.30	)
Less distributions to shareholders:
From net investment income		(0.06	)		(0.07	)		(0.07	)		(0.04	)		(0.11	)		(0.09	)
From net realized gain on investments		(1.24	)		—			—			—			—			(0.79	)
Total distributions to shareholders		(1.30	)		(0.07	)		(0.07	)		(0.04	)		(0.11	)		(0.88	)
Net asset value - End of period	$	30.34		$	27.69		$	24.96		$	25.01		$	21.32		$	18.26
Net assets - End of period (000’s omitted)	$	29,593		$	29,776		$	47,663		$	45,276		$	29,259		$	15,530
Total return2		14.76	%		11.28	%		0.08	%		17.50	%		17.57	%		(33.62	%)
Ratios (to average net assets)/
Supplemental Data:
Expenses*		1.20	%3		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%
Net investment income		0.38	%3		0.12	%		0.29	%		0.28	%		0.31	%		0.44	%
Portfolio turnover		25	%		47	%		57	%		56	%		48	%		96	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amounts:
		0.19	%3		0.10	%		0.04	%		0.14	%		0.24	%		0.20	%

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, 2013, 10.3 billion shares have been designated in total among 43 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 Stock Market 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 Stock Market 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, 2013 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	4,473,360	$	4,332,967	$	140,393	$	—
Consumer Staples		2,461,668		1,615,032		846,636		—
Energy		4,234,634		4,234,634		—		—
Financials		851,246		851,246		—		—
Health Care		3,836,964		3,317,691		519,273		—
Industrials		4,820,112		4,161,914		658,198		—
Information Technology		6,418,958		6,418,958		—		—
Materials		1,678,342		1,494,509		183,833		—
Telecommunication Services		382,869		—		382,869		—
Mutual Fund		379,322		379,322		—		—
Total assets	$	29,537,475	$	26,806,273	$	2,731,202	$	—

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, 2012 or April 30, 2013.

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, 2013.

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

13

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Foreign Currency Translation (continued)

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, 2013, 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, 2009 through October 31, 2012. 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.

14

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended.

The Advisor has contractually agreed, until at least February 28, 2014, 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 $27,517 for the six months ended April 30, 2013, 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 and Strategic Income Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series and Strategic Income 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. Effective October 1, 2012, the aforementioned agreements were modified to reduce the annual fee related to fund accounting and administration, as well as transfer agent fees, by 10%, excluding out-of-pocket expenses.

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, 2013, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $6,906,499 and $10,802,775, 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  4/30/13							FOR THE YEAR ENDED  10/31/12
	SHARES				AMOUNT			SHARES			AMOUNT
Sold		76,382			$	2,222,076			162,353		$	4,140,214
Reinvested		42,833		��		1,174,066			2,158			51,213
Repurchased		(219,054	)			(6,223,530	)		(999,140	)		(25,920,630	)
Total		(99,839	)		$	(2,827,388	)		(834,629	)	$	(21,729,203	)

At April 30, 2013, one omnibus account owned 349,378 shares of the Series (35.9% of shares outstanding) valued at $10,600,142. Investment activities of this shareholder may have a material effect on the Series.

15

Tax Managed Series

Notes to Financial Statements (continued)

(unaudited)

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, 2013.

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, 2012 were as follows:

Ordinary income $ 136,434    

At April 30, 2013, 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	$	22,330,805
Unrealized appreciation		7,420,676
Unrealized depreciation		(214,006	)
Net unrealized appreciation	$	7,206,670

16

Tax Managed Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. Board of Directors’ meeting, held on November 14, 2012, the Investment Advisory Agreement between the Fund and Manning & Napier Advisors, LLC was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered 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 2012 Annual consideration 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 26 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 performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: 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. 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 Series’ actual performance and comparative performance, especially for those series with 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 18 of the 37 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 Series Class C, and Target Series Class R and Class C, are lower than, or substantially similar to, the Morningstar mean and median reported total expense ratio. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services 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.

17

Tax Managed Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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, 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 then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given 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, the number of newly established series of the Fund 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.

18

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 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.

MNTAX-04/13-SAR

	TARGET INCOME SERIES
	TARGET 2010 SERIES
	TARGET 2015 SERIES
	TARGET 2020 SERIES
	TARGET 2025 SERIES
	TARGET 2030 SERIES
	TARGET 2035 SERIES
	TARGET 2040 SERIES
www.manning-napier.com	TARGET 2045 SERIES
	TARGET 2050 SERIES
	TARGET 2055 SERIES

Shareholder Expense Example

(unaudited)

As a shareholder of the Series, you may incur two types of costs: (1) transaction costs 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 in each class at the beginning of the period and held for the six month period (November 1, 2012 to April 30, 2013).

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 class of 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 for each class in 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                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD                                11/1/12-4/30/131	ANNUALIZED  EXPENSE                               RATIO2
Target Income
Actual (Class K)	$1,000.00	$1,060.70	$1.53	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,058.80	$2.81	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,056.00	$5.35	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,062.00	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%

1

Shareholder Expense Example

(unaudited)

	BEGINNING  ACCOUNT VALUE                           11/1/12	ENDING  ACCOUNT VALUE                           4/30/13	EXPENSES PAID  DURING PERIOD                           11/1/12-4/30/131	ANNUALIZED  EXPENSE                           RATIO2
Target 2010
Actual (Class K)	$1,000.00	$1,072.30	$1.54	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,069.80	$2.82	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,068.00	$5.38	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,073.40	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%
	BEGINNING  ACCOUNT VALUE                          11/1/12	ENDING  ACCOUNT VALUE                          4/30/13	EXPENSES PAID  DURING PERIOD                               11/1/12-4/30/131	ANNUALIZED  EXPENSE                           RATIO2
Target 2015
Actual (Class K)	$1,000.00	$1,084.00	$1.55	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,083.70	$2.84	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,081.10	$5.42	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,083.70	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%
	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                                   4/30/13	EXPENSES PAID  DURING PERIOD                              11/1/12-4/30/131	ANNUALIZED  EXPENSE                               RATIO2
Target 2020
Actual (Class K)	$1,000.00	$1,093.80	$1.56	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,091.90	$2.85	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,090.30	$5.44	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,094.90	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%

2

Shareholder Expense Example

(unaudited)

	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD                               11/1/12-4/30/131	ANNUALIZED  EXPENSE                               RATIO2
Target 2025
Actual (Class K)	$1,000.00	$1,109.20	$1.57	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,112.40	$2.88	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,108.90	$5.49	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,106.90	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%
	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                              4/30/13	EXPENSES PAID  DURING PERIOD                              11/1/12-4/30/131	ANNUALIZED  EXPENSE                               RATIO2
Target 2030
Actual (Class K)	$1,000.00	$1,119.00	$1.58	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,117.20	$2.89	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,114.70	$5.51	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,120.60	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%
	BEGINNING  ACCOUNT VALUE                              11/1/12	ENDING  ACCOUNT VALUE                              4/30/13	EXPENSES PAID  DURING PERIOD                              11/1/12-4/30/131	ANNUALIZED  EXPENSE                               RATIO2
Target 2035
Actual (Class K)	$1,000.00	$1,127.10	$1.58	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,128.30	$2.90	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,123.30	$5.53	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,129.50	$0.26	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%

3

Shareholder Expense Example

(unaudited)

	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD                               11/1/12-4/30/131	ANNUALIZED  EXPENSE                                RATIO2
Target 2040
Actual (Class K)	$1,000.00	$1,138.50	$1.59	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,137.30	$2.91	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,134.60	$5.56	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,140.10	$0.27	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%

	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD                               11/1/12-4/30/131	ANNUALIZED  EXPENSE                                RATIO2
Target 2045
Actual (Class K)	$1,000.00	$1,136.70	$1.59	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,135.60	$2.91	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,133.50	$5.55	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,138.60	$0.27	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%

	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD                               11/1/12-4/30/131	ANNUALIZED  EXPENSE                                RATIO2
Target 2050
Actual (Class K)	$1,000.00	$1,143.50	$1.59	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,142.80	$2.92	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,138.50	$5.57	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,144.10	$0.27	0.05%
Hypothetical3	$1,000.00	$1,024.55	$0.25	0.05%

4

Shareholder Expense Example

(unaudited)

	BEGINNING  ACCOUNT VALUE                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD                               11/1/12-4/30/131	ANNUALIZED  EXPENSE                                RATIO2
Target 2055
Actual (Class K)	$1,000.00	$1,143.50	$1.59	0.30%
Hypothetical3	$1,000.00	$1,023.31	$1.51	0.30%
Actual (Class R)	$1,000.00	$1,137.50	$2.91	0.55%
Hypothetical3	$1,000.00	$1,022.07	$2.76	0.55%
Actual (Class C)	$1,000.00	$1,136.30	$5.56	1.05%
Hypothetical3	$1,000.00	$1,019.59	$5.26	1.05%
Actual (Class I)	$1,000.00	$1,149.50	$0.27	0.05%
Hypothetical3	$1,000.00	$1,024.55	$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 181/365 (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.

5

Portfolio Composition as of April 30, 2013 - Asset Allocation¹

(unaudited)

¹ Represents portfolio composition of the underlying investment(s) for each Series as a percentage of net assets.

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.

6

Portfolio Composition as of April 30, 2013 - Asset Allocation¹

(unaudited)

¹ Represents portfolio composition of the underlying investment(s) for each Series as a percentage of net assets.

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.

7

Statements of Assets and Liabilities

April 30, 2013 (unaudited)

	TARGET INCOME			TARGET 2010			TARGET 2015			TARGET 2020			TARGET 2025			TARGET 2030
ASSETS:
Manning & Napier Pro-Blend® Maximum Term Series - Class I (60,969 shares and 4,645,930 shares, respectively)	$	—		$	—		$	—		$	—		$	740,158		$	56,401,588
Manning & Napier Pro-Blend® Extended Term Series - Class I (26,924 shares, 7,560,350 shares, 603,795 shares and 9,297,722 shares, respectively)		—			—			295,353			82,937,038			6,623,634			101,996,012
Manning & Napier Pro-Blend® Moderate Term Series - Class I (1,823,667 shares, 239,046 shares and 7,323,101 shares, respectively)		—			20,260,939			2,655,796			81,359,655			—			—
Manning & Napier Pro-Blend® Conservative Term Series - Class I (5,412,727 shares and 2,655,144 shares, respectively)		61,001,434			29,923,469			—			—			—			—
Total investments in securities:
At value*		61,001,434			50,184,408			2,951,149			164,296,693			7,363,792			158,397,600
Receivable from Advisor (Note 3)		17,295			18,353			27,271			12,871			27,180			12,840
Receivable for securities sold		6,863			97			—			222			—			215
Receivable for fund shares sold		12,884			11,288			10,833			102,921			20,570			225,322
Prepaid expenses		16,982			15,759			—			16,982			—			18,779
TOTAL ASSETS		61,055,458			50,229,905			2,989,253			164,429,689			7,411,542			158,654,756
LIABILITIES:
Accrued distribution and service (Rule 12b-1) fees (Note 3)		11,845			9,156			21			27,803			281			27,153
Accrued fund accounting and administration fees (Note 3)		5,288			5,259			12,909			5,694			12,918			5,665
Accrued transfer agent fees (Note 3)		1,437			1,475			—			1,994			—			1,908
Accrued Chief Compliance Officer service fees (Note 3)		166			167			567			167			567			167
Accrued Directors’ fees (Note 3)		—			—			335			—			334			—
Payable for securities purchased		—			8,822			10,824			53,333			19,928			102,430
Payable for fund shares repurchased		19,073			2,329			10			49,015			642			77,611
Audit fees payable		8,363			8,365			8,808			8,306			8,808			8,293
Other payables and accrued expenses		—			—			4,747			—			4,846			—
TOTAL LIABILITIES		46,172			35,573			38,221			146,312			48,324			223,227
TOTAL NET ASSETS	$	61,009,286		$	50,194,332		$	2,951,032		$	164,283,377		$	7,363,218		$	158,431,529
NET ASSETS CONSIST OF:
Capital stock		56,121			49,167			2,604			160,139			6,277			149,113
Additional paid-in-capital		52,721,884			45,781,404			2,906,417			148,907,291			7,244,735			138,271,734
Undistributed net investment income (loss)		(332,847	)		(282,457	)		(176	)		(1,080,561	)		(1,221	)		(775,530	)
Accumulated net realized gain on underlying series		2,086,926			1,919,432			790			7,098,147			17,992			5,684,151
Net unrealized appreciation on underlying series		6,477,202			2,726,786			41,397			9,198,361			95,435			15,102,061
TOTAL NET ASSETS	$	61,009,286		$	50,194,332		$	2,951,032		$	164,283,377		$	7,363,218		$	158,431,529

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

8

Statements of Assets and Liabilities

April 30, 2013 (unaudited)

	TARGET 2035			TARGET 2040			TARGET 2045			TARGET 2050			TARGET 2055
ASSETS:
Manning & Napier Pro-Blend® Maximum Term Series - Class I (266,745 shares, 7,098,127 shares, 82,611 shares, 3,433,969 shares and 4,159 shares, respectively)	$	3,238,289		$	86,171,258		$	1,002,895		$	41,688,389		$	50,488
Manning & Napier Pro-Blend® Extended Term Series - Class I (195,625 shares and 1,345,358 shares, respectively)		2,146,011			14,758,581			—			—			—
Total investments in securities:
At value*		5,384,300			100,929,839			1,002,895			41,688,389			50,488
Receivable from Advisor (Note 3)		27,190			15,804			27,535			18,767			27,398
Receivable for securities sold		—			116,798			—			149			41
Receivable for fund shares sold		20,130			128,378			8,503			64,251			297
Receivable from Transfer Agent		3			—			—			—			198
Prepaid expenses		—			17,910			—			16,806			—
TOTAL ASSETS		5,431,623			101,208,729			1,038,933			41,788,362			78,422
LIABILITIES:
Accrued fund accounting and administration fees (Note 3)		12,914			5,444			12,909			5,205			12,919
Accrued distribution and service (Rule 12b-1) fees (Note 3)		136			18,292			73			8,770			9
Accrued transfer agent fees (Note 3)		—			1,747			—			1,652			—
Accrued Chief Compliance Officer service fees (Note 3)		567			167			567			167			567
Accrued Directors’ fees (Note 3)		334			—			335			—			333
Payable for securities purchased		19,114			—			5,818			49,000			—
Payable for fund shares repurchased		1,017			243,657			2,685			15,053			339
Audit fees payable		8,808			8,323			8,808			8,352			8,808
Other payables and accrued expenses		4,779			—			4,936			—			5,003
TOTAL LIABILITIES		47,669			277,630			36,131			88,199			27,978
TOTAL NET ASSETS	$	5,383,954		$	100,931,099		$	1,002,802		$	41,700,163		$	50,444
NET ASSETS CONSIST OF:
Capital stock		4,404			88,546			803			33,977			40
Additional paid-in-capital		5,277,017			83,676,000			981,286			33,934,221			27,386
Undistributed net investment income (loss)		(702	)		(155,012	)		(202	)		(41,676	)		(274	)
Accumulated net realized gain on underlying series		2,716			4,144,716			2,977			1,191,043			22,198
Net unrealized appreciation (depreciation) on underlying series		100,519			13,176,849			17,938			6,582,598			1,094
TOTAL NET ASSETS	$	5,383,954		$	100,931,099		$	1,002,802		$	41,700,163		$	50,444

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

9

Statements of Assets and Liabilities

April 30, 2013 (unaudited)

	TARGET INCOME		TARGET 2010		TARGET 2015			TARGET 2020		TARGET 2025		TARGET 2030
Class K
Net Assets	$	47,720,211	$	29,647,861	$	7,080		$	76,331,999	$	147,724	$	79,942,327
Shares Outstanding		4,388,092		2,904,244		626			7,436,648		12,551		7,533,589
Net Asset Value, Offering Price, and Redemption Price per share	$	10.87	$	10.21	$	11.32	1	$	10.26	$	11.77	$	10.61
Class R
Net Assets	$	2,926,559	$	4,946,823	$	49,978		$	21,574,365	$	157,313	$	21,374,041
Shares Outstanding		271,911		488,666		4,409			2,126,607		13,328		2,029,222
Net Asset Value, Offering Price, and Redemption Price per share	$	10.76	$	10.12	$	11.34		$	10.14	$	11.80	$	10.53
Class C
Net Assets	$	1,117,315	$	1,378,008	$	114		$	4,400,262	$	380,896	$	2,925,855
Shares Outstanding		104,776		136,492		10			434,893		32,352		279,254
Net Asset Value, Offering Price, and Redemption Price per share	$	10.66	$	10.10	$	11.32	1	$	10.12	$	11.77	$	10.48
Class I
Net Assets	$	9,245,201	$	14,221,640	$	2,893,860		$	61,976,751	$	6,677,285	$	54,189,306
Shares Outstanding		847,323		1,387,272		255,355			6,015,783		569,468		5,069,197
Net Asset Value, Offering Price, and Redemption Price per share	$	10.91	$	10.25	$	11.33		$	10.30	$	11.73	$	10.69
*At identified cost	$	54,524,232	$	47,457,622	$	2,909,752		$	155,098,332	$	7,268,357	$	143,295,539

¹ Calculated NAV may not equal actual NAV shown due to rounding of the net assets and/or shares outstanding.

	TARGET 2035		TARGET 2040		TARGET 2045		TARGET 2050		TARGET 2055
Class K
Net Assets	$	201,645	$	59,901,817	$	108,545	$	30,556,372	$	6,110
Shares Outstanding		16,515		5,257,974		8,698		2,488,968		485
Net Asset Value, Offering Price, and Redemption Price per share	$	12.21	$	11.39	$	12.48	$	12.28	$	12.59	1
Class R
Net Assets	$	177,548	$	12,899,478	$	87,165	$	4,110,804	$	21,969
Shares Outstanding		14,504		1,139,282		7,008		336,803		1,754
Net Asset Value, Offering Price, and Redemption Price per share	$	12.24	$	11.32	$	12.44	$	12.21	$	12.53
Class C
Net Assets	$	34,781	$	1,206,966	$	33,009	$	1,227,324	$	401
Shares Outstanding		2,851		107,937		2,649		101,991		32
Net Asset Value, Offering Price, and Redemption Price per share	$	12.20	$	11.18	$	12.46	$	12.03	$	12.51	1
Class I
Net Assets	$	4,969,980	$	26,922,838	$	774,083	$	5,805,663	$	21,964
Shares Outstanding		406,538		2,349,435		61,994		469,940		1,736
Net Asset Value, Offering Price, and Redemption Price per share	$	12.23	$	11.46	$	12.49	$	12.35	$	12.65
*At identified cost	$	5,283,781	$	87,752,990	$	984,957	$	35,105,791	$	49,394

¹ Calculated NAV may not equal actual NAV shown due to rounding of the net assets and/or shares outstanding.

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

10

Statements of Operations

For the Six Months Ended April 30, 2013 (unaudited)

	TARGET INCOME			TARGET 2010			TARGET 2015			TARGET 2020			TARGET 2025			TARGET 2030
INVESTMENT INCOME:
Income distributions from underlying series	$	682,952		$	455,140		$	22		$	1,208,990		$	423		$	930,633
EXPENSES:
Distribution and services (Rule 12b-1) fees (Class K) (Note 3)		57,763			35,151			5			89,035			224			91,595
Distribution and services (Rule 12b-1) fees (Class C) (Note 3)		5,240			6,874			1			20,884			236			13,941
Distribution and services (Rule 12b-1) fees (Class R) (Note 3)		8,121			12,039			37			50,301			124			49,531
Fund accounting and administration fees (Note 3)		20,481			20,386			19,970			21,513			19,965			21,455
Transfer agent fees (Note 3)		4,054			3,974			2,299			5,410			2,309			5,219
Chief Compliance Officer service fees (Note 3)		1,116			1,116			1,116			1,116			1,116			1,116
Directors’ fees (Note 3)		564			468			248			1,272			248			1,185
Registration and filing fees		23,896			24,050			13,995			26,219			13,998			25,332
Audit fees		8,628			8,628			8,628			8,628			8,628			8,628
Legal fees		1,874			1,873			1,926			1,880			1,926			1,879
Custodian fees		1,001			1,978			596			1,925			595			1,608
Miscellaneous		4,689			4,628			3,642			8,085			3,642			7,553
Total Expenses		137,427			121,165			52,463			236,268			53,011			229,042
Less reduction of expenses (Note 3)		(51,950	)		(55,270	)		(52,301	)		(40,380	)		(52,112	)		(39,159	)
Net Expenses		85,477			65,895			162			195,888			899			189,883
NET INVESTMENT INCOME (LOSS)		597,475			389,245			(140	)		1,013,102			(476	)		740,750
REALIZED AND UNREALIZED GAIN ON UNDERLYING SERIES:
Net realized gain on underlying series		582,897			612,504			706			1,901,304			15,819			958,773
Distributions of realized gains from underlying series		1,506,602			1,309,091			84			5,325,570			2,173			5,135,966
Net change in unrealized appreciation (depreciation) on underlying series		744,153			1,017,730			41,363			4,602,387			92,997			8,830,725
NET REALIZED AND UNREALIZED GAIN ON UNDERLYING SERIES		2,833,652			2,939,325			42,153			11,829,261			110,989			14,925,464
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,431,127		$	3,328,570		$	42,013		$	12,842,363		$	110,513		$	15,666,214

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

11

Statements of Operations

For the Six Months Ended April 30, 2013 (unaudited)

	TARGET 2035			TARGET 2040			TARGET 2045			TARGET 2050			TARGET 2055
INVESTMENT INCOME:
Income distributions from underlying series	$	359		$	364,765		$	63		$	128,045		$	2
EXPENSES:
Distribution and services (Rule 12b-1) fees (Class K) (Note 3)		122			69,278			38			34,323			1
Distribution and services (Rule 12b-1) fees (Class C) (Note 3)		38			5,574			75			5,783			1
Distribution and services (Rule 12b-1) fees (Class R) (Note 3)		143			29,756			66			9,187			17
Fund accounting and administration fees (Note 3)		19,961			20,872			19,941			20,206			19,950
Transfer agent fees (Note 3)		2,317			4,724			2,316			4,482			2,297
Chief Compliance Officer service fees (Note 3)		1,116			1,116			1,116			1,116			1,116
Directors’ fees (Note 3)		248			762			248			298			248
Registration and filing fees		13,996			24,575			13,996			24,017			13,995
Audit fees		8,628			8,628			8,628			8,628			8,628
Legal fees		1,926			1,905			1,926			1,872			1,926
Custodian fees		596			1,659			595			987			595
Miscellaneous		3,642			5,950			3,642			4,690			3,642
Total Expenses		52,733			174,799			52,587			115,589			52,416
Less reduction of expenses (Note 3)		(52,193	)		(47,421	)		(52,362	)		(57,009	)		(52,142	)
Net Expenses		540			127,378			225			58,580			274
NET INVESTMENT INCOME (LOSS)		(181	)		237,387			(162	)		69,465			(272	)
REALIZED AND UNREALIZED GAIN ON UNDERLYING SERIES:
Net realized gain on underlying series		524			1,555,131			2,491			210,559			22,179
Distributions of realized gains from underlying series		2,192			2,590,480			486			982,607			19
Net change in unrealized appreciation (depreciation) on underlying series		100,727			7,448,614			18,146			3,692,526			1,046
NET REALIZED AND UNREALIZED GAIN ON UNDERLYING SERIES		103,443			11,594,225			21,123			4,885,692			23,244
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	103,262		$	11,831,612		$	20,961		$	4,955,157		$	22,972

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

12

Statements of Changes in Net Assets

	TARGET INCOME FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12			TARGET 2010 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12			TARGET 2015 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR  THE PERIOD 6/25/121  TO 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$	597,475		$	1,095,994		$	389,245		$	809,773		$	(140	)	$	(1	)
Net realized gain on underlying series		582,897			1,318,407			612,504			328,894			706			—
Distributions of realized gains from underlying series		1,506,602			982,013			1,309,091			1,327,217			84			—
Net change in unrealized appreciation (depreciation) on underlying series		744,153			307,113			1,017,730			617,274			41,363			34
Net increase from operations		3,431,127			3,703,527			3,328,570			3,083,158			42,013			33
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class K)		(815,470	)		(994,528	)		(436,369	)		(542,620	)		(30	)		—
From net investment income (Class R)		(61,150	)		(29,657	)		(66,527	)		(114,727	)		(1	)		—
From net investment income (Class C)		(13,841	)		(23,100	)		(15,310	)		(28,528	)		(1	)		—
From net investment income (Class I)		(118,346	)		(141,811	)		(208,368	)		(303,466	)		(3	)		—
From net realized gain on investments (Class K)		(1,790,580	)		(1,776,212	)		(893,245	)		(2,048,959	)		—			—
From net realized gain on investments (Class R)		(146,039	)		(27,719	)		(154,363	)		(462,011	)		—			—
From net realized gain on investments (Class C)		(40,660	)		(60,498	)		(44,459	)		(171,418	)		—			—
From net realized gain on investments (Class I)		(241,175	)		(216,121	)		(393,718	)		(1,019,074	)		—			—
Total distributions to shareholders		(3,227,261	)		(3,269,646	)		(2,212,359	)		(4,690,803	)		(35	)		—
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 6)		3,707,924			5,936,279			3,714,706			6,446,443			2,907,135			1,886
Net increase in net assets		3,911,790			6,370,160			4,830,917			4,838,798			2,949,113			1,919
NET ASSETS:
Beginning of period		57,097,496			50,727,336			45,363,415			40,524,617			1,919			—
End of period2	$	61,009,286		$	57,097,496		$	50,194,332		$	45,363,415		$	2,951,032		$	1,919
1 Commencement of operations.
2 Including undistributed net investment income (distributions in excess of net investment income):	$	(332,847	)	$	78,485		$	(282,457	)	$	54,872		$	(176	)	$	(1	)

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

13

Statements of Changes in Net Assets

	TARGET 2020 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12			TARGET 2025 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12			TARGET 2030 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$	1,013,102		$	2,075,790		$	(476	)	$	(42	)	$	740,750		$	1,655,585
Net realized gain on underlying series		1,901,304			516,139			15,819			10			958,773			608,155
Distributions of realized gains from underlying series		5,325,570			4,255,728			2,173			—			5,135,966			3,448,916
Net change in unrealized appreciation (depreciation) on underlying series		4,602,387			2,462,193			92,997			2,438			8,830,725			4,194,814
Net increase from operations		12,842,363			9,309,850			110,513			2,406			15,666,214			9,907,470
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class K)		(1,154,596	)		(1,070,368	)		(719	)		—			(856,364	)		(925,977	)
From net investment income (Class R)		(295,868	)		(344,785	)		(2	)		—			(210,276	)		(155,445	)
From net investment income (Class C)		(50,975	)		(59,782	)		(1	)		—			(22,710	)		(24,004	)
From net investment income (Class I)		(734,307	)		(835,497	)		(13	)		—			(527,726	)		(605,721	)
From net realized gain on investments (Class K)		(2,423,692	)		(3,524,215	)		—			—			(2,382,147	)		(3,843,451	)
From net realized gain on investments (Class R)		(692,644	)		(1,200,023	)		—			—			(659,561	)		(685,589	)
From net realized gain on investments (Class C)		(144,273	)		(303,902	)		—			—			(94,494	)		(181,828	)
From net realized gain on investments (Class I)		(1,431,757	)		(2,414,187	)		—			—			(1,326,395	)		(2,137,168	)
Total distributions to shareholders		(6,928,112	)		(9,752,759	)		(735	)		—			(6,079,673	)		(8,559,183	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 6)		28,658,254			28,341,544			7,205,366			45,668			22,081,914			29,971,242
Net increase in net assets		34,572,505			27,898,635			7,315,144			48,074			31,668,455			31,319,529
NET ASSETS:
Beginning of period		129,710,872			101,812,237			48,074			—			126,763,074			95,443,545
End of period2	$	164,283,377		$	129,710,872		$	7,363,218		$	48,074		$	158,431,529		$	126,763,074
1 Commencement of operations.
2 Including undistributed net investment income (distributions in excess of net investment income):	$	(1,080,561	)	$	142,083		$	(1,221	)	$	(10	)	$	(775,530	)	$	100,796

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

14

Statements of Changes in Net Assets

	TARGET 2035 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12			TARGET 2040 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12			TARGET 2045 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$	(181	)	$	(3	)	$	237,387		$	543,938		$	(162	)	$	(7	)
Net realized gain on underlying series		524			—			1,555,131			1,991,516			2,491			—
Distributions of realized gains from underlying series		2,192			—			2,590,480			—			486			—
Net change in unrealized appreciation (depreciation) on underlying series		100,727			(208	)		7,448,614			3,971,924			18,146			(208	)
Net increase (decrease) from operations		103,262			(211	)		11,831,612			6,507,378			20,961			(215	)
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class K)		(247	)		—			(259,649	)		(313,151	)		(10	)		—
From net investment income (Class R)		(1	)		—			(34,388	)		(77,908	)		(3	)		—
From net investment income (Class C)		(18	)		—			(1,131	)		(2,081	)		(19	)		—
From net investment income (Class I)		(252	)		—			(129,698	)		(179,939	)		(1	)		—
From net realized gain on investments (Class K)		—			—			(1,220,050	)		(1,939,028	)		—			—
From net realized gain on investments (Class R)		—			—			(262,386	)		(649,307	)		—			—
From net realized gain on investments (Class C)		—			—			(25,039	)		(48,306	)		—			—
From net realized gain on investments (Class I)		—			—			(483,436	)		(821,635	)		—			—
Total distributions to shareholders		(518	)		—			(2,415,777	)		(4,031,355	)		(33	)		—
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 6)		5,263,144			18,277			7,187,527			18,313,044			966,842			15,247
Net increase in net assets		5,365,888			18,066			16,603,362			20,789,067			987,770			15,032
NET ASSETS:
Beginning of period		18,066			—			84,327,737			63,538,670			15,032			—
End of period2	$	5,383,954		$	18,066		$	100,931,099		$	84,327,737		$	1,002,802		$	15,032
1 Commencement of operations.
2 Including undistributed net investment income (distributions in excess of net investment income):	$	(702	)	$	(3	)	$	(155,012	)	$	32,467		$	(202	)	$	(7	)

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

15

Statements of Changes in Net Assets

	TARGET 2050 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12			TARGET 2055 FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$	69,465		$	189,495		$	(272	)	$	(1	)
Net realized gain on underlying series		210,559			109,714			22,179			—
Distributions of realized gains from underlying series		982,607			—			19			—
Net change in unrealized appreciation (depreciation) on underlying series		3,692,526			2,232,014			1,046			48
Net increase from operations		4,955,157			2,531,223			22,972			47
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class K)		(90,648	)		(155,055	)		—	3		—
From net investment income (Class R)		(6,865	)		(15,226	)		—	3		—
From net investment income (Class C)		—			(2,607	)		—			—
From net investment income (Class I)		(20,636	)		(28,585	)		(1	)		—
From net realized gain on investments (Class K)		(81,536	)		(344,780	)		—			—
From net realized gain on investments (Class R)		(10,793	)		(47,839	)		—			—
From net realized gain on investments (Class C)		(3,533	)		(18,248	)		—			—
From net realized gain on investments (Class I)		(13,563	)		(46,342	)		—			—
Total distributions to shareholders		(227,574	)		(658,682	)		(1	)		—
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 6)		3,674,964			7,376,288			26,824			602
Net increase in net assets		8,402,547			9,248,829			49,795			649
NET ASSETS:
Beginning of period		33,297,616			24,048,787			649			—
End of period2	$	41,700,163		$	33,297,616		$	50,444		$	649
1 Commencement of operations.
2 Including undistributed net investment income (distributions in excess of net investment income):	$	(41,676	)	$	7,008		$	(274	)	$	(1	)
3 Amount rounds to less than $1.

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

16

Financial Highlights

	FOR THE SIX															FOR THE PERIOD
TARGET INCOME SERIES CLASS K	MONTHS ENDED			FOR THE YEARS ENDED												3/28/081
	4/30/13															TO
	(UNAUDITED)			10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.86		$	10.86		$	11.02		$	10.13		$	9.30		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.11			0.22			0.23			0.19			0.03			(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.09			0.48			0.06			0.92			1.04			(0.69	)
Total from investment operations		0.20			0.70			0.29			1.11			1.07			(0.70	)
Less distributions to shareholders:
From net investment income		(0.19	)		(0.25	)		(0.33	)		(0.19	)		(0.24	)		—
From net realized gain on investments		—			(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.19	)		(0.70	)		(0.45	)		(0.22	)		(0.24	)		—
Net asset value - End of period	$	10.87		$	10.86		$	10.86		$	11.02		$	10.13		$	9.30
Net assets - End of period (000’s omitted)	$	47,720		$	45,926		$	44,682		$	46,886		$	42,116		$	70,620	3
Total return4		6.07	%		6.98	%		2.77	%		11.22	%		11.80	%		(7.00	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.30	%8		0.28	%9,10		0.30	%10		0.30	%5,10
Net investment income (loss)		2.09	%5		2.07	%		2.11	%		1.83	%		0.31	%		(0.27	%)5
Series portfolio turnover11		6	%		16	%		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:
		0.18	%5		0.20	%7		0.22	%8		0.25	%10		0.41	%10		1,571	%5,10,12
	FOR THE SIX															FOR THE PERIOD
TARGET INCOME SERIES CLASS R	MONTHS ENDED			FOR THE YEARS ENDED												3/28/081
	4/30/13															TO
	(UNAUDITED)			10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.76		$	10.77		$	10.93		$	10.08		$	9.29		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.11			0.09			0.16			0.09			(0.05	)		0.02
Net realized and unrealized gain (loss) on underlying series		0.07			0.58			0.10			0.99			1.09			(0.73	)
Total from investment operations		0.18			0.67			0.26			1.08			1.04			(0.71	)
Less distributions to shareholders:
From net investment income		(0.18	)		(0.23	)		(0.30	)		(0.20	)		(0.25	)		—
From net realized gain on investments		—			(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.18	)		(0.68	)		(0.42	)		(0.23	)		(0.25	)		—
Net asset value - End of period	$	10.76		$	10.76		$	10.77		$	10.93		$	10.08		$	9.29
Net assets - End of period (000’s omitted)	$	2,927		$	3,853		$	553		$	347		$	54		$	93	3
Total return4		5.88	%		6.77	%		2.50	%		10.97	%		11.44	%		(7.10	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.55	%8		0.54	%9,10		0.55	%10		0.55	%5,10
Net investment income (loss)		2.16	%5		0.84	%		1.47	%		0.81	%		(0.51	%)		0.34	%5
Series portfolio turnover11		6	%		16	%		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:
		0.18	%5		0.20	%7		0.22	%8		0.37	%10		169.34	%10		43,127	%5,10,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.68%.

⁸Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.69%.

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.

¹⁰Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.70%.

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.

17

Financial Highlights

	FOR THE SIX MONTHS ENDED 4/30/13
TARGET INCOME SERIES CLASS C				FOR THE YEARS ENDED
																FOR THE PERIOD
	(UNAUDITED)			10/31/12			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	$	10.66		$	10.67		$	10.84		$	10.00		$	9.26		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.07			0.18			0.13			0.07			(0.03	)		(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.07			0.44			0.08			0.95			1.02			(0.73	)
Total from investment operations		0.14			0.62			0.21			1.02			0.99			(0.74	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.18	)		(0.26	)		(0.15	)		(0.25	)		—
From net realized gain on investments		—			(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.14	)		(0.63	)		(0.38	)		(0.18	)		(0.25	)		—
Net asset value - End of period	$	10.66		$	10.66		$	10.67		$	10.84		$	10.00		$	9.26
Net assets - End of period (000’s omitted)	$	1,117		$	1,019		$	1,424		$	1,195		$	330		$	93	3
Total return4		5.60	%		6.24	%		2.04	%		10.38	%		10.91	%		(7.40	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		1.05	%8		0.99	%9,10		1.05	%10		1.05	%5,10
Net investment income (loss)		1.32	%5		1.73	%		1.23	%		0.66	%		(0.30	%)		(0.15	%)5
Series portfolio turnover11		6	%		16	%		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:
		0.18	%5		0.20	%7		0.22	%8		0.29	%10		10.70	%10		43,147	%5,10,12
	FOR THE SIX MONTHS ENDED 4/30/13
TARGET INCOME SERIES CLASS I				FOR THE YEARS ENDED
																FOR THE PERIOD
	(UNAUDITED)			10/31/12			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	$	10.90		$	10.89		$	11.05		$	10.17		$	9.32		$	10.00
Income (loss) from investment operations:
Net investment income2		0.11			0.24			0.07			0.19			0.06			0.05
Net realized and unrealized gain (loss) on underlying series		0.11			0.50			0.25			0.94			1.04			(0.73	)
Total from investment operations		0.22			0.74			0.32			1.13			1.10			(0.68	)
Less distributions to shareholders:
From net investment income		(0.21	)		(0.28	)		(0.36	)		(0.22	)		(0.25	)		—
From net realized gain on investments		—			(0.45	)		(0.12	)		(0.03	)		—			—
Total distributions to shareholders		(0.21	)		(0.73	)		(0.48	)		(0.25	)		(0.25	)		—
Net asset value - End of period	$	10.91		$	10.90		$	10.89		$	11.05		$	10.17		$	9.32
Net assets - End of period (000’s omitted)	$	9,245		$	6,300		$	4,068		$	298		$	58		$	93	3
Total return4		6.20	%		7.34	%		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	%8		0.05	%10		0.05	%10		0.05	%5,10
Net investment income		2.11	%5		2.30	%		0.68	%		1.85	%		0.66	%		0.85	%5
Series portfolio turnover11		6	%		16	%		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:
		0.18	%5		0.20	%7		0.23	%8		0.33	%10		54.69	%10		43,107	%5,10,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.68%. ⁸Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.69%.

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.

¹⁰Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.70%.

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.

18

Financial Highlights

TARGET 2010 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.00		$	10.56		$	10.64		$	9.58		$	8.61		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.08			0.18			0.20			0.12			0.02			(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.62			0.48			0.10			1.10			1.15			(1.38	)
Total from investment operations		0.70			0.66			0.30			1.22			1.17			(1.39	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.25	)		(0.18	)		(0.14	)		(0.20	)		—
From net realized gain on investments		(0.33	)		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(0.49	)		(1.22	)		(0.38	)		(0.16	)		(0.20	)		—
Net asset value - End of period	$	10.21		$	10.00		$	10.56		$	10.64		$	9.58		$	8.61
Net assets - End of period (000’s omitted)	$	29,648		$	27,086		$	23,653		$	27,904		$	15,782		$	101,213	3
Total return4		7.23	%		7.39	%		2.97	%		12.85	%		13.97	%		(13.90	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.30	%8		0.29	%9,10		0.30	%11		0.30	%5,11
Net investment income (loss)		1.65	%5		1.85	%		1.84	%		1.20	%		0.19	%		(0.28	%)5
Series portfolio turnover12		24	%		30	%		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:
		0.23	%5		0.27	%7		0.30	%8		0.42	%9		1.31	%11		1,071	%5,11,13
TARGET 2010 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	9.92		$	10.48		$	10.57		$	9.54		$	8.61		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.07			0.16			0.14			0.12			(0.05	)		0.02
Net realized and unrealized gain (loss) on underlying series		0.60			0.48			0.13			1.07			1.18			(1.41	)
Total from investment operations		0.67			0.64			0.27			1.19			1.13			(1.39	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.23	)		(0.16	)		(0.14	)		(0.20	)		—
From net realized gain on investments		(0.33	)		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(0.47	)		(1.20	)		(0.36	)		(0.16	)		(0.20	)		—
Net asset value - End of period	$	10.12		$	9.92		$	10.48		$	10.57		$	9.54		$	8.61
Net assets - End of period (000’s omitted)	$	4,947		$	4,793		$	4,885		$	3,655		$	284		$	86	3
Total return4		6.98	%		7.21	%		2.67	%		12.64	%		13.54	%		(13.90	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.55	%8		0.52	%9,10		0.55	%11		0.55	%5,11
Net investment income (loss)		1.39	%5		1.65	%		1.32	%		1.16	%		(0.55	%)		0.36	%5
Series portfolio turnover12		24	%		30	%		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:
		0.23	%5		0.27	%7		0.31	%8		0.41	%9		25.36	%11		42,882	%5,11,13

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.68% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁸Expense 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.

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%.

¹⁰During 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.

¹¹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹²Reflects activity of the Series and does not include the activity of the underlying series.

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.

19

Financial Highlights

TARGET 2010 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	9.89		$	10.44		$	10.53		$	9.49		$	8.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.05			0.13			0.10			0.06			(0.01	)		(0.05	)
Net realized and unrealized gain (loss) on underlying series		0.60			0.45			0.12			1.08			1.10			(1.37	)
Total from investment operations		0.65			0.58			0.22			1.14			1.09			(1.42	)
Less distributions to shareholders:
From net investment income		(0.11	)		(0.16	)		(0.11	)		(0.08	)		(0.18	)		—
From net realized gain on investments		(0.33	)		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(0.44	)		(1.13	)		(0.31	)		(0.10	)		(0.18	)		—
Net asset value - End of period	$	10.10		$	9.89		$	10.44		$	10.53		$	9.49		$	8.58
Net assets - End of period (000’s omitted)	$	1,378		$	1,458		$	2,021		$	2,247		$	1,471		$	98,226	3
Total return4		6.80	%		6.60	%		2.21	%		12.12	%		13.13	%		(14.20	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		1.05	%8		0.98	%9,10		1.05	%11		1.05	%5,11
Net investment income (loss)		0.93	%5		1.37	%		0.97	%		0.58	%		(0.12	%)		(1.03	%)5
Series portfolio turnover12		24	%		30	%		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:
		0.23	%5		0.27	%7		0.30	%8		0.44	%9		5.01	%11		919	%5,11,13
TARGET 2010 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.04		$	10.60		$	10.68		$	9.62		$	8.63		$	10.00
Income (loss) from investment operations:
Net investment income2		0.09			0.21			0.08			0.14			0.07			0.05
Net realized and unrealized gain (loss) on underlying series		0.62			0.48			0.25			1.10			1.12			(1.42	)
Total from investment operations		0.71			0.69			0.33			1.24			1.19			(1.37	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.28	)		(0.21	)		(0.16	)		(0.20	)		—
From net realized gain on investments		(0.33	)		(0.97	)		(0.20	)		(0.02	)		—			—
Total distributions to shareholders		(0.50	)		(1.25	)		(0.41	)		(0.18	)		(0.20	)		—
Net asset value - End of period	$	10.25		$	10.04		$	10.60		$	10.68		$	9.62		$	8.63
Net assets - End of period (000’s omitted)	$	14,222		$	12,026		$	9,966		$	1,465		$	469		$	159	3
Total return4		7.34	%		7.67	%		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	%8		0.05	%9		0.05	%11		0.05	%5,11
Net investment income		1.81	%5		2.16	%		0.81	%		1.44	%		0.83	%		0.86	%5
Series portfolio turnover12		24	%		30	%		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:
		0.23	%5		0.27	%7		0.32	%8		0.43	%9		8.26	%11		42,439	%5,11,13

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.68% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁸Expense 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.

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%.

¹⁰During 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.

¹¹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹²Reflects activity of the Series and does not include the activity of the underlying series.

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.

20

Financial Highlights

TARGET 2015 SERIES CLASS K	FOR THE SIX MONTHS  ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 6/25/121 TO  10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.59		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.03			(0.01	)
Net realized and unrealized gain (loss) on underlying series		0.85			0.60
Total from investment operations		0.88			0.59
Less distributions to shareholders:
From net investment income		(0.15	)		—
Total distributions to shareholders		(0.15	)		—
Net asset value - End of period	$	11.32		$	10.59
Net assets - End of period	$	7,080	3	$	1,498	3
Total return4		8.40	%		5.90	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%5,6
Net investment Income (loss)		0.62	%5		(0.30	%)5
Series portfolio turnover7		3	%		—	8
*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:
		750.83	%5,9		9,646	%5,6,9
TARGET 2015 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.59		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.03	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		0.91			0.61
Total from investment operations		0.88			0.59
Less distributions to shareholders:
From net investment income		(0.13	)		—
Total distributions to shareholders		(0.13	)		—
Net asset value - End of period	$	11.34		$	10.59
Net assets - End of period	$	49,978	3	$	106	3
Total return4		8.37	%		5.90	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%5,6
Net investment loss		(0.53	%)5		(0.55	%)5
Series portfolio turnover7		3	%		—	8
*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:
		49.31	%5,9		10,644	%5,6,9

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

⁴Represents aggregate total return for the period indicated. 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 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the underlying series.

⁸Less than 1%.

⁹The 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.

21

Financial Highlights

TARGET 2015 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 6/25/121 TO  10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.57		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.06			(0.04	)
Net realized and unrealized gain (loss) on underlying series		0.79			0.61
Total from investment operations		0.85			0.57
Less distributions to shareholders:
From net investment income		(0.10	)		—
Total distributions to shareholders		(0.10	)		—
Net asset value - End of period	$	11.32		$	10.57
Net assets - End of period	$	114	3	$	106	3
Total return4		8.11	%		5.70	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.05	%5,6		1.05	%5,6
Net investment Income (loss)		1.08	%5		(1.05	%)5
Series portfolio turnover7		3	%		—	8
*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:
		1,547.33	%5,9		10,645	%5,6,9
TARGET 2015 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.61		$	10.00
Income (loss) from investment operations:
Net investment loss2		—	10		—	10
Net realized and unrealized gain (loss) on underlying series		0.88			0.61
Total from investment operations		0.88			0.61
Less distributions to shareholders:
From net investment income		(0.16	)		—
Total distributions to shareholders		(0.16	)		—
Net asset value - End of period	$	11.33		$	10.61
Net assets - End of period	$	2,893,860	3	$	209	3
Total return4		8.37	%		6.10	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.05	%5,6		0.05	%5,6
Net investment loss		(0.05	%)5		(0.05	%)5
Series portfolio turnover7		3	%		—	8
*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:
		14.07	%5,9		9,682	%5,6,9

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

⁴Represents aggregate total return for the period indicated. 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 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the underlying series.

⁸Less than 1%.

⁹The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

¹⁰Less than $0.01.

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

22

Financial Highlights

TARGET 2020 SERIES CLASS K	FOR THE SIX MONTHS  ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	9.89		$	10.12		$	10.33		$	9.16		$	8.14		$	10.00
Income (loss) from investment operations:
Net investment income2		0.07			0.17			0.20			0.13			0.02			0.04
Net realized and unrealized gain (loss) on underlying series		0.82			0.54			0.12			1.23			1.21			(1.90	)
Total from investment operations		0.89			0.71			0.32			1.36			1.23			(1.86	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.21	)		(0.19	)		(0.17	)		(0.21	)		—
From net realized gain on investments		(0.35	)		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.52	)		(0.94	)		(0.53	)		(0.19	)		(0.21	)		—
Net asset value - End of period	$	10.26		$	9.89		$	10.12		$	10.33		$	9.16		$	8.14
Net assets - End of period (000’s omitted)	$	76,332		$	67,039		$	56,290		$	64,613		$	30,089		$	157	3
Total return4		9.38	%		8.08	%		3.14	%		14.89	%		15.72	%		(18.60	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.30	%5,6		0.30	%6		0.30	%7		0.29	%8,9		0.30	%10		0.30	%5,10
Net investment income		1.46	%5		1.72	%		1.97	%		1.38	%		0.28	%		0.74	%5
Series portfolio turnover11		16	%		24	%		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:
		0.06	%5		0.08	%6		0.10	%7		0.17	%8		0.72	%10		34,421	%5,10,12
TARGET 2020 SERIES CLASS R	FOR THE SIX MONTHS  ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	9.78		$	10.02		$	10.24		$	9.10		$	8.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.06			0.14			0.15			0.12			(0.05	)		0.04
Net realized and unrealized gain (loss) on underlying series		0.80			0.54			0.14			1.21			1.23			(1.91	)
Total from investment operations		0.86			0.68			0.29			1.33			1.18			(1.87	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.19	)		(0.17	)		(0.17	)		(0.21	)		—
From net realized gain on investments		(0.35	)		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.50	)		(0.92	)		(0.51	)		(0.19	)		(0.21	)		—
Net asset value - End of period	$	10.14		$	9.78		$	10.02		$	10.24		$	9.10		$	8.13
Net assets - End of period (000’s omitted)	$	21,574		$	19,150		$	16,105		$	12,229		$	562		$	81	3
Total return4		9.19	%		7.82	%		2.85	%		14.72	%		15.13	%		(18.70	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%6		0.55	%7		0.52	%8,9		0.55	%10		0.55	%5,10
Net investment income (loss)		1.19	%5		1.47	%		1.48	%		1.25	%		(0.54	%)		0.62	%5
Series portfolio turnover11		16	%		24	%		49	%		20	%		9	%		31	%
net assets) would have been increased by the following amounts: net assets) would have been increased by the following amounts:
		0.06	%5		0.08	%6		0.10	%7		0.18	%8		14.54	%10		38,136	%5,10,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Extended 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 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

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.

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.

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.

23

Financial Highlights

TARGET 2020 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	9.75		$	9.99		$	10.21		$	9.06		$	8.10		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.03			0.11			0.11			0.10			0.02			(0.05	)
Net realized and unrealized gain (loss) on underlying series		0.81			0.52			0.14			1.18			1.13			(1.85	)
Total from investment operations		0.84			0.63			0.25			1.28			1.15			(1.90	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.14	)		(0.13	)		(0.11	)		(0.19	)		—
From net realized gain on investments		(0.35	)		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.47	)		(0.87	)		(0.47	)		(0.13	)		(0.19	)		—
Net asset value - End of period	$	10.12		$	9.75		$	9.99		$	10.21		$	9.06		$	8.10
Net assets - End of period (000’s omitted)	$	4,400		$	3,999		$	4,155		$	3,803		$	2,123		$	228,171	3
Total return4		9.03	%		7.24	%		2.42	%		14.24	%		14.74	%		(19.00	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%5,6		1.05	%6		1.05	%7		0.98	%8,9		1.05	%10		1.05	%5,10
Net investment income (loss)		0.72	%5		1.20	%		1.08	%		1.03	%		0.25	%		(1.05	%)5
Series portfolio turnover11		16	%		24	%		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:
		0.06	%5		0.08	%6		0.10	%7		0.18	%8		3.08	%10		158	%5,10,12
TARGET 2020 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	9.93		$	10.16		$	10.37		$	9.19		$	8.15		$	10.00
Income (loss) from investment operations:
Net investment income2		0.08			0.20			0.09			0.18			0.10			—	13
Net realized and unrealized gain (loss) on underlying series		0.82			0.54			0.25			1.21			1.15			(1.85	)
Total from investment operations		0.90			0.74			0.34			1.39			1.25			(1.85	)
Less distributions to shareholders:
From net investment income		(0.18	)		(0.24	)		(0.21	)		(0.19	)		(0.21	)		—
From net realized gain on investments		(0.35	)		(0.73	)		(0.34	)		(0.02	)		—			—
Total distributions to shareholders		(0.53	)		(0.97	)		(0.55	)		(0.21	)		(0.21	)		—
Net asset value - End of period	$	10.30		$	9.93		$	10.16		$	10.37		$	9.19		$	8.15
Net assets - End of period (000’s omitted)	$	61,977		$	39,523		$	25,262		$	3,474		$	1,927		$	51,467	3
Total return4		9.49	%		8.36	%		3.37	%		15.24	%		15.98	%		(18.50	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%5,6		0.05	%6		0.05	%7		0.05	%8		0.05	%10		0.05	%5,10
Net investment income (loss)		1.52	%5		2.10	%		0.85	%		1.89	%		1.22	%		(0.02	%)5
Series portfolio turnover11		16	%		24	%		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:
		0.06	%5		0.08	%6		0.11	%7		0.19	%8		2.90	%10		871	%5,10,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Extended 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 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

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.

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.

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.

¹³Less than $0.01.

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

24

Financial Highlights

TARGET 2025 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.77		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.01			(0.01	)
Net realized and unrealized gain (loss) on underlying series		1.15			0.78
Total from investment operations		1.16			0.77
Less distributions to shareholders:
From net investment income		(0.16	)		—
Total distributions to shareholders		(0.16	)		—
Net asset value - End of period	$	11.77		$	10.77
Net assets - End of period (000’s omitted)	$	148		$	47,648	3
Total return4		10.92	%		7.70	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%5,7
Net investment Income (loss)		0.16	%5		(0.30	%)5
Series portfolio turnover8		39	%		—	9
*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:
		37.76	%5,10		259	%5,7,10
TARGET 2025 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.75		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.03	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		1.23			0.77
Total from investment operations		1.20			0.75
Less distributions to shareholders:
From net investment income		(0.15	)		—
Total distributions to shareholders		(0.15	)		—
Net asset value - End of period	$	11.80		$	10.75
Net assets - End of period (000’s omitted)	$	157		$	108	3
Total return4		11.24	%		7.50	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%5,7
Net investment loss		(0.55	%)5		(0.55	%)5
Series portfolio turnover8		39	%		—	9
*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:
		11.93	%5,10		3,129	%5,7,10

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

⁴Represents aggregate total return for the period indicated. 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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum 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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Reflects activity of the Series and does not include the activity of the underlying series.

⁹Less than 1%.

¹⁰The 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.

25

Financial Highlights

TARGET 2025 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE PERIOD 6/25/121 TO 10/31/12
	(UNAUDITED)
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.73		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.06	)		(0.04	)
Net realized and unrealized gain (loss) on underlying series		1.22			0.77
Total from investment operations		1.16			0.73
Less distributions to shareholders:
From net investment income		(0.12	)		—
Total distributions to shareholders		(0.12	)		—
Net asset value - End of period	$	11.77		$	10.73
Net assets - End of period (000’s omitted)	$	381		$	107	3
Total return4		10.89	%		7.30	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%5,6		1.05	%5,7
Net investment loss		(1.05	%)5		(1.05	%)5
Series portfolio turnover8		39	%		—	9
*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:
		6.61	%5,10		3,130	%5,7,10
TARGET 2025 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE PERIOD 6/25/121 TO 10/31/12
	(UNAUDITED)
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.77		$	10.00
Income (loss) from investment operations:
Net investment loss2		—	11		—	11
Net realized and unrealized gain (loss) on underlying series		1.14			0.77
Total from investment operations		1.14			0.77
Less distributions to shareholders:
From net investment income		(0.18	)		—
Total distributions to shareholders		(0.18	)		—
Net asset value - End of period	$	11.73		$	10.77
Net assets - End of period (000’s omitted)	$	6,677		$	211	3
Total return4		10.69	%		7.70	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%5,6		0.05	%5,7
Net investment loss		(0.05	%)5		(0.05	%)5
Series portfolio turnover8		39	%		—	9
*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:
		2.86	%5,10		1,967	%5,7,10

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

⁴Represents aggregate total return for the period indicated. 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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum 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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Reflects activity of the Series and does not include the activity of the underlying series.

⁹Less than 1%.

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.

26

Financial Highlights

TARGET 2030 SERIES CLASS  K	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/12			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	$	9.94		$	10.02		$	10.15		$	8.85		$	7.81		$	10.00
Income (loss) from investment operations:
Net investment income2		0.05			0.14			0.16			0.08			0.01			0.03
Net realized and unrealized gain (loss) on underlying series.		1.09			0.66			0.16			1.36			1.20			(2.22	)
Total from investment operations		1.14			0.80			0.32			1.44			1.21			(2.19	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.17	)		(0.15	)		(0.11	)		(0.17	)		—
From net realized gain on investments		(0.35	)		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.47	)		(0.88	)		(0.45	)		(0.14	)		(0.17	)		—
Net asset value - End of period	$	10.61		$	9.94		$	10.02		$	10.15		$	8.85		$	7.81
Net assets - End of period (000’s omitted)	$	79,942		$	67,510		$	63,436		$	66,235		$	23,597		$	118	3
Total return4		11.90	%		9.12	%		3.15	%		16.34	%		16.05	%		(21.90	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%7		0.30	%8		0.29	%9,10		0.30	%11		0.30	%5,11
Net investment income		1.03	%5		1.50	%		1.58	%		0.87	%		0.14	%		0.54	%5
Series portfolio turnover12		7	%		62	%		40	%		15	%		9	%		—	%13
*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:
		0.06	%5		0.09	%7		0.11	%8		0.20	%9		0.97	%11		37,175	%5,11,14
TARGET 2030 SERIES CLASS  R	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/12			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	$	9.87		$	9.96		$	10.09		$	8.83		$	7.79		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.04			0.09			0.11			0.06			(0.05	)		0.02
Net realized and unrealized gain (loss) on underlying series.		1.08			0.68			0.19			1.35			1.26			(2.23	)
Total from investment operations		1.12			0.77			0.30			1.41			1.21			(2.21	)
Less distributions to shareholders:
From net investment income		(0.11	)		(0.15	)		(0.13	)		(0.12	)		(0.17	)		—
From net realized gain on investments		(0.35	)		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.46	)		(0.86	)		(0.43	)		(0.15	)		(0.17	)		—
Net asset value - End of period	$	10.53		$	9.87		$	9.96		$	10.09		$	8.83		$	7.79
Net assets - End of period (000’s omitted)	$	21,374		$	18,759		$	9,243		$	7,162		$	328		$	78	3
Total return4		11.72	%		8.84	%		2.94	%		16.01	%		16.09	%		(22.10	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.55	%8		0.54	%9,10		0.55	%11		0.55	%5,11
Net investment income (loss)		0.85	%5		0.94	%		1.11	%		0.68	%		(0.53	%)		0.31	%5
Series portfolio turnover12		7	%		62	%		40	%		15	%		9	%		—	%13
*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:
		0.06	%5		0.09	%7		0.11	%8		0.18	%9		28.67	%11		38,768	%5,11,14

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum 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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Expense 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.

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.

¹⁰During 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.

¹¹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹²Reflects activity of the Series and does not include the activity of the underlying series.

¹³Less than 1%.

¹⁴The 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.

27

Financial Highlights

TARGET 2030 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/12			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	$	9.82		$	9.90		$	10.05		$	8.78		$	7.77		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.02			0.08			0.07			0.03			(0.02	)		(0.01	)
Net realized and unrealized gain (loss) on underlying series		1.07			0.64			0.17			1.33			1.19			(2.22	)
Total from investment operations		1.09			0.72			0.24			1.36			1.17			(2.23	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.09	)		(0.09	)		(0.06	)		(0.16	)		—
From net realized gain on investments		(0.35	)		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.43	)		(0.80	)		(0.39	)		(0.09	)		(0.16	)		—
Net asset value - End of period	$	10.48		$	9.82		$	9.90		$	10.05		$	8.78		$	7.77
Net assets - End of period (000’s omitted)	$	2,926		$	2,662		$	2,516		$	2,231		$	1,034		$	78	3
Total return4		11.47	%		8.36	%		2.35	%		15.50	%		15.57	%		(22.30	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%5,6		1.05	%7		1.05	%8		1.00	%9,10		1.05	%11		1.05	%5,11
Net investment income (loss)		0.38	%5		0.84	%		0.72	%		0.31	%		(0.22	%)		(0.17	%)5
Series portfolio turnover12		7	%		62	%		40	%		15	%		9	%		—	%13
*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:
		0.06	%5		0.09	%7		0.11	%8		0.22	%9		5.84	%11		38,789	%5,11,14
TARGET 2030 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/12			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	$	10.01		$	10.09		$	10.21		$	8.90		$	7.82		$	10.00
Income (loss) from investment operations:
Net investment income2		0.06			0.17			0.07			0.13			0.11			0.01
Net realized and unrealized gain (loss) on underlying series.		1.11			0.65			0.28			1.35			1.14			(2.19	)
Total from investment operations		1.17			0.82			0.35			1.48			1.25			(2.18	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.19	)		(0.17	)		(0.14	)		(0.17	)		—
From net realized gain on investments		(0.35	)		(0.71	)		(0.30	)		(0.03	)		—			—
Total distributions to shareholders		(0.49	)		(0.90	)		(0.47	)		(0.17	)		(0.17	)		—
Net asset value - End of period	$	10.69		$	10.01		$	10.09		$	10.21		$	8.90		$	7.82
Net assets - End of period (000’s omitted)	$	54,189		$	37,832		$	20,249		$	2,932		$	1,316		$	12,591	3
Total return4		12.06	%		9.36	%		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	%8		0.05	%9		0.05	%11		0.05	%5,11
Net investment income		1.26	%5		1.78	%		0.74	%		1.34	%		1.37	%		0.16	%5
Series portfolio turnover12		7	%		62	%		40	%		15	%		9	%		—	%13
*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:
		0.06	%5		0.09	%7		0.12	%8		0.22	%9		6.18	%11		14,979	%5,11,14

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum 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 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Expense 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.

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.

¹⁰During 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.

¹¹Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

¹²Reflects activity of the Series and does not include the activity of the underlying series.

¹³Less than 1%.

¹⁴The 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.

28

Financial Highlights

TARGET 2035 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE  PERIOD 6/25/1211 TO  10/31/12
	(UNAUDITED)
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.92		$	10.00
Income (loss) from investment operations:
Net investment loss2		—	3		(0.01	)
Net realized and unrealized gain (loss) on underlying series4		1.38			0.93
Total from investment operations		1.38			0.92
Less distributions to shareholders:
From net investment income		(0.09	)		—
Total distributions to shareholders		(0.09	)		—
Net asset value - End of period	$	12.21		$	10.92
Net assets - End of period (000’s omitted)	$	202		$	15,034	5
Total return6		12.71	%		9.20	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%7,8		0.30	%7,9
Net investment income (loss)		0.06	%7		(0.30	%)7
Series portfolio turnover10		1	%		—	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:
		41.42	%7,12		4,581	%7,9,12
TARGET 2035 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE  PERIOD 6/25/1211 TO  10/31/12
	(UNAUDITED)
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.91		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.03	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series4		1.42			0.93
Total from investment operations		1.39			0.91
Less distributions to shareholders:
From net investment income		(0.06	)		—
Total distributions to shareholders		(0.06	)		—
Net asset value - End of period	$	12.24		$	10.91
Net assets - End of period (000’s omitted)	$	178		$	109	5
Total return6		12.83	%		9.10	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%7,8		0.55	%7,9
Net investment loss		(0.55	%)7		(0.55	%)7
Series portfolio turnover10		1	%		—	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:
		11.72	%7,12		9,077	%7,9,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

⁴Amount does not coincide with the amount shown on the Statements of Operations due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.

⁵Represents the whole number without rounding to the 000s.

⁶Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.

⁷Annualized.

⁸Expense 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^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁹Expense 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^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

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.

29

Financial Highlights

TARGET 2035 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 6/25/1211 TO  10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.93		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.04	)		(0.04	)
Net realized and unrealized gain (loss) on underlying series3		1.38			0.97
Total from investment operations		1.34			0.93
Less distributions to shareholders:
From net investment income		(0.07	)		—
Total distributions to shareholders		(0.07	)		—
Net asset value - End of period	$	12.20		$	10.93
Net assets - End of period (000’s omitted)	$	35		$	2,710	4
Total return5		12.33	%		9.30	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%6,7		1.05	%6,8
Net investment loss		(0.65	%)6		(1.05	%)6
Series portfolio turnover9		1	%		—	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:
		42.95	%6,11		5,503	%6,8,11

TARGET 2035 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 6/25/1211 TO  10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.92		$	10.00
Income (loss) from investment operations:
Net investment loss2		—	12		—	12
Net realized and unrealized gain (loss) on underlying series3		1.41			0.92
Total from investment operations		1.41			0.92
Less distributions to shareholders:
From net investment income		(0.10	)		—
Total distributions to shareholders		(0.10	)		—
Net asset value - End of period	$	12.23		$	10.92
Net assets - End of period (000’s omitted)	$	4,970		$	213	4
Total return5		12.95	%		9.20	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%6,7		0.05	%6,8
Net investment loss		(0.01	%)6		(0.05	%)6
Series portfolio turnover9		1	%		—	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:
		6.90	%6,11		7,930	%6,8,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Amount does not coincide with the amount shown on the Statements of Operations due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.

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

⁵Represents aggregate total return for the period indicated. 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 ratios of the underlying series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Expense 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^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

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.

30

Financial Highlights

TARGET 2040 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.29		$	10.10		$	10.20		$	8.79		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income2		0.03			0.07			0.09			0.04			—	3		0.02
Net realized and unrealized gain (loss) on underlying series		1.36			0.74			(0.02	)		1.46			1.36			(2.44	)
Total from investment operations		1.39			0.81			0.07			1.50			1.36			(2.42	)
Less distributions to shareholders:
From net investment income		(0.05	)		(0.08	)		(0.08	)		(0.06	)		(0.15	)		—
From net realized gain on investments		(0.24	)		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.29	)		(0.62	)		(0.17	)		(0.09	)		(0.15	)		—
Net asset value - End of period	$	11.39		$	10.29		$	10.10		$	10.20		$	8.79		$	7.58
Net assets - End of period (000’s omitted)	$	59,902		$	51,273		$	39,853		$	42,417		$	12,880		$	76	4
Total return5		13.85	%		8.97	%		0.70	%		17.10	%		18.60	%		(24.20	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%6,7		0.30	%8		0.30	%9		0.29	%10,11		0.30	%10		0.30	%6,10
Net investment income		0.51	%6		0.70	%		0.88	%		0.43	%		0.05	%		0.40	%6
Series portfolio turnover12		11	%		24	%		19	%		4	%		7	%		—	%13
*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:
		0.10	%6		0.14	%8		0.17	%9		0.32	%10		2.10	%10		28,865	%6,10,14
TARGET 2040 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.22		$	10.04		$	10.14		$	8.76		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.01			0.05			0.05			0.04			(0.02	)		0.01
Net realized and unrealized gain (loss) on underlying series		1.36			0.73			—	3		1.43			1.35			(2.43	)
Total from investment operations		1.37			0.78			0.05			1.47			1.33			(2.42	)
Less distributions to shareholders:
From net investment income		(0.03	)		(0.06	)		(0.06	)		(0.06	)		(0.15	)		—
From net realized gain on investments		(0.24	)		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.27	)		(0.60	)		(0.15	)		(0.09	)		(0.15	)		—
Net asset value - End of period	$	11.32		$	10.22		$	10.04		$	10.14		$	8.76		$	7.58
Net assets - End of period (000’s omitted)	$	12,899		$	11,827		$	11,475		$	8,168		$	504		$	76	4
Total return5		13.73	%		8.67	%		0.50	%		16.85	%		18.21	%		(24.20	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%6,7		0.55	%8		0.55	%9		0.52	%10,11		0.55	%10		0.55	%6,10
Net investment income (loss)		0.23	%6		0.54	%		0.52	%		0.40	%		(0.21	%)		0.14	%6
Series portfolio turnover12		11	%		24	%		19	%		4	%		7	%		—	%13
*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:
		0.10	%6		0.14	%8		0.17	%9		0.31	%10		16.27	%10		28,865	%6,10,14

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

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

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 ratios of the underlying series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Expense 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^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum 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 0.84%.

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%.

¹¹During 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.

¹²Reflects activity of the Series and does not include the activity of the underlying series.

¹³Less than 1%.

¹⁴The 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.

31

Financial Highlights

TARGET 2040 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.10		$	9.94		$	10.06		$	8.70		$	7.55		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		(0.01	)		—	3		0.01			(0.01	)		(0.06	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		1.34			0.72			(0.01	)		1.43			1.36			(2.43	)
Total from investment operations		1.33			0.72			—			1.42			1.30			(2.45	)
Less distributions to shareholders:
From net investment income		(0.01	)		(0.02	)		(0.03	)		(0.03	)		(0.15	)		—
From net realized gain on investments		(0.24	)		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.25	)		(0.56	)		(0.12	)		(0.06	)		(0.15	)		—
Net asset value - End of period	$	11.18		$	10.10		$	9.94		$	10.06		$	8.70		$	7.55
Net assets - End of period (000’s omitted)	$	1,207		$	1,034		$	913		$	875		$	440		$	75	4
Total return5		13.46	%		8.08	%		(0.01	%)		16.32	%		17.88	%		(24.50	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%6,7		1.05	%8		1.05	%9		0.99	%10,11		1.05	%10		1.05	%6,10
Net investment income (loss)		(0.24	%)6		0.03	%		0.09	%		(0.12	%)		(0.65	%)		(0.36	%)6
Series portfolio turnover12		11	%		24	%		19	%		4	%		7	%		—	%13
*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:
		0.10	%6		0.14	%8		0.17	%9		0.37	%10		15.19	%10		28,898	%6,10,14
TARGET 2040 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.35		$	10.16		$	10.26		$	8.83		$	7.60		$	10.00
Income (loss) from investment operations:
Net investment income2		0.04			0.10			0.04			0.08			0.07			—	3
Net realized and unrealized gain (loss) on underlying series		1.38			0.74			0.06			1.46			1.32			(2.40	)
Total from investment operations		1.42			0.84			0.10			1.54			1.39			(2.40	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.11	)		(0.11	)		(0.08	)		(0.16	)		—
From net realized gain on investments		(0.24	)		(0.54	)		(0.09	)		(0.03	)		—			—
Total distributions to shareholders		(0.31	)		(0.65	)		(0.20	)		(0.11	)		(0.16	)		—
Net asset value - End of period	$	11.46		$	10.35		$	10.16		$	10.26		$	8.83		$	7.60
Net assets - End of period (000’s omitted)	$	26,923		$	20,194		$	11,298		$	1,066		$	428		$	28,539	4
Total return5		14.01	%		9.23	%		0.93	%		17.52	%		18.86	%		(24.00	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%6,7		0.05	%8		0.05	%9		0.05	%10		0.05	%10		0.05	%6,10
Net investment income (loss)		0.73	%6		0.99	%		0.35	%		0.84	%		0.93	%		(0.04	%)6
Series portfolio turnover12		11	%		24	%		19	%		4	%		7	%		—	%13
*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:
		0.10	%6		0.14	%8		0.18	%9		0.36	%10		18.65	%10		767	%6,10,14

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

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

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 ratios of the underlying series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Expense 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^® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend^® Maximum 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 0.84%.

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%.

¹¹During 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.

¹²Reflects activity of the Series and does not include the activity of the underlying series.

¹³Less than 1%.

¹⁴The 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.

32

Financial Highlights

TARGET 2045 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 6/25/121 TO  10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.01		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.01	)		(0.01	)
Net realized and unrealized gain (loss) on underlying series		1.51			1.02	3
Total from investment operations		1.50			1.01
Less distributions to shareholders:
From net investment income		(0.03	)		—
Total distributions to shareholders		(0.03	)		—
Net asset value - End of period	$	12.48		$	11.01
Net assets - End of period (000’s omitted)	$	109		$	3,320	4
Total return5		13.67	%		10.10	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%6,7		0.30	%6,8
Net investment loss		(0.21	%)6		(0.30	%)6
Series portfolio turnover9		37	%		—	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:
		84.00	%6,11		3,204	%6,8,11
TARGET 2045 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 6/25/121 TO  10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.99		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.03	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		1.52			1.01	3
Total from investment operations		1.49			0.99
Less distributions to shareholders:
From net investment income		(0.04	)		—
Total distributions to shareholders		(0.04	)		—
Net asset value - End of period	$	12.44		$	10.99
Net assets - End of period (000’s omitted)	$	87		$	110	4
Total return5		13.56	%		9.90	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%6,7		0.55	%6,8
Net investment loss		(0.53	%)6		(0.55	%)6
Series portfolio turnover9		37	%		—	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:
		65.00	%6,11		8,326	%6,8,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Amount does not coincide with the amount shown on the Statements of Operations due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.

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

⁵Represents aggregate total return for the period indicated. 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 0.83%.

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%.

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.

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

33

Financial Highlights

TARGET 2045 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.01		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.03	)		(0.04	)
Net realized and unrealized gain (loss) on underlying series		1.50			1.05	3
Total from investment operations		1.47			1.01
Less distributions to shareholders:
From net investment income		(0.02	)		—
Total distributions to shareholders		(0.02	)		—
Net asset value - End of period	$	12.46		$	11.01
Net assets - End of period (000’s omitted)	$	33		$	11,388	4
Total return5		13.35	%		10.10	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%6,7		1.05	%6,8
Net investment loss		(0.44	%)6,9		(1.05	%)6
Series portfolio turnover10		37	%		—	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:
		310.00	%6,12		2,985	%6,8,12
TARGET 2045 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.01		$	10.00
Income (loss) from investment operations:
Net investment loss2		—	9		—	9
Net realized and unrealized gain (loss) on underlying series		1.52			1.01	3
Total from investment operations		1.52			1.01
Less distributions to shareholders:
From net investment income		(0.04	)		—
Total distributions to shareholders		(0.04	)		—
Net asset value - End of period	$	12.49		$	11.01
Net assets - End of period (000’s omitted)	$	774		$	214	4
Total return5		13.86	%		10.10	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%6,7		0.05	%6,8
Net investment loss		(0.05	%)6		(0.05	%)6
Series portfolio turnover10		37	%		—	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:
		13.90	%6,12		7,036	%6,8,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Amount does not coincide with the amount shown on the Statements of Operations due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.

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

⁵Represents aggregate total return for the period indicated. 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 0.83%.

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%.

⁹Less than $0.01.

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.

34

Financial Highlights

TARGET 2050 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.81		$	10.20		$	10.22		$	8.85		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.02			0.07			0.09			0.03			(0.02	)		0.02
Net realized and unrealized gain (loss) on underlying series		1.52			0.81			(0.01	)		1.48			1.52			(2.44	)
Total from investment operations		1.54			0.88			0.08			1.51			1.50			(2.42	)
Less distributions to shareholders:
From net investment income		(0.04	)		(0.08	)		(0.08	)		(0.06	)		(0.23	)		—
From net realized gain on investments		(0.03	)		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.07	)		(0.27	)		(0.10	)		(0.14	)		(0.23	)		—
Net asset value - End of period	$	12.28		$	10.81		$	10.20		$	10.22		$	8.85		$	7.58
Net assets - End of period (000’s omitted)	$	30,556		$	24,759		$	18,293		$	15,242		$	1,047		$	76	3
Total return4		14.35	%		9.07	%		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	%7		0.30	%8,9		0.30	%8		0.30	%5,8
Net investment income (loss)		0.40	%5		0.69	%		0.82	%		0.28	%		(0.24	%)		0.40	%5
Series portfolio turnover10		3	%		5	%		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:
		0.31	%5		0.43	%7		0.54	%7		1.07	%8		25.10	%8		35,232	%5,8,11

TARGET 2050 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.74		$	10.14		$	10.16		$	8.82		$	7.58		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.01			0.05			0.06			0.03			(0.05	)		0.01
Net realized and unrealized gain (loss) on underlying series		1.51			0.80			—	12		1.44			1.52			(2.43	)
Total from investment operations		1.52			0.85			0.06			1.47			1.47			(2.42	)
Less distributions to shareholders:
From net investment income		(0.02	)		(0.06	)		(0.06	)		(0.05	)		(0.23	)		—
From net realized gain on investments		(0.03	)		(0.19	)		(0.02	)		(0.08	)		—			��
Total distributions to shareholders		(0.05	)		(0.25	)		(0.08	)		(0.13	)		(0.23	)		—
Net asset value - End of period	$	12.21		$	10.74		$	10.14		$	10.16		$	8.82		$	7.58
Net assets - End of period (000’s omitted)	$	4,111		$	3,448		$	2,686		$	2,154		$	601		$	76	3
Total return4		14.28	%		8.75	%		0.56	%		16.85	%		20.31	%		(24.20	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%7		0.55	%7		0.53	%8,9		0.55	%8		0.55	%5,8
Net investment income (loss)		0.13	%5		0.45	%		0.55	%		0.27	%		(0.50	%)		0.14	%5
Series portfolio turnover10		3	%		5	%		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:
		0.31	%5		0.43	%7		0.54	%7		1.44	%8		242.05	%8		35,243	%5,8,11

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

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 ratio of the underlying series was 0.84%.

⁸Expense ratios do not include expenses of the underlying series in which the Series invests. The expense ratio of the underlying series was 0.85%.

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.

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.

35

Financial Highlights

TARGET 2050 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/12			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	$	10.60		$	10.02		$	10.08		$	8.75		$	7.55		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		(0.02	)		—	3		0.01			(0.04	)		(0.06	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		1.48			0.80			(0.01	)		1.46			1.49			(2.43	)
Total from investment operations		1.46			0.80			—			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		(0.03	)		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.03	)		(0.22	)		(0.06	)		(0.09	)		(0.23	)		—
Net asset value - End of period	$	12.03		$	10.60		$	10.02		$	10.08		$	8.75		$	7.55
Net assets - End of period (000’s omitted)	$	1,227		$	1,074		$	948		$	843		$	99		$	75	4
Total return5		13.85	%		8.29	%		(0.06	%)		16.34	%		19.84	%		(24.50	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%6,7		1.05	%8		1.05	%8		1.02	%9,10		1.05	%9		1.05	%6,9
Net investment income (loss)		(0.34	%)6		(0.01	%)		0.09	%		(0.44	%)		(0.71	%)		(0.36	%)6
Series portfolio turnover11		3	%		5	%		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:
		0.31	%6		0.43	%8		0.55	%8		1.23	%9		73.45	%9		35,267	%6,9,12

TARGET 2050 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
	(UNAUDITED)			10/31/12			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	$	10.88		$	10.26		$	10.28		$	8.90		$	7.60		$	10.00
Income (loss) from investment operations:
Net investment income2		0.03			0.09			0.03			0.07			0.16			—	3
Net realized and unrealized gain (loss) on underlying series		1.52			0.83			0.08			1.47			1.37			(2.40	)
Total from investment operations		1.55			0.92			0.11			1.54			1.53			(2.40	)
Less distributions to shareholders:
From net investment income		(0.05	)		(0.11	)		(0.11	)		(0.08	)		(0.23	)		—
From net realized gain on investments		(0.03	)		(0.19	)		(0.02	)		(0.08	)		—			—
Total distributions to shareholders		(0.08	)		(0.30	)		(0.13	)		(0.16	)		(0.23	)		—
Net asset value - End of period	$	12.35		$	10.88		$	10.26		$	10.28		$	8.90		$	7.60
Net assets - End of period (000’s omitted)	$	5,806		$	4,016		$	2,121		$	129		$	79		$	17,863	4
Total return5		14.41	%		9.39	%		0.98	%		17.40	%		21.07	%		(24.00	%)
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%6,7		0.05	%8		0.05	%8		0.05	%9		0.05	%9		0.05	%6,9
Net investment income (loss)		0.60	%6		0.89	%		0.25	%		0.76	%		2.07	%		(0.03	%)6
Series portfolio turnover11		3	%		5	%		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:
		0.31	%6		0.43	%8		0.57	%8		1.90	%9		141.53	%9		1,903	%6,9,12

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

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

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 0.83%.

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%.

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%.

¹⁰During 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.

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.

36

Financial Highlights

TARGET 2055 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.04		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.01	)		(0.01	)
Net realized and unrealized gain (loss) on underlying series		1.59			1.05
Total from investment operations		1.58			1.04
Less distributions to shareholders:
From net investment income		(0.03	)		—
Total distributions to shareholders		(0.03	)		—
Net asset value - End of period	$	12.59		$	11.04
Net assets - End of period	$	6,109	3	$	214	3
Total return4		14.35	%		10.40	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.30	%5,6		0.30	%5,7
Net investment loss		(0.12	%)5		(0.30	%)5
Series portfolio turnover8		399	%		—	9
*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:
		1,603.66	%5,10		19,197	%5,7,10
TARGET 2055 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.03		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.04	)		(0.02	)
Net realized and unrealized gain (loss) on underlying series		1.56			1.05
Total from investment operations		1.52			1.03
Less distributions to shareholders:
From net investment income		(0.02	)		—
Total distributions to shareholders		(0.02	)		—
Net asset value - End of period	$	12.53		$	11.03
Net assets - End of period	$	21,964	3	$	110	3
Total return4		13.75	%		10.30	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.55	%5,6		0.55	%5,7
Net investment loss		(0.59	%)5		(0.55	%)5
Series portfolio turnover8		399	%		—	9
*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:
		369.16	%5,10		19,015	%5,7,10

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

⁴Represents aggregate total return for the period indicated. 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 ratio of the underlying series was 0.84%.

⁸Reflects activity of the Series and does not include the activity of the underlying series.

⁹The Series had no portfolio turnover for the period.

¹⁰The 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.

37

Financial Highlights

TARGET 2055 SERIES CLASS C	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.01		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.04	)		(0.04	)
Net realized and unrealized gain (loss) on underlying series		1.54			1.05
Total from investment operations		1.50			1.01
Less distributions to shareholders:
Net asset value - End of period	$	12.51		$	11.01
Net assets - End of period	$	401	3	$	110	3
Total return4		13.63	%		10.10	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		1.05	%5,6		1.05	%5,7
Net investment loss		(0.66	%)5		(1.05	%)5
Series portfolio turnover8		399	%		—	9
*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:
		5,892.98	%5,10		19,016	%5,7,10
TARGET 2055 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE PERIOD 6/25/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.05		$	10.00
Income (loss) from investment operations:
Net investment loss2		—	11		—	11
Net realized and unrealized gain (loss) on underlying series		1.65			1.05
Total from investment operations		1.65			1.05
Less distributions to shareholders:
From net investment income		(0.05	)		—
Total distributions to shareholders		(0.05	)		—
Net asset value - End of period	$	12.65		$	11.05
Net assets - End of period	$	21,964	3	$	215	3
Total return4		14.95	%		10.50	%
Ratios (to average net assets)/ Supplemental Data:
Expenses*		0.05	%5,6		0.05	%5,7
Net investment loss		(0.05	%)5		(0.05	%)5
Series portfolio turnover8		399	%		—	9
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average the expense ratios (to average net assets) would have been increased by the following amount:
		5.23	%5,10		19,201	%5,7,10

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

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

⁴Represents aggregate total return for the period indicated. 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 ratio of the underlying series was 0.84%.

⁸Reflects activity of the Series and does not include the activity of the underlying series.

⁹The Series had no portfolio turnover for the period.

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.

38

Notes to Financial Statements

(unaudited)

1. Organization

Target Income Series, Target 2010 Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series and Target 2055 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 single investment portfolios that adjust 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’ portfolios become 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, 2013, 10.3 billion shares have been designated in total among 43 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

39

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, 2013 in valuing the Series’ assets or liabilities carried at fair value:

	TARGET INCOME SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	61,001,434	$	61,001,434	$	—	$	—
Total assets	$	61,001,434	$	61,001,434	$	—	$	—
	TARGET 2010 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	50,184,408	$	50,184,408	$	—	$	—
Total assets	$	50,184,408	$	50,184,408	$	—	$	—
	TARGET 2015 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	2,951,149	$	2,951,149	$	—	$	—
Total assets	$	2,951,149	$	2,951,149	$	—	$	—
	TARGET 2020 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	164,296,693	$	164,296,693	$	—	$	—
Total assets	$	164,296,693	$	164,296,693	$	—	$	—
	TARGET 2025 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	7,363,792	$	7,363,792	$	—	$	—
Total assets	$	7,363,792	$	7,363,792	$	—	$	—
	TARGET 2030 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	158,397,600	$	158,397,600	$	—	$	—
Total assets	$	158,397,600	$	158,397,600	$	—	$	—
	TARGET 2035 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	5,384,300	$	5,384,300	$	—	$	—
Total assets	$	5,384,300	$	5,384,300	$	—	$	—

40

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

	TARGET 2040 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	100,929,839	$	100,929,839	$	—	$	—
Total assets	$	100,929,839	$	100,929,839	$	—	$	—
	TARGET 2045 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	1,002,895	$	1,002,895	$	—	$	—
Total assets	$	1,002,895	$	1,002,895	$	—	$	—
	TARGET 2050 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	41,688,389	$	41,688,389	$	—	$	—
Total assets	$	41,688,389	$	41,688,389	$	—	$	—
	TARGET 2055 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	50,488	$	50,488	$	—	$	—
Total assets	$	50,488	$	50,488	$	—	$	—

There were no Level 2 or Level 3 securities held by any of the Series as of October 31, 2012 or April 30, 2013.

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, 2013.

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

41

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Federal Taxes (continued)

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, 2013, 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 Target Income Series, Target 2010 Series, Target 2020 Series, Target 2030 Series, Target 2040 Series, and Target 2050 Series tax returns remains open for the years ended October 31, 2009 through October 31, 2012. As the commencement of operations of Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series, and Target 2055 Series was June 25, 2012, the statute of limitations remains open for the year ended October 31, 2012. 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.

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

42

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

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 for Target Income Series, Target 2010 Series, Target 2020 Series, Target 2030 Series, Target 2040 Series, Target 2050 Series and until at least February 28, 2023 for Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series, and Target 2055 Series, 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, 2013, the Advisor reimbursed expenses of $51,950 for Target Income Series, $55,270 for Target 2010 Series, $52,301 for Target 2015 Series, $40,380 for Target 2020 Series, $52,112 for Target 2025 Series, $39,159 for Target 2030 Series, $52,193 for Target 2035 Series, $47,421 for Target 2040 Series, $52,362 for Target 2045 Series, $57,009 for Target 2050 Series, and $52,142 for Target 2055 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.

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 Target 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. Effective October 1, 2012, the aforementioned agreements were modified to reduce the annual fee related to fund accounting and administration, as well as transfer agent fees by 10%, excluding out-of-pocket expenses.

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, 2013, purchases and sales of underlying series were as follows:

SERIES	PURCHASES		SALES
Target Income Series	$	5,999,765	$	3,448,685
Target 2010 Series	$	14,804,154	$	11,636,190
Target 2015 Series	$	2,922,493	$	15,334
Target 2020 Series	$	51,149,096	$	23,107,682
Target 2025 Series	$	7,709,683	$	502,798
Target 2030 Series	$	32,127,574	$	10,322,089
Target 2035 Series	$	5,277,404	$	12,424
Target 2040 Series	$	17,385,018	$	9,810,144
Target 2045 Series	$	1,038,462	$	71,243
Target 2050 Series	$	5,624,604	$	1,156,409
Target 2055 Series	$	4,048,490	$	4,021,878

43

Notes to Financial Statements (continued)

(unaudited)

5. Investments in Affiliated Issuers

A summary of the Series’ transactions in the shares of affiliated issuers during the six months ended April 30, 2013 is set forth below:

TARGET INCOME  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Conservative Term Series - Class I	$	57,123,304	$	5,999,765	$	3,448,685	$	61,001,434		5,412,727	$	682,952	$	2,089,499
	$	57,123,304	$	5,999,765	$	3,448,685	$	61,001,434			$	682,952	$	2,089,499
TARGET 2010  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Moderate Term Series - Class I	$	27,430,369	$	2,558,383	$	10,504,597	$	20,260,939		1,823,667	$	238,230	$	1,391,819
Manning & Napier Pro-Blend® Conservative Term Series - Class I		17,955,841		12,245,771		1,131,593		29,923,469		2,655,144		216,910		529,776
	$	45,386,210	$	14,804,154	$	11,636,190	$	50,184,408			$	455,140	$	1,921,595
TARGET 2015  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Extended Term Series - Class I	$	289	$	292,282	$	1,656	$	295,353		26,924	$	3	$	106
Manning & Napier Pro-Blend® Moderate Term Series - Class I		1,631		2,630,211		13,678		2,655,796		239,046		19		684
	$	1,920	$	2,922,493	$	15,334	$	2,951,149			$	22	$	790

44

Notes to Financial Statements (continued)

(unaudited)

5. Investments in Affiliated Issuers (continued)

TARGET 2020  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Extended Term Series - Class I	$	78,122,208	$	19,788,919	$	18,317,217	$	82,937,038		7,560,350	$	756,542	$	5,449,441
Manning & Napier Pro-Blend® Moderate Term Series - Class I		51,629,380		31,360,177		4,790,465		81,359,655		7,323,101		452,449		1,777,433
	$	129,751,588	$	51,149,096	$	23,107,682	$	164,296,693			$	1,208,990	$	7,226,874
TARGET 2025  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	7,351	$	771,031	$	53,049	$	740,158		60,969	$	28	$	2,655
Manning & Napier Pro-Blend® Extended Term Series - Class I		40,741		6,938,652		449,749		6,623,634		603,795		395		15,337
	$	48,092	$	7,709,683	$	502,798	$	7,363,792			$	423	$	17,992
TARGET 2030  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	50,588,019	$	9,021,545	$	8,586,831	$	56,401,588		4,645,930	$	193,171	$	2,410,205
Manning & Napier Pro-Blend® Extended Term Series - Class I		76,214,597		23,106,029		1,735,258		101,996,012		9,297,722		737,462		3,684,534
	$	126,802,616	$	32,127,574	$	10,322,089	$	158,397,600			$	930,633	$	6,094,739

45

Notes to Financial Statements (continued)

(unaudited)

5. Investments in Affiliated Issuers (continued)

TARGET 2035  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	11,724	$	3,166,796	$	9,237	$	3,238,289		266,745	$	152	$	1,597
Manning & Napier Pro-Blend® Extended Term Series - Class I		6,345		2,110,608		3,187		2,146,011		195,625		207		1,119
	$	18,069	$	5,277,404	$	12,424	$	5,384,300			$	359	$	2,716
TARGET 2040  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	76,326,078	$	10,694,083	$	9,155,488	$	86,171,258		7,098,127	$	288,029	$	3,715,556
Manning & Napier Pro-Blend® Extended Term Series - Class I		8,025,142		6,690,935		654,656		14,758,581		1,345,358		76,736		430,055
	$	84,351,220	$	17,385,018	$	9,810,144	$	100,929,839			$	364,765	$	4,145,611
TARGET 2045  SERIES	VALUE AT  10/31/12		PURCHASE  COST		SALES  PROCEEDS		VALUE AT  4/30/13		SHARES HELD  AT  4/30/13		DIVIDEND  INCOME  10/31/12  THROUGH  4/30/13		DISTRIBUTIONS  AND  NET REALIZED  GAIN  10/31/12  THROUGH  4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	15,039	$	1,038,462	$	71,243	$	1,002,895		82,611	$	63	$	2,977
	$	15,039	$	1,038,462	$	71,243	$	1,002,895			$	63	$	2,977

46

Notes to Financial Statements (continued)

(unaudited)

5. Investments in Affiliated Issuers (continued)

TARGET 2050 SERIES	VALUE AT 10/31/12		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/13		SHARES HELD AT 4/30/13		DIVIDEND INCOME 10/31/12 THROUGH 4/30/13		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/12 THROUGH 4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	33,317,109	$	5,624,604	$	1,156,409	$	41,688,389		3,433,969	$	128,045	$	1,193,166
	$	33,317,109	$	5,624,604	$	1,156,409	$	41,688,389			$	128,045	$	1,193,166
TARGET 2055 SERIES	VALUE AT 10/31/12		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/13		SHARES HELD AT 4/30/13		DIVIDEND INCOME 10/31/12 THROUGH 4/30/13		DISTRIBUTIONS AND NET REALIZED GAIN 10/31/12 THROUGH 4/30/13
Manning & Napier Pro-Blend® Maximum Term Series - Class I	$	650	$	4,048,490	$	4,021,878	$	50,488		4,159	$	2	$	22,198
	$	650	$	4,048,490	$	4,021,878	$	50,488			$	2	$	22,198

6. Capital Stock Transactions

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

TARGET INCOME SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		127,807		$	1,362,289			523,906		$	5,535,863			22,576		$	237,241			366,391		$	3,779,908
Reinvested		251,536			2,605,906			274,181			2,770,577			19,822			203,372			5,401			54,623
Repurchased		(218,773	)		(2,326,760	)		(685,141	)		(7,289,463	)		(128,674	)		(1,342,597	)		(64,907	)		(689,833	)
Total		160,570		$	1,641,435			112,946		$	1,016,977			(86,276	)	$	(901,984	)		306,885		$	3,144,698
TARGET INCOME SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS C						CLASS C						CLASS I						CLASS I
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		10,730		$	111,588			15,255		$	156,232			316,888		$	3,400,004			352,531		$	3,774,856
Reinvested		4,890			49,781			7,235			71,893			33,836			351,223			33,716			342,110
Repurchased		(6,510	)		(68,072	)		(60,384	)		(624,396	)		(81,440	)		(876,051	)		(181,620	)		(1,946,091	)
Total		9,110		$	93,297			(37,894	)	$	(396,271	)		269,284		$	2,875,176			204,627		$	2,170,875

47

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2010 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		178,128		$	1,779,502			561,252		$	5,508,851			46,096		$	455,814			393,519		$	3,795,603
Reinvested		137,391			1,328,572			282,819			2,590,645			23,010			220,890			63,456			576,739
Repurchased		(119,474	)		(1,189,595	)		(375,458	)		(3,775,683	)		(63,783	)		(632,861	)		(439,620	)		(4,285,105	)
Total		196,045		$	1,918,479			468,613		$	4,323,813			5,323		$	43,843			17,355		$	87,237
TARGET 2010 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS C						CLASS C						CLASS I						CLASS I
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		—		$	—			3,361		$	32,141			246,617		$	2,451,076			392,097		$	3,936,730
Reinvested		5,710			54,763			20,597			186,726			61,701			599,119			143,295			1,317,570
Repurchased		(16,739	)		(166,147	)		(70,074	)		(684,116	)		(118,545	)		(1,186,427	)		(277,741	)		(2,753,658	)
Total		(11,029	)	$	(111,384	)		(46,116	)	$	(465,249	)		189,773		$	1,863,768			257,651		$	2,500,642
TARGET 2015 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		558		$	6,126			142		$	1,486			4,542		$	50,152			10		$	100
Reinvested		3			31			—			—			—	1		1			—			—
Repurchased		(77	)		(875	)		—	1		(1	)		(143	)		(1,584	)		—			—
Total		484		$	5,282			142		$	1,485			4,399		$	48,569			10		$	100
TARGET 2015 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD  6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD  6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS C						CLASS C						CLASS I						CLASS I
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		—		$	—			10		$	100			256,554		$	2,866,998			20		$	201
Reinvested		—	1		1			—			—			—	1		3			—			—
Repurchased		—			—			—			—			(1,219	)		(13,718	)		—			—
Total		—		$	1			10		$	100			255,335		$	2,853,283			20		$	201
TARGET 2020 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		597,823		$	5,973,384			2,010,613		$	19,380,782			237,114		$	2,344,401			1,586,443		$	14,918,784
Reinvested		372,053			3,571,703			513,902			4,592,996			104,049			988,466			174,604			1,544,787
Repurchased		(309,711	)		(3,099,499	)		(1,309,313	)		(13,015,008	)		(172,926	)		(1,705,918	)		(1,409,863	)		(13,486,444	)
Total		660,165		$	6,445,588			1,215,202		$	10,958,770			168,237		$	1,626,949			351,184		$	2,977,127

48

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2020 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS C						CLASS C						CLASS I						CLASS I
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		18,840		$	185,620			46,997		$	447,342			2,135,144		$	21,438,293			1,566,124		$	15,470,859
Reinvested		20,476			194,315			41,112			362,644			221,207			2,130,225			356,691			3,197,362
Repurchased		(14,519	)		(143,163	)		(94,108	)		(896,029	)		(321,452	)		(3,219,573	)		(428,431	)		(4,176,531	)
Total		24,797		$	236,772			(5,999	)	$	(86,043	)		2,034,899		$	20,348,945			1,494,384		$	14,491,690
TARGET 2025 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		38,911		$	443,463			4,436		$	45,393			13,377		$	153,462			10		$	100
Reinvested		66			719			—			—			—	1		2			—			—
Repurchased		(30,850	)		(358,482	)		(12	)		(126	)		(59	)		(698	)		—			—
Total		8,127		$	85,700			4,424		$	45,267			13,318		$	152,766			10		$	100
TARGET 2025 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS C						CLASS C						CLASS I						CLASS I
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		32,342		$	379,200			10		$	100			586,297		$	6,781,641			20		$	201
Reinvested		—	1		1			—			—			1			13			—			—
Repurchased		—			—			—			—			(16,850	)		(193,955	)		—			—
Total		32,342		$	379,201			10		$	100			569,448		$	6,587,699			20		$	201
TARGET 2030 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		834,201		$	8,550,085			1,493,777		$	14,289,691			194,373		$	1,973,474			1,320,003		$	12,422,140
Reinvested		331,143			3,231,955			539,635			4,767,830			89,743			869,610			95,760			840,383
Repurchased		(423,180	)		(4,375,426	)		(1,570,157	)		(15,485,014	)		(155,743	)		(1,567,273	)		(442,838	)		(4,271,407	)
Total		742,164		$	7,406,614			463,255		$	3,572,507			128,373		$	1,275,811			972,925		$	8,991,116
TARGET 2030 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS C						CLASS C						CLASS I						CLASS I		��
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		13,162		$	131,663			39,988		$	378,005			1,300,143		$	13,516,979			1,811,542		$	17,853,946
Reinvested		12,077			116,661			23,588			205,832			188,672			1,852,761			307,186			2,731,694
Repurchased		(17,207	)		(170,817	)		(46,351	)		(431,851	)		(198,329	)		(2,047,758	)		(345,996	)		(3,330,007	)
Total		8,032		$	77,507			17,225		$	151,986			1,290,486		$	13,321,982			1,772,732		$	17,255,633

49

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2035 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS K SHARES			AMOUNTS			CLASS K SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS
Sold		15,405		$	180,073			1,377		$	15,234			14,594		$	172,646			10		$	100
Reinvested		22			247			—			—			—	1		1			—			—
Repurchased		(289	)		(3,520	)		—	1		(1	)		(100	)		(1,206	)		—			—
Total		15,138		$	176,801			1,377		$	15,233			14,494		$	171,440			10		$	100
TARGET 2035 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS C SHARES			AMOUNTS			CLASS C SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS
Sold		2,601		$	31,471			248		$	2,743			407,696		$	4,897,578			19		$	201
Reinvested		2			18			—			—			23			252			—			—
Repurchased		—			—			—			—			(1,200	)		(14,416	)		—			—
Total		2,603		$	31,489			248		$	2,743			406,519		$	4,883,414			19		$	201
TARGET 2040 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS K SHARES			AMOUNTS			CLASS K SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS
Sold		418,371		$	4,527,784			1,506,199		$	14,907,962			135,192		$	1,462,640			984,101		$	9,596,688
Reinvested		142,716			1,475,678			249,919			2,251,557			28,810			296,462			81,216			726,846
Repurchased		(284,901	)		(3,088,951	)		(719,680	)		(7,230,770	)		(181,638	)		(1,912,935	)		(1,051,750	)		(10,338,754	)
Total		276,186		$	2,914,511			1,036,438		$	9,928,749			(17,636	)	$	(153,833	)		13,567		$	(15,220	)
TARGET 2040 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS C SHARES			AMOUNTS			CLASS C SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS
Sold		4,121		$	44,051			10,695		$	105,115			515,659		$	5,701,550			981,605		$	9,832,649
Reinvested		2,322			23,641			5,069			44,909			59,001			613,016			110,490			1,001,120
Repurchased		(832	)		(9,127	)		(5,277	)		(50,777	)		(176,101	)		(1,946,282	)		(253,542	)		(2,533,501	)
Total		5,611		$	58,565			10,487		$	99,247			398,559		$	4,368,284			838,553		$	8,300,268
TARGET 2045 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS K SHARES			AMOUNTS			CLASS K SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS
Sold		8,496		$	104,076			302		$	3,355			7,025		$	84,884			10		$	100
Reinvested		1			11			—			—			—	1		3			—			—
Repurchased		(101	)		(1,254	)		—			—			(28	)		(341	)		—			—
Total		8,396		$	102,832			302		$	3,355			6,998		$	84,546			10		$	100

50

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2045 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS C SHARES			AMOUNTS			CLASS C SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS
Sold		1,613		$	19,488			1,034		$	11,591			67,958		$	833,656			19		$	201
Reinvested		2			19			—			—			—	1		1			—			—
Repurchased		—			—			—			—			(5,983	)		(73,699	)		—			—
Total		1,615		$	19,507			(19,832	)	$	(206,853	)		61,975		$	759,957			19		$	201
TARGET 2050 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS K SHARES			AMOUNTS			CLASS K SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS
Sold		249,919		$	2,910,333			565,247		$	5,828,317			59,292		$	686,854			157,352		$	1,605,004
Reinvested		15,486			172,052			52,848			499,785			1,598			17,657			6,696			62,927
Repurchased		(67,012	)		(784,908	)		(121,449	)		(1,252,984	)		(45,053	)		(512,743	)		(108,141	)		(1,102,425	)
Total		198,393		$	2,297,477			496,646		$	5,075,118			15,837		$	191,768			55,907		$	565,506
TARGET 2050 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	CLASS C SHARES			AMOUNTS			CLASS C SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS
Sold		4,611		$	52,743			9,232		$	94,278			153,653		$	1,817,577			198,566		$	2,055,819
Reinvested		307			3,357			2,119			19,686			3,059			34,167			7,836			74,728
Repurchased		(4,282	)		(50,266	)		(4,618	)		(47,775	)		(55,997	)		(671,859	)		(43,958	)		(461,072	)
Total		636		$	5,834			6,733		$	66,189			100,715		$	1,179,885			162,444		$	1,669,475
TARGET 2055 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS K SHARES			AMOUNTS			CLASS K SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS			CLASS R SHARES			AMOUNTS
Sold		465		$	5,743			20		$	201			1,781		$	21,704			10		$	100
Reinvested		—	1		1			—			—			—			—			—			—
Repurchased		—	1		(1	)		—			—			(38	)		(468	)		—			—
Total		465		$	5,743			20		$	201			1,744		$	21,236			10		$	100
TARGET 2055 SERIES:	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12						FOR THE SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 6/25/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	CLASS C SHARES			AMOUNTS			CLASS C SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS			CLASS I SHARES			AMOUNTS
Sold		22		$	270			10		$	100			325,606		$	4,021,496			19		$	201
Reinvested		—			—			—			—			—	1		1			—			—
Repurchased		—			—			—			—			(323,889	)		(4,021,922	)		—			—
Total		22		$	270			10		$	100			1,717		$	(425	)		19		$	201

¹Less than 1 share.

51

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

At April 30, 2013, one omnibus account owned the following in Target Income Series and Target 2050 Series, three omnibus accounts owned the following in Target 2010 Series and Target 2040 Series and four omnibus accounts owned the following in Target 2020 Series and Target 2030 Series:

SERIES	SHARES OWNED	PERCENTAGE OF SERIES SHARES OUTSTANDING			VALUE
Target Income Series	3,824,661		68.2	%	$	41,574,060
Target 2010 Series	2,776,610		56.5	%		28,370,636
Target 2020 Series	8,376,684		52.3	%		86,087,904
Target 2030 Series	8,941,478		60.0	%		95,130,713
Target 2040 Series	4,725,914		53.4	%		53,896,907
Target 2050 Series	2,064,698		60.8	%		25,354,496

Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series and Target 2055 Series each have one to three accounts that own substantially all the assets of these Series. 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, 2013.

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 (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, 2012 were as follows:

	TARGET INCOME SERIES		TARGET 2010 SERIES		TARGET 2015 SERIES		TARGET 2020 SERIES		TARGET 2025 SERIES		TARGET 2030 SERIES
Ordinary income (2012)	$	1,189,096	$	1,041,963	$	—	$	2,318,608	$	—	$	1,711,147
Long-term capital gain (2012)	$	2,080,550	$	3,648,840	$	—	$	7,434,151	$	—	$	6,848,036

52

Notes to Financial Statements (continued)

(unaudited)

8. Federal Income Tax Information (continued)

	TARGET 2035 SERIES		TARGET 2040 SERIES		TARGET 2045 SERIES		TARGET 2050 SERIES		TARGET 2055 SERIES
Ordinary income (2012)	$	—	$	573,079	$	—	$	201,473	$	—
Long-term capital gain (2012)	$	—	$	3,458,276	$	—	$	457,209	$	—

At April 30, 2013, 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  INCOME  SERIES		TARGET  2010  SERIES		TARGET  2015  SERIES		TARGET  2020  SERIES		TARGET  2025  SERIES		TARGET  2030  SERIES
Cost for federal income tax purposes	$	54,526,371	$	47,460,607	$	2,909,752	$	155,226,364	$	7,268,357	$	143,708,361
Unrealized appreciation	$	6,475,063	$	2,723,801	$	41,397	$	9,070,329	$	95,435	$	14,689,239
Net unrealized appreciation	$	6,475,063	$	2,723,801	$	41,397	$	9,070,329	$	95,435	$	14,689,239

	TARGET  2035  SERIES		TARGET  2040  SERIES		TARGET  2045  SERIES		TARGET  2050  SERIES		TARGET  2055  SERIES
Cost for federal income tax purposes	$	5,283,781	$	87,752,990	$	984,957	$	35,106,096	$	49,537
Unrealized appreciation	$	100,519	$	13,176,849	$	17,938	$	6,582,293	$	951
Net unrealized appreciation	$	100,519	$	13,176,849	$	17,938	$	6,582,293	$	951

At October 31, 2012, Target 2040 Series and Target 2050 Series had a capital loss carryover of $61 and $1,684, respectively, which is subject to limitations under Section 382-384 of the Internal Revenue Code, and is available to the extent allowed by tax law to offset future net capital gains, if any, which will expire on October 31, 2017.

53

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. Board of Directors’ meeting, held on November 14, 2012, the Investment Advisory Agreement between the Fund and Manning & Napier Advisors, LLC was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered 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 2012 Annual consideration 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 26 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 performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: 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. 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 Series’ actual performance and comparative performance, especially for those series with 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 18 of the 37 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 Series Class C, and Target Series Class R and Class C, are lower than, or substantially similar to, the Morningstar mean and median reported total expense ratio. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services 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.

54

Renewal of Investment Advisory Agreement

(unaudited)

• 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, 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 then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given 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, the number of newly established series of the Fund 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.

55

{This page intentionally left blank}

56

{This page intentionally left blank}

57

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 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-04/13-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 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 in each Class at the beginning of the period and held for the entire period (November 1, 2012 to April 30, 2013).

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 each Class in 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 Class of 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 for each Class in 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                   11/1/12	ENDING  ACCOUNT VALUE                   4/30/13	EXPENSES PAID  DURING PERIOD*               11/1/12-4/30/13	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,140.70	$4.35	0.82%
Hypothetical
(5% return before expenses)	$1,000.00	$1,020.73	$4.11	0.82%
Class I
Actual	$1,000.00	$1,142.70	$3.03	0.57%
Hypothetical
(5% return before expenses)	$1,000.00	$1,021.97	$2.86	0.57%

*Expenses are equal to each Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

1

Dividend Focus Series

Portfolio Composition as of April 30, 2013

(unaudited)

2

Dividend Focus Series

Investment Portfolio - April 30, 2013

(unaudited)

	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 97.2%
Consumer Discretionary - 6.3%
Auto Components - 0.2%
Magna International, Inc. (Canada)		5,267	$	316,915
Distributors - 0.2%
Genuine Parts Co.		4,141		316,083
Hotels, Restaurants & Leisure - 1.9%
McDonald’s Corp.		28,685		2,929,886
Leisure Equipment & Products - 0.3%
Mattel, Inc.		9,455		431,715
Media - 1.0%
Omnicom Group, Inc.		6,462		386,234
Pearson plc - ADR (United Kingdom)		21,682		396,130
Thomson Reuters Corp. (Canada)		24,024		804,564
				1,586,928
Multiline Retail - 0.6%
Target Corp.		14,553		1,026,860
Specialty Retail - 2.1%
The Home Depot, Inc.		41,051		3,011,091
L Brands, Inc.		7,676		386,947
				3,398,038
Total Consumer Discretionary				10,006,425
Consumer Staples - 22.1%
Beverages - 6.5%
The Coca-Cola Co.		123,801		5,240,496
Diageo plc - ADR (United Kingdom)		10,125		1,237,275
PepsiCo, Inc.		44,846		3,698,450
				10,176,221
Food & Staples Retailing - 4.6%
Sysco Corp.		16,851		587,426
Walgreen Co.		18,571		919,450
Wal-Mart Stores, Inc.		74,475		5,788,197
				7,295,073
Food Products - 3.0%
Archer-Daniels-Midland Co.		14,878		504,959
ConAgra Foods, Inc.		9,332		330,073
General Mills, Inc.		17,607		887,745
The J.M. Smucker Co.		3,110		321,045
Kellogg Co.		9,786		636,481
Unilever plc - ADR (United Kingdom)		46,369		2,008,705
				4,689,008

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

3

Dividend Focus Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Household Products - 4.5%
Colgate-Palmolive Co.		10,936	$	1,305,868
Kimberly-Clark Corp.		10,593		1,093,092
The Procter & Gamble Co.		62,223		4,776,860
				7,175,820
Tobacco - 3.5%
Lorillard, Inc.		11,056		474,192
Philip Morris International, Inc.		48,844		4,668,998
Reynolds American, Inc.		8,438		400,130
				5,543,320
Total Consumer Staples				34,879,442
Energy - 15.4%
Oil, Gas & Consumable Fuels - 15.4%
Chevron Corp.		48,680		5,939,447
ConocoPhillips		36,046		2,178,981
Exxon Mobil Corp.		67,240		5,983,688
Marathon Oil Corp.		14,554		475,479
Occidental Petroleum Corp.		16,472		1,470,291
Royal Dutch Shell plc - ADR (Netherlands)		65,946		4,482,350
Statoil ASA - ADR (Norway)		77,655		1,902,547
Total S.A. - ADR (France)		36,609		1,839,236
Total Energy				24,272,019
Financials - 0.6%
Diversified Financial Services - 0.3%
The McGraw-Hill Companies, Inc.		8,312		449,762
Insurance - 0.3%
Marsh & McLennan Companies, Inc.		15,193		577,486
Total Financials				1,027,248
Health Care - 23.6%
Health Care Equipment & Supplies - 1.5%
Baxter International, Inc.		12,931		903,489
Becton, Dickinson and Co.		4,634		436,986
Medtronic, Inc.		22,491		1,049,880
				2,390,355
Health Care Providers & Services - 0.2%
Cardinal Health, Inc.		7,520		332,534
Pharmaceuticals - 21.9%
AbbVie, Inc.		38,128		1,755,794
AstraZeneca plc - ADR (United Kingdom)		36,547		1,897,520
Bristol-Myers Squibb Co.		45,617		1,811,907

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

4

Dividend Focus Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Pharmaceuticals (continued)
Eli Lilly & Co.		31,840	$	1,763,299
GlaxoSmithKline plc - ADR (United Kingdom)		71,620		3,698,457
Johnson & Johnson		71,946		6,131,958
Merck & Co., Inc.		75,332		3,540,604
Novartis AG - ADR (Switzerland)		59,192		4,366,002
Pfizer, Inc.		202,068		5,874,117
Sanofi - ADR (France)		59,282		3,162,695
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		13,418		513,775
				34,516,128
Total Health Care				37,239,017
Industrials - 11.9%
Aerospace & Defense - 4.4%
The Boeing Co.		16,309		1,490,806
General Dynamics Corp.		8,213		607,433
Honeywell International, Inc.		18,842		1,385,641
Lockheed Martin Corp.		4,969		492,378
Northrop Grumman Corp.		6,645		503,292
Raytheon Co.		8,180		502,088
United Technologies Corp.		21,850		1,994,687
				6,976,325
Commercial Services & Supplies - 0.3%
Waste Management, Inc.		13,305		545,239
Electrical Equipment - 1.6%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		60,047		1,355,261
Emerson Electric Co.		20,782		1,153,609
				2,508,870
Industrial Conglomerates - 3.2%
3M Co.		20,167		2,111,687
Koninklijke Philips Electronics N.V. - NY Shares (Netherlands)		28,007		772,993
Siemens AG - ADR (Germany)		21,663		2,264,000
				5,148,680
Machinery - 1.7%
Caterpillar, Inc.		9,780		828,073
Deere & Co.		7,607		679,305
Illinois Tool Works, Inc.		13,047		842,314
Stanley Black & Decker, Inc.		3,698		276,647
				2,626,339
Road & Rail - 0.7%
CSX Corp.		20,359		500,628

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

5

Dividend Focus Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Road & Rail (continued)
Norfolk Southern Corp.		7,105	$	550,069
				1,050,697
Total Industrials				18,856,150
Information Technology - 14.0%
Communications Equipment - 1.9%
Cisco Systems, Inc.		82,525		1,726,423
Telefonaktiebolaget LM Ericsson - ADR (Sweden)		95,227		1,172,244
				2,898,667
Computers & Peripherals - 3.1%
Apple, Inc.		9,228		4,085,697
Hewlett-Packard Co.		41,382		852,469
				4,938,166
Electronic Equipment, Instruments & Components - 0.3%
TE Connectivity Ltd. - ADR (Switzerland)		9,577		417,078
IT Services - 1.3%
Accenture plc - Class A		13,797		1,123,628
Automatic Data Processing, Inc.		13,377		900,807
				2,024,435
Office Electronics - 0.7%
Canon, Inc. - ADR (Japan)		31,442		1,132,226
Semiconductors & Semiconductor Equipment - 3.1%
Analog Devices, Inc.		6,827		300,320
Applied Materials, Inc.		27,867		404,350
Intel Corp.		141,158		3,380,734
Texas Instruments, Inc.		22,413		811,575
				4,896,979
Software - 3.6%
Microsoft Corp.		173,001		5,726,333
Total Information Technology				22,033,884
Materials - 1.6%
Chemicals - 0.9%
E.I. du Pont de Nemours & Co.		26,944		1,468,717
Metals & Mining - 0.4%
Newmont Mining Corp.		7,896		255,830
Teck Resources Ltd. - Class B (Canada)		11,238		298,594
				554,424

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

6

Dividend Focus Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Paper & Forest Products - 0.3%
International Paper Co.		9,359	$	439,686
Total Materials				2,462,827
Telecommunication Services - 1.5%
Diversified Telecommunication Services - 0.3%
Telekomunikasi Indonesia Persero Tbk PT - ADR (Indonesia)		8,033		384,540
Wireless Telecommunication Services - 1.2%
Mobile Telesystems OJSC - ADR (Russia)		21,117		437,122
NTT DOCOMO, Inc. - ADR (Japan)		88,812		1,471,615
Total Telecommunication Services				2,293,277
Utilities - 0.2%
Water Utilities - 0.2%
Cia de Saneamento Basico do Estado de Sao Paulo (SABESP) - ADR (Brazil)		17,490		250,107
TOTAL COMMON STOCKS
(Identified Cost $130,411,434)				153,320,396
SHORT-TERM INVESTMENT - 2.6%
Dreyfus Cash Management, Inc. - Institutional Shares1, 0.05%
(Identified Cost $4,072,777)		4,072,777		4,072,777
TOTAL INVESTMENTS - 99.8%
(Identified Cost $134,484,211)				157,393,173
OTHER ASSETS, LESS LIABILITIES - 0.2%				356,321
NET ASSETS - 100%			$	157,749,494

ADR - American Depository Receipt

¹ Rate shown is the current yield as of April 30, 2013.

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

7

Dividend Focus Series

Statement of Assets and Liabilities

April 30, 2013 (unaudited)

Investments, at value (identified cost $134,484,211) (Note 2)	$	157,393,173
Receivable for fund shares sold		234,305
Dividends receivable		197,487
Foreign tax reclaims receivable		20,497
Prepaid and other expenses		652
TOTAL ASSETS		157,846,114
LIABILITIES:
Accrued management fees (Note 3)		56,796
Accrued fund accounting and administration fees (Note 3)		7,134
Accrued transfer agent fees (Note 3)		1,910
Accrued shareholder services fees (Class S) (Note 3)		1,761
Accrued Chief Compliance Officer service fees (Note 3)		167
Audit fees payable		13,562
Payable for fund shares repurchased		5,858
Other payables and accrued expenses		9,432
TOTAL LIABILITIES		96,620
TOTAL NET ASSETS	$	157,749,494
NET ASSETS CONSIST OF:
Capital stock	$	109,857
Additional paid-in-capital		131,611,630
Undistributed net investment income		474,811
Accumulated net realized gain on investments		2,644,234
Net unrealized appreciation (depreciation) on investments		22,908,962
TOTAL NET ASSETS	$	157,749,494
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($9,386,551/830,665 shares)	$	11.30
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($148,362,943/10,155,016 shares)	$	14.61

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

8

Dividend Focus Series

Statement of Operations

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $60,955)	$	2,369,923
EXPENSES:
Management fees (Note 3)		316,797
Fund accounting and administration fees (Note 3)		24,473
Shareholder services fees (Class S)(Note 3)		7,865
Transfer agent fees (Note 3)		5,732
Directors’ fees (Note 3)		1,251
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		5,340
Miscellaneous		43,204
Total Expenses		405,778
NET INVESTMENT INCOME		1,964,145
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments		2,691,152
Net change in unrealized appreciation (depreciation) on investments		14,613,125
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS		17,304,277
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	19,268,422

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

9

Dividend Focus Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	1,964,145		$	3,196,455
Net realized gain on investments		2,691,152			639,201
Net change in unrealized appreciation (depreciation) on investments		14,613,125			9,123,532
Net increase from operations		19,268,422			12,959,188
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(105,365	)		(33,294	)
From net investment income (Class I)		(1,902,720	)		(2,796,819	)
From net realized gain on investments (Class S)		(33,423	)		—
From net realized gain on investments (Class I)		(601,612	)		(185,043	)
Total distributions to shareholders		(2,643,120	)		(3,015,156	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		7,234,217			44,917,699
Net increase in net assets		23,859,519			54,861,731
NET ASSETS:
Beginning of period		133,889,975			79,028,244
End of period (including undistributed net investment income of $ 474,811 and $ 518,751, respectively)	$	157,749,494		$	133,889,975

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

10

Dividend Focus Series

Financial Highlights - Class S

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE  PERIOD 3/1/121 TO 10/31/12
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.14		$	10.00
Income from investment operations:
Net investment income2		0.13			0.12
Net realized and unrealized gain on investments		1.27			0.23
Total from investment operations		1.40			0.35
Less distributions to shareholders:
From net investment income		(0.18	)		(0.21	)
From net realized gain on investments		(0.06	)		—
Total distributions to shareholders		(0.24	)		(0.21	)
Net asset value - End of period	$	11.30		$	10.14
Net assets - End of period (000’s omitted)	$	9,387		$	5,130
Total return3		14.06	%		3.59	%
Ratios (to average net assets)/ Supplemental Data:
Expenses4		0.82	%		0.86	%
Net investment income4		2.46	%		1.76	%
Portfolio turnover		19	%		16	%

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized.

⁴Annualized.

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

11

Dividend Focus Series

Financial Highlights - Class I*

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED									FOR THE PERIOD 11/7/081 TO 10/31/09
				10/31/12			10/31/11			10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	13.03		$	11.96		$	12.41		$	11.38		$	10.00
Income from investment operations:
Net investment income2		0.19			0.34			0.27			0.36			0.34
Net realized and unrealized gain on investments		1.64			1.05			0.88			1.02			1.22
Total from investment operations		1.83			1.39			1.15			1.38			1.56
Less distributions to shareholders:
From net investment income		(0.19	)		(0.30	)		(0.30	)		(0.35	)		(0.18	)
From net realized gain on investments		(0.06	)		(0.02	)		(1.30	)		—	3		—
Total distributions to shareholders		(0.25	)		(0.32	)		(1.60	)		(0.35	)		(0.18	)
Net asset value - End of period	$	14.61		$	13.03		$	11.96		$	12.41		$	11.38
Net assets - End of period (000’s omitted)	$	148,363		$	128,760		$	79,028		$	2,643		$	2,044
Total return4		14.27	%		11.77	%		10.17	%		12.32	%		15.81	%
Ratios (to average net assets)/Supplemental Data:
Expenses**		0.57	%5		0.59	%		0.60	%		0.60	%		0.60	%5
Net investment income		2.81	%5		2.69	%		2.41	%		2.99	%		3.33	%5
Portfolio turnover		19	%		16	%		8	%		73	%		28	%
*Effective March 1, 2012, the shares of the Series have been designated as Class I.
**The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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 or reimbursed during certain periods. Periods less than one year are not annualized.

⁵Annualized.

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

12

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 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. 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, 2013, 10.3 billion shares have been designated in total among 43 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 Stock Market 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 Stock Market 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.

13

Dividend Focus 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, 2013 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	10,006,425	$	10,006,425	$	—	$	—
Consumer Staples		34,879,442		34,879,442		—		—
Energy		24,272,019		24,272,019		—		—
Financials		1,027,248		1,027,248		—		—
Health Care		37,239,017		37,239,017		—		—
Industrials		18,856,150		18,856,150		—		—
Information Technology		22,033,884		22,033,884		—		—
Materials		2,462,827		2,462,827		—		—
Telecommunication Services		2,293,277		2,293,277		—		—
Utilities	��	250,107		250,107		—		—
Mutual Fund		4,072,777		4,072,777		—		—
Total assets	$	157,393,173	$	157,393,173	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2012 or April 30, 2013.

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, 2013.

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.

14

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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, 2013, 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, 2012. 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 the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

15

Dividend Focus Series

Notes to Financial Statements (continued)

(unaudited)

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.

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.

The Advisor has contractually agreed, until at least February 28, 2014, to waive its Management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series, exclusive of shareholder service fees, at no more than 0.60% of average daily net assets each year. For the six months ended April 30, 2013, 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 and Strategic Income Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series and Strategic Income 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. Effective October 1, 2012, the aforementioned agreements were modified to reduce the annual fee related to fund accounting and administration, as well as transfer agent fees, by 10%, excluding out-of-pocket expenses.

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, 2013, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $28,805,179 and $25,854,543, respectively. There were no purchases or sales of U.S. Government securities.

16

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 SIX MONTHS ENDED 4/30/13						FOR THE PERIOD 3/1/12 (COMMENCEMENT OF OPERATIONS) TO 10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		405,955		$	4,338,788			516,327		$	5,190,493
Reinvested		13,126			135,626			3,094			31,412
Repurchased		(94,191	)		(982,583	)		(13,646	)		(135,796	)
Total		324,890		$	3,491,831			505,775		$	5,086,109
CLASS I	FOR THE SIX MONTHS ENDED 4/30/13						FOR THE YEAR ENDED 10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,307,275		$	17,736,636			5,270,811		$	64,943,816
Reinvested		103,786			1,381,685			136,912			1,716,807
Repurchased		(1,134,733	)		(15,375,935	)		(2,136,276	)		(26,829,033	)
Total		276,328		$	3,742,386			3,271,447		$	39,831,590

At April 30, 2013, one omnibus account owned 4,246,365 shares of the Series (38.7% of shares outstanding) valued at $62,039,388. In addition, the retirement plan of the Advisor and its affiliates owned 184,879 shares of the Series (1.7% of shares outstanding) valued at $2,701,088. 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, 2013.

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.

17

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, 2012 was as follows:

Ordinary income	$	2,842,025
Long-term capital gains		173,131

At April 30, 2013, 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	$	134,553,768
Unrealized appreciation		23,508,614
Unrealized depreciation		(669,209	)
Net unrealized appreciation	$	22,839,405

18

Dividend Focus Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. Board of Directors’ meeting, held on November 14, 2012, the Investment Advisory Agreement between the Fund and Manning & Napier Advisors, LLC was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered 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 2012 Annual consideration 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 26 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 performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: 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. 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 Series’ actual performance and comparative performance, especially for those series with 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 18 of the 37 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 Series Class C, and Target Series Class R and Class C, are lower than, or substantially similar to, the Morningstar mean and median reported total expense ratio. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services 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.

19

Dividend Focus Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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, 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 then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given 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, the number of newly established series of the Fund 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.

20

{This page intentionally left blank}

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 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.

MNDIV-04/13-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 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, 2012 to April 30, 2013).

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                               11/1/12	ENDING  ACCOUNT VALUE                               4/30/13	EXPENSES PAID  DURING PERIOD*                               11/1/12-4/30/13
Actual	$1,000.00	$1,123.00	$3.90
Hypothetical (5% return before expenses)	$1,000.00	$1,021.12	$3.71

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.74%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

1

Overseas Series

Portfolio Composition as of April 30, 2013

(unaudited)

2

Overseas Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS - 92.4%
Consumer Discretionary - 11.9%
Automobiles - 1.8%
Toyota Motor Corp. (Japan)1		734,200	$	42,611,392
Diversified Consumer Services - 0.8%
Anhanguera Educacional Participacoes S.A. (Brazil)		1,052,140		18,931,421
Hotels, Restaurants & Leisure - 2.2%
Accor S.A. (France)1		1,528,140		50,599,041
Internet & Catalog Retail - 0.6%
Ocado Group plc (United Kingdom)*1		5,060,870		13,364,214
Media - 3.3%
British Sky Broadcasting Group plc (United Kingdom)1		3,557,800		46,627,441
Societe Television Francaise 1 (France)1		2,919,982		30,851,346
				77,478,787
Multiline Retail - 1.2%
Marks & Spencer Group plc (United Kingdom)1		4,339,670		27,622,994
Textiles, Apparel & Luxury Goods - 2.0%
Adidas AG (Germany)1		302,790		31,661,912
Burberry Group plc (United Kingdom)1		695,620		14,471,197
				46,133,109
Total Consumer Discretionary				276,740,958
Consumer Staples - 17.2%
Beverages - 2.9%
Anheuser-Busch InBev N.V. (Belgium)1		260,660		25,041,764
Carlsberg A/S - Class B (Denmark)1		231,950		21,564,011
SABMiller plc (United Kingdom)1		371,351		20,037,082
				66,642,857
Food & Staples Retailing - 7.0%
Carrefour S.A. (France)1		1,750,770		51,996,359
Distribuidora Internacional de Alimentacion S.A. (Spain)1		824,065		6,387,671
Koninklijke Ahold N.V. (Netherlands)1		1,771,370		27,982,710
Tesco plc (United Kingdom)1		13,730,400		78,098,317
				164,465,057
Food Products - 5.9%
Charoen Pokphand Foods PCL (Thailand)1		15,217,550		16,474,293
Danone S.A. (France)1		786,673		59,998,118
Nestle S.A. (Switzerland)1		520,660		37,129,570
Unilever plc - ADR (United Kingdom)		559,050		24,218,046
				137,820,027
Personal Products - 0.8%
Beiersdorf AG (Germany)1		202,300		18,324,799

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

3

Overseas Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Tobacco - 0.6%
Swedish Match AB (Sweden)1		389,880	$	13,525,117
Total Consumer Staples				400,777,857
Energy - 16.1%
Energy Equipment & Services - 7.0%
Cie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		1,366,794		29,567,344
Petroleum Geo-Services ASA (Norway)1		688,640		10,117,786
Schlumberger Ltd. (United States)		1,302,810		96,968,148
Trican Well Service Ltd. (Canada)		2,045,320		26,717,367
				163,370,645
Oil, Gas & Consumable Fuels - 9.1%
Cameco Corp. (Canada)		1,820,480		35,517,565
Encana Corp. (Canada)		2,967,390		54,748,345
Petroleo Brasileiro S.A. - ADR (Brazil)		2,810,820		56,132,075
Talisman Energy, Inc. (Canada)		5,534,830		66,366,317
				212,764,302
Total Energy				376,134,947
Financials - 3.7%
Commercial Banks - 1.6%
HSBC Holdings plc (United Kingdom)1		3,295,460		36,091,847
Insurance - 1.3%
Admiral Group plc (United Kingdom)1		1,550,440		30,884,715
Real Estate Investment Trusts (REITS) - 0.8%
Land Securities Group plc (United Kingdom)1		1,438,610		19,543,085
Total Financials				86,519,647
Health Care - 8.7%
Health Care Equipment & Supplies - 2.4%
BioMerieux (France)1		115,450		10,975,907
GN Store Nord A/S (Denmark)1		624,570		11,422,947
Mindray Medical International Ltd. - ADR (China)		321,635		12,701,366
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		12,516,000		12,056,746
Sonova Holding AG (Switzerland)1		84,487		9,203,855
				56,360,821
Health Care Providers & Services - 2.2%
Life Healthcare Group Holdings Ltd. (South Africa)1		3,077,720		13,002,325
Sonic Healthcare Ltd. (Australia)1		2,855,126		39,239,400
				52,241,725
Life Sciences Tools & Services - 2.1%
Lonza Group AG (Switzerland)1		377,320		26,292,427

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

4

Overseas Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Life Sciences Tools & Services (continued)
QIAGEN N.V. (Netherlands)*1		1,113,760	$	22,077,244
				48,369,671
Pharmaceuticals - 2.0%
Novo Nordisk A/S - Class B (Denmark)1		268,000		47,174,655
Total Health Care				204,146,872
Industrials - 12.7%
Airlines - 2.8%
Ryanair Holdings plc - ADR (Ireland)		1,483,490		64,294,457
Commercial Services & Supplies - 0.0%**
Aggreko plc (United Kingdom)1		22,266		617,228
Electrical Equipment - 1.2%
Nexans S.A. (France)1		371,170		17,055,327
Prysmian S.p.A. (Italy)1		586,290		11,834,054
				28,889,381
Industrial Conglomerates - 1.5%
Siemens AG (Germany)1		342,330		35,769,047
Machinery - 3.0%
FANUC Corp. (Japan)1		393,300		59,369,486
Westport Innovations, Inc. - ADR (Canada)*		306,710		9,529,480
				68,898,966
Marine - 1.6%
D/S Norden A/S (Denmark)1		204,150		6,319,286
Diana Shipping, Inc. - ADR (Greece)*		734,320		6,968,697
Mitsui OSK Lines Ltd. (Japan)*1		1,533,000		6,383,920
Nippon Yusen Kabushiki Kaisha (Japan)1		4,010,000		10,468,331
Pacific Basin Shipping Ltd. (Hong Kong)1		11,822,854		6,763,195
				36,903,429
Professional Services - 1.0%
Adecco S.A. (Switzerland)1		441,920		23,637,755
Trading Companies & Distributors - 1.1%
Brenntag AG (Germany)1		151,498		25,869,987
Transportation Infrastructure - 0.5%
Groupe Eurotunnel S.A. (France)1		1,506,650		12,623,065
Total Industrials				297,503,315
Information Technology - 8.3%
Internet Software & Services - 2.2%
Tencent Holdings Ltd. (China)1		1,512,500		52,178,623

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

5

Overseas Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services - 4.1%
Amdocs Ltd. - ADR (United States)		1,847,910	$	65,970,387
Cap Gemini S.A. (France)1		358,010		16,506,457
Wirecard AG (Germany)1		473,660		12,732,552
				95,209,396
Semiconductors & Semiconductor Equipment - 2.0%
Tokyo Electron Ltd. (Japan)1		903,180		46,228,540
Total Information Technology				193,616,559
Materials - 9.9%
Chemicals - 4.0%
Johnson Matthey plc (United Kingdom)1		1,037,160		39,124,444
Shin-Etsu Chemical Co. Ltd. (Japan)1		74,916		5,050,267
Syngenta AG (Switzerland)1		84,758		36,235,689
Umicore S.A. (Belgium)1		270,329		12,528,725
				92,939,125
Construction Materials - 3.7%
CRH plc (Ireland)1		2,358,030		50,728,104
Holcim Ltd. (Switzerland)1		466,260		36,370,615
				87,098,719
Metals & Mining - 2.2%
Alumina Ltd. (Australia)*1		27,222,540		27,222,395
Norsk Hydro ASA (Norway)1		5,004,820		23,570,774
				50,793,169
Total Materials				230,831,013
Telecommunication Services - 3.9%
Diversified Telecommunication Services - 3.9%
Telenor ASA (Norway)1		2,604,610		58,694,741
Vivendi S.A. (France)1		1,379,617		31,250,935
Total Telecommunication Services				89,945,676
TOTAL COMMON STOCKS
(Identified Cost $1,971,068,798)				2,156,216,844

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

6

Overseas Series

Investment Portfolio - April 30, 2013

(unaudited)

			VALUE
	SHARES		(NOTE 2)
SHORT-TERM INVESTMENT - 5.3%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.05%
(Identified Cost $ 124,246,206)		124,246,206	$	124,246,206
TOTAL INVESTMENTS - 97.7%
(Identified Cost $ 2,095,315,004)				2,280,463,050
OTHER ASSETS, LESS LIABILITIES - 2.3%				53,279,900
NET ASSETS - 100%			$	2,333,742,950

ADR - American Depository Receipt

*Non-income producing security.

**Less than 0.1%.

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

²Rate shown is the current yield as of April 30, 2013.

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

United Kingdom - 15.0%; France - 13.3%.

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

7

Overseas Series

Statement of Assets & Liabilities

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $2,095,315,004) (Note 2)	$	2,280,463,050
Receivable for securities sold		64,804,810
Dividends receivable		11,009,769
Receivable for fund shares sold		2,802,052
Foreign tax reclaims receivable		2,588,505
TOTAL ASSETS		2,361,668,186
LIABILITIES:
Foreign currency due to custodian (identified cost $14,033,365)		14,152,945
Accrued management fees (Note 3)		1,309,258
Accrued fund accounting and administration fees (Note 3)		53,034
Accrued transfer agent fees (Note 3)		1,518
Accrued Chief Compliance Officer service fees (Note 3)		167
Payable for securities purchased		11,742,157
Payable for fund shares repurchased		476,760
Other payables and accrued expenses		189,397
TOTAL LIABILITIES		27,925,236
TOTAL NET ASSETS	$	2,333,742,950
NET ASSETS CONSIST OF:
Capital stock	$	940,047
Additional paid-in-capital		2,133,916,849
Undistributed net investment income		12,649,009
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		847,356
Net unrealized appreciation (depreciation) on investments, foreign currency and translation of other assets and liabilities		185,389,689
TOTAL NET ASSETS	$	2,333,742,950
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A ($2,333,742,950/94,004,726 shares)	$	24.83

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

8

Overseas Series

Statement of Operations

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $2,408,028)	$	27,597,372
EXPENSES:
Management fees (Note 3)		7,636,992
Fund accounting and administration fees (Note 3)		145,481
Directors’ fees (Note 3)		18,160
Transfer agent fees (Note 3)		4,310
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		183,529
Audit fees		22,350
Miscellaneous		86,765
Total Expenses		8,098,703
NET INVESTMENT INCOME		19,498,669
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-Investments		59,602,880
Foreign currency and translation of other assets and liabilities		(6,781,793	)
		52,821,087
Net change in unrealized appreciation (depreciation) on-Investments		178,965,699
Foreign currency and translation of other assets and liabilities		254,160
		179,219,859
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCY		232,040,946
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	251,539,615

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 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	19,498,669		$	28,131,234
Net realized gain (loss) on investments and foreign currency		52,821,087			(43,728,252	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency		179,219,859			107,108,083
Net increase from operations		251,539,615			91,511,065
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income		(34,167,815	)		(35,331,200	)
From net realized gain on investments		—			(34,111,953	)
Total distributions to shareholders		(34,167,815	)		(69,443,153	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		122,372,003			635,743,925
Net increase in net assets		339,743,803			657,811,837
NET ASSETS:
Beginning of period		1,993,999,147			1,336,187,310
End of period (including undistributed net investment income of $12,649,009 and $27,318,155, respectively)	$	2,333,742,950		$	1,993,999,147

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

10

Overseas Series

Financial Highlights

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	22.47		$	22.63		$	24.22		$	21.68		$	17.78		$	33.55
Income (loss) from investment operations:
Net investment income		0.21	1		0.36	1		0.75	1		0.32	1		0.36	1		0.34
Net realized and unrealized gain (loss) on investments		2.52			0.51			(2.09	)		2.41			4.35			(13.17	)
Total from investment operations		2.73			0.87			(1.34	)		2.73			4.71			(12.83	)
Less distributions to shareholders:
From net investment income		(0.37	)		(0.52	)		(0.25	)		(0.19	)		(0.42	)		(0.29	)
From net realized gain on investments		—			(0.51	)		—	2		—			(0.39	)		(2.65	)
Total distributions to shareholders		(0.37	)		(1.03	)		(0.25	)		(0.19	)		(0.81	)		(2.94	)
Net asset value - End of period	$	24.83		$	22.47		$	22.63		$	24.22		$	21.68		$	17.78
Net assets - End of period (000’s omitted)	$	2,333,743		$	1,993,999		$	1,336,187		$	918,272		$	448,441		$	174,371
Total return3		12.30	%		4.61	%		(5.61	%)		12.68	%		28.10	%		(41.58	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.74	%4		0.75	%		0.75	%		0.75	%		0.75	%		0.80	%
Net investment income		1.79	%4		1.68	%		3.04	%		1.42	%		1.97	%		1.48	%
Portfolio turnover		22	%		42	%		37	%		36	%		49	%		43	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			0.00	%5		0.01	%		0.01	%		0.05	%		0.03	%

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 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.

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.

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, 2013, 10.3 billion shares have been designated in total among 43 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 Stock Market 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 Stock Market 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, 2013 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	276,740,958	$	18,931,421	$	257,809,537	$	—
Consumer Staples		400,777,857		24,218,046		376,559,811		—
Energy		376,134,947		336,449,817		39,685,130		—
Financials		86,519,647		—		86,519,647		—
Health Care		204,146,872		12,701,366		191,445,506		—
Industrials		297,503,315		80,792,634		216,710,681		—
Information Technology		193,616,559		65,970,387		127,646,172		—
Materials		230,831,013		—		230,831,013		—
Telecommunication Services		89,945,676		—		89,945,676		—
Mutual Fund		124,246,206		124,246,206		—		—
Total assets	$	2,280,463,050	$	663,309,877	$	1,617,153,173	$	—

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, 2012 or April 30, 2013.

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, 2013.

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

13

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Foreign Currency Translation (continued)

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, 2013, 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, 2009 through October 31, 2012. 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 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

14

Overseas 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, 2014, 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, 2013, 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 and Strategic Income Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series and Strategic Income 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. Effective October 1, 2012, the aforementioned agreements were modified to reduce the annual fee related to fund accounting and administration, as well as transfer agent fees, by 10%, excluding out-of-pocket expenses.

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, 2013, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $507,334,113 and $461,789,178, respectively. There were no purchases or sales of U.S. Government securities.

5. Capital Stock Transactions

Transactions in Class A shares of Overseas Series were:

	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		9,398,846		$	222,247,055			36,986,583		$	797,706,576
Reinvested		1,356,900			31,303,684			3,272,558			62,996,742
Repurchased		(5,474,369	)		(131,178,736	)		(10,584,050	)		(224,959,393	)
Total		5,281,377		$	122,372,003			29,675,091		$	635,743,925

At April 30, 2013, the retirement plan of the Advisor and its affiliates owned 192,212 shares of the Series (0.2% of shares outstanding) valued at $4,772,635.

15

Overseas Series

Notes to Financial Statements (continued)

(unaudited)

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, 2013.

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, 2012, were as follows:

Ordinary income	$	36,180,006
Long-term capital gains	$	33,263,147

As of October 31, 2012, the Series had no pre-enactment net capital losses and had post-enactment net short-term capital loss carryforwards of $31,307,311 and net long-term capital loss carryforwards of $12,734,422, respectively.

At April 30, 2013, 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	$	2,097,044,647
Unrealized appreciation		243,107,350
Unrealized depreciation		(59,688,947	)
Net unrealized appreciation	$	183,418,403

16

Overseas Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. Board of Directors’ meeting, held on November 14, 2012, the Investment Advisory Agreement between the Fund and Manning & Napier Advisors, LLC was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered 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 2012 Annual consideration 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 26 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 performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: 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. 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 Series’ actual performance and comparative performance, especially for those series with 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 18 of the 37 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 Series Class C, and Target Series Class R and Class C, are lower than, or substantially similar to, the Morningstar mean and median reported total expense ratio. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services 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.

17

Overseas Series

Renewal of Investment Advisory Agreement

(unaudited)

• 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, 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 then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given 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, the number of newly established series of the Fund 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.

18

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 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.

MNOVS-04/13-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 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 in each class at the beginning of the period and held for the entire period (November 1, 2012 to April 30, 2013).

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 each class in 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 class of 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 for each class in 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                   11/1/12	ENDING  ACCOUNT VALUE                   4/30/13	EXPENSES PAID  DURING PERIOD                   11/1/12-4/30/13*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,061.10	$4.45	0.87%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.48	$4.36	0.87%
Class I
Actual	$1,000.00	$1,062.40	$3.43	0.67%
Hypothetical (5% return before expenses)	$1,000.00	$1,021.47	$3.36	0.67%
Class C
Actual	$1,000.00	$1,056.10	$8.51	1.67%
Hypothetical (5% return before expenses)	$1,000.00	$1,016.51	$8.35	1.67%
Class R
Actual	$1,000.00	$1,059.90	$5.98	1.17%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.99	$5.86	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 181/365 to reflect the one-half year period.

1

Portfolio Composition - Pro-Blend^® Conservative Term Series

As of April 30, 2013 (unaudited)

Sector Allocation3
Financials	21.3	%
Consumer Discretionary	7.9	%
Information Technology	5.9	%
Health Care	5.8	%
Energy	5.7	%
Industrials	4.6	%
Consumer Staples	4.3	%
Materials	3.6	%
Telecommunication Services	1.1	%
Utilities	0.5	%
3 Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.

Top Five Stock Holdings4
Hess Corp.	1.1	%
Johnson & Johnson	0.8	%
EMC Corp.	0.7	%
Unilever plc - ADR (United Kingdom)	0.5	%
Juniper Networks, Inc.	0.5	%
4 As a percentage of total investments.
Top Five Bond Holdings5
Fannie Mae, 0.50%, 5/27/2015	2.1	%
Fannie Mae, 0.875%, 8/28/2017	2.0	%
Freddie Mac, 2.375%, 1/13/2022	1.7	%
Freddie Mac, 0.875%, 10/28/2013	1.6	%
Fannie Mae, 0.50%, 9/28/2015	1.5	%
5 As a percentage of total investments.

2

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 31.1%
Consumer Discretionary - 3.8%
Auto Components - 0.1%
F.C.C. Co. Ltd. (Japan)1		3,600	$	91,265
Hankook Tire Co. Ltd. (South Korea)1		3,329		145,043
Magna International, Inc. (Canada)		6,034		363,066
Musashi Seimitsu Industry Co. Ltd. (Japan)1		3,800		91,803
Nissin Kogyo Co. Ltd. (Japan)1		5,100		112,781
				803,958
Automobiles - 0.0%**
Tesla Motors, Inc.*		3,370		181,946
Toyota Motor Corp. (Japan)1		2,000		116,076
				298,022
Distributors - 0.0%**
Genuine Parts Co.		4,740		361,804
Inchcape plc (United Kingdom)1		12,700		99,006
				460,810
Diversified Consumer Services - 0.0%**
Anhanguera Educacional Participacoes S.A. (Brazil)		7,720		138,908
Hotels, Restaurants & Leisure - 0.8%
Accor S.A. (France)1		121,530		4,024,043
Arcos Dorados Holdings, Inc. (Argentina)		4,080		55,570
BJ’s Restaurants, Inc.*		3,730		127,939
Hyatt Hotels Corp. - Class A*		15,170		647,456
InterContinental Hotels Group plc (United Kingdom)1		46,974		1,387,899
McDonald’s Corp.		32,861		3,356,423
Orient-Express Hotels Ltd. - ADR - Class A*		69,250		699,425
Yum! Brands, Inc.		35,110		2,391,693
				12,690,448
Household Durables - 0.3%
DR Horton, Inc.		44,610		1,163,429
Lennar Corp. - Class A		19,750		814,095
LG Electronics, Inc. (South Korea)1		1,600		128,245
NVR, Inc.*		690		710,700
Rodobens Negocios Imobiliarios S.A. (Brazil)		13,340		97,679
Toll Brothers, Inc.*		28,300		970,973
				3,885,121
Internet & Catalog Retail - 0.1%
HomeAway, Inc.*		14,760		450,918
Ocado Group plc (United Kingdom)*1		76,380		201,696
Shutterfly, Inc.*		8,670		386,075
				1,038,689

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

3

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Leisure Equipment & Products - 0.0%**
Mattel, Inc.		10,832	$	494,589
Nikon Corp. (Japan)1		2,700		58,769
				553,358
Media - 2.1%
British Sky Broadcasting Group plc (United Kingdom)1		10,450		136,955
DIRECTV*		116,380		6,582,453
Imax Corp. (Canada)*		6,520		166,456
Mediaset Espana Comunicacion S.A. (Spain)*1		36,260		284,208
News Corp. - Class A		111,940		3,466,782
Omnicom Group, Inc.		7,419		443,434
Pearson plc - ADR (United Kingdom)		24,838		453,790
Reed Elsevier plc - ADR (United Kingdom)		978		45,594
Societe Television Francaise 1 (France)1		12,700		134,183
Starz - Liberty Capital*		8,040		187,975
Thomson Reuters Corp. (Canada)		27,521		921,678
Time Warner, Inc.		101,050		6,040,769
Valassis Communications, Inc.		6,210		159,162
Viacom, Inc. - Class B		93,030		5,952,990
The Walt Disney Co.		102,730		6,455,553
Wolters Kluwer N.V. (Netherlands)1		6,030		133,435
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		45,750		205,454
				31,770,871
Multiline Retail - 0.1%
Marks & Spencer Group plc (United Kingdom)1		12,260		78,038
PPR (France)1		555		122,250
Target Corp.		16,672		1,176,376
				1,376,664
Specialty Retail - 0.3%
Aeropostale, Inc.*		5,060		74,179
American Eagle Outfitters, Inc.		4,670		90,831
Belle International Holdings Ltd. (Hong Kong)1		79,000		129,152
Chico’s FAS, Inc.		4,200		76,734
China ZhengTong Auto Services Holdings Ltd.*1		74,000		45,928
Dick’s Sporting Goods, Inc.		4,000		192,400
Group 1 Automotive, Inc.		1,060		64,109
Hennes & Mauritz AB - Class B (Sweden)1		3,130		111,158
The Home Depot, Inc.		47,027		3,449,430
Komeri Co. Ltd. (Japan)1		1,110		34,517

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

4

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Specialty Retail (continued)
L Brands, Inc.		8,794	$	443,306
Penske Automotive Group, Inc.		2,100		64,932
Rent-A-Center, Inc.		2,480		86,626
Sonic Automotive, Inc. - Class A		4,230		93,018
				4,956,320
Textiles, Apparel & Luxury Goods - 0.0%**
Adidas AG (Germany)1		1,140		119,207
Burberry Group plc (United Kingdom)1		6,930		144,167
Daphne International Holdings Ltd. (China)1		118,000		123,035
Hugo Boss AG (Germany)*1		770		89,743
				476,152
Total Consumer Discretionary				58,449,321
Consumer Staples - 3.5%
Beverages - 0.8%
C&C Group plc (Ireland)*1		33,580		208,599
Carlsberg A/S - Class B (Denmark)1		1,650		153,398
Cia Cervecerias Unidas S.A. - ADR (Chile)		3,650		126,035
The Coca-Cola Co.		141,825		6,003,452
Diageo plc (United Kingdom)1		8,530		260,486
Diageo plc - ADR (United Kingdom)		11,599		1,417,398
PepsiCo, Inc.		51,375		4,236,896
SABMiller plc (United Kingdom)1		1,520		82,015
Tsingtao Brewery Co. Ltd. - Class H (China)1		30,000		201,229
				12,689,508
Food & Staples Retailing - 0.6%
Carrefour S.A. (France)1		7,240		215,022
Casino Guichard-Perrachon S.A. (France)1		820		88,694
Distribuidora Internacional de Alimentacion S.A. (Spain)1		19,840		153,788
The Fresh Market, Inc.*		770		31,516
Koninklijke Ahold N.V. (Netherlands)1		4,910		77,564
Sysco Corp.		19,304		672,937
Tesco plc (United Kingdom)1		88,100		501,112
Walgreen Co.		21,275		1,053,325
Wal-Mart Stores, Inc.		85,318		6,630,915
Whole Foods Market, Inc.		960		84,787
				9,509,660
Food Products - 1.1%
Annie’s, Inc.*		620		23,430
Archer-Daniels-Midland Co.		17,044		578,473
Barry Callebaut AG (Switzerland)1		130		127,010

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

5

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food Products (continued)
Biostime International Holdings Ltd. (China)1		14,620	$	84,360
Charoen Pokphand Foods PCL (Thailand)1		103,510		112,058
ConAgra Foods, Inc.		10,690		378,105
Danone S.A. (France)1		2,470		188,382
General Mills, Inc.		20,170		1,016,971
Glanbia plc (Ireland)*1		3,700		49,458
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		55,850		181,915
The J.M. Smucker Co.		3,563		367,808
Kellogg Co.		11,210		729,098
Kraft Foods Group, Inc.		32,523		1,674,609
M Dias Branco S.A. (Brazil)		2,020		90,341
Mondelez International, Inc. - Class A		97,570		3,068,577
Unilever plc - ADR (United Kingdom)		171,489		7,428,903	��
				16,099,498
Household Products - 0.6%
Colgate-Palmolive Co.		12,528		1,495,968
Kimberly-Clark Corp.		12,135		1,252,211
The Procter & Gamble Co.		71,282		5,472,319
				8,220,498
Personal Products - 0.0%**
Beiersdorf AG (Germany)1		700		63,408
Kao Corp. (Japan)1		4,200		145,228
				208,636
Tobacco - 0.4%
Gudang Garam Tbk PT (Indonesia)1		15,750		80,124
Lorillard, Inc.		12,666		543,245
Philip Morris International, Inc.		55,955		5,348,738
Reynolds American, Inc.		9,666		458,362
Swedish Match AB (Sweden)1		5,350		185,594
				6,616,063
Total Consumer Staples				53,343,863
Energy - 4.2%
Energy Equipment & Services - 0.9%
Baker Hughes, Inc.		95,775		4,347,227
Bourbon S.A. (France)1		800		21,845
Calfrac Well Services Ltd. (Canada)		7,210		183,140
CARBO Ceramics, Inc.		390		27,553
Cie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		2,480		53,649
Gulfmark Offshore, Inc. - Class A		1,090		45,366
Hornbeck Offshore Services, Inc.*		980		44,022
ION Geophysical Corp.*		6,750		42,120

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

6

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Energy Equipment & Services (continued)
Key Energy Services, Inc.*		4,880	$	28,987
National Oilwell Varco, Inc.		500		32,610
Petroleum Geo-Services ASA (Norway)1		5,620		82,571
Schlumberger Ltd.		67,190		5,000,952
SPT Energy Group, Inc. (China)1		48,000		23,464
Trican Well Service Ltd. (Canada)		13,950		182,224
Weatherford International Ltd. - ADR*		300,404		3,842,167
				13,957,897
Oil, Gas & Consumable Fuels - 3.3%
Apache Corp.		15,960		1,179,125
Cameco Corp. (Canada)		5,830		113,743
Chevron Corp.		55,767		6,804,132
Cloud Peak Energy, Inc.*		9,180		179,377
ConocoPhillips		41,293		2,496,162
Encana Corp. (Canada)		12,020		221,769
EOG Resources, Inc.		13,410		1,624,756
Exxon Mobil Corp.		77,029		6,854,811
Hess Corp.		229,330		16,553,039
Marathon Oil Corp.		16,672		544,674
Occidental Petroleum Corp.		18,870		1,684,336
Pacific Rubiales Energy Corp. (Colombia)		4,920		104,021
Paladin Energy Ltd. (Australia)*2		56,570		45,483
Range Resources Corp.		33,640		2,473,213
Royal Dutch Shell plc - ADR (Netherlands)		75,547		5,134,930
Royal Dutch Shell plc - Class B (Netherlands)1		1,976		69,313
Royal Dutch Shell plc - Class B - ADR (Netherlands)		1,940		135,393
Statoil ASA (Norway)1		4,160		101,842
Statoil ASA - ADR (Norway)		88,961		2,179,545
Talisman Energy, Inc. (Canada)		13,290		159,356
Total S.A. - ADR (France)		41,939		2,107,015
				50,766,035
Total Energy				64,723,932
Financials - 5.5%
Commercial Banks - 0.1%
Cathay General Bancorp.		7,000		137,970
Hong Leong Financial Group Berhad (Malaysia)1		33,030		168,271
HSBC Holdings plc (United Kingdom)1		6,370		69,764
ICICI Bank Ltd. - ADR (India)		3,630		169,957
Sumitomo Mitsui Trust Holdings, Inc. (Japan)1		43,000		216,097
				762,059

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

7

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Consumer Finance - 0.2%
American Express Co.		45,820	$	3,134,546
DFC Global Corp.*		6,730		90,855
				3,225,401
Diversified Financial Services - 0.4%
JSE Ltd. (South Africa)1		67,914		580,487
MarketAxess Holdings, Inc.		7,110		300,895
The McGraw-Hill Companies, Inc.		95,442		5,164,367
				6,045,749
Insurance - 0.2%
Admiral Group plc (United Kingdom)1		25,680		511,545
Allianz SE (Germany)1		2,690		397,906
AXA S.A. (France)1		920		17,229
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		47,470		503,942
Mapfre S.A. (Spain)1		102,890		376,841
Marsh & McLennan Companies, Inc.		17,404		661,526
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		905		181,277
Zurich Insurance Group AG (Switzerland)1		610		170,459
				2,820,725
Real Estate Investment Trusts (REITS) - 4.6%
Agree Realty Corp.		46,160		1,388,031
Alexandria Real Estate Equities, Inc.		33,480		2,436,340
Alstria Office REIT AG (Germany)1		14,860		180,043
American Assets Trust, Inc.		7,600		256,576
American Campus Communities, Inc.		23,680		1,057,075
Apartment Investment & Management Co. - Class A		34,210		1,064,273
Associated Estates Realty Corp.		63,800		1,140,106
AvalonBay Communities, Inc.		8,060		1,072,302
BioMed Realty Trust, Inc.		169,110		3,806,666
Boston Properties, Inc.		20,140		2,203,920
Camden Property Trust		15,980		1,155,993
Cedar Realty Trust, Inc.		199,630		1,279,628
Coresite Realty Corp.		54,190		1,960,594
Corporate Office Properties Trust		105,010		3,044,240
CubeSmart		66,280		1,164,540
Digital Realty Trust, Inc.		41,580		2,932,222
DuPont Fabros Technology, Inc.		107,170		2,694,254
Education Realty Trust, Inc.		47,160		518,288
Equity Lifestyle Properties, Inc.		12,400		1,007,500
Equity One, Inc.		33,850		862,837
Equity Residential		20,970		1,217,518
General Growth Properties, Inc.		125,440		2,849,997
Hammerson plc (United Kingdom)1		75,230		607,893

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

8

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
HCP, Inc.		32,200	$	1,716,260
Health Care REIT, Inc.		45,140		3,384,146
Healthcare Realty Trust, Inc.		16,320		489,926
Healthcare Trust of America, Inc.*		98,190		1,225,411
Home Properties, Inc.		15,180		978,503
Host Hotels & Resorts, Inc.		136,787		2,499,098
Kimco Realty Corp.		96,870		2,303,569
Land Securities Group plc (United Kingdom)1		16,190		219,936
The Macerich Co.		11,040		773,352
Mack-Cali Realty Corp.		53,800		1,494,026
Mid-America Apartment Communities, Inc.		17,660		1,213,772
National Retail Properties, Inc.		40,170		1,593,946
Pebblebrook Hotel Trust		107,790		2,927,576
Potlatch Corp.		5,400		255,690
Public Storage		6,480		1,069,200
Realty Income Corp.		18,500		942,945
Simon Property Group, Inc.		25,850		4,603,109
Sovran Self Storage, Inc.		32,680		2,241,848
Tanger Factory Outlet Centers		2,840		105,421
Taubman Centers, Inc.		8,260		706,313
UDR, Inc.		80,320		1,974,266
Unibail-Rodamco SE (France)1		3,500		914,951
Ventas, Inc.		3,950		314,539
Vornado Realty Trust		4,440		388,766
				70,237,405
Real Estate Management & Development - 0.0%**
General Shopping Brasil S.A. (Brazil)*		118,230		726,842
Thrifts & Mortgage Finance - 0.0%**
Aareal Bank AG (Germany)*1		2,795		67,362
Total Financials				83,885,543
Health Care - 4.9%
Biotechnology - 0.1%
Green Cross Corp. - Rights (South Korea)*1		369		10,569
Green Cross Corp. (South Korea)1		4,670		641,155
Incyte Corp. Ltd.*		10,720		237,448
Myriad Genetics, Inc.*		29,700		827,145
Protalix BioTherapeutics, Inc.*		29,870		169,363
Seattle Genetics, Inc.*		10,420		385,019
				2,270,699
Health Care Equipment & Supplies - 0.8%
Alere, Inc.*		29,210		750,113
Baxter International, Inc.		14,813		1,034,984
Becton, Dickinson and Co.		37,728		3,557,750

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

9

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
BioMerieux (France)1		3,770	$	358,416
Carl Zeiss Meditec AG (Germany)1		4,190		128,439
The Cooper Companies, Inc.		3,160		348,864
DexCom, Inc.*		43,350		711,373
GN Store Nord A/S (Denmark)1		12,680		231,908
HeartWare International, Inc.*		4,230		411,156
Insulet Corp.*		26,720		674,413
Medtronic, Inc.		25,765		1,202,710
Mindray Medical International Ltd. - ADR (China)		10,550		416,619
Neogen Corp.*		3,100		157,573
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		537,800		518,066
Sirona Dental Systems, Inc.*		6,040		444,182
Sonova Holding AG (Switzerland)1		1,890		205,893
Straumann Holding AG (Switzerland)1		1,735		227,764
Thoratec Corp.*		7,300		264,260
Volcano Corp.*		8,530		173,074
				11,817,557
Health Care Providers & Services - 0.1%
Cardinal Health, Inc.		8,614		380,911
Life Healthcare Group Holdings Ltd. (South Africa)1		8,230		34,769
Odontoprev S.A. (Brazil)		15,650		78,064
Qualicorp S.A. (Brazil)*		36,020		350,523
Sonic Healthcare Ltd. (Australia)1		32,740		449,962
				1,294,229
Health Care Technology - 0.4%
Cerner Corp.*		58,820		5,692,011
Greenway Medical Technologies, Inc.*		32,310		435,216
				6,127,227
Life Sciences Tools & Services - 0.2%
Gerresheimer AG (Germany)1		1,320		75,423
Lonza Group AG (Switzerland)1		5,720		398,581
QIAGEN N.V. (Netherlands)*1		3,130		62,044
QIAGEN N.V. - ADR (Netherlands)*		109,840		2,183,619
				2,719,667
Pharmaceuticals - 3.3%
AbbVie, Inc.		43,679		2,011,418
AstraZeneca plc (United Kingdom)1		465		24,143
AstraZeneca plc - ADR (United Kingdom)		46,427		2,410,490
Bayer AG (Germany)1		3,230		337,685
Bristol-Myers Squibb Co.		52,258		2,075,688
Eli Lilly & Co.		36,476		2,020,041

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

10

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Pharmaceuticals (continued)
GlaxoSmithKline plc (United Kingdom)1		4,135	$	106,689
GlaxoSmithKline plc - ADR (United Kingdom)		82,047		4,236,907
Johnson & Johnson		140,510		11,975,667
Merck & Co., Inc.		86,298		4,056,006
Novartis AG - ADR (Switzerland)		67,809		5,001,592
Novo Nordisk A/S - Class B (Denmark)1		30,460		5,361,716
Pfizer, Inc.		231,486		6,729,298
Sanofi - ADR (France)		67,912		3,623,105
Shire plc (Ireland)1		4,305		134,195
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		18,281		699,979
UCB S.A. (Belgium)1		4,330		255,549
				51,060,168
Total Health Care				75,289,547
Industrials - 2.6%
Aerospace & Defense - 0.5%
The Boeing Co.		18,683		1,707,813
General Dynamics Corp.		9,409		695,890
Honeywell International, Inc.		21,585		1,587,361
Lockheed Martin Corp.		5,692		564,020
Northrop Grumman Corp.		7,612		576,533
Raytheon Co.		9,384		575,990
United Technologies Corp.		25,031		2,285,080
				7,992,687
Airlines - 0.3%
Ryanair Holdings plc - ADR (Ireland)		4,630		200,664
Southwest Airlines Co.		234,685		3,215,185
Spirit Airlines, Inc.*		10,680		285,156
US Airways Group, Inc.*		20,290		342,901
				4,043,906
Commercial Services & Supplies - 0.1%
Aggreko plc (United Kingdom)1		4,030		111,714
Interface, Inc.		1,820		30,467
Tomra Systems ASA (Norway)1		19,690		184,386
Waste Management, Inc.		15,242		624,617
				951,184
Electrical Equipment - 0.2%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		74,749		1,687,085
Alstom S.A. (France)1		6,280		257,908
Emerson Electric Co.		23,808		1,321,582
Nexans S.A. (France)1		630		28,949
Polypore International, Inc.*		7,190		301,477

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

11

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE    (NOTE 2)`
COMMON STOCKS (continued)
Industrials (continued)
Electrical Equipment (continued)
Prysmian S.p.A. (Italy)1		5,290	$	106,777
Schneider Electric S.A. (France)1		1,560		118,929
				3,822,707
Industrial Conglomerates - 0.4%
3M Co.		23,103		2,419,115
Koninklijke Philips Electronics N.V. - NY Shares (Netherlands)		32,085		885,546
Siemens AG (Germany)1		6,600		689,614
Siemens AG - ADR (Germany)		24,816		2,593,520
				6,587,795
Machinery - 0.7%
Astec Industries, Inc.		970		31,845
Caterpillar, Inc.		11,204		948,643
Deere & Co.		8,714		778,160
FANUC Corp. (Japan)1		2,990		451,347
Graham Corp.		1,400		34,020
Illinois Tool Works, Inc.		14,946		964,914
Joy Global, Inc.		43,040		2,432,621
Kennametal, Inc.		2,410		96,376
KUKA AG (Germany)*1		1,200		54,329
Pall Corp.		57,790		3,855,171
Stanley Black & Decker, Inc.		4,236		316,895
Titan International, Inc.		2,850		63,583
Wabash National Corp.*		18,160		171,249
Westport Innovations, Inc. - ADR (Canada)*		9,770		303,554
Xylem, Inc.		3,130		86,857
				10,589,564
Marine - 0.0%**
Baltic Trading Ltd.		4,170		14,470
D/S Norden A/S (Denmark)1		2,350		72,742
Diana Shipping, Inc. - ADR (Greece)*		1,980		18,790
Mitsui OSK Lines Ltd. (Japan)*1		6,000		24,986
Nippon Yusen Kabushiki Kaisha (Japan)1		10,490		27,385
Pacific Basin Shipping Ltd. (Hong Kong)1		36,000		20,594
Precious Shipping PCL (Thailand)1		84,100		51,073
Sinotrans Shipping Ltd. (China)1		277,750		68,108
				298,148
Professional Services - 0.2%
Adecco S.A. (Switzerland)1		38,830		2,076,969
ALS Ltd. (Australia)1		7,650		77,762
Experian plc (United Kingdom)1		7,820		137,591
				2,292,322

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

12

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Road & Rail - 0.1%
CSX Corp.		23,323	$	573,513
Norfolk Southern Corp.		8,140		630,199
				1,203,712
Trading Companies & Distributors - 0.0%**
Brenntag AG (Germany)1		940		160,516
Fastenal Co.		1,360		66,708
MSC Industrial Direct Co., Inc. - Class A		440		34,672
				261,896
Transportation Infrastructure - 0.1%
Groupe Eurotunnel S.A. (France)1		97,190		814,280
Koninklijke Vopak N.V. (Netherlands)1		1,180		65,345
Malaysia Airports Holdings Berhad (Malaysia)1		143,820		284,567
				1,164,192
Total Industrials				39,208,113
Information Technology - 4.7%
Communications Equipment - 1.0%
Alcatel-Lucent - ADR (France)*		96,420		132,095
Cisco Systems, Inc.		94,539		1,977,756
Infinera Corp.*		66,300		558,246
Juniper Networks, Inc.*		436,050		7,216,628
Polycom, Inc.*		18,440		193,620
Qualcomm, Inc.		70,980		4,373,788
Riverbed Technology, Inc.*		24,870		369,568
Telefonaktiebolaget LM Ericsson - ADR (Sweden)		109,090		1,342,898
				16,164,599
Computers & Peripherals - 1.1%
3D Systems Corp.*		525		20,076
Apple, Inc.		11,241		4,976,953
EMC Corp.*		484,740		10,872,718
Fusion-io, Inc.*		2,170		40,753
Hewlett-Packard Co.		47,406		976,564
Stratasys Ltd.*		250		20,763
				16,907,827
Electronic Equipment, Instruments & Components - 0.1%
Hitachi Ltd. (Japan)1		72,950		466,212
Keyence Corp. (Japan)1		490		155,500
Rofin-Sinar Technologies, Inc.*		11,220		279,378
TE Connectivity Ltd. - ADR (Switzerland)		10,971		477,787
				1,378,877

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

13

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Internet Software & Services - 0.5%
Google, Inc. - Class A*		6,675	$	5,504,005
LinkedIn Corp. - Class A*		2,450		470,621
Liquidity Services, Inc.*		12,470		410,263
LogMeIn, Inc.*		14,810		334,410
SciQuest, Inc.*		10,870		248,488
Tencent Holdings Ltd. (China)1		10,690		368,786
				7,336,573
IT Services - 0.4%
Accenture plc - Class A		15,805		1,287,159
Amdocs Ltd. - ADR		12,850		458,745
Automatic Data Processing, Inc.		15,325		1,031,985
Cap Gemini S.A. (France)1		6,930		319,515
InterXion Holding NV - ADR (Netherlands)*		16,870		422,256
VeriFone Systems, Inc.*		130,890		2,811,517
Wirecard AG (Germany)1		18,800		505,367
				6,836,544
Office Electronics - 0.1%
Canon, Inc. (Japan)1		2,100		75,525
Canon, Inc. - ADR (Japan)		36,019		1,297,044
				1,372,569
Semiconductors & Semiconductor Equipment - 0.4%
Analog Devices, Inc.		7,820		344,002
Applied Materials, Inc.		31,924		463,217
Intel Corp.		161,708		3,872,907
Samsung Electronics Co. Ltd. (South Korea)1		190		262,774
Skyworks Solutions, Inc.*		12,530		276,537
Sumco Corp. (Japan)1		1,630		17,110
Texas Instruments, Inc.		25,676		929,728
Tokyo Electron Ltd. (Japan)1		2,930		149,970
				6,316,245
Software - 1.1%
Aspen Technology, Inc.*		780		23,774
Autodesk, Inc.*		56,650		2,230,877
Aveva Group plc (United Kingdom)1		2,310		79,738
Electronic Arts, Inc.*		379,410		6,681,410
MICROS Systems, Inc.*		6,130		259,973
Microsoft Corp.		198,187		6,559,990
RealPage, Inc.*		16,280		332,112
SAP AG (Germany)1		4,690		373,896
Temenos Group AG (Switzerland)*1		6,880		162,709
				16,704,479
Total Information Technology				73,017,713

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

14

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Materials - 1.4%
Chemicals - 0.9%
Air Products & Chemicals, Inc.		23,000	$	2,000,080
BASF SE (Germany)1		2,030		190,034
E.I. du Pont de Nemours & Co.		30,866		1,682,506
Flotek Industries, Inc.*		4,020		64,481
Johnson Matthey plc (United Kingdom)1		5,105		192,574
Linde AG (Germany)1		1,840		348,392
Monsanto Co.		56,860		6,073,785
Shin-Etsu Chemical Co. Ltd. (Japan)1		490		33,032
Syngenta AG (Switzerland)1		6,010		2,569,392
Tronox Ltd. - Class A		4,720		96,949
Umicore S.A. (Belgium)1		770		35,687
Yingde Gases (China)1		72,000		69,432
				13,356,344
Construction Materials - 0.0%**
CRH plc (Ireland)1		6,360		136,822
Holcim Ltd. (Switzerland)1		920		71,765
				208,587
Metals & Mining - 0.5%
Alcoa, Inc.		845,620		7,187,770
Alumina Ltd. (Australia)*1		61,280		61,280
Impala Platinum Holdings Ltd. (South Africa)1		4,140		56,736
Newmont Mining Corp.		9,046		293,090
Noranda Aluminum Holding Corp.		20,380		77,648
Norsk Hydro ASA (Norway)1		15,810		74,459
Teck Resources Ltd. - Class B (Canada)		12,874		342,062
				8,093,045
Paper & Forest Products - 0.0%**
International Paper Co.		10,722		503,720
Total Materials				22,161,696
Telecommunication Services - 0.5%
Diversified Telecommunication Services - 0.3%
Swisscom AG - ADR (Switzerland)3		2,360		111,085
Telefonica S.A. - ADR (Spain)		14,480		210,974
Telekomunikasi Indonesia Persero Tbk PT - ADR (Indonesia)		9,203		440,548
Telenor ASA (Norway)1		181,460		4,089,191
Telenor ASA - ADR (Norway)3		3,420		230,611
Vivendi S.A. (France)1		2,470		55,950
				5,138,359
Wireless Telecommunication Services - 0.2%
Mobile Telesystems OJSC - ADR (Russia)		24,191		500,754

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

15

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Telecommunication Services (continued)
Wireless Telecommunication Services (continued)
MTN Group Ltd. (South Africa)1		3,260	$	58,830
NTT DOCOMO, Inc. - ADR (Japan)		101,742		1,685,865
SK Telecom Co. Ltd. - ADR (South Korea)		8,490		165,470
				2,410,919
Total Telecommunication Services				7,549,278
Utilities - 0.0%**
Independent Power Producers & Energy Traders - 0.0%**
Dynegy, Inc.*		8,960		221,402
Water Utilities - 0.0%**
Cia de Saneamento Basico do Estado de Sao Paulo (SABESP) - ADR (Brazil)		20,148		288,116
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		4,390		101,152
				389,268
Total Utilities				610,670
TOTAL COMMON STOCKS
(Identified Cost $403,189,720)				478,239,676
PREFERRED STOCKS - 0.4%
Financials - 0.4%
Commercial Banks - 0.3%
BB&T Corp., Series D (non-cumulative), 5.85%		34,225		905,594
PNC Financial Services Group, Inc., Series Q (non-cumulative), 5.375%		52,625		1,351,936
U.S. Bancorp., Series F (non-cumulative), 6.50%4		45,425		1,360,933
				3,618,463
Diversified Financial Services - 0.0%**
JPMorgan Chase & Co., Series P (non-cumulative), 5.45%		20,200		510,050
Real Estate Investment Trusts (REITS) - 0.1%
Boston Properties, Inc., Series F, 5.25%		42,550		1,083,323
Public Storage, Series Q, 6.50%		18,560		511,142
				1,594,465
TOTAL PREFERRED STOCKS
(Identified Cost $5,350,834)				5,722,978

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

16

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS - 29.4%
Convertible Corporate Bonds - 0.1%
Financials - 0.0%**
Real Estate Investment Trusts (REITS) - 0.0%**
BioMed Realty LP6, 3.75%, 1/15/2030		410,000	$	535,819
Health Care - 0.0%**
Health Care Equipment & Supplies - 0.0%**
Alere, Inc., 3.00%, 5/15/2016		180,000		178,425
Information Technology - 0.0%**
Computers & Peripherals - 0.0%**
EMC Corp., Series B, 1.75%, 12/1/2013		40,000		56,350
Materials - 0.1%
Containers & Packaging - 0.1%
Owens-Brockway Glass Container, Inc.6, 3.00%, 6/1/2015		865,000		875,812
Total Convertible Corporate Bonds
(Identified Cost $1,537,708)				1,646,406
Non-Convertible Corporate Bonds - 29.3%
Consumer Discretionary - 4.1%
Auto Components - 0.0%**
UCI International, Inc., 8.625%, 2/15/2019		495,000		520,369
Hotels, Restaurants & Leisure - 0.6%
Choice Hotels International, Inc., 5.70%, 8/28/2020		265,000		292,825
International Game Technology, 7.50%, 6/15/2019		6,375,000		7,648,145
Yum! Brands, Inc., 3.875%, 11/1/2020		835,000		901,458
				8,842,428
Household Durables - 0.6%
Newell Rubbermaid, Inc., 4.70%, 8/15/2020		1,400,000		1,576,562
NVR, Inc., 3.95%, 9/15/2022		1,070,000		1,117,936
Tupperware Brands Corp., 4.75%, 6/1/2021		4,985,000		5,350,246
Weekley Homes LLC - Weekley Finance Corp.6, 6.00%, 2/1/2023		490,000		508,375
				8,553,119
Internet & Catalog Retail - 0.0%**
Netflix, Inc.6, 5.375%, 2/1/2021		490,000		504,700
Media - 2.4%
CCO Holdings LLC - CCO Holdings Capital Corp.6, 5.25%, 3/15/2021		790,000		809,750
Comcast Corp., 5.15%, 3/1/2020		6,500,000		7,862,771
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		6,140,000		7,152,492
Discovery Communications LLC, 5.05%, 6/1/2020		5,680,000		6,664,401

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

17

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Media (continued)
Nara Cable Funding Ltd. (Spain)6, 8.875%, 12/1/2018		720,000	$	770,400
NBCUniversal Media LLC, 5.15%, 4/30/2020		1,300,000		1,574,920
Sirius XM Radio, Inc.6, 8.75%, 4/1/2015		440,000		492,800
Sirius XM Radio, Inc.6, 5.25%, 8/15/2022		485,000		500,763
Time Warner, Inc., 3.15%, 7/15/2015		95,000		99,792
Time Warner, Inc., 4.875%, 3/15/2020		5,060,000		5,891,854
Time Warner, Inc., 4.75%, 3/29/2021		3,370,000		3,912,105
Unitymedia Hessen GmbH & Co. KG - Unitymedia NRW GmbH (Germany)6, 5.50%, 1/15/2023		515,000		533,025
Virgin Media Finance plc (United Kingdom), 4.875%, 2/15/2022		485,000		494,700
Virgin Media Secured Finance plc (United Kingdom), 5.25%, 1/15/2021		480,000		517,254
The Walt Disney Co., 2.75%, 8/16/2021		400,000		421,700
				37,698,727
Multiline Retail - 0.1%
Target Corp., 6.00%, 1/15/2018		425,000		520,171
Target Corp., 3.875%, 7/15/2020		535,000		606,741
				1,126,912
Specialty Retail - 0.3%
Advance Auto Parts, Inc., 4.50%, 1/15/2022		1,115,000		1,152,604
Dufry Finance SCA (Switzerland)6, 5.50%, 10/15/2020		470,000		490,421
The Home Depot, Inc., 5.40%, 3/1/2016		905,000		1,022,573
Lowe’s Companies, Inc., 6.10%, 9/15/2017		1,800,000		2,165,753
Rent-A-Center, Inc., 6.625%, 11/15/2020		550,000		602,250
				5,433,601
Textiles, Apparel & Luxury Goods - 0.1%
Jones Group, Inc. - Apparel Group Holdings - Apparel Group USA - Footwear Accessories Retail, 6.875%, 3/15/2019		330,000		357,225
VF Corp., 5.95%, 11/1/2017		485,000		578,977
				936,202
Total Consumer Discretionary				63,616,058
Consumer Staples - 0.9%
Beverages - 0.1%
Constellation Brands, Inc., 7.25%, 9/1/2016		665,000		764,750

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

18

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Staples (continued)
Beverages (continued)
Constellation Brands, Inc., 7.25%, 5/15/2017		235,000	$	273,775
PepsiCo, Inc., 5.00%, 6/1/2018		110,000		129,355
PepsiCo, Inc., 7.90%, 11/1/2018		493,000		657,030
				1,824,910
Food Products - 0.7%
C&S Group Enterprises LLC6, 8.375%, 5/1/2017		614,000		660,050
General Mills, Inc., 5.65%, 2/15/2019		375,000		453,766
Kraft Foods Group, Inc., 6.125%, 8/23/2018		247,000		301,125
Kraft Foods Group, Inc., 5.375%, 2/10/2020		2,966,000		3,564,476
Land O’ Lakes, Inc.6, 6.00%, 11/15/2022		465,000		500,456
Mondelez International, Inc., 6.125%, 2/1/2018		128,000		153,592
Mondelez International, Inc., 5.375%, 2/10/2020		2,699,000		3,228,573
Shearer’s Foods LLC - Chip Finance Corp.6, 9.00%, 11/1/2019		485,000		539,563
Tyson Foods, Inc., 4.50%, 6/15/2022		455,000		502,384
Wells Enterprises, Inc.6, 6.75%, 2/1/2020		490,000		531,650
				10,435,635
Tobacco - 0.1%
Vector Group Ltd.6, 7.75%, 2/15/2021		775,000		827,313
Total Consumer Staples				13,087,858
Energy - 1.5%
Energy Equipment & Services - 0.8%
Baker Hughes, Inc., 7.50%, 11/15/2018		635,000		833,893
Calfrac Holdings LP (Canada)6, 7.50%, 12/1/2020		970,000		999,100
Petroleum Geo-Services ASA (Norway)6, 7.375%, 12/15/2018		475,000		528,437
Schlumberger Oilfield plc6, 4.20%, 1/15/2021		810,000		925,073
SESI LLC, 6.375%, 5/1/2019		280,000		303,800
Shelf Drilling Holdings Ltd. (United Arab Emirates)6, 8.625%, 11/1/2018		485,000		518,950
Sidewinder Drilling, Inc.6, 9.75%, 11/15/2019		485,000		503,187
Thermon Industries, Inc., 9.50%, 5/1/2017		261,000		295,843
Weatherford International Ltd., 9.625%, 3/1/2019		6,000,000		7,933,638
				12,841,921

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

19

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES		PRINCIPAL   AMOUNT5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels - 0.7%
Apache Corp., 6.90%, 9/15/2018			495,000	$	625,084
Chesapeake Oilfield Operating LLC - Chesapeake Oilfield Finance, Inc.6, 7.125%, 11/15/2019			1,060,000		1,091,800
CVR Refining LLC - Coffeyville Finance, Inc.6, 6.50%, 11/1/2022			490,000		504,700
EOG Resources, Inc., 2.625%, 3/15/2023			945,000		950,722
EPL Oil & Gas, Inc.6, 8.25%, 2/15/2018			580,000		623,500
Gulfport Energy Corp.6, 7.75%, 11/1/2020			730,000		786,575
Lukoil International Finance B.V. (Russia)6, 3.416%, 4/24/2018			640,000		651,520
Northern Tier Energy LLC - Northern Tier Finance Corp.6, 7.125%, 11/15/2020			490,000		521,850
PBF Holding Co. LLC - PBF Finance Corp., 8.25%, 2/15/2020			370,000		418,100
Petrobras International Finance Co. (Brazil), 5.375%, 1/27/2021			1,385,000		1,529,410
Sabine Pass Liquefaction LLC6, 5.625%, 2/1/2021			735,000		760,725
Shell International Finance B.V. (Netherlands), 4.30%, 9/22/2019			2,000,000		2,328,132
					10,792,118
Total Energy					23,634,039
Financials - 15.5%
Capital Markets - 4.1%
BNP Paribas Home Loan Covered Bonds S.A. (France), 4.50%, 5/30/2014	EUR		250,000		344,190
BNP Paribas Home Loan Covered Bonds S.A. (France)6, 2.20%, 11/2/2015			1,080,000		1,118,124
BNP Paribas Home Loan Covered Bonds S.A. (France), 3.75%, 4/20/2020	EUR		250,000		384,753
The Charles Schwab Corp., 4.45%, 7/22/2020			5,925,000		6,872,419
Credit Suisse AG (Switzerland)6, 2.60%, 5/27/2016			6,145,000		6,493,219
Goldman Sachs Capital I, 6.345%, 2/15/2034			380,000		399,965
Goldman Sachs Capital II7, 4.00%, 6/1/2043			1,500,000		1,279,500
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018			2,110,000		2,492,902
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020			8,165,000		9,526,587
The Goldman Sachs Group, Inc., 5.25%, 7/27/2021			95,000		110,149

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

20

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES		PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Capital Markets (continued)
Jefferies Finance LLC - JFIN Co-Issuer Corp.6, 7.375%, 4/1/2020			790,000	$	821,600
Jefferies Group, Inc., 5.125%, 4/13/2018			820,000		908,407
Jefferies Group, Inc., 8.50%, 7/15/2019			3,005,000		3,814,977
Jefferies Group, Inc., 6.875%, 4/15/2021			4,500,000		5,369,972
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018			7,420,000		9,020,449
Morgan Stanley, 7.30%, 5/13/2019			2,955,000		3,701,226
Morgan Stanley, 5.50%, 1/26/2020			2,650,000		3,083,373
Morgan Stanley, 5.75%, 1/25/2021			5,955,000		7,088,070
Morgan Stanley, 5.50%, 7/28/2021			360,000		422,502
					63,252,384
Commercial Banks - 4.0%
Banco Santander S.A. (Spain), 3.875%, 2/6/2026	EUR		100,000		137,933
Bank of Montreal (Canada)6, 1.30%, 10/31/2014			3,400,000		3,448,280
Bank of Montreal (Canada)6, 2.625%, 1/25/2016			2,965,000		3,129,557
Bank of Montreal (Canada)6, 1.95%, 1/30/2017			5,000,000		5,217,000
Bank of Nova Scotia (Canada)6, 1.65%, 10/29/2015			1,080,000		1,109,700
Barclays Bank plc (United Kingdom)6, 2.50%, 9/21/2015			1,180,000		1,227,514
Barclays Bank plc (United Kingdom), 4.25%, 1/12/2022	GBP		380,000		686,296
Canadian Imperial Bank of Commerce (Canada)6, 2.75%, 1/27/2016			1,450,000		1,535,550
Commonwealth Bank of Australia (Australia)6, 0.75%, 1/15/2016			1,270,000		1,272,667
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017	AUD		300,000		334,834
Intesa Sanpaolo S.p.A. (Italy), 3.125%, 1/15/2016			1,400,000		1,399,492
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021			1,245,000		1,355,008
KeyBank National Association, 5.45%, 3/3/2016			880,000		984,184
Manufacturers & Traders Trust Co., 6.625%, 12/4/2017			315,000		381,641
National Australia Bank, Ltd. (Australia)6, 1.25%, 3/8/2018			2,500,000		2,514,287
National Bank of Canada (Canada)6, 2.20%, 10/19/2016			4,880,000		5,127,904
National City Corp., 6.875%, 5/15/2019			6,630,000		8,254,284
Pfandbriefbank der schweizerischen Hypothekarinstitute AG (Switzerland), 2.25%, 9/2/2016	CHF		295,000		338,657

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

21

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES		PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Commercial Banks (continued)
PNC Bank National Association, 5.25%, 1/15/2017			195,000	$	221,008
Royal Bank of Canada (Canada), 3.27%, 11/10/2014	CAD		225,000		229,869
Royal Bank of Canada (Canada), 3.18%, 3/16/2015	CAD		355,000		364,010
Royal Bank of Canada (Canada)6, 3.125%, 4/14/2015			4,460,000		4,685,230
Royal Bank of Canada (Canada), 1.20%, 9/19/2017			1,855,000		1,872,623
Royal Bank of Canada (Canada), 3.77%, 3/30/2018	CAD		340,000		366,445
Santander Holdings USA, Inc., 4.625%, 4/19/2016			220,000		236,192
The Toronto-Dominion Bank (Canada)6, 2.20%, 7/29/2015			1,080,000		1,121,256
The Toronto-Dominion Bank (Canada)6, 1.625%, 9/14/2016			5,555,000		5,727,205
U.S. Bank National Association, 6.30%, 2/4/2014			100,000		104,463
Wachovia Corp., 5.25%, 8/1/2014			4,450,000		4,698,039
Wells Fargo & Co., Series M, 3.45%, 2/13/2023			1,145,000		1,168,349
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017	AUD		300,000		335,071
Westpac Banking Corp. (Australia)6, 1.25%, 12/15/2017			1,825,000		1,835,804
					61,420,352
Consumer Finance - 0.9%
American Express Co., 2.65%, 12/2/2022			7,207,000		7,222,091
American Express Co.7, 6.80%, 9/1/2066			1,190,000		1,301,563
Caterpillar Financial Services Corp., 7.05%, 10/1/2018			770,000		988,617
Credit Acceptance Corp., 9.125%, 2/1/2017			465,000		506,850
General Motors Financial Co., Inc.6, 4.75%, 8/15/2017			730,000		770,150
John Deere Capital Corp., 5.75%, 9/10/2018			2,185,000		2,663,648
					13,452,919
Diversified Financial Services - 1.8%
Bank of America Corp., 5.75%, 8/15/2016			325,000		362,456
Bank of America Corp., 3.30%, 1/11/2023			485,000		491,222
The Bear Stearns Companies LLC, 7.25%, 2/1/2018			1,775,000		2,210,392
Citigroup, Inc., 8.50%, 5/22/2019			6,619,000		8,903,952
Citigroup, Inc., 4.05%, 7/30/2022			1,145,000		1,190,186

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

22

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Diversified Financial Services (continued)
CME Group, Inc., 3.00%, 9/15/2022		2,085,000	$	2,130,343
CNG Holdings, Inc.6, 9.375%, 5/15/2020		820,000		811,800
CNH Capital LLC, 6.25%, 11/1/2016		435,000		481,763
General Electric Capital Corp., 5.625%, 5/1/2018		1,925,000		2,289,585
General Electric Capital Corp., 5.50%, 1/8/2020		2,705,000		3,252,024
General Electric Capital Corp., 5.30%, 2/11/2021		1,450,000		1,684,516
ING US, Inc. (Netherlands)6, 2.90%, 2/15/2018		65,000		66,524
ING US, Inc. (Netherlands)6, 5.50%, 7/15/2022		1,015,000		1,154,187
JPMorgan Chase & Co., 6.30%, 4/23/2019		500,000		615,459
JPMorgan Chase & Co., 4.95%, 3/25/2020		1,255,000		1,460,239
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.6, 7.375%, 10/1/2017		470,000		488,213
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.6, 8.875%, 8/1/2020		905,000		954,775
				28,547,636
Insurance - 2.2%
American International Group, Inc., 4.875%, 6/1/2022		9,095,000		10,476,294
Fidelity & Guaranty Life Holdings, Inc.6, 6.375%, 4/1/2021		550,000		570,625
Fidelity National Financial, Inc., 6.60%, 5/15/2017		1,725,000		1,964,299
First American Financial Corp., 4.30%, 2/1/2023		1,145,000		1,207,915
Genworth Holdings, Inc., 7.625%, 9/24/2021		7,395,000		9,274,535
Genworth Holdings, Inc.7, 6.15%, 11/15/2066		200,000		188,750
Hartford Financial Services Group, Inc., 5.125%, 4/15/2022		8,285,000		9,818,520
				33,500,938
Real Estate Investment Trusts (REITS) - 2.5%
American Campus Communities Operating Partnership LP, 3.75%, 4/15/2023		510,000		535,621
American Tower Trust I6, 1.551%, 3/15/2018		985,000		995,799
BioMed Realty LP, 3.85%, 4/15/2016		470,000		499,538
Boston Properties LP, 5.875%, 10/15/2019		5,250,000		6,390,815
Camden Property Trust, 5.70%, 5/15/2017		2,270,000		2,605,472

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

23

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES		PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)	��
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
Corrections Corp. of America6, 4.125%, 4/1/2020			795,000	$	820,837
Digital Realty Trust LP, 5.875%, 2/1/2020			150,000		175,399
Digital Realty Trust LP, 5.25%, 3/15/2021			880,000		1,002,910
HCP, Inc., 6.70%, 1/30/2018			5,355,000		6,526,454
Health Care REIT, Inc., 6.20%, 6/1/2016			520,000		596,487
Health Care REIT, Inc., 4.95%, 1/15/2021			4,100,000		4,653,414
Host Hotels & Resorts LP, Series D, 3.75%, 10/15/2023			1,255,000		1,280,100
Mack-Cali Realty LP, 7.75%, 8/15/2019			700,000		894,706
National Retail Properties, Inc., 3.30%, 4/15/2023			1,120,000		1,120,458
Simon Property Group LP, 10.35%, 4/1/2019			5,410,000		7,868,207
UDR, Inc., 4.625%, 1/10/2022			1,730,000		1,948,449
					37,914,666
Total Financials					238,088,895
Health Care - 0.9%
Biotechnology - 0.4%
Amgen, Inc., 3.45%, 10/1/2020			5,750,000		6,232,822
Health Care Equipment & Supplies - 0.1%
Alere, Inc.6, 7.25%, 7/1/2018			480,000		517,200
Fresenius Medical Care US Finance, Inc. (Germany), 6.875%, 7/15/2017			225,000		259,875
Fresenius Medical Care US Finance, Inc. (Germany)6, 6.50%, 9/15/2018			745,000		862,337
Fresenius US Finance II, Inc.6, 9.00%, 7/15/2015			410,000		472,525
					2,111,937
Health Care Providers & Services - 0.3%
Express Scripts Holding Co., 4.75%, 11/15/2021			1,000,000		1,155,716
Health Management Associates, Inc., 6.125%, 4/15/2016			460,000		507,150
UnitedHealth Group, Inc., 4.70%, 2/15/2021			1,175,000		1,368,054
UnitedHealth Group, Inc., 2.75%, 2/15/2023			630,000		635,009
					3,665,929
Pharmaceuticals - 0.1%
Novartis Securities Investment Ltd. (Switzerland), 5.125%, 2/10/2019			990,000		1,185,917

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

24

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Health Care (continued)
Pharmaceuticals (continued)
Valeant Pharmaceuticals International (Canada)6, 6.75%, 8/15/2021		480,000	$	530,400
				1,716,317
Total Health Care				13,727,005
Industrials - 2.0%
Aerospace & Defense - 0.6%
The Boeing Co., 6.00%, 3/15/2019		2,410,000		2,980,474
Bombardier, Inc. (Canada)6, 4.25%, 1/15/2016		495,000		516,656
Bombardier, Inc. (Canada)6, 6.125%, 1/15/2023		490,000		529,813
DigitalGlobe, Inc.6, 5.25%, 2/1/2021		490,000		494,900
Ducommun, Inc., 9.75%, 7/15/2018		695,000		767,975
Honeywell International, Inc., 5.30%, 3/1/2018		405,000		482,696
Textron, Inc., 5.60%, 12/1/2017		3,150,000		3,565,765
Textron, Inc., 7.25%, 10/1/2019		350,000		425,269
				9,763,548
Air Freight & Logistics - 0.4%
Aguila 3 S.A. (Luxembourg)6, 7.875%, 1/31/2018		535,000		576,463
FedEx Corp., 8.00%, 1/15/2019		4,690,000		6,166,609
				6,743,072
Airlines - 0.2%
Aviation Capital Group Corp.6, 4.625%, 1/31/2018		490,000		511,122
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B, 6.375%, 1/2/2016		330,000		344,025
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015		135,000		142,087
Southwest Airlines Co., 5.25%, 10/1/2014		355,000		374,740
Southwest Airlines Co., 5.75%, 12/15/2016		1,070,000		1,206,980
				2,578,954
Commercial Services & Supplies - 0.3%
Clean Harbors, Inc., 5.25%, 8/1/2020		445,000		470,587
Garda World Security Corp. (Canada)6, 9.75%, 3/15/2017		475,000		510,625
Waste Management, Inc., 7.375%, 3/11/2019		3,000,000		3,792,288
				4,773,500
Industrial Conglomerates - 0.1%
General Electric Co., 5.25%, 12/6/2017		180,000		212,224

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

25

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Industrial Conglomerates (continued)
Tyco Electronics Group S.A. (Switzerland), 4.875%, 1/15/2021		725,000	$	813,839
				1,026,063
Machinery - 0.1%
Dynacast International LLC - Dynacast Finance, Inc., 9.25%, 7/15/2019		510,000		563,550
Joy Global, Inc., 5.125%, 10/15/2021		480,000		545,078
Kennametal, Inc., 3.875%, 2/15/2022		1,040,000		1,102,022
				2,210,650
Marine - 0.1%
Navios Maritime Holdings, Inc. - Navios Maritime Finance US, Inc., 8.875%, 11/1/2017		705,000		741,131
Professional Services - 0.0%**
FTI Consulting, Inc.6, 6.00%, 11/15/2022		480,000		512,400
Road & Rail - 0.1%
JB Hunt Transport Services, Inc., 3.375%, 9/15/2015		420,000		436,534
Union Pacific Corp., 5.65%, 5/1/2017		175,000		204,107
Union Pacific Corp., 2.95%, 1/15/2023		765,000		797,418
				1,438,059
Trading Companies & Distributors - 0.1%
International Lease Finance Corp., 5.625%, 9/20/2013		345,000		350,175
Rexel S.A.6, 5.25%, 6/15/2020		790,000		833,450
				1,183,625
Total Industrials				30,971,002
Information Technology - 1.1%
Communications Equipment - 0.0%**
Hughes Satellite Systems Corp., 6.50%, 6/15/2019		350,000		389,375
ViaSat, Inc., 6.875%, 6/15/2020		300,000		327,000
				716,375
Computers & Peripherals - 0.2%
Apple, Inc., 2.40%, 5/3/2023		400,000		399,468
Hewlett-Packard Co., 2.125%, 9/13/2015		1,799,000		1,834,613
Hewlett-Packard Co., 5.50%, 3/1/2018		330,000		372,536
				2,606,617
Electronic Equipment, Instruments & Components - 0.3%
Amphenol Corp., 4.00%, 2/1/2022		275,000		294,099
Corning, Inc., 6.625%, 5/15/2019		3,200,000		3,990,189
Corning, Inc., 4.25%, 8/15/2020		90,000		101,544

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

26

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Information Technology (continued)
Electronic Equipment, Instruments & Components (continued)
CPI International, Inc., 8.00%, 2/15/2018		505,000	$	528,987
				4,914,819
IT Services - 0.1%
The Western Union Co., 5.253%, 4/1/2020		995,000		1,086,855
Office Electronics - 0.0%**
Xerox Corp.7, 1.68%, 9/13/2013		540,000		541,639
Software - 0.5%
Autodesk, Inc., 3.60%, 12/15/2022		6,270,000		6,382,484
Interface Security Systems Holdings, Inc. - Interface Security Systems LLC6, 9.25%, 1/15/2018		490,000		508,375
Nuance Communications, Inc.6, 5.375%, 8/15/2020		485,000		504,400
				7,395,259
Total Information Technology				17,261,564
Materials - 2.1%
Chemicals - 0.3%
Ashland, Inc.6, 3.875%, 4/15/2018		510,000		525,300
E.I. du Pont de Nemours & Co., 6.00%, 7/15/2018		295,000		364,022
Eastman Chemical Co., 3.60%, 8/15/2022		1,190,000		1,263,070
Nufarm Australia Ltd. (Australia)6, 6.375%, 10/15/2019		945,000		970,987
Rentech Nitrogen Partners LP - Rentech Nitrogen Finance Corp.6, 6.50%, 4/15/2021		870,000		891,750
Trinseo Materials Operating SCA - Trinseo Materials Finance, Inc. (Luxembourg)6, 8.75%, 2/1/2019		490,000		490,000
				4,505,129
Containers & Packaging - 0.0%**
Reynolds Group Issuer, Inc. - Reynolds Group Issuer LLC - Reynolds Group Issuer (Luxembourg) S.A., 5.75%, 10/15/2020		735,000		769,913
Metals & Mining - 1.0%
Allegheny Technologies, Inc., 5.95%, 1/15/2021		705,000		796,035
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		2,280,000		2,903,553
Cliffs Natural Resources, Inc., 5.90%, 3/15/2020		555,000		596,528
Cliffs Natural Resources, Inc., 4.80%, 10/1/2020		600,000		606,126
Freeport-McMoRan Copper & Gold, Inc.6, 2.375%, 3/15/2018		80,000		80,575

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

27

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Metals & Mining (continued)
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/2022		6,740,000	$	6,742,298
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021		1,490,000		1,592,177
Shale-Inland Holdings LLC - Shale-Inland Finance Corp.6, 8.75%, 11/15/2019		485,000		512,887
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		1,020,000		1,047,031
				14,877,210
Paper & Forest Products - 0.8%
International Paper Co., 9.375%, 5/15/2019		7,350,000		10,184,483
International Paper Co., 7.50%, 8/15/2021		620,000		819,235
Smurfit Kappa Acquisitions (Ireland)6, 4.875%, 9/15/2018		1,265,000		1,312,437
				12,316,155
Total Materials				32,468,407
Telecommunication Services - 0.7%
Diversified Telecommunication Services - 0.2%
Digicel Ltd. (Jamaica)6, 6.00%, 4/15/2021		510,000		511,275
Inmarsat Finance plc (United Kingdom)6, 7.375%, 12/1/2017		430,000		456,337
UPCB Finance VI Ltd. (Netherlands)6, 6.875%, 1/15/2022		345,000		378,637
Verizon Communications, Inc., 8.75%, 11/1/2018		513,000		693,030
Windstream Corp., 7.50%, 6/1/2022		660,000		727,650
				2,766,929
Wireless Telecommunication Services - 0.5%
Crown Castle Towers LLC6, 6.113%, 1/15/2020		390,000		479,241
Crown Castle Towers LLC6, 4.883%, 8/15/2020		224,000		258,526
SBA Tower Trust6, 5.101%, 4/17/2017		200,000		223,443
SBA Tower Trust6, 2.933%, 12/15/2017		1,785,000		1,848,914
SBA Tower Trust6, 3.598%, 4/15/2018		2,505,000		2,504,286
Telefonica Emisiones S.A.U. (Spain), 3.192%, 4/27/2018		2,000,000		2,024,314
				7,338,724
Total Telecommunication Services				10,105,653
Utilities - 0.5%
Electric Utilities - 0.1%
Southwestern Electric Power Co., 6.45%, 1/15/2019		790,000		963,323

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

28

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5/ SHARES		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Utilities (continued)
Electric Utilities (continued)
System Energy Resources, Inc., 4.10%, 4/1/2023		935,000	$	987,640
				1,950,963
Independent Power Producers & Energy Traders - 0.4%
Exelon Generation Co. LLC, 5.20%, 10/1/2019		5,000,000		5,738,200
Exelon Generation Co. LLC, 4.00%, 10/1/2020		120,000		128,702
				5,866,902
Total Utilities				7,817,865
Total Non-Convertible Corporate Bonds
(Identified Cost $419,186,303)				450,778,346
TOTAL CORPORATE BONDS
(Identified Cost $420,724,011)				452,424,752
MUTUAL FUNDS - 0.3%
iShares Dow Jones US Real Estate Index Fund		14,150		1,039,459
iShares iBoxx $ High Yield Corporate Bond Fund		41,370		3,965,315
TOTAL MUTUAL FUNDS
(Identified Cost $4,711,851)				5,004,774
U.S. TREASURY SECURITIES - 1.8%
U.S. Treasury Notes - 1.8%
U.S. Treasury Note, 2.125%, 12/31/2015		10,300,000		10,802,928
U.S. Treasury Note, 2.00%, 4/30/2016		3,750,000		3,937,500
U.S. Treasury Note, 2.75%, 12/31/2017		9,150,000		10,058,568
U.S. Treasury Note, 3.75%, 11/15/2018		2,250,000		2,616,856
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $25,730,405)				27,415,852
ASSET-BACKED SECURITIES - 0.4%
Americredit Automobile Receivables Trust, Series 2012-5, Class A3, 0.62%, 6/8/2017		1,225,000		1,225,865
Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A6, 2.20%, 9/16/2019		2,560,000		2,599,726
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		1,238,048		1,282,976
Hertz Vehicle Financing LLC, Series 2009-2A, Class A26, 5.29%, 3/25/2016		170,000		183,148

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

29

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		300,000	$	321,638
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $5,492,064)				5,613,353
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.8%
Americold LLC Trust, Series 2010-ARTA, Class A16, 3.847%, 1/14/2029		408,024		438,232
BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A6, 2.959%, 12/10/2030		910,000		939,030
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A47, 5.729%, 5/10/2045		100,000		112,946
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046		1,325,000		1,490,237
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		790,000		853,024
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A47, 5.716%, 9/11/2038		695,000		783,765
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		830,000		938,171
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26, 3.759%, 4/15/2044		660,000		705,641
Citigroup - Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A47, 5.218%, 7/15/2044		480,000		524,760
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16, 3.156%, 7/10/2046		231,747		243,243
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class A3, 2.853%, 10/15/2045		1,275,000		1,307,630
Commercial Mortgage Trust, Series 2006-GG7, Class A47, 5.86%, 7/10/2038		440,000		498,337
Credit Suisse Mortgage Capital Certificates, Series 2013-TH1, Class A16,7, 2.13%, 2/25/2043		2,330,236		2,315,707
DBUBS Mortgage Trust, Series 2011-LC1A, Class A16, 3.742%, 11/10/2046		842,988		904,356
Extended Stay America Trust, Series 2013-ESH7, Class A276, 2.958%, 12/5/2031		2,015,000		2,066,761
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class A2, 2.377%, 5/25/2022		1,690,000		1,704,882
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017		1,600,000		1,623,474

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

30

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019		1,770,000	$	1,814,707
FREMF Mortgage Trust, Series 2011-K701, Class B6,7, 4.286%, 7/25/2048		875,000		947,549
FREMF Mortgage Trust, Series 2011-K702, Class B6,7, 4.77%, 4/25/2044		1,250,000		1,383,190
FREMF Mortgage Trust, Series 2013-K502, Class B6,7, 2.729%, 3/25/2045		1,725,000		1,768,808
GS Mortgage Securities Corp. II, Series 2010-C2, Class A16, 3.849%, 12/10/2043		1,077,356		1,161,480
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A47, 5.294%, 1/12/2043		1,210,000		1,328,371
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A47, 5.201%, 12/15/2044		325,000		356,318
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A47, 5.861%, 4/15/2045		1,075,000		1,218,381
JP Morgan Mortgage Trust, Series 2013-1, Class 1A26,7, 3.00%, 3/1/2043		2,294,327		2,345,571
LSTAR Commercial Mortgage Trust, Series 2011-1, Class A6, 3.913%, 6/25/2043		606,814		627,904
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5 Class A4, 3.176%, 8/15/2045		880,000		928,041
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4A7, 5.23%, 9/15/2042		650,303		701,874
Morgan Stanley Capital I Trust, Series 2011-C1, Class A26, 3.884%, 9/15/2047		700,000		752,835
Motel 6 Trust, Series 2012-MTL6, Class A26, 1.948%, 10/5/2025		1,275,000		1,287,649
Sequoia Mortgage Trust, Series 2013-2, Class A17, 1.874%, 2/25/2043		1,809,071		1,788,775
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX6, 4.004%, 9/13/2028		155,000		173,735
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A47, 5.239%, 10/15/2044		87,422		95,404
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A37, 6.011%, 6/15/2045		955,000		1,088,105
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26, 4.393%, 11/15/2043		265,000		302,994
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.918%, 10/15/2045		2,315,000		2,377,655

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

31

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES		PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A26, 3.791%, 2/15/2044			1,470,000	$	1,580,134
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A2, 2.029%, 3/15/2045			1,815,000		1,878,100
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $42,251,536)					43,357,776
FOREIGN GOVERNMENT BONDS - 2.4%
Bonos de la Tesoreria de la Republica en pesos (Chile), 6.00%, 1/1/2018	CLP		330,000,000		724,605
Canada Housing Trust No. 1 (Canada)6, 4.10%, 12/15/2018	CAD		295,000		331,614
Denmark Government Bond (Denmark), 4.00%, 11/15/2017	DKK		1,630,000		336,630
Indonesia Treasury Bond (Indonesia), 7.00%, 5/15/2022	IDR		2,828,000,000		322,757
Ireland Government Bond (Ireland), 5.00%, 10/18/2020	EUR		230,000		338,186
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022	EUR		480,000		714,693
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022	EUR		295,000		439,103
Italy Buoni Poliennali Del Tesoro (Italy)6, 5.00%, 3/1/2025	EUR		375,000		537,415
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016	JPY		77,000,000		792,474
Japan Government Ten Year Bond (Japan), 1.00%, 12/20/2021	JPY		44,400,000		473,385
Japan Government Two Year Bond (Japan), 0.10%, 1/15/2014	JPY		34,000,000		348,766
Japan Government Two Year Bond (Japan), 0.10%, 3/15/2014	JPY		55,300,000		567,209
Korea Treasury Bond (Korea), 4.50%, 3/10/2015	KRW		720,000,000		676,982
Malaysia Government Bond (Malaysia), 3.434%, 8/15/2014	MYR		1,170,000		387,081
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016	MYR		1,775,000		606,730
Mexican Government Bond (Mexico), 8.00%, 12/17/2015	MXN		12,329,000		1,115,362
Mexican Government Bond (Mexico), 7.25%, 12/15/2016	MXN		4,560,000		415,549
Portugal Obrigacoes do Tesouro OT (Portugal), 4.80%, 6/15/2020	EUR		135,000		172,561
Portugal Obrigacoes do Tesouro OT (Portugal), 4.95%, 10/25/2023	EUR		140,000		173,499
Province of Manitoba Canada, Series FH (Canada), 4.90%, 12/6/2016			1,620,000		1,864,942
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017			3,500,000		4,068,050
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017			1,250,000		1,446,750
Province of Ontario Canada (Canada), 2.30%, 5/10/2016			7,315,000		7,682,213

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

32

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES		PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
FOREIGN GOVERNMENT BONDS (continued)
Province of Quebec Canada (Canada), 5.125%, 11/14/2016			6,600,000	$	7,616,400
Singapore Government Bond (Singapore), 2.50%, 6/1/2019	SGD		650,000		582,701
Spain Government Bond (Spain), 4.50%, 1/31/2018	EUR		250,000		351,922
Spain Government Bond (Spain), 4.00%, 4/30/2020	EUR		390,000		528,906
Spain Government Bond (Spain)6, 5.40%, 1/31/2023	EUR		275,000		397,816
State of Berlin (Germany), 3.00%, 3/29/2016	EUR		240,000		339,375
Sweden Government Bond (Sweden), 4.50%, 8/12/2015	SEK		2,135,000		356,461
Thailand Government Bond (Thailand), 2.80%, 10/10/2017	THB		10,370,000		350,479
United Kingdom Gilt (United Kingdom), 2.75%, 1/22/2015	GBP		315,000		510,546
United Kingdom Gilt (United Kingdom), 1.75%, 1/22/2017	GBP		210,000		341,770
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017	GBP		430,000		678,888
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018	GBP		365,000		683,985
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $36,167,253)					37,275,805
U.S. GOVERNMENT AGENCIES - 29.7%
Mortgage-Backed Securities - 9.1%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021			1,658,185		1,806,679
Fannie Mae, Pool #995233, 5.50%, 10/1/2021			147,822		161,059
Fannie Mae, Pool #888017, 6.00%, 11/1/2021			187,984		206,433
Fannie Mae, Pool #995329, 5.50%, 12/1/2021			1,045,183		1,138,782
Fannie Mae, Pool #888136, 6.00%, 12/1/2021			244,038		267,987
Fannie Mae, Pool #888815, 4.50%, 11/1/2022			182,326		196,069
Fannie Mae, Pool #888810, 5.50%, 11/1/2022			1,813,193		1,975,568
Fannie Mae, Pool #AA1563, 4.50%, 2/1/2024			147,204		157,954
Fannie Mae, Pool #AC1557, 4.50%, 9/1/2024			342,091		367,073
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024			140,060		152,602
Fannie Mae, Pool #AK7413, 3.00%, 3/1/2027			1,862,591		1,970,059
Fannie Mae, Pool #AO6562, 3.00%, 6/1/2027			307,024		324,739

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

33

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AP0000, 3.50%, 7/1/2027		758,693	$	809,476
Fannie Mae, Pool #AP7539, 3.00%, 9/1/2027		1,878,178		1,986,545
Fannie Mae, Pool #AB6580, 3.00%, 10/1/2027		511,164		540,657
Fannie Mae, Pool #AL2720, 3.00%, 11/1/2027		1,582,050		1,673,332
Fannie Mae, Pool #AQ4426, 3.00%, 11/1/2027		652,311		689,948
Fannie Mae, Pool #AQ5073, 3.00%, 12/1/2027		181,518		194,260
Fannie Mae, Pool #AQ5190, 3.00%, 12/1/2027		218,453		231,057
Fannie Mae, Pool #AR4926, 3.00%, 1/1/2028		648,880		686,319
Fannie Mae, Pool #AR5885, 3.00%, 1/1/2028		165,563		175,115
Fannie Mae, Pool #AB7722, 3.50%, 1/1/2028		503,784		537,504
Fannie Mae, Pool #AR1092, 3.00%, 2/1/2028		389,242		415,593
Fannie Mae, Pool #AR5986, 3.00%, 2/1/2028		169,885		181,810
Fannie Mae, Pool #AB8457, 3.50%, 2/1/2028		843,529		899,990
Fannie Mae, Pool #AB8601, 3.00%, 3/1/2028		612,486		650,314
Fannie Mae, Pool #AL3301, 3.00%, 3/1/2028		1,354,654		1,432,815
Fannie Mae, Pool #AR6001, 3.00%, 3/1/2028		185,038		198,027
Fannie Mae, Pool #AR6002, 3.00%, 3/1/2028		287,635		307,107
Fannie Mae, Pool #AR6024, 3.00%, 3/1/2028		887,994		939,230
Fannie Mae, Pool #AR8950, 3.00%, 3/1/2028		458,378		484,825
Fannie Mae, Pool #AT3152, 3.00%, 4/1/2028		683,711		729,997
Fannie Mae, Pool #MA1405, 3.00%, 4/1/2028		218,621		231,234
Fannie Mae, Pool #MA1423, 3.50%, 4/1/2028		213,734		228,040
Fannie Mae, Pool #AT2899, 3.00%, 5/1/2028		341,856		361,580
Fannie Mae, Pool #745147, 4.50%, 12/1/2035		123,672		133,458
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		2,449,178		2,679,027

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

34

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #886904, 6.50%, 9/1/2036		290,503	$	345,374
Fannie Mae, Pool #888021, 6.00%, 12/1/2036		892,220		977,512
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		960,288		1,044,407
Fannie Mae, Pool #918516, 5.50%, 6/1/2037		450,206		489,643
Fannie Mae, Pool #995050, 6.00%, 9/1/2037		1,090,853		1,195,134
Fannie Mae, Pool #AB8161, 6.00%, 12/1/2037		3,539,273		3,877,613
Fannie Mae, Pool #933521, 5.00%, 1/1/2038		117,584		127,318
Fannie Mae, Pool #972107, 5.00%, 2/1/2038		189,346		208,908
Fannie Mae, Pool #889260, 5.00%, 4/1/2038		116,394		126,029
Fannie Mae, Pool #889576, 6.00%, 4/1/2038		2,320,325		2,539,238
Fannie Mae, Pool #912948, 5.00%, 5/1/2038		275,057		297,827
Fannie Mae, Pool #975840, 5.00%, 5/1/2038		293,800		318,122
Fannie Mae, Pool #889579, 6.00%, 5/1/2038		2,500,846		2,740,291
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		3,711,988		4,066,838
Fannie Mae, Pool #AD0119, 6.00%, 7/1/2038		2,100,638		2,299,592
Fannie Mae, Pool #986458, 6.00%, 8/1/2038		97,606		106,815
Fannie Mae, Pool #987831, 6.00%, 9/1/2038		250,529		274,165
Fannie Mae, Pool #990897, 6.00%, 9/1/2038		519,322		568,318
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		448,503		491,378
Fannie Mae, Pool #993920, 6.00%, 11/1/2038		288,400		315,609
Fannie Mae, Pool #257497, 6.00%, 12/1/2038		146,997		160,866
Fannie Mae, Pool #AA0675, 6.00%, 12/1/2038		118,483		129,662
Fannie Mae, Pool #971022, 5.00%, 1/1/2039		244,993		265,274
Fannie Mae, Pool #AA1810, 5.00%, 1/1/2039		242,765		263,317
Fannie Mae, Pool #988811, 6.00%, 1/1/2039		207,463		227,037

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

35

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #983686, 5.00%, 2/1/2039		387,300	$	420,088
Fannie Mae, Pool #AA7681, 4.50%, 6/1/2039		2,843,595		3,066,833
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039		944,089		1,026,789
Fannie Mae, Pool #AE0604, 6.00%, 7/1/2039		3,528,853		3,874,010
Fannie Mae, Pool #AA6788, 6.00%, 8/1/2039		556,412		608,386
Fannie Mae, Pool #AC0463, 5.00%, 11/1/2039		266,853		289,445
Fannie Mae, Pool #AC5111, 5.00%, 11/1/2039		479,777		520,394
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		3,761,646		4,056,957
Fannie Mae, Pool #MA0259, 5.00%, 12/1/2039		213,019		231,052
Fannie Mae, Pool #AC8573, 5.00%, 1/1/2040		372,993		404,978
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040		5,250,343		5,745,691
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		1,402,591		1,534,330
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		6,176,871		6,759,633
Fannie Mae, Pool #AL2581, 6.00%, 6/1/2040		3,281,074		3,594,731
Fannie Mae, Pool #890519, 6.00%, 10/1/2040		8,389,651		9,181,178
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041		2,357,634		2,542,722
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041		946,858		1,022,967
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041		660,178		713,243
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041		2,323,892		2,512,711
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041		604,172		652,736
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		616,785		665,587
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		235,474		258,690
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		171,238		188,120
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		235,715		261,359
Freddie Mac, Pool #E09019, 3.00%, 12/1/2027		418,957		444,317

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

36

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND�� CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #E09022, 3.00%, 1/1/2028		223,760	$	237,305
Freddie Mac, Pool #J22551, 3.00%, 1/1/2028		422,821		446,565
Freddie Mac, Pool #J22427, 3.00%, 2/1/2028		338,472		360,970
Freddie Mac, Pool #G14708, 3.50%, 2/1/2028		510,290		547,442
Freddie Mac, Pool #E09026, 3.00%, 3/1/2028		1,136,473		1,205,265
Freddie Mac, Pool #E09029, 3.00%, 3/1/2028		1,021,060		1,082,866
Freddie Mac, Pool #J23444, 3.00%, 4/1/2028		208,731		221,366
Freddie Mac, Pool #G08216, 5.50%, 8/1/2037		1,494,846		1,614,112
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037		217,269		236,817
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		730,187		788,445
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		2,765,591		3,014,413
Freddie Mac, Pool #G04264, 5.50%, 4/1/2038		3,244,161		3,502,805
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		1,690,096		1,824,941
Freddie Mac, Pool #G04176, 5.50%, 5/1/2038		717,196		774,418
Freddie Mac, Pool #A78227, 5.50%, 6/1/2038		628,008		678,114
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		1,698,737		1,834,271
Freddie Mac, Pool #G04471, 5.50%, 7/1/2038		296,669		320,339
Freddie Mac, Pool #G04776, 5.50%, 7/1/2038		1,959,568		2,115,912
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		1,300,864		1,409,329
Freddie Mac, Pool #G05196, 5.50%, 10/1/2038		2,621,000		2,830,117
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		2,318,913		2,503,928
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039		4,348,984		4,657,362
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040		1,582,745		1,709,024
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040		1,336,780		1,443,435
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		560,650		611,092

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

37

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		333,457	$	363,458
Freddie Mac, Pool #G07104, 5.50%, 5/1/2040		1,328,069		1,443,990
Freddie Mac, Pool #G06789, 6.00%, 5/1/2040		1,588,427		1,731,339
Ginnie Mae, Pool #671161, 5.50%, 11/15/2037		177,290		193,822
Total Mortgage-Backed Securities
(Identified Cost $138,531,705)				139,858,760
Other Agencies - 20.6%
Fannie Mae, 0.625%, 10/30/2014		12,000,000		12,072,600
Fannie Mae, 0.50%, 5/27/2015		32,000,000		32,137,664
Fannie Mae, 2.375%, 7/28/2015		11,500,000		12,027,747
Fannie Mae, 0.50%, 9/28/2015		23,000,000		23,084,916
Fannie Mae, 0.375%, 12/21/2015		14,000,000		14,001,330
Fannie Mae, 5.25%, 9/15/2016		7,000,000		8,114,715
Fannie Mae, 1.375%, 11/15/2016		20,000,000		20,630,600
Fannie Mae, 0.875%, 8/28/2017		31,000,000		31,241,087
Federal Farm Credit Bank, 5.125%, 8/25/2016		2,640,000		3,046,111
Federal Home Loan Bank, 5.00%, 11/17/2017		5,985,000		7,134,844
Freddie Mac, 0.875%, 10/28/2013		24,000,000		24,087,984
Freddie Mac, 2.875%, 2/9/2015		9,110,000		9,532,722
Freddie Mac, 0.50%, 5/13/2016		7,000,000		7,019,397
Freddie Mac, 2.00%, 8/25/2016		21,500,000		22,580,784
Freddie Mac, 1.00%, 3/8/2017		5,000,000		5,081,870
Freddie Mac, 1.25%, 5/12/2017		18,000,000		18,474,012
Freddie Mac, 0.875%, 3/7/2018		15,000,000		15,057,420
Freddie Mac, 3.75%, 3/27/2019		15,000,000		17,324,895
Freddie Mac, 2.375%, 1/13/2022		24,584,000		25,849,166
Freddie Mac, 6.25%, 7/15/2032		6,215,000		9,270,058
Total Other Agencies
(Identified Cost $311,902,362)				317,769,922
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $450,434,067)				457,628,682

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

38

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® CONSERVATIVE TERM SERIES	SHARES		VALUE (NOTE 2)
SHORT-TERM INVESTMENT - 1.8%
Dreyfus Cash Management, Inc. - Institutional Shares8, 0.05%,
(Identified Cost $ 27,705,426)		27,705,426	$	27,705,426
TOTAL INVESTMENTS - 100.1%
(Identified Cost $ 1,421,757,167)				1,540,389,074
LIABILITIES, LESS OTHER ASSETS - (0.1%)				(806,366	)
NET ASSETS - 100%			$	1,539,582,708

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS OPEN AT APRIL 30, 20139 :
SETTLEMENT DATE	CONTRACTS TO DELIVER	IN EXCHANGE FOR	CONTRACTS AT VALUE	UNREALIZED DEPRECIATION
05/08/2013	EUR 1,800,000	$2,339,496	$2,370,636	$(31,140)
06/06/2013	JPY 106,500,000	$1,074,856	$1,092,681	$(17,825)

ADR - American Depository Receipt

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

DKK - Danish Krone

EUR - Euro

GBP - British Pound

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

* Non-income producing security.

** Less than 0.1%.

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 Stock Exchange.

³Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁴The rate shown is a fixed rate as of April 30, 2013; the rate becomes floating, based on LIBOR plus a spread, in 2022.

⁵Amount is stated in USD unless otherwise noted.

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 $116,793,542 or 7.59%, of the Series’ net assets as of April 30, 2013 (see Note 2 to the financial statements).

⁷The coupon rate is floating and is the effective rate as of April 30, 2013.

⁸Rate shown is the current yield as of April 30, 2013.

⁹The counterparty for all forward foreign currency exchange contracts is the Bank of New York Mellon Corp.

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

39

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

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $1,421,757,167) (Note 2)	$	1,540,389,074
Cash		751,449
Foreign currency (identified cost $315,482)		315,469
Receivable for fund shares sold		8,657,694
Interest receivable		7,639,539
Receivable for securities sold		1,440,398
Dividends receivable		531,839
Foreign tax reclaims receivable		175,613
Prepaid and other expenses		4,341
TOTAL ASSETS		1,559,905,416
LIABILITIES:
Accrued management fees (Note 3)		745,004
Accrued shareholder services fees (Class S) (Note 3)		178,917
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3)		90,848
Accrued fund accounting and administration fees (Note 3)		46,174
Accrued transfer agent fees (Note 3)		41,214
Accrued Chief Compliance Officer service fees (Note 3)		167
Payable for securities purchased		17,919,767
Payable for fund shares repurchased		1,117,688
Unrealized depreciation on foreign forward currency exchange contracts (Note 2)		48,965
Accrued foreign capital gains tax (Note 2)		2,258
Other payables and accrued expenses		131,706
TOTAL LIABILITIES		20,322,708
TOTAL NET ASSETS	$	1,539,582,708
NET ASSETS CONSIST OF:
Capital stock	$	1,177,374
Additional paid-in-capital		1,391,061,318
Undistributed net investment income		6,176,359
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		22,577,400
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		118,590,257
TOTAL NET ASSETS	$	1,539,582,708

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

40

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

April 30, 2013 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($1,107,945,195/79,014,016 shares)	$	14.02
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($295,946,293/26,262,970 shares)	$	11.27
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($93,195,526/8,556,537 shares)	$	10.89
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($42,495,694/3,903,871 shares)	$	10.89

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

41

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

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Interest	$	11,421,428
Dividends (net of foreign taxes withheld, $128,460)		5,487,840
Total Investment Income		16,909,268
EXPENSES:
Management fees (Note 3)		4,196,825
Shareholder services fees (Class S) (Note 3)		1,016,265
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		399,907
Fund accounting and administration fees (Note 3)		130,440
Transfer agent fees (Note 3)		114,440
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		92,762
Directors’ fees (Note 3)		13,354
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		58,551
Miscellaneous		184,456
Total Expenses		6,208,116
NET INVESTMENT INCOME		10,701,152
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		25,979,795
Foreign currency and translation of other assets and liabilities		(134,240	)
		25,845,555
Net change in unrealized appreciation (depreciation) on-
Investments		47,514,298
Foreign currency and translation of other assets and liabilities		(43,707	)
		47,470,591
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		73,316,146
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	84,017,298

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

42

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	10,701,152		$	20,049,842
Net realized gain on investments and foreign currency		25,845,555			27,785,875
Net change in unrealized appreciation (depreciation) on investments and foreign currency		47,470,591			37,011,895
Net increase from operations		84,017,298			84,847,612
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(8,545,683	)		(15,950,542	)
From net investment income (Class I)		(3,014,305	)		(4,666,555	)
From net investment income (Class C)		(548,109	)		(818,634	)
From net investment income (Class R)		(332,723	)		(291,148	)
From net realized gain on investments (Class S)		(21,212,380	)		(14,036,267	)
From net realized gain on investments (Class I)		(6,649,604	)		(3,415,773	)
From net realized gain on investments (Class C)		(2,048,612	)		(925,150	)
From net realized gain on investments (Class R)		(927,955	)		(105,151	)
Total distributions to shareholders		(43,279,371	)		(40,209,220	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		170,087,049			186,355,904
Net increase in net assets		210,824,976			230,994,296
NET ASSETS:
Beginning of period		1,328,757,732			1,097,763,436
End of period (including undistributed net investment income of $6,176,359 and $7,916,027, respectively)	$	1,539,582,708		$	1,328,757,732

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

43

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	13.62		$	13.16		$	13.37		$	12.21		$	11.13		$	12.74
Income (loss) from investment operations:
Net investment income		0.10	1		0.22	1		0.25	1		0.29	1		0.23	1		0.24
Net realized and unrealized gain (loss) on investments		0.71			0.69			0.12			1.07			1.07			(1.15	)
Total from investment operations		0.81			0.91			0.37			1.36			1.30			(0.91	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.24	)		(0.24	)		(0.20	)		(0.22	)		(0.27	)
From net realized gain on investments		(0.29	)		(0.21	)		(0.34	)		—			—			(0.43	)
Total distributions to shareholders		(0.41	)		(0.45	)		(0.58	)		(0.20	)		(0.22	)		(0.70	)
Net asset value - End of period	$	14.02		$	13.62		$	13.16		$	13.37		$	12.21		$	11.13
Net assets - End of period (000’s omitted)	$	1,107,945		$	973,964		$	870,693		$	683,681		$	328,201		$	139,174
Total return2		6.11	%		7.15	%		2.87	%		11.26	%		11.83	%		(7.52	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.87	%3		0.88	%		0.89	%		0.90	%		0.90	%		0.92	%
Net investment income		1.55	%3		1.65	%		1.87	%		2.28	%		1.97	%		2.33	%
Series portfolio turnover		18	%		54	%		25	%		42	%		47	%		45	%
* The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			N/A			N/A			0.00	%4		0.03	%		0.05	%

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.

44

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	11.03		$	10.75		$	11.03		$	10.11		$	9.27		$	10.00
Income (loss) from investment operations:
Net investment income		0.10	2		0.20	2		0.22	2		0.26	2		0.21	2		0.06
Net realized and unrealized gain (loss) on investments		0.56			0.55			0.10			0.88			0.87			(0.74	)
Total from investment operations		0.66			0.75			0.32			1.14			1.08			(0.68	)
Less distributions to shareholders:
From net investment income		(0.13	)		(0.26	)		(0.26	)		(0.22	)		(0.24	)		(0.05	)
From net realized gain on investments		(0.29	)		(0.21	)		(0.34	)		—			—			—
Total distributions to shareholders		(0.42	)		(0.47	)		(0.60	)		(0.22	)		(0.24	)		(0.05	)
Net asset value - End of period	$	11.27		$	11.03		$	10.75		$	11.03		$	10.11		$	9.27
Net assets - End of period (000’s omitted)	$	295,946		$	249,566		$	181,345		$	139,399		$	95,879		$	77
Total return3		6.24	%		7.34	%		3.07	%		11.49	%		11.94	%		(6.81	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.67	%4		0.68	%		0.69	%		0.70	%		0.70	%		0.70	%4
Net investment income		1.75	%4		1.84	%		2.07	%		2.48	%		2.17	%		1.81	%4
Series portfolio turnover		18	%		54	%		25	%		42	%		47	%		45	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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 certain 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.

45

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

	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED						FOR THE PERIOD
	4/30/13 (UNAUDITED)			10/31/12			10/31/11			1/4/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.68		$	10.42		$	10.73		$	10.00
Income from investment operations:
Net investment income2		0.04			0.09			0.11			0.12
Net realized and unrealized gain on investments		0.54			0.55			0.10			0.68
Total from investment operations		0.58			0.64			0.21			0.80
Less distributions to shareholders:
From net investment income		(0.08	)		(0.17	)		(0.18	)		(0.07	)
From net realized gain on investments		(0.29	)		(0.21	)		(0.34	)		—
Total distributions to shareholders		(0.37	)		(0.38	)		(0.52	)		(0.07	)
Net asset value - End of period	$	10.89		$	10.68		$	10.42		$	10.73
Net assets - End of period (000’s omitted)	$	93,196		$	72,239		$	42,898		$	17,514
Total return3		5.61	%		6.42	%		2.06	%		8.03	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.67	%4		1.69	%		1.69	%		1.70	%4
Net investment income		0.75	%4		0.84	%		1.03	%		1.43	%4
Series portfolio turnover		18	%		54	%		25	%		42	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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 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.

46

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED						FOR THE PERIOD 6/30/101 TO 10/31/10
				10/31/12			10/31/11
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.67		$	10.44		$	10.76		$	10.00
Income from investment operations:
Net investment income2		0.07			0.14			0.13			0.05
Net realized and unrealized gain on investments		0.55			0.54			0.13			0.71
Total from investment operations		0.62			0.68			0.26			0.76
Less distributions to shareholders:
From net investment income		(0.11	)		(0.24	)		(0.24	)		—
From net realized gain on investments		(0.29	)		(0.21	)		(0.34	)		—
Total distributions to shareholders		(0.40	)		(0.45	)		(0.58	)		—
Net asset value - End of period	$	10.89		$	10.67		$	10.44		$	10.76
Net assets - End of period (000’s omitted)	$	42,496		$	32,988		$	2,828		$	1
Total return3		5.98	%		6.85	%		2.61	%		7.60	%
Ratios (to average net assets)/Supplemental Data:
Expenses		1.17	%4		1.19	%		1.19	%		1.20	%4
Net investment income		1.24	%4		1.32	%		1.31	%		1.51	%4
Series portfolio turnover		18	%		54	%		25	%		42	%

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.

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

47

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 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 in each class at the beginning of the period and held for the entire period (November 1, 2012 to April 30, 2013).

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 each class in 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 class of 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 for each class in 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                   11/1/12	ENDING  ACCOUNT VALUE                   4/30/13	EXPENSES PAID  DURING PERIOD                   11/1/12-4/30/13*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,081.30	$5.52	1.07%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.49	$5.36	1.07%
Class I
Actual	$1,000.00	$1,082.50	$4.23	0.82%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.73	$4.11	0.82%
Class C
Actual	$1,000.00	$1,077.10	$9.37	1.82%
Hypothetical (5% return before expenses)	$1,000.00	$1,015.77	$9.10	1.82%
Class R
Actual	$1,000.00	$1,079.50	$6.81	1.32%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.25	$6.61	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 181/365 to reflect the one-half year period.

48

Portfolio Composition - Pro-Blend^® Moderate Term Series

As of April 30, 2013 (unaudited)

Sector Allocation3
Financials	18.6%
Consumer Discretionary	9.9%
Information Technology	8.8%
Energy	7.2%
Health Care	6.8%
Materials	4.9%
Industrials	4.5%
Consumer Staples	2.9%
Telecommunication Services	1.9%
Utilities	0.4%
3Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings4
Hess Corp.	2.6%
EMC Corp.	1.8%
Juniper Networks, Inc.	1.1%
Alcoa, Inc.	1.1%
DIRECTV	1.1%
Electronic Arts, Inc.	1.1%
The Walt Disney Co.	1.0%
Monsanto Co.	1.0%
Time Warner, Inc.	1.0%
Viacom, Inc. - Class B	1.0%
4 As a percentage of total investments.

49

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 42.0%
Consumer Discretionary - 7.3%
Auto Components - 0.1%
F.C.C. Co. Ltd. (Japan)1		8,700	$	220,556
Hankook Tire Co. Ltd. (South Korea)1		10,712		466,718
Musashi Seimitsu Industry Co. Ltd. (Japan)1		9,200		222,259
Nissin Kogyo Co. Ltd. (Japan)1		12,500		276,423
				1,185,956
Automobiles - 0.1%
Hyundai Motor Co. (South Korea)1		1,200		217,900
Tesla Motors, Inc.*		13,310		718,607
Toyota Motor Corp. (Japan)1		4,900		284,385
				1,220,892
Distributors - 0.0%**
Inchcape plc (United Kingdom)1		30,980		241,511
Diversified Consumer Services - 0.0%**
Anhanguera Educacional Participacoes S.A. (Brazil)		22,890		411,866
Hotels, Restaurants & Leisure - 0.9%
Accor S.A. (France)1		185,480		6,141,525
Arcos Dorados Holdings, Inc. (Argentina)		10,350		140,967
BJ’s Restaurants, Inc.*		9,100		312,130
Hyatt Hotels Corp. - Class A*		6,010		256,507
InterContinental Hotels Group plc (United Kingdom)1		19,637		580,197
Orient-Express Hotels Ltd. - ADR - Class A*		46,090		465,509
Yum! Brands, Inc.		82,850		5,643,742
				13,540,577
Household Durables - 0.2%
DR Horton, Inc.		25,260		658,781
Lennar Corp. - Class A		20,240		834,293
LG Electronics, Inc. (South Korea)1		5,610		449,658
NVR, Inc.*		330		339,900
Rodobens Negocios Imobiliarios S.A. (Brazil)		36,860		269,898
Toll Brothers, Inc.*		16,510		566,458
				3,118,988
Internet & Catalog Retail - 0.2%
Amazon.com, Inc.*		2,700		685,287
HomeAway, Inc.*		36,930		1,128,212
Ocado Group plc (United Kingdom)*1		246,110		649,901
Shutterfly, Inc.*		21,830		972,090
				3,435,490
Leisure Equipment & Products - 0.0%**
Nikon Corp. (Japan)1		6,600		143,656

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

50

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Media - 5.4%
British Sky Broadcasting Group plc (United Kingdom)1		24,870	$	325,939
DIRECTV*		287,460		16,258,738
Imax Corp. (Canada)*		17,710		452,136
Mediaset Espana Comunicacion S.A. (Spain)*1		119,970		940,332
News Corp. - Class A		276,760		8,571,257
Reed Elsevier plc - ADR (United Kingdom)		4,434		206,713
Societe Television Francaise 1 (France)1		40,510		428,012
Starz - Liberty Capital*		172,640		4,036,323
Time Warner, Inc.		250,150		14,953,967
Valassis Communications, Inc.		22,870		586,158
Viacom, Inc. - Class B		230,350		14,740,097
The Walt Disney Co.		244,780		15,381,975
Wolters Kluwer N.V. (Netherlands)1		16,530		365,785
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		135,390		608,010
				77,855,442
Multiline Retail - 0.1%
Marks & Spencer Group plc (United Kingdom)1		33,630		214,063
PPR (France)1		1,625		357,940
				572,003
Specialty Retail - 0.2%
Aeropostale, Inc.*		22,820		334,541
American Eagle Outfitters, Inc.		11,490		223,481
Belle International Holdings Ltd. (Hong Kong)1		229,900		375,848
Chico’s FAS, Inc.		10,430		190,556
China ZhengTong Auto Services Holdings Ltd.*1		181,000		112,337
Dick’s Sporting Goods, Inc.		11,070		532,467
Group 1 Automotive, Inc.		3,290		198,979
Hennes & Mauritz AB - Class B (Sweden)1		6,690		237,586
Komeri Co. Ltd. (Japan)1		4,800		149,264
Penske Automotive Group, Inc.		6,560		202,835
Rent-A-Center, Inc.		10,320		360,478
Select Comfort Corp.*		4,210		89,336
Sonic Automotive, Inc. - Class A		10,550		231,995
				3,239,703
Textiles, Apparel & Luxury Goods - 0.1%
Adidas AG (Germany)1		4,150		433,954
Burberry Group plc (United Kingdom)1		13,620		283,341

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

51

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Textiles, Apparel & Luxury Goods (continued)
Daphne International Holdings Ltd. (China)1		288,000	$	300,289
Hugo Boss AG (Germany)*1		1,880		219,113
				1,236,697
Total Consumer Discretionary				106,202,781
Consumer Staples - 2.5%
Beverages - 0.2%
C&C Group plc (Ireland)*1		82,070		509,819
Carlsberg A/S - Class B (Denmark)1		5,800		539,216
Cia Cervecerias Unidas S.A. - ADR (Chile)		9,075		313,360
Diageo plc (United Kingdom)1		22,700		693,203
Kirin Holdings Co. Ltd. (Japan)1		30,000		524,969
SABMiller plc (United Kingdom)1		3,710		200,181
Tsingtao Brewery Co. Ltd. - Class H (China)1		66,000		442,703
				3,223,451
Food & Staples Retailing - 0.2%
Carrefour S.A. (France)1		23,260		690,802
Casino Guichard-Perrachon S.A. (France)1		2,420		261,757
Distribuidora Internacional de Alimentacion S.A. (Spain)1		55,640		431,289
The Fresh Market, Inc.*		1,900		77,767
Koninklijke Ahold N.V. (Netherlands)1		11,940		188,619
Tesco plc (United Kingdom)1		182,805		1,039,792
Whole Foods Market, Inc.		2,310		204,019
				2,894,045
Food Products - 1.9%
Annie’s, Inc.*		1,470		55,551
Barry Callebaut AG (Switzerland)1		370		361,491
Biostime International Holdings Ltd. (China)1		41,500		239,463
Charoen Pokphand Foods PCL (Thailand)1		482,180		522,001
Danone S.A. (France)1		11,190		853,441
Glanbia plc (Ireland)*1		8,820		117,897
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		138,570		451,351
Kraft Foods Group, Inc.		82,953		4,271,250
M Dias Branco S.A. (Brazil)		5,100		228,088
Mondelez International, Inc. - Class A		249,660		7,851,807
Unilever plc - ADR (United Kingdom)		302,529		13,105,556
				28,057,896
Personal Products - 0.1%
Beiersdorf AG (Germany)1		3,150		285,334
Kao Corp. (Japan)1		10,300		356,154

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

52

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Personal Products (continued)
Natura Cosmeticos S.A. (Brazil)		9,100	$	228,051
				869,539
Tobacco - 0.1%
Gudang Garam Tbk PT (Indonesia)1		38,000		193,316
Swedish Match AB (Sweden)1		12,920		448,201
				641,517
Total Consumer Staples				35,686,448
Energy - 5.8%
Energy Equipment & Services - 2.1%
Baker Hughes, Inc.		200,290		9,091,163
Bourbon S.A. (France)1		1,950		53,247
Calfrac Well Services Ltd. (Canada)		17,630		447,815
CARBO Ceramics, Inc.		970		68,531
Cie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		8,858		191,622
Gulfmark Offshore, Inc. - Class A		2,680		111,542
Hornbeck Offshore Services, Inc.*		2,900		130,268
ION Geophysical Corp.*		32,500		202,800
Key Energy Services, Inc.*		12,140		72,112
National Oilwell Varco, Inc.		1,250		81,525
Petroleum Geo-Services ASA (Norway)1		16,200		238,017
Schlumberger Ltd.		147,015		10,942,326
SPT Energy Group, Inc. (China)1		114,000		55,726
Trican Well Service Ltd. (Canada)		40,240		525,642
Weatherford International Ltd. - ADR*		627,720		8,028,539
				30,240,875
Oil, Gas & Consumable Fuels - 3.7%
Apache Corp.		35,870		2,650,076
Cameco Corp. (Canada)		18,770		366,203
Cloud Peak Energy, Inc.*		22,330		436,328
Encana Corp. (Canada)		25,570		471,767
EOG Resources, Inc.		31,850		3,858,946
Hess Corp.		538,740		38,886,253
Pacific Rubiales Energy Corp. (Colombia)		12,470		263,647
Paladin Energy Ltd. (Australia)*2		215,400		173,184
Range Resources Corp.		81,210		5,970,559
Royal Dutch Shell plc - Class B (Netherlands)1		6,202		217,550
Royal Dutch Shell plc - Class B - ADR (Netherlands)		6,790		473,874
Statoil ASA (Norway)1		12,290		300,876
Talisman Energy, Inc. (Canada)		39,250		470,634
				54,539,897
Total Energy				84,780,772

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

53

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials - 4.9%
Commercial Banks - 0.1%
Cathay General Bancorp.		15,050	$	296,635
Hong Leong Financial Group Berhad (Malaysia)1		117,900		600,641
HSBC Holdings plc (United Kingdom)1		32,900		360,320
ICICI Bank Ltd. - ADR (India)		7,650		358,173
Sumitomo Mitsui Trust Holdings, Inc. (Japan)1		106,000		532,704
				2,148,473
Consumer Finance - 0.6%
American Express Co.		118,500		8,106,585
DFC Global Corp.*		16,140		217,890
				8,324,475
Diversified Financial Services - 1.0%
JSE Ltd. (South Africa)1		197,380		1,687,084
MarketAxess Holdings, Inc.		16,050		679,236
The McGraw-Hill Companies, Inc.		209,200		11,319,812
MSCI, Inc.*		19,820		675,862
				14,361,994
Insurance - 0.4%
Admiral Group plc (United Kingdom)1		63,540		1,265,715
Allianz SE (Germany)1		7,010		1,036,923
AXA S.A. (France)1		11,080		207,491
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		131,700		1,398,130
Mapfre S.A. (Spain)1		204,600		749,361
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		3,525		706,080
Zurich Insurance Group AG (Switzerland)1		1,580		441,518
				5,805,218
Real Estate Investment Trusts (REITS) - 2.8%
Agree Realty Corp.		20,700		622,449
Alexandria Real Estate Equities, Inc.		25,340		1,843,992
Alstria Office REIT AG (Germany)1		38,200		462,829
American Assets Trust, Inc.		12,960		437,530
American Campus Communities, Inc.		14,830		662,011
Apartment Investment & Management Co. - Class A		14,110		438,962
Associated Estates Realty Corp.		30,940		552,898
AvalonBay Communities, Inc.		3,230		429,719
BioMed Realty Trust, Inc.		161,140		3,627,262
Boston Properties, Inc.		8,650		946,569
Camden Property Trust		6,420		464,423
Cedar Realty Trust, Inc.		97,860		627,283
Coresite Realty Corp.		24,760		895,817
Corporate Office Properties Trust		118,450		3,433,865

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

54

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
CubeSmart		30,510	$	536,061
Digital Realty Trust, Inc.		48,190		3,398,359
DuPont Fabros Technology, Inc.		141,380		3,554,293
Education Realty Trust, Inc.		32,910		361,681
Equity Lifestyle Properties, Inc.		5,200		422,500
Equity One, Inc.		18,930		482,526
Equity Residential		7,740		449,385
General Growth Properties, Inc.		30,160		685,235
HCP, Inc.		17,310		922,623
Health Care REIT, Inc.		17,790		1,333,716
Healthcare Realty Trust, Inc.		10,040		301,401
Healthcare Trust of America, Inc.*		43,230		539,511
Home Properties, Inc.		10,250		660,715
Host Hotels & Resorts, Inc.		53,994		986,470
Kimco Realty Corp.		37,820		899,360
Land Securities Group plc (United Kingdom)1		31,610		429,412
The Macerich Co.		4,210		294,911
Mack-Cali Realty Corp.		22,970		637,877
Mid-America Apartment Communities, Inc.		9,110		626,130
National Retail Properties, Inc.		15,760		625,357
Pebblebrook Hotel Trust		49,230		1,337,087
Potlatch Corp.		3,130		148,205
Public Storage		2,630		433,950
Realty Income Corp.		6,480		330,286
Simon Property Group, Inc.		9,630		1,714,814
Sovran Self Storage, Inc.		12,950		888,370
Tanger Factory Outlet Centers		6,410		237,939
Taubman Centers, Inc.		3,490		298,430
UDR, Inc.		29,900		734,942
Unibail-Rodamco SE (France)1		1,410		368,595
Vornado Realty Trust		1,490		130,464
				40,216,214
Real Estate Management & Development - 0.0%**
General Shopping Brasil S.A. (Brazil)*		109,330		672,127
Thrifts & Mortgage Finance - 0.0%**
Aareal Bank AG (Germany)*1		8,370		201,724
Total Financials				71,730,225
Health Care - 5.9%
Biotechnology - 0.4%
Green Cross Corp. - Rights (South Korea)*1		916		26,207
Green Cross Corp. (South Korea)1		11,580		1,589,844
Incyte Corp. Ltd.*		25,490		564,604
Myriad Genetics, Inc.*		72,740		2,025,809

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

55

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Biotechnology (continued)
Protalix BioTherapeutics, Inc.*		95,650	$	542,335
Seattle Genetics, Inc.*		31,620		1,168,359
				5,917,158
Health Care Equipment & Supplies - 1.7%
Alere, Inc.*		73,400		1,884,912
Becton, Dickinson and Co.		85,380		8,051,334
BioMerieux (France)1		10,240		973,523
Carl Zeiss Meditec AG (Germany)1		12,060		369,684
The Cooper Companies, Inc.		8,780		969,312
DexCom, Inc.*		118,300		1,941,303
GN Store Nord A/S (Denmark)1		39,500		722,427
HeartWare International, Inc.*		9,220		896,184
Insulet Corp.*		73,270		1,849,335
Mindray Medical International Ltd. - ADR (China)		29,600		1,168,904
Neogen Corp.*		7,610		386,816
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		1,394,700		1,343,524
Sirona Dental Systems, Inc.*		15,040		1,106,042
Sonova Holding AG (Switzerland)1		11,480		1,250,610
Straumann Holding AG (Switzerland)1		5,370		704,953
Thoratec Corp.*		22,580		817,396
Volcano Corp.*		21,790		442,119
				24,878,378
Health Care Providers & Services - 0.1%
Life Healthcare Group Holdings Ltd. (South Africa)1		19,899		84,067
Odontoprev S.A. (Brazil)		37,730		188,202
Qualicorp S.A. (Brazil)*		87,570		852,174
Sonic Healthcare Ltd. (Australia)1		80,860		1,111,299
				2,235,742
Health Care Technology - 1.1%
Cerner Corp.*		149,438		14,461,115
Greenway Medical Technologies, Inc.*		81,290		1,094,976
				15,556,091
Life Sciences Tools & Services - 0.5%
Gerresheimer AG (Germany)1		3,210		183,414
Lonza Group AG (Switzerland)1		18,320		1,276,575
QIAGEN N.V. (Netherlands)*1		7,640		151,442
QIAGEN N.V. - ADR (Netherlands)*		277,450		5,515,706
				7,127,137
Pharmaceuticals - 2.1%
AstraZeneca plc (United Kingdom)1		1,890		98,131
AstraZeneca plc - ADR (United Kingdom)		11,950		620,444

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

56

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Pharmaceuticals (continued)
Bayer AG (Germany)1		9,575	$	1,001,033
GlaxoSmithKline plc (United Kingdom)1		12,270		316,584
Johnson & Johnson		146,920		12,521,992
Novo Nordisk A/S - Class B (Denmark)1		74,630		13,136,733
Shire plc (Ireland)1		16,965		528,833
Takeda Pharmaceutical Co. Ltd. (Japan)1		2,400		131,764
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		7,240		277,220
UCB S.A. (Belgium)1		12,340		728,286
ViroPharma, Inc.*		24,200		659,450
				30,020,470
Total Health Care				85,734,976
Industrials - 2.9%
Airlines - 0.7%
Ryanair Holdings plc - ADR (Ireland)		11,310		490,175
Southwest Airlines Co.		568,715		7,791,395
Spirit Airlines, Inc.*		25,850		690,195
US Airways Group, Inc.*		48,980		827,762
				9,799,527
Commercial Services & Supplies - 0.0%**
Aggreko plc (United Kingdom)1		9,720		269,444
Interface, Inc.		6,660		111,488
Tomra Systems ASA (Norway)1		49,750		465,880
				846,812
Electrical Equipment - 0.2%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		17,600		397,232
Alstom S.A. (France)1		15,620		641,485
Nexans S.A. (France)1		2,630		120,849
Polypore International, Inc.*		17,960		753,063
Prysmian S.p.A. (Italy)1		6,220		125,548
Schneider Electric S.A. (France)1		3,960		301,897
				2,340,074
Industrial Conglomerates - 0.1%
Siemens AG (Germany)1		16,600		1,734,485
Machinery - 1.2%
AGCO Corp.		4,370		232,703
Astec Industries, Inc.		2,450		80,433
FANUC Corp. (Japan)1		7,400		1,117,046
Graham Corp.		4,560		110,808
Joy Global, Inc.		101,560		5,740,171
Kennametal, Inc.		5,760		230,343

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

57

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Machinery (continued)
KUKA AG (Germany)*1		2,930	$	132,654
Pall Corp		116,030		7,740,361
Pentair Ltd. - ADR		6,900		375,015
Titan International, Inc		11,250		250,987
Turk Traktor ve Ziraat Makineleri AS (Turkey)1		20,300		768,264
Wabash National Corp.*		43,950		414,449
Westport Innovations, Inc. - ADR (Canada)*		29,170		906,312
Xylem, Inc		7,580		210,345
				18,309,891
Marine - 0.1%
Baltic Trading Ltd		30,380		105,419
D/S Norden A/S (Denmark)1		6,410		198,416
Diana Shipping, Inc. - ADR (Greece)*		4,820		45,742
Mitsui OSK Lines Ltd. (Japan)*1		29,000		120,766
Nippon Yusen Kabushiki Kaisha (Japan)1		37,000		96,591
Pacific Basin Shipping Ltd. (Hong Kong)1		89,000		50,912
Precious Shipping PCL (Thailand)1		276,900		168,159
Sinotrans Shipping Ltd. (China)1		1,078,000		264,339
				1,050,344
Professional Services - 0.4%
Adecco S.A. (Switzerland)1		97,650		5,223,178
ALS Ltd. (Australia)1		18,990		193,033
Experian plc (United Kingdom)1		20,290		356,997
				5,773,208
Trading Companies & Distributors - 0.1%
Brenntag AG (Germany)1		2,380		406,412
Fastenal Co		3,700		181,485
Mills Estruturas e Servicos de Engenharia S.A. (Brazil)		26,800		440,427
MSC Industrial Direct Co., Inc. - Class A		1,060		83,528
				1,111,852
Transportation Infrastructure - 0.1%
Groupe Eurotunnel S.A. (France)1		74,880		627,362
Koninklijke Vopak N.V. (Netherlands)1		2,800		155,057
Malaysia Airports Holdings Berhad (Malaysia)1		425,420		841,751
				1,624,170
Total Industrials				42,590,363
Information Technology - 8.2%
Communications Equipment - 2.1%
Alcatel-Lucent - ADR (France)*		247,200		338,664

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

58

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Communications Equipment (continued)
Infinera Corp.*		121,920	$	1,026,566
Juniper Networks, Inc.*		1,030,200		17,049,810
Polycom, Inc.*		59,190		621,495
Qualcomm, Inc.		182,390		11,238,872
Riverbed Technology, Inc.*		62,330		926,224
				31,201,631
Computers & Peripherals - 1.9%
3D Systems Corp.*		1,275		48,756
Apple, Inc.		1,560		690,690
EMC Corp.*		1,163,140		26,089,230
Fusion-io, Inc.*		5,340		100,285
Stratasys Ltd.*		610		50,661
				26,979,622
Electronic Equipment, Instruments & Components - 0.2%
Hitachi Ltd. (Japan)1		177,000		1,131,179
Keyence Corp. (Japan)1		1,123		356,380
Rofin-Sinar Technologies, Inc.*		36,580		910,842
				2,398,401
Internet Software & Services - 1.4%
Google, Inc. - Class A*		17,706		14,599,837
LinkedIn Corp. - Class A*		6,030		1,158,303
Liquidity Services, Inc.*		29,790		980,091
LogMeIn, Inc.*		59,910		1,352,768
NHN Corp. (South Korea)1		2,380		641,854
SciQuest, Inc.*		25,980		593,903
Tencent Holdings Ltd. (China)1		29,300		1,010,799
				20,337,555
IT Services - 0.7%
Amdocs Ltd. - ADR		32,860		1,173,102
Cap Gemini S.A. (France)1		13,150		606,296
InterXion Holding NV - ADR (Netherlands)*		9,640		241,289
VeriFone Systems, Inc.*		315,690		6,781,021
Wirecard AG (Germany)1		47,100		1,266,105
				10,067,813
Office Electronics - 0.0%**
Canon, Inc. (Japan)1		5,100		183,419
Semiconductors & Semiconductor Equipment - 0.1%
Samsung Electronics Co. Ltd. (South Korea)1		590		815,982
Skyworks Solutions, Inc.*		29,930		660,555
Sumco Corp. (Japan)1		3,800		39,888

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

59

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Semiconductors & Semiconductor Equipment (continued)
Tokyo Electron Ltd. (Japan)1		12,160	$	622,400
				2,138,825
Software - 1.8%
Aspen Technology, Inc.*		1,840		56,083
Autodesk, Inc.*		157,870		6,216,921
Aveva Group plc (United Kingdom)1		5,580		192,614
Electronic Arts, Inc.*		915,950		16,129,879
MICROS Systems, Inc.*		14,840		629,364
RealPage, Inc.*		40,390		823,956
SAP AG (Germany)1		12,350		984,566
Temenos Group AG (Switzerland)*1		16,430		388,562
				25,421,945
Total Information Technology				118,729,211
Materials - 3.3%
Chemicals - 2.1%
Air Products & Chemicals, Inc		58,630		5,098,465
BASF SE (Germany)1		4,890		457,766
Flotek Industries, Inc.*		9,940		159,438
Johnson Matthey plc (United Kingdom)1		12,722		479,908
Linde AG (Germany)1		4,880		923,997
Monsanto Co		140,370		14,994,323
Shin-Etsu Chemical Co. Ltd. (Japan)1		1,300		87,636
Syngenta AG (Switzerland)1		16,470		7,041,244
Tronox Ltd. - Class A		11,320		232,513
Umicore S.A. (Belgium)1		6,430		298,006
Yingde Gases (China)1		184,000		177,437
				29,950,733
Construction Materials - 0.0%**
CRH plc (Ireland)1		15,580		335,171
Holcim Ltd. (Switzerland)1		2,850		222,314
				557,485
Metals & Mining - 1.2%
Alcoa, Inc		2,004,090		17,034,765
Alumina Ltd. (Australia)*1		276,240		276,238
Impala Platinum Holdings Ltd. (South Africa)1		9,660		132,385
Noranda Aluminum Holding Corp		49,480		188,519
Norsk Hydro ASA (Norway)1		37,570		176,940
				17,808,847
Total Materials.				48,317,065

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

60

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Telecommunication Services - 1.1%
Diversified Telecommunication Services - 1.0%
Swisscom AG - ADR (Switzerland)3		7,815	$	367,852
Telefonica S.A. - ADR (Spain)		37,580		547,541
Telenor ASA (Norway)1		568,630		12,814,045
Telenor ASA - ADR (Norway)3		9,580		645,979
Vivendi S.A. (France)1		5,880		133,193
				14,508,610
Wireless Telecommunication Services - 0.1%
MTN Group Ltd. (South Africa)1		10,810		195,077
SK Telecom Co. Ltd. - ADR (South Korea)		48,180		939,028
				1,134,105
Total Telecommunication Services				15,642,715
Utilities - 0.1%
Independent Power Producers & Energy Traders - 0.1%
Dynegy, Inc.*		21,980		543,126
Multi-Utilities - 0.0%**
GDF Suez (France)1		3,795		81,366
Water Utilities - 0.0%**
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		13,330		307,141
Total Utilities				931,633
TOTAL COMMON STOCKS
(Identified Cost $515,965,306)				610,346,189
PREFERRED STOCKS - 0.5%
Financials - 0.5%
Commercial Banks - 0.2%
BB&T Corp., Series D (non-cumulative), 5.85%		44,000		1,164,240
PNC Financial Services Group, Inc., Series Q (non-cumulative), 5.375%		47,175		1,211,926
U.S. Bancorp., Series F (non-cumulative), 6.50%4		29,800		892,808
				3,268,974
Diversified Financial Services - 0.1%
JPMorgan Chase & Co., Series P (non-cumulative), 5.45%		49,000		1,237,250
Real Estate Investment Trusts (REITS) - 0.2%
Boston Properties, Inc., Series F, 5.25%		49,000		1,247,540
Public Storage, Series Q, 6.50%		37,110		1,022,009
				2,269,549
TOTAL PREFERRED STOCKS
(Identified Cost $6,389,079)				6,775,773

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

61

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL     AMOUNT5		VALUE     (NOTE 2)
CORPORATE BONDS - 25.0%
Convertible Corporate Bonds - 0.2%
Financials - 0.1%
Real Estate Investment Trusts (REITS) - 0.1%
BioMed Realty LP6, 3.75%, 1/15/2030		825,000	$	1,078,172
Health Care - 0.0%**
Health Care Equipment & Supplies - 0.0%**
Alere, Inc., 3.00%, 5/15/2016		330,000		327,113
Information Technology - 0.0%**
Computers & Peripherals - 0.0%**
EMC Corp., Series B, 1.75%, 12/1/2013		215,000		302,881
Materials - 0.1%
Containers & Packaging - 0.1%
Owens-Brockway Glass Container, Inc.6, 3.00%, 6/1/2015		945,000		956,812
Total Convertible Corporate Bonds
(Identified Cost $2,454,704)				2,664,978
Non-Convertible Corporate Bonds - 24.8%
Consumer Discretionary - 2.8%
Auto Components - 0.0%**
UCI International, Inc., 8.625%, 2/15/2019		555,000		583,444
Hotels, Restaurants & Leisure - 0.5%
Choice Hotels International, Inc., 5.70%, 8/28/2020		640,000		707,200
International Game Technology, 7.50%, 6/15/2019		4,255,000		5,104,762
Yum! Brands, Inc., 3.875%, 11/1/2020		1,100,000		1,187,550
				6,999,512
Household Durables - 0.5%
Newell Rubbermaid, Inc., 4.70%, 8/15/2020		1,855,000		2,088,945
NVR, Inc., 3.95%, 9/15/2022		528,000		551,654
Tupperware Brands Corp., 4.75%, 6/1/2021		3,995,000		4,287,710
Weekley Homes LLC - Weekley Finance Corp.6, 6.00%, 2/1/2023		550,000		570,625
				7,498,934
Internet & Catalog Retail - 0.0%**
Netflix, Inc.6 , 5.375%, 2/1/2021		550,000		566,500
Media - 1.1%
CCO Holdings LLC - CCO Holdings Capital Corp.6, 5.25%, 3/15/2021		865,000		886,625
Comcast Corp., 5.15%, 3/1/2020		320,000		387,090
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		2,115,000		2,463,766
Discovery Communications LLC, 5.05%, 6/1/2020		2,015,000		2,364,220

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

62

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL     AMOUNT5		VALUE     (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Media (continued)
Nara Cable Funding Ltd. (Spain)6, 8.875%, 12/1/2018		680,000	$	727,600
NBCUniversal Media LLC, 5.15%, 4/30/2020		2,155,000		2,610,733
Sirius XM Radio, Inc.6, 8.75%, 4/1/2015		485,000		543,200
Sirius XM Radio, Inc.6, 5.25%, 8/15/2022		545,000		562,713
Time Warner, Inc., 3.15%, 7/15/2015		125,000		131,305
Time Warner, Inc., 4.875%, 3/15/2020		1,200,000		1,397,278
Time Warner, Inc., 4.75%, 3/29/2021		1,610,000		1,868,988
Unitymedia Hessen GmbH & Co. KG - Unitymedia NRW GmbH (Germany)6, 5.50%, 1/15/2023		565,000		584,775
Virgin Media Finance plc (United Kingdom), 4.875%, 2/15/2022		540,000		550,800
Virgin Media Secured Finance plc (United Kingdom), 5.25%, 1/15/2021		545,000		587,299
				15,666,392
Multiline Retail - 0.1%
Target Corp., 6.00%, 1/15/2018		910,000		1,113,778
Specialty Retail - 0.5%
Advance Auto Parts, Inc., 4.50%, 1/15/2022		1,955,000		2,020,934
Dufry Finance SCA (Switzerland)6, 5.50%, 10/15/2020		520,000		542,593
The Home Depot, Inc., 5.40%, 3/1/2016		1,615,000		1,824,813
Lowe’s Companies, Inc., 6.10%, 9/15/2017		620,000		745,982
O’Reilly Automotive, Inc., 4.875%, 1/14/2021		920,000		1,035,990
Rent-A-Center, Inc., 6.625%, 11/15/2020		750,000		821,250
				6,991,562
Textiles, Apparel & Luxury Goods - 0.1%
Jones Group, Inc. - Apparel Group Holdings - Apparel Group USA - Footwear Accessories Retail, 6.875%, 3/15/2019		530,000		573,725
VF Corp., 5.95%, 11/1/2017		640,000		764,011
				1,337,736
Total Consumer Discretionary				40,757,858
Consumer Staples - 0.5%
Beverages - 0.1%
Beam, Inc., 5.375%, 1/15/2016		234,000		259,293
Constellation Brands, Inc., 7.25%, 9/1/2016		565,000		649,750

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

63

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Staples (continued)
Beverages (continued)
Constellation Brands, Inc., 7.25%, 5/15/2017		445,000	$	518,425
PepsiCo, Inc., 7.90%, 11/1/2018		187,000		249,218
				1,676,686
Food Products - 0.3%
C&S Group Enterprises LLC6, 8.375%, 5/1/2017		684,000		735,300
Kraft Foods Group, Inc., 6.125%, 8/23/2018		702,000		855,829
Land O’ Lakes, Inc.6, 6.00%, 11/15/2022.		515,000		554,269
Mondelez International, Inc., 6.125%, 2/1/2018		303,000		363,581
Shearer’s Foods LLC - Chip Finance Corp.6, 9.00%, 11/1/2019		540,000		600,750
Tyson Foods, Inc., 4.50%, 6/15/2022		1,095,000		1,209,033
Wells Enterprises, Inc.6, 6.75%, 2/1/2020		540,000		585,900
				4,904,662
Tobacco - 0.1%
Vector Group Ltd.6, 7.75%, 2/15/2021		870,000		928,725
Total Consumer Staples				7,510,073
Energy - 1.6%
Energy Equipment & Services - 0.9%
Baker Hughes, Inc., 7.50%, 11/15/2018.		1,215,000		1,595,560
Calfrac Holdings LP (Canada)6, 7.50%, 12/1/2020		1,105,000		1,138,150
Petroleum Geo-Services ASA (Norway)6, 7.375%, 12/15/2018		530,000		589,625
Schlumberger Oilfield plc6, 4.20%, 1/15/2021		905,000		1,033,570
SESI LLC, 6.375%, 5/1/2019		565,000		613,025
Shelf Drilling Holdings Ltd. (United Arab Emirates)6, 8.625%, 11/1/2018		540,000		577,800
Sidewinder Drilling, Inc.6, 9.75%, 11/15/2019.		540,000		560,250
Thermon Industries, Inc., 9.50%, 5/1/2017		481,000		545,213
Weatherford International Ltd., 9.625%, 3/1/2019		4,175,000		5,520,490
				12,173,683
Oil, Gas & Consumable Fuels - 0.7%
Chesapeake Oilfield Operating LLC - Chesapeake Oilfield Finance, Inc.6, 7.125%, 11/15/2019		1,130,000		1,163,900
CVR Refining LLC - Coffeyville Finance, Inc.6, 6.50%, 11/1/2022		545,000		561,350

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

64

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES		PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
EOG Resources, Inc., 2.625%, 3/15/2023			1,115,000	$	1,121,751
EPL Oil & Gas, Inc.6, 8.25%, 2/15/2018			650,000		698,750
Gulfport Energy Corp.6, 7.75%, 11/1/2020			815,000		878,163
Lukoil International Finance B.V. (Russia)6, 3.416%, 4/24/2018			735,000		748,230
Northern Tier Energy LLC - Northern Tier Finance Corp.6, 7.125%, 11/15/2020.			535,000		569,775
PBF Holding Co. LLC - PBF Finance Corp., 8.25%, 2/15/2020			510,000		576,300
Petrobras International Finance Co. (Brazil), 5.375%, 1/27/2021			3,125,000		3,450,834
Sabine Pass Liquefaction LLC6, 5.625%, 2/1/2021			820,000		848,700
					10,617,753
Total Energy					22,791,436
Financials - 13.6%
Capital Markets - 3.1%
BNP Paribas Home Loan Covered Bonds S.A. (France), 4.50%, 5/30/2014	EUR		300,000		413,028
BNP Paribas Home Loan Covered Bonds S.A. (France)6, 2.20%, 11/2/2015			4,045,000		4,187,789
BNP Paribas Home Loan Covered Bonds S.A. (France), 3.75%, 4/20/2020	EUR		300,000		461,704
The Charles Schwab Corp., 4.45%, 7/22/2020			4,740,000		5,497,935
Credit Suisse AG (Switzerland)6, 2.60%, 5/27/2016			5,710,000		6,033,569
Goldman Sachs Capital I, 6.345%, 2/15/2034			795,000		836,768
Goldman Sachs Capital II7 , 4.00%, 6/1/2043			1,215,000		1,036,395
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018			2,510,000		2,965,490
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020			4,285,000		4,999,562
The Goldman Sachs Group, Inc., 5.25%, 7/27/2021			125,000		144,933
Jefferies Finance LLC - JFIN Co-Issuer Corp.6, 7.375%, 4/1/2020			870,000		904,800
Jefferies Group, Inc., 8.50%, 7/15/2019			2,900,000		3,681,675
Jefferies Group, Inc., 5.125%, 1/20/2023			2,100,000		2,278,800
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018			1,030,000		1,252,165
Morgan Stanley, 5.55%, 4/27/2017			687,000		775,486

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

65

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES		PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Capital Markets (continued)
Morgan Stanley, 7.30%, 5/13/2019			940,000	$	1,177,378
Morgan Stanley, 5.50%, 1/26/2020			4,255,000		4,950,850
Morgan Stanley, 5.75%, 1/25/2021			2,965,000		3,529,156
					45,127,483
Commercial Banks - 4.3%
Banco Santander S.A. (Spain), 3.875%, 2/6/2026	EUR		200,000		275,865
Bank of Montreal (Canada)6, 2.625%, 1/25/2016			2,730,000		2,881,515
Bank of Montreal (Canada)6, 1.95%, 1/30/2017			6,730,000		7,022,082
Bank of Nova Scotia (Canada)6, 1.65%, 10/29/2015			4,045,000		4,156,237
Barclays Bank plc (United Kingdom)6, 2.50%, 9/21/2015			4,045,000		4,207,876
Barclays Bank plc (United Kingdom), 4.25%, 1/12/2022	GBP		495,000		893,991
Canadian Imperial Bank of Commerce (Canada)6, 2.75%, 1/27/2016			2,000,000		2,118,000
Commonwealth Bank of Australia (Australia)6, 0.75%, 1/15/2016			1,685,000		1,688,539
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017	AUD		390,000		435,284
Intesa Sanpaolo S.p.A. (Italy), 3.125%, 1/15/2016			1,385,000		1,384,497
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021			1,425,000		1,550,913
KeyBank National Association, 5.45%, 3/3/2016			1,340,000		1,498,644
Manufacturers & Traders Trust Co., 6.625%, 12/4/2017			2,050,000		2,483,694
National Australia Bank, Ltd. (Australia)6, 1.25%, 3/8/2018			1,975,000		1,986,287
National Bank of Canada (Canada)6, 2.20%, 10/19/2016			4,650,000		4,886,220
National City Corp., 6.875%, 5/15/2019.			2,485,000		3,093,800
Pfandbriefbank der schweizerischen Hypothekarinstitute AG (Switzerland), 2.25%, 9/2/2016	CHF		385,000		441,976
PNC Bank National Association, 5.25%, 1/15/2017			545,000		617,689
Royal Bank of Canada (Canada), 3.27%, 11/10/2014	CAD		295,000		301,383
Royal Bank of Canada (Canada), 3.18%, 3/16/2015	CAD		470,000		481,929
Royal Bank of Canada (Canada)6, 3.125%, 4/14/2015			5,215,000		5,478,357
Royal Bank of Canada (Canada), 1.20%, 9/19/2017			1,790,000		1,807,005
Royal Bank of Canada (Canada), 3.77%, 3/30/2018	CAD		450,000		485,001
Santander Holdings USA, Inc., 4.625%, 4/19/2016			365,000		391,864

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

66

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES		PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Commercial Banks (continued)
The Toronto-Dominion Bank (Canada)6, 2.20%, 7/29/2015			4,045,000	$	4,199,519
The Toronto-Dominion Bank (Canada)6, 1.625%, 9/14/2016			2,300,000		2,371,300
Wachovia Corp., 5.25%, 8/1/2014			1,300,000		1,372,461
Wells Fargo & Co., Series M, 3.45%, 2/13/2023			1,365,000		1,392,835
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017	AUD		400,000		446,762
Westpac Banking Corp. (Australia)6, 1.25%, 12/15/2017			1,625,000		1,634,620
					61,986,145
Consumer Finance - 1.0%
American Express Co., 2.65%, 12/2/2022			6,464,000		6,477,536
American Express Co.7 , 6.80%, 9/1/2066			950,000		1,039,063
Caterpillar Financial Services Corp., 7.05%, 10/1/2018			1,500,000		1,925,877
Caterpillar Financial Services Corp., 7.15%, 2/15/2019			295,000		382,095
Credit Acceptance Corp., 9.125%, 2/1/2017			520,000		566,800
General Motors Financial Co., Inc.6, 4.75%, 8/15/2017			820,000		865,100
John Deere Capital Corp., 5.50%, 4/13/2017			120,000		140,032
John Deere Capital Corp., 5.75%, 9/10/2018			2,055,000		2,505,170
					13,901,673
Diversified Financial Services - 2.0%
Bank of America Corp., 5.75%, 8/15/2016			1,135,000		1,265,810
Bank of America Corp., 3.30%, 1/11/2023			610,000		617,826
The Bear Stearns Companies LLC, 7.25%, 2/1/2018			85,000		105,850
Citigroup, Inc., 8.50%, 5/22/2019			5,344,000		7,188,808
Citigroup, Inc., 4.05%, 7/30/2022			1,355,000		1,408,474
CME Group, Inc., 3.00%, 9/15/2022			2,480,000		2,533,933
CNG Holdings, Inc.6, 9.375%, 5/15/2020			910,000		900,900
CNH Capital LLC, 6.25%, 11/1/2016			500,000		553,750
General Electric Capital Corp., 5.625%, 5/1/2018			500,000		594,697
General Electric Capital Corp., 5.50%, 1/8/2020			4,985,000		5,993,102
ING US, Inc. (Netherlands)6, 2.90%, 2/15/2018			85,000		86,993
ING US, Inc. (Netherlands)6, 5.50%, 7/15/2022			1,165,000		1,324,756

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

67

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		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		4,040,000	$	4,700,689
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.6, 7.375%, 10/1/2017		530,000		550,537
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.6, 8.875%, 8/1/2020		985,000		1,039,175
				28,865,300
Insurance - 1.1%
American International Group, Inc., 4.875%, 6/1/2022		3,705,000		4,267,693
Fidelity National Financial, Inc., 6.60%, 5/15/2017		1,985,000		2,260,367
First American Financial Corp., 4.30%, 2/1/2023		1,650,000		1,740,664
Genworth Holdings, Inc., 7.625%, 9/24/2021		3,410,000		4,276,696
Genworth Holdings, Inc.7, 6.15%, 11/15/2066		595,000		561,531
Hartford Financial Services Group, Inc., 5.125%, 4/15/2022		3,120,000		3,697,500
				16,804,451
Real Estate Investment Trusts (REITS) - 2.1%
American Campus Communities Operating Partnership LP, 3.75%, 4/15/2023		665,000		698,408
BioMed Realty LP, 3.85%, 4/15/2016		950,000		1,009,705
Boston Properties LP, 5.875%, 10/15/2019		1,415,000		1,722,477
Boston Properties LP, 5.625%, 11/15/2020		410,000		496,693
Camden Property Trust, 5.70%, 5/15/2017		705,000		809,188
Corrections Corp. of America6, 4.125%, 4/1/2020		870,000		898,275
Digital Realty Trust LP, 5.875%, 2/1/2020		4,950,000		5,788,154
HCP, Inc., 6.70%, 1/30/2018		3,675,000		4,478,939
Health Care REIT, Inc., 6.20%, 6/1/2016		3,640,000		4,175,408
Health Care REIT, Inc., 4.95%, 1/15/2021		330,000		374,543
Host Hotels & Resorts LP, Series D, 3.75%, 10/15/2023		1,505,000		1,535,100
Mack-Cali Realty LP, 7.75%, 8/15/2019		890,000		1,137,554
National Retail Properties, Inc., 3.30%, 4/15/2023		1,280,000		1,280,524
Simon Property Group LP, 10.35%, 4/1/2019		1,315,000		1,912,512
Simon Property Group LP, 5.65%, 2/1/2020		1,795,000		2,194,346

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

68

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
UDR, Inc., 4.625%, 1/10/2022		1,980,000	$	2,230,017
				30,741,843
Total Financials				197,426,895
Health Care - 1.0%
Biotechnology - 0.4%
Amgen, Inc., 3.45%, 10/1/2020		4,750,000		5,148,853
Health Care Equipment & Supplies - 0.2%
Alere, Inc.6, 7.25%, 7/1/2018		540,000		581,850
CR Bard, Inc., 4.40%, 1/15/2021		905,000		1,023,038
Fresenius Medical Care US Finance, Inc. (Germany), 6.875%, 7/15/2017		635,000		733,425
Fresenius Medical Care US Finance, Inc. (Germany)6, 6.50%, 9/15/2018		315,000		364,613
Fresenius US Finance II, Inc.6, 9.00%, 7/15/2015		605,000		697,262
				3,400,188
Health Care Providers & Services - 0.3%
Express Scripts Holding Co., 4.75%, 11/15/2021.		1,250,000		1,444,645
Health Management Associates, Inc., 6.125%, 4/15/2016		730,000		804,825
UnitedHealth Group, Inc., 4.70%, 2/15/2021		1,450,000		1,688,236
				3,937,706
Pharmaceuticals - 0.1%
Novartis Securities Investment Ltd. (Switzerland), 5.125%, 2/10/2019		1,275,000		1,527,317
Valeant Pharmaceuticals International (Canada)6, 6.75%, 8/15/2021		535,000		591,175
				2,118,492
Total Health Care				14,605,239
Industrials - 1.7%
Aerospace & Defense - 0.4%
The Boeing Co., 6.00%, 3/15/2019		1,185,000		1,465,503
Bombardier, Inc. (Canada)6, 4.25%, 1/15/2016		545,000		568,844
Bombardier, Inc. (Canada)6, 6.125%, 1/15/2023		540,000		583,875
DigitalGlobe, Inc.6, 5.25%, 2/1/2021		545,000		550,450
Ducommun, Inc., 9.75%, 7/15/2018		790,000		872,950
Textron, Inc., 7.25%, 10/1/2019		1,000,000		1,215,053
				5,256,675
Air Freight & Logistics - 0.1%
Aguila 3 S.A. (Luxembourg)6, 7.875%, 1/31/2018		585,000		630,337

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

69

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Air Freight & Logistics (continued)
FedEx Corp., 8.00%, 1/15/2019		570,000	$	749,460
				1,379,797
Airlines - 0.3%
Aviation Capital Group Corp.6, 4.625%, 1/31/2018		540,000		563,277
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B, 6.375%, 1/2/2016		515,000		536,887
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015		290,000		305,225
Southwest Airlines Co., 5.25%, 10/1/2014		1,030,000		1,087,274
Southwest Airlines Co., 5.75%, 12/15/2016		1,120,000		1,263,381
				3,756,044
Commercial Services & Supplies - 0.2%
Clean Harbors, Inc., 5.25%, 8/1/2020		600,000		634,500
Garda World Security Corp. (Canada)6, 9.75%, 3/15/2017		530,000		569,750
Waste Management, Inc., 7.375%, 3/11/2019		1,665,000		2,104,720
				3,308,970
Industrial Conglomerates - 0.1%
General Electric Co., 5.25%, 12/6/2017		550,000		648,462
Tyco Electronics Group S.A. (Switzerland), 4.875%, 1/15/2021		1,390,000		1,560,325
				2,208,787
Machinery - 0.2%
Dynacast International LLC - Dynacast Finance, Inc., 9.25%, 7/15/2019		780,000		861,900
Joy Global, Inc., 5.125%, 10/15/2021		110,000		124,914
Kennametal, Inc., 3.875%, 2/15/2022		1,220,000		1,292,757
				2,279,571
Marine - 0.1%
Navios Maritime Holdings, Inc. - Navios
Maritime Finance US, Inc., 8.875%, 11/1/2017		790,000		830,487
Professional Services - 0.0%**
FTI Consulting, Inc.6, 6.00%, 11/15/2022		545,000		581,787
Road & Rail - 0.2%
JB Hunt Transport Services, Inc., 3.375%, 9/15/2015		1,030,000		1,070,547
Union Pacific Corp., 5.65%, 5/1/2017		815,000		950,555
Union Pacific Corp., 7.875%, 1/15/2019		495,000		637,692

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

70

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Road & Rail (continued)
Union Pacific Corp., 2.95%, 1/15/2023		600,000	$	625,426
				3,284,220
Trading Companies & Distributors - 0.1%
International Lease Finance Corp., 5.625%, 9/20/2013		630,000		639,450
Rexel S.A.6, 5.25%, 6/15/2020		870,000		917,850
				1,557,300
Total Industrials				24,443,638
Information Technology - 0.8%
Communications Equipment - 0.1%
Hughes Satellite Systems Corp., 6.50%, 6/15/2019		500,000		556,250
ViaSat, Inc., 6.875%, 6/15/2020		555,000		604,950
				1,161,200
Computers & Peripherals - 0.3%
Apple, Inc., 2.40%, 5/3/2023		570,000		569,242
Hewlett-Packard Co., 4.75%, 6/2/2014		2,310,000		2,402,569
Hewlett-Packard Co., 5.50%, 3/1/2018		815,000		920,052
				3,891,863
Electronic Equipment, Instruments & Components - 0.1%
Amphenol Corp., 4.00%, 2/1/2022		625,000		668,407
Corning, Inc., 6.625%, 5/15/2019		460,000		573,590
Corning, Inc., 4.25%, 8/15/2020		115,000		129,750
CPI International, Inc., 8.00%, 2/15/2018		575,000		602,313
				1,974,060
IT Services - 0.1%
The Western Union Co., 5.253%, 4/1/2020		1,350,000		1,474,628
Software - 0.2%
Autodesk, Inc., 3.60%, 12/15/2022		2,605,000		2,651,734
Interface Security Systems Holdings, Inc. - Interface Security Systems LLC6 , 9.25%, 1/15/2018		540,000		560,250
Nuance Communications, Inc.6, 5.375%, 8/15/2020		540,000		561,600
				3,773,584
Total Information Technology				12,275,335
Materials - 1.6%
Chemicals - 0.4%
Ashland, Inc.6, 3.875%, 4/15/2018		570,000		587,100
E.I. du Pont de Nemours & Co., 6.00%, 7/15/2018		1,255,000		1,548,635

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

71

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Chemicals (continued)
Eastman Chemical Co., 3.60%, 8/15/2022		1,205,000	$	1,278,991
Nufarm Australia Ltd. (Australia)6, 6.375%, 10/15/2019		1,060,000		1,089,150
Rentech Nitrogen Partners LP - Rentech Nitrogen Finance Corp.6 , 6.50%, 4/15/2021		950,000		973,750
Trinseo Materials Operating SCA - Trinseo Materials Finance, Inc. (Luxembourg)6, 8.75%, 2/1/2019		545,000		545,000
				6,022,626
Containers & Packaging - 0.1%
Reynolds Group Issuer, Inc. - Reynolds Group Issuer LLC - Reynolds Group Issuer (Luxembourg) S.A., 5.75%, 10/15/2020		830,000		869,425
Metals & Mining - 0.7%
Allegheny Technologies, Inc., 5.95%, 1/15/2021		1,550,000		1,750,148
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		1,275,000		1,623,697
Cliffs Natural Resources, Inc., 5.90%, 3/15/2020		2,435,000		2,617,199
Freeport-McMoRan Copper & Gold, Inc.6 , 2.375%, 3/15/2018		110,000		110,791
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/2022		1,315,000		1,315,448
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021		1,585,000		1,693,691
Shale-Inland Holdings LLC - Shale-Inland Finance Corp.6 , 8.75%, 11/15/2019		540,000		571,050
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		1,260,000		1,293,391
				10,975,415
Paper & Forest Products - 0.4%
International Paper Co., 9.375%, 5/15/2019		1,777,000		2,462,289
International Paper Co., 7.50%, 8/15/2021		1,410,000		1,863,098
Smurfit Kappa Acquisitions (Ireland)6 , 4.875%, 9/15/2018		1,410,000		1,462,875
				5,788,262
Total Materials				23,655,728
Telecommunication Services - 0.9%
Diversified Telecommunication Services - 0.3%
Digicel Ltd. (Jamaica)6, 6.00%, 4/15/2021		570,000		571,425
Inmarsat Finance plc (United Kingdom)6, 7.375%, 12/1/2017		490,000		520,013

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

72

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL           AMOUNT5/          SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Telecommunication Services (continued)
Diversified Telecommunication Services (continued)
UPCB Finance VI Ltd. (Netherlands)6, 6.875%, 1/15/2022		635,000	$	696,913
Verizon Communications, Inc., 8.75%, 11/1/2018		1,658,000		2,239,850
Windstream Corp., 7.50%, 6/1/2022		750,000		826,875
				4,855,076
Wireless Telecommunication Services - 0.6%
Crown Castle Towers LLC6, 6.113%, 1/15/2020		1,040,000		1,277,977
Crown Castle Towers LLC6, 4.883%, 8/15/2020		333,000		384,326
SBA Tower Trust6, 5.101%, 4/17/2017		575,000		642,400
SBA Tower Trust6, 2.933%, 12/15/2017		1,680,000		1,740,154
SBA Tower Trust6, 3.598%, 4/15/2018		1,500,000		1,499,573
Telefonica Emisiones S.A.U. (Spain), 3.192%, 4/27/2018		2,450,000		2,479,785
				8,024,215
Total Telecommunication Services				12,879,291
Utilities - 0.3%
Electric Utilities - 0.2%
Southwestern Electric Power Co., 6.45%, 1/15/2019		995,000		1,213,299
System Energy Resources, Inc., 4.10%, 4/1/2023		1,180,000		1,246,433
				2,459,732
Independent Power Producers & Energy Traders - 0.1%
Exelon Generation Co. LLC, 5.20%, 10/1/2019		1,555,000		1,784,580
Exelon Generation Co. LLC, 4.00%, 10/1/2020		160,000		171,603
				1,956,183
Total Utilities				4,415,915
Total Non-Convertible Corporate Bonds (Identified Cost $334,988,202)				360,761,408
TOTAL CORPORATE BONDS (Identified Cost $337,442,906)				363,426,386
MUTUAL FUNDS - 0.1%
iShares Dow Jones US Real Estate Index Fund		12,600		925,596
iShares S&P India Nifty 50 Index Fund		11,200		285,376
PowerShares India Portfolio		14,700		278,124
TOTAL MUTUAL FUNDS (Identified Cost $1,471,730)				1,489,096

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

73

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
ASSET-BACKED SECURITIES - 0.2%
Americredit Automobile Receivables Trust, Series 2012-5, Class A3, 0.62%, 6/8/2017		775,000	$	775,547
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		1,309,724		1,357,254
Ford Credit Auto Owner Trust, Series 2012-D, Class A3, 0.51%, 4/15/2017		525,000		525,198
Hertz Vehicle Financing LLC, Series 2009-2A, Class A26, 5.29%, 3/25/2016		335,000		360,909
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		690,000		739,766
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $3,633,897)				3,758,674
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.1%
Americold LLC Trust, Series 2010-ARTA, Class A16, 3.847%, 1/14/2029		338,660		363,732
BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A6, 2.959%, 12/10/2030		840,000		866,797
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A47 , 5.729%, 5/10/2045		1,005,000		1,135,108
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046		1,130,000		1,270,919
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		1,090,000		1,176,957
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A47, 5.716%, 9/11/2038		765,000		862,706
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		1,155,000		1,305,528
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26, 3.759%, 4/15/2044		540,000		577,343
Citigroup - Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A47 , 5.218%, 7/15/2044		1,060,000		1,158,846
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16, 3.156%, 7/10/2046		381,701		400,636
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class A3, 2.853%, 10/15/2045		1,170,000		1,199,943
Commercial Mortgage Trust, Series 2006-GG7, Class A47, 5.86%, 7/10/2038		600,000		679,550
Credit Suisse Mortgage Capital Certificates, Series 2013-TH1, Class A16,7, 2.13%, 2/25/2043		2,074,598		2,061,663
DBUBS Mortgage Trust, Series 2011-LC1A, Class A16, 3.742%, 11/10/2046		528,654		567,138

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

74

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Extended Stay America Trust, Series 2013-ESH7, Class A276, 2.958%, 12/5/2031		1,875,000	$	1,923,165
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class A2, 2.377%, 5/25/2022		1,630,000		1,644,354
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017		1,545,000		1,567,667
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019		1,705,000		1,748,065
FREMF Mortgage Trust, Series 2011-K701, Class B6,7, 4.286%, 7/25/2048		750,000		812,185
FREMF Mortgage Trust, Series 2011-K702, Class B6,7, 4.77%, 4/25/2044		885,000		979,298
FREMF Mortgage Trust, Series 2013-K502, Class B6,7, 2.729%, 3/25/2045		2,135,000		2,189,220
GS Mortgage Securities Corp. II, Series 2010-C2, Class A16, 3.849%, 12/10/2043		1,011,492		1,090,472
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A47, 5.294%, 1/12/2043		1,750,000		1,921,197
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A47, 5.201%, 12/15/2044		475,000		520,773
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A47, 5.861%, 4/15/2045		1,670,000		1,892,741
JP Morgan Mortgage Trust, Series 2013-1, Class 1A26,7, 3.00%, 3/1/2043		2,042,629		2,088,251
LSTAR Commercial Mortgage Trust, Series 2011-1, Class A6, 3.913%, 6/25/2043		358,020		370,463
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4A7, 5.23%, 9/15/2042		421,952		455,414
Morgan Stanley Capital I Trust, Series 2011-C1, Class A26, 3.884%, 9/15/2047		800,000		860,382
Motel 6 Trust, Series 2012-MTL6, Class A26, 1.948%, 10/5/2025		1,170,000		1,181,608
OBP Depositor LLC Trust, Series 2010-OBP, Class A6, 4.646%, 7/15/2045		115,000		134,138
Sequoia Mortgage Trust, Series 2013-2, Class A17, 1.874%, 2/25/2043		1,673,993		1,655,213
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX6, 4.004%, 9/13/2028		350,000		392,305
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A47, 5.239%, 10/15/2044		546,390		596,278

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

75

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES		PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A37, 6.011%, 6/15/2045			850,000	$	968,470
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26, 4.393%, 11/15/2043			545,000		623,139
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.918%, 10/15/2045			2,230,000		2,290,355
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A26, 3.791%, 2/15/2044			940,000		1,010,426
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A2, 2.029%, 3/15/2045			1,950,000		2,017,794
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $43,427,044)					44,560,239
FOREIGN GOVERNMENT BONDS - 3.2%
Bonos de la Tesoreria de la Republica en pesos (Chile), 6.00%, 1/1/2018	CLP		790,000,000		1,734,662
Canada Housing Trust No. 1 (Canada)6, 4.10%, 12/15/2018	CAD		390,000		438,405
Denmark Government Bond (Denmark), 4.00%, 11/15/2017	DKK		2,145,000		442,989
Indonesia Treasury Bond (Indonesia), 7.00%, 5/15/2022	IDR		3,719,000,000		424,446
Ireland Government Bond (Ireland), 5.00%, 10/18/2020	EUR		300,000		441,112
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022	EUR		630,000		938,035
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022	EUR		390,000		580,508
Italy Buoni Poliennali Del Tesoro (Italy)6, 5.00%, 3/1/2025	EUR		495,000		709,387
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016	JPY		101,000,000		1,039,479
Japan Government Ten Year Bond (Japan), 1.00%, 12/20/2021	JPY		58,300,000		621,584
Japan Government Two Year Bond (Japan), 0.10%, 1/15/2014	JPY		45,000,000		461,602
Japan Government Two Year Bond (Japan), 0.10%, 3/15/2014	JPY		71,500,000		733,371
Korea Treasury Bond (Korea), 4.50%, 3/10/2015	KRW		950,000,000		893,240
Malaysia Government Bond (Malaysia), 3.434%, 8/15/2014	MYR		1,535,000		507,837
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016	MYR		3,205,000		1,095,533
Mexican Government Bond (Mexico), 8.00%, 12/17/2015	MXN		26,195,000		2,369,771
Mexican Government Bond (Mexico), 7.25%, 12/15/2016	MXN		6,000,000		546,775
Portugal Obrigacoes do Tesouro OT (Portugal), 4.80%, 6/15/2020	EUR		175,000		223,691
Portugal Obrigacoes do Tesouro OT (Portugal), 4.95%, 10/25/2023	EUR		185,000		229,266

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

76

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES		PRINCIPAL   AMOUNT5		VALUE   (NOTE 2)
FOREIGN GOVERNMENT BONDS (continued)
Province of Manitoba Canada, Series FH (Canada), 4.90%, 12/6/2016			2,250,000	$	2,590,198
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017			3,800,000		4,416,740
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017			2,000,000		2,314,800
Province of Ontario Canada (Canada), 2.30%, 5/10/2016			7,600,000		7,981,520
Province of Quebec Canada (Canada), 5.125%, 11/14/2016			6,900,000		7,962,600
Singapore Government Bond (Singapore), 2.50%, 6/1/2019	SGD		855,000		766,476
Spain Government Bond (Spain), 4.50%, 1/31/2018	EUR		325,000		457,499
Spain Government Bond (Spain), 4.00%, 4/30/2020	EUR		515,000		698,427
Spain Government Bond (Spain)6, 5.40%, 1/31/2023	EUR		360,000		520,777
State of Berlin (Germany), 3.00%, 3/29/2016	EUR		315,000		445,430
Sweden Government Bond (Sweden), 4.50%, 8/12/2015	SEK		2,810,000		469,159
Thailand Government Bond (Thailand), 2.80%, 10/10/2017	THB		13,640,000		460,997
United Kingdom Gilt (United Kingdom), 2.75%, 1/22/2015	GBP		415,000		672,624
United Kingdom Gilt (United Kingdom), 1.75%, 1/22/2017	GBP		275,000		447,556
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017	GBP		570,000		899,921
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018	GBP		475,000		890,117
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $45,014,025)					46,426,534
U.S. GOVERNMENT AGENCIES - 25.4%
Mortgage-Backed Securities - 9.0%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021			1,951,977		2,126,780
Fannie Mae, Pool #995233, 5.50%, 10/1/2021			139,000		151,448
Fannie Mae, Pool #888017, 6.00%, 11/1/2021			175,300		192,504
Fannie Mae, Pool #995329, 5.50%, 12/1/2021			1,237,128		1,347,915
Fannie Mae, Pool #888136, 6.00%, 12/1/2021			227,171		249,465
Fannie Mae, Pool #888810, 5.50%, 11/1/2022			2,147,108		2,339,386
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024			130,761		142,471
Fannie Mae, Pool #AK7413, 3.00%, 3/1/2027			1,666,923		1,763,101
Fannie Mae, Pool #AO6562, 3.00%, 6/1/2027			274,770		290,624
Fannie Mae, Pool #AP0000, 3.50%, 7/1/2027			678,992		724,440

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

77

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AP7539, 3.00%, 9/1/2027		1,680,874	$	1,777,857
Fannie Mae, Pool #AB6580, 3.00%, 10/1/2027		457,464		483,859
Fannie Mae, Pool #AL2720, 3.00%, 11/1/2027		1,415,854		1,497,546
Fannie Mae, Pool #AQ4426, 3.00%, 11/1/2027		583,785		617,468
Fannie Mae, Pool #AQ5073, 3.00%, 12/1/2027		162,449		173,852
Fannie Mae, Pool #AQ5190, 3.00%, 12/1/2027		195,504		206,785
Fannie Mae, Pool #AR4926, 3.00%, 1/1/2028		580,714		614,220
Fannie Mae, Pool #AR5885, 3.00%, 1/1/2028		148,170		156,720
Fannie Mae, Pool #AB7722, 3.50%, 1/1/2028		450,860		481,038
Fannie Mae, Pool #AR1092, 3.00%, 2/1/2028		348,352		371,935
Fannie Mae, Pool #AR5986, 3.00%, 2/1/2028		152,039		162,712
Fannie Mae, Pool #AB8457, 3.50%, 2/1/2028		754,915		805,445
Fannie Mae, Pool #AB8601, 3.00%, 3/1/2028		548,143		581,997
Fannie Mae, Pool #AL3301, 3.00%, 3/1/2028		1,212,346		1,282,296
Fannie Mae, Pool #AR6001, 3.00%, 3/1/2028		165,599		177,224
Fannie Mae, Pool #AR6002, 3.00%, 3/1/2028		257,419		274,846
Fannie Mae, Pool #AR6024, 3.00%, 3/1/2028		794,710		840,563
Fannie Mae, Pool #AR8950, 3.00%, 3/1/2028		410,225		433,894
Fannie Mae, Pool #AT3152, 3.00%, 4/1/2028		611,886		653,309
Fannie Mae, Pool #MA1405, 3.00%, 4/1/2028		195,654		206,943
Fannie Mae, Pool #MA1423, 3.50%, 4/1/2028		191,281		204,084
Fannie Mae, Pool #AT2899, 3.00%, 5/1/2028		305,943		323,595
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		3,133,019		3,427,045
Fannie Mae, Pool #888021, 6.00%, 12/1/2036		561,985		615,708
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		930,999		1,012,552
Fannie Mae, Pool #995050, 6.00%, 9/1/2037		1,091,842		1,196,218
Fannie Mae, Pool #AB8161, 6.00%, 12/1/2037		3,542,481		3,881,127
Fannie Mae, Pool #889576, 6.00%, 4/1/2038		2,322,428		2,541,539

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

78

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #889579, 6.00%, 5/1/2038		2,503,113	$	2,742,775
Fannie Mae, Pool #889575, 6.00%, 6/1/2038		1,532,656		1,677,255
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		6,526,591		7,150,506
Fannie Mae, Pool #AD0119, 6.00%, 7/1/2038		2,102,542		2,301,676
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		877,637		960,439
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		296,301		324,626
Fannie Mae, Pool #AD0258, 5.50%, 3/1/2039		1,519,213		1,652,293
Fannie Mae, Pool #AA7681, 4.50%, 6/1/2039		2,700,892		2,912,928
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039		743,717		808,865
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		3,571,656		3,852,052
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040		5,255,102		5,750,899
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		3,219,989		3,522,428
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		6,182,470		6,765,760
Fannie Mae, Pool #AL2581, 6.00%, 6/1/2040		3,284,048		3,597,990
Fannie Mae, Pool #890519, 6.00%, 10/1/2040		8,397,255		9,189,500
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041		2,255,252		2,432,302
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041		904,510		977,216
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041		655,488		708,177
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041		2,268,434		2,452,747
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041		562,503		607,718
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		728,179		785,794
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		219,490		241,129
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		159,832		175,590
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		124,197		137,083
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		219,870		243,790
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		99,499		106,750
Freddie Mac, Pool #E09019, 3.00%, 12/1/2027		374,946		397,642
Freddie Mac, Pool #E09022, 3.00%, 1/1/2028		200,254		212,375

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

79

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #J22551, 3.00%, 1/1/2028		378,403	$	399,653
Freddie Mac, Pool #J22427, 3.00%, 2/1/2028		302,915		323,049
Freddie Mac, Pool #G14708, 3.50%, 2/1/2028		456,684		489,933
Freddie Mac, Pool #E09026, 3.00%, 3/1/2028		1,017,085		1,078,650
Freddie Mac, Pool #E09029, 3.00%, 3/1/2028		913,796		969,110
Freddie Mac, Pool #J23444, 3.00%, 4/1/2028		186,804		198,111
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037		387,506		422,370
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		720,905		778,422
Freddie Mac, Pool #G03781, 6.00%, 1/1/2038		1,594,510		1,737,969
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		1,780,547		1,940,744
Freddie Mac, Pool #G04264, 5.50%, 4/1/2038		3,247,102		3,505,980
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		1,656,026		1,788,153
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		1,664,772		1,797,596
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038		5,576,889		6,021,436
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		1,274,212		1,380,454
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		2,321,015		2,506,197
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039		4,147,474		4,441,563
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040		912,290		985,077
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040		857,134		925,520
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		1,265,650		1,379,522
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		775,142		844,883

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

80

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MODERATE TERM SERIES	PRINCIPAL AMOUNT 5/ SHARES		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Ginnie Mae, Pool #286310, 9.00%, 2/15/2020		623	$	636
Ginnie Mae, Pool #263096, 9.50%, 3/15/2020		1,399		1,424
Total Mortgage-Backed Securities (Identified Cost $129,985,549)				130,935,268
Other Agencies - 16.4%
Fannie Mae, 0.50%, 7/2/2015		19,000,000		19,079,059
Fannie Mae, 1.625%, 10/26/2015		11,930,000		12,303,719
Fannie Mae, 5.25%, 9/15/2016		17,000,000		19,707,165
Fannie Mae, 1.375%, 11/15/2016		6,000,000		6,189,180
Fannie Mae, 0.875%, 8/28/2017		45,000,000		45,349,965
Fannie Mae, 0.875%, 10/26/2017		30,000,000		30,201,570
Freddie Mac, 1.00%, 3/8/2017		25,000,000		25,409,350
Freddie Mac, 1.25%, 5/12/2017		19,000,000		19,500,346
Freddie Mac, 1.25%, 10/2/2019		15,000,000		15,064,710
Freddie Mac, 2.375%, 1/13/2022		21,288,000		22,383,544
Freddie Mac, 6.25%, 7/15/2032		14,957,000		22,309,293
Total Other Agencies (Identified Cost $232,908,790)				237,497,901
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $362,894,339)				368,433,169
SHORT-TERM INVESTMENT - 3.0%
Dreyfus Cash Management, Inc. - Institutional Shares8, 0.05%,
(Identified Cost $43,664,275)		43,664,275		43,664,275
TOTAL INVESTMENTS - 102.5% (Identified Cost $1,359,902,601)				1,488,880,335
LIABILITIES, LESS OTHER ASSETS - (2.5%)				(36,061,698	)
NET ASSETS - 100%			$	1,452,818,637

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS OPEN AT APRIL 30, 20139 :
SETTLEMENT DATE	CONTRACTS TO DELIVER		IN EXCHANGE FOR		CONTRACTS AT VALUE		UNREALIZED DEPRECIATION
05/08/2013	EUR	2,400,000	$	3,119,328	$	3,160,848	$	(41,520	)
06/06/2013	JPY	139,000,000	$	1,402,864	$	1,426,128	$	(23,264	)

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

81

Investment Portfolio - April 30, 2013

(unaudited)

ADR - American Depository Receipt

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

DKK - Danish Krone

EUR - Euro

GBP - British Pound

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

*Non-income producing security.

**Less than 0.1%.

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 Stock Exchange.

³Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁴The rate shown is a fixed rate as of April 30, 2013; the rate becomes floating, based on LIBOR plus a spread, in 2022.

⁵Amount is stated in USD unless otherwise noted.

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 $124,380,457 or 8.56%, of the Series’ net assets as of April 30, 2013 (see Note 2 to the financial statements).

⁷The coupon rate is floating and is the effective rate as of April 30, 2013.

⁸Rate shown is the current yield as of April 30, 2013.

⁹The counterparty for all forward foreign currency exchange contracts is the Bank of New York Mellon Corp.

82

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

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $1,359,902,601) (Note 2)	$	1,488,880,335
Foreign currency (identified cost $775,119)		775,095
Cash		676,665
Interest receivable		6,375,440
Receivable for securities sold		2,285,384
Receivable for fund shares sold		1,159,501
Dividends receivable		708,046
Foreign tax reclaims receivable		343,377
TOTAL ASSETS		1,501,203,843
LIABILITIES:
Accrued management fees (Note 3)		901,954
Accrued shareholder services fees (Class S) (Note 3)		154,266
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3)		103,446
Accrued fund accounting and administration fees (Note 3)		43,237
Accrued transfer agent fees (Note 3)		28,312
Accrued Chief Compliance Officer service fees (Note 3)		167
Payable for fund shares repurchased		29,467,644
Payable for securities purchased		17,458,989
Unrealized depreciation on foreign forward currency contracts (Note 2)		64,784
Accrued foreign capital gains tax (Note 2)		3,725
Other payables and accrued expenses		158,682
TOTAL LIABILITIES		48,385,206
TOTAL NET ASSETS	$	1,452,818,637
NET ASSETS CONSIST OF:
Capital stock	$	1,166,835
Additional paid-in-capital		1,277,233,436
Undistributed net investment income		3,755,013
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		41,738,809
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		128,924,544
TOTAL NET ASSETS	$	1,452,818,637

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

83

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

April 30, 2013 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($758,757,857/ 54,441,001 shares)	$	13.94
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($541,034,264/ 48,711,273 shares)	$	11.11
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($102,635,497/ 9,162,367 shares)	$	11.20
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($50,391,019/ 4,368,907 shares)	$	11.53

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

84

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

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Interest	$	9,688,161
Dividends (net of foreign taxes withheld, $161,599)		4,512,220
Total Investment Income		14,200,381
EXPENSES:
Management fees (Note 3)		5,194,534
Shareholder services fees (Class S) (Note 3)		903,457
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		455,954
Fund accounting and administration fees (Note 3)		124,263
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		110,191
Transfer agent fees (Note 3)		78,233
Directors’ fees (Note 3)		13,443
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		61,329
Miscellaneous		185,891
Total Expenses		7,128,411
NET INVESTMENT INCOME		7,071,970
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on- Investments		43,079,424
Foreign currency and translation of other assets and liabilities		(153,676	)
		42,925,748
Net change in unrealized appreciation (depreciation) on- Investments		58,517,657
Foreign currency and translation of other assets and liabilities		(58,338	)
		58,459,319
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		101,385,067
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	108,457,037

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

85

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	7,071,970		$	16,872,472
Net realized gain (loss) on investments and foreign currency		42,925,748			35,014,692
Net change in unrealized appreciation on investments and foreign currency		58,459,319			40,773,782
Net increase from operations		108,457,037			92,660,946
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(3,914,193	)		(10,590,847	)
From net investment income (Class I)		(4,277,762	)		(8,737,419	)
From net investment income (Class C)		(275,663	)		(811,185	)
From net investment income (Class R)		(231,599	)		(453,451	)
From net realized gain on investments (Class S)		(17,081,558	)		(20,279,845	)
From net realized gain on investments (Class I)		(14,914,359	)		(13,096,537	)
From net realized gain on investments (Class C)		(2,510,618	)		(2,173,904	)
From net realized gain on investments (Class R)		(1,165,220	)		(828,847	)
Total distributions to shareholders		(44,370,972	)		(56,972,035	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		63,767,412			177,385,942
Net increase in net assets		127,853,477			213,074,853
NET ASSETS:
Beginning of period		1,324,965,160			1,111,890,307
End of period (including undistributed net investment income of $3,755,013 and $5,382,260, respectively)	$	1,452,818,637		$	1,324,965,160

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

86

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	13.28		$	12.92		$	12.94		$	11.61		$	10.41		$	14.18
Income (loss) from investment operations:
Net investment income		0.07	1		0.17	1		0.22	1		0.19	1		0.16	1		0.23
Net realized and unrealized gain (loss) on investments		0.98			0.77			0.14			1.28			1.23			(2.75	)
Total from investment operations		1.05			0.94			0.36			1.47			1.39			(2.52	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.20	)		(0.19	)		(0.14	)		(0.19	)		(0.23	)
From net realized gain on investments		(0.32	)		(0.38	)		(0.19	)		—			—			(1.02	)
Total distributions to shareholders		(0.39	)		(0.58	)		(0.38	)		(0.14	)		(0.19	)		(1.25	)
Net asset value - End of period	$	13.94		$	13.28		$	12.92		$	12.94		$	11.61		$	10.41
Net assets - End of period (000’s omitted)	$	758,758		$	707,222		$	682,409		$	633,304		$	396,927		$	218,807
Total return2		8.13	%		7.73	%		2.78	%		12.81	%		13.65	%		(19.28	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.07	%3		1.07	%		1.07	%		1.09	%		1.10	%		1.10	%
Net investment income		0.98	%3		1.34	%		1.68	%		1.60	%		1.49	%		1.74	%
Series portfolio turnover		24	%		47	%		52	%		56	%		58	%		75	%
* The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			N/A			N/A			0.00	%4		0.02	%		0.02	%

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.

87

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD
				10/31/12			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	$	10.67		$	10.50		$	10.60		$	9.54		$	8.59		$	10.00
Income (loss) from investment operations:
Net investment income		0.07	2		0.16	2		0.20	2		0.18	2		0.15	2		0.06
Net realized and unrealized gain (loss) on investments		0.78			0.62			0.11			1.06			1.02			(1.42	)
Total from investment operations		0.85			0.78			0.31			1.24			1.17			(1.36	)
Less distributions to shareholders:
From net investment income		(0.09	)		(0.23	)		(0.22	)		(0.18	)		(0.22	)		(0.05	)
From net realized gain on investments		(0.32	)		(0.38	)		(0.19	)		—			—			—
Total distributions to shareholders		(0.41	)		(0.61	)		(0.41	)		(0.18	)		(0.22	)		(0.05	)
Net asset value - End of period	$	11.11		$	10.67		$	10.50		$	10.60		$	9.54		$	8.59
Net assets - End of period (000’s omitted)	$	541,034		$	496,286		$	352,611		$	294,000		$	44,134		$	322
Total return3		8.25	%		8.06	%		2.93	%		13.13	%		14.11	%		(13.64	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.82	%4		0.82	%		0.82	%		0.84	%		0.85	%		0.85	%4
Net investment income		1.23	%4		1.57	%		1.93	%		1.85	%		1.67	%		1.47	%4
Series portfolio turnover		24	%		47	%		52	%		56	%		58	%		75	%
* The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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.

88

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

	FOR THE SIX MONTHS ENDED			FOR THE YEARS ENDED						FOR THE PERIOD
	4/30/13 (UNAUDITED)			10/31/12			10/31/11			1/4/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	10.75		$	10.58		$	10.69		$	10.00
Income from investment operations:
Net investment income2		0.01			0.06			0.10			0.07
Net realized and unrealized gain on investments		0.80			0.62			0.11			0.67
Total from investment operations		0.81			0.68			0.21			0.74
Less distributions to shareholders:
From net investment income		(0.04	)		(0.13	)		(0.13	)		(0.05	)
From net realized gain on investments		(0.32	)		(0.38	)		(0.19	)		—
Total distributions to shareholders		(0.36	)		(0.51	)		(0.32	)		(0.05	)
Net asset value - End of period	$	11.20		$	10.75		$	10.58		$	10.69
Net assets - End of period (000’s omitted)	$	102,635		$	81,457		$	58,316		$	32,019
Total return3		7.71	%		6.94	%		1.97	%		7.41	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.82	%4		1.82	%		1.82	%		1.84	%4
Net investment income		0.24	%4		0.57	%		0.92	%		0.85	%4
Series portfolio turnover		24	%		47	%		52	%		56	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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 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.

89

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED						FOR THE PERIOD
				10/31/12			10/31/11			6/30/101 TO 10/31/10
Per share data (for a share outstanding throughout the period):
Net asset value - Beginning of period	$	11.06		$	10.88		$	10.99		$	10.00
Income from investment operations:
Net investment income2		0.04			0.11			0.11			0.02
Net realized and unrealized gain on investments		0.81			0.65			0.16			0.97
Total from investment operations		0.85			0.76			0.27			0.99
Less distributions to shareholders:
From net investment income		(0.06	)		(0.20	)		(0.19	)		—
From net realized gain on investments		(0.32	)		(0.38	)		(0.19	)		—
Total distributions to shareholders		(0.38	)		(0.58	)		(0.38	)		—
Net asset value - End of period	$	11.53		$	11.06		$	10.88		$	10.99
Net assets - End of period (000’s omitted)	$	50,391		$	39,999		$	18,554		$	237
Total return3		7.95	%		7.48	%		2.50	%		9.90	%
Ratios (to average net assets)/Supplemental Data:
Expenses		1.32	%4		1.33	%		1.32	%		1.34	%4
Net investment income		0.74	%4		1.04	%		1.05	%		0.65	%4
Series portfolio turnover		24	%		47	%		52	%		56	%

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.

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

90

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 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 in each class at the beginning of the period and held for the entire period (November 1, 2012 to April 30, 2013).

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 each class in 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 class of 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 for each class in 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               11/1/12	ENDING  ACCOUNT VALUE               4/30/13	EXPENSES PAID  DURING PERIOD               11/1/12-4/30/13*	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$1,105.70	$5.59	1.07%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.49	$5.36	1.07%
Class I
Actual	$1,000.00	$1,106.30	$4.28	0.82%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.73	$4.11	0.82%
Class C
Actual	$1,000.00	$1,100.80	$9.48	1.82%
Hypothetical (5% return before expenses)	$1,000.00	$1,015.77	$9.10	1.82%
Class R
Actual	$1,000.00	$1,104.30	$6.89	1.32%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.25	$6.61	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 181/365 to reflect the one-half year period.

91

Portfolio Composition - Pro-Blend^® Extended Term Series

As of April 30, 2013 (unaudited)

Sector Allocation3		Top Ten Stock Holdings4
Financials	17.4%	Hess Corp.	3.4%
Consumer Discretionary	11.2%	EMC Corp.	2.3%
Information Technology	11.1%	Juniper Networks, Inc.	1.5%
Energy	8.7%	DIRECTV	1.4%
Health Care	8.0%	Electronic Arts, Inc.	1.4%
Industrials	5.2%	Monsanto Co.	1.4%
Materials	4.8%	The Walt Disney Co.	1.4%
Consumer Staples	3.7%	Viacom, Inc. - Class B	1.3%
Telecommunication Services	2.1%	Cerner Corp.	1.3%
Utilities	0.4%	Time Warner, Inc.	1.3%
3 Including common stocks, preferred stocks, and corporate bonds, as a percentage of total investments.		4 As a percentage of total investments.

92

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 51.9%
Consumer Discretionary - 8.9%
Auto Components - 0.1%
F.C.C. Co. Ltd. (Japan)1		11,600	$	294,075
Hankook Tire Co. Ltd. (South Korea)1		14,537		633,372
Mando Corp. (South Korea)1		2,100		160,480
Musashi Seimitsu Industry Co. Ltd. (Japan)1		12,300		297,150
Nissin Kogyo Co. Ltd. (Japan)1		16,600		367,090
				1,752,167
Automobiles - 0.1%
Hyundai Motor Co. (South Korea)1		1,500		272,375
Tesla Motors, Inc.*		15,770		851,422
Toyota Motor Corp. (Japan)1		6,500		377,246
				1,501,043
Distributors - 0.0%**
Inchcape plc (United Kingdom)1		41,800		325,861
Diversified Consumer Services - 0.0%**
Anhanguera Educacional Participacoes S.A. (Brazil)		35,290		634,982
Hotels, Restaurants & Leisure - 1.1%
Accor S.A. (France)1		206,730		6,845,145
Arcos Dorados Holdings, Inc. (Argentina)		14,150		192,723
BJ’s Restaurants, Inc.*		12,270		420,861
Hyatt Hotels Corp. - Class A*		6,130		261,628
InterContinental Hotels Group plc (United Kingdom)1		21,998		649,956
Orient-Express Hotels Ltd. - ADR - Class A*		54,290		548,329
Yum! Brands, Inc.		107,730		7,338,568
				16,257,210
Household Durables - 0.2%
DR Horton, Inc.		25,760		671,821
Lennar Corp. - Class A		21,820		899,420
LG Electronics, Inc. (South Korea)1		6,950		557,063
NVR, Inc.*		390		401,700
Rodobens Negocios Imobiliarios S.A. (Brazil)		50,510		369,847
Toll Brothers, Inc.*		16,080		551,705
				3,451,556
Internet & Catalog Retail - 0.2%
HomeAway, Inc.*		37,820		1,155,401
Ocado Group plc (United Kingdom)*1		268,930		710,162
Shutterfly, Inc.*		28,410		1,265,097
				3,130,660
Leisure Equipment & Products - 0.0%**
Nikon Corp. (Japan)1		8,700		189,365

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

93

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Media - 6.7%
British Sky Broadcasting Group plc (United Kingdom)1		32,810	$	429,998
DIRECTV*		377,270		21,338,391
Imax Corp. (Canada)*		22,990		586,935
Mediaset Espana Comunicacion S.A. (Spain)*1		138,120		1,082,593
News Corp. - Class A		369,760		11,451,467
Reed Elsevier plc - ADR (United Kingdom)		7,379		344,009
Societe Television Francaise 1 (France)1		47,150		498,168
Starz - Liberty Capital*		26,190		612,322
Time Warner, Inc.		322,640		19,287,419
Valassis Communications, Inc.		20,250		519,007
Viacom, Inc. - Class B		305,840		19,570,702
The Walt Disney Co.		320,360		20,131,422
Wolters Kluwer N.V. (Netherlands)1		21,550		476,870
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		161,000		723,019
				97,052,322
Multiline Retail - 0.1%
Marks & Spencer Group plc (United Kingdom)1		43,190		274,914
PPR (France)1		2,230		491,204
				766,118
Specialty Retail - 0.3%
Aeropostale, Inc.*		16,810		246,435
American Eagle Outfitters, Inc.		15,610		303,615
Belle International Holdings Ltd. (Hong Kong)1		258,000		421,787
Chico’s FAS, Inc.		14,240		260,165
China ZhengTong Auto Services Holdings Ltd.*1		237,000		147,093
Dick’s Sporting Goods, Inc.		14,770		710,437
Group 1 Automotive, Inc.		3,980		240,710
Hennes & Mauritz AB - Class B (Sweden)1		8,390		297,959
Komeri Co. Ltd. (Japan)1		7,100		220,786
Penske Automotive Group, Inc.		8,850		273,642
Rent-A-Center, Inc.		8,130		283,981
Select Comfort Corp.*		5,580		118,408
Sonic Automotive, Inc. - Class A		14,490		318,635
				3,843,653
Textiles, Apparel & Luxury Goods - 0.1%
Adidas AG (Germany)1		5,220		545,841
Burberry Group plc (United Kingdom)1		14,910		310,177

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

94

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Textiles, Apparel & Luxury Goods (continued)
Daphne International Holdings Ltd. (China)1		384,000	$	400,385
Hugo Boss AG (Germany)*1		2,490		290,208
				1,546,611
Total Consumer Discretionary				130,451,548
Consumer Staples - 3.3%
Beverages - 0.3%
C&C Group plc (Ireland)*1		111,070		689,967
Carlsberg A/S - Class B (Denmark)1		6,750		627,536
Cia Cervecerias Unidas S.A. - ADR (Chile)		12,175		420,403
Diageo plc (United Kingdom)1		31,790		970,790
Kirin Holdings Co. Ltd. (Japan)1		37,900		663,211
SABMiller plc (United Kingdom)1		5,060		273,024
Tsingtao Brewery Co. Ltd. - Class H (China)1		88,000		590,271
				4,235,202
Food & Staples Retailing - 0.3%
Carrefour S.A. (France)1		29,020		861,869
Casino Guichard-Perrachon S.A. (France)1		3,380		365,594
Distribuidora Internacional de Alimentacion S.A. (Spain)1		73,750		571,667
The Fresh Market, Inc.*		2,580		105,599
Koninklijke Ahold N.V. (Netherlands)1		16,310		257,653
Tesco plc (United Kingdom)1		236,040		1,342,592
Whole Foods Market, Inc.		3,080		272,026
				3,777,000
Food Products - 2.5%
Annie’s, Inc.*		1,930		72,935
Barry Callebaut AG (Switzerland)1		500		488,501
Biostime International Holdings Ltd. (China)1		49,000		282,740
Charoen Pokphand Foods PCL (Thailand)1		587,970		636,528
Danone S.A. (France)1		7,780		593,366
Glanbia plc (Ireland)*1		11,630		155,459
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		188,350		613,495
Kraft Foods Group, Inc.		114,300		5,885,307
M Dias Branco S.A. (Brazil)		6,800		304,118
Mondelez International, Inc. - Class A		342,900		10,784,205
Unilever plc - ADR (United Kingdom)		400,575		17,352,909
				37,169,563
Household Products - 0.0%**
Reckitt Benckiser Group plc (United Kingdom)1		10,300		751,910

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

95

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Personal Products - 0.1%
Beiersdorf AG (Germany)1		3,130	$	283,523
Kao Corp. (Japan)1		13,600		470,262
Natura Cosmeticos S.A. (Brazil)		5,100		127,809
				881,594
Tobacco - 0.1%
Gudang Garam Tbk PT (Indonesia)1		51,000		259,450
Swedish Match AB (Sweden)1		17,160		595,288
				854,738
Total Consumer Staples				47,670,007
Energy - 7.5%
Energy Equipment & Services - 2.7%
Baker Hughes, Inc.		269,810		12,246,676
Bourbon S.A. (France)1		2,640		72,089
Calfrac Well Services Ltd. (Canada)		23,860		606,062
CARBO Ceramics, Inc.		2,220		156,843
Cie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		11,088		239,863
Gulfmark Offshore, Inc. - Class A		3,640		151,497
Hornbeck Offshore Services, Inc.*		3,250		145,990
ION Geophysical Corp.*		31,400		195,936
Key Energy Services, Inc.*		15,990		94,981
National Oilwell Varco, Inc.		1,710		111,526
Petroleum Geo-Services ASA (Norway)1		19,000		279,156
Schlumberger Ltd.		187,380		13,946,693
SPT Energy Group, Inc. (China)1		148,000		72,347
Trican Well Service Ltd. (Canada)		50,350		657,706
Weatherford International Ltd. - ADR*		840,320		10,747,693
				39,725,058
Oil, Gas & Consumable Fuels - 4.8%
Apache Corp.		47,250		3,490,830
Cameco Corp. (Canada)		23,120		451,071
Cloud Peak Energy, Inc.*		29,680		579,947
Encana Corp. (Canada)		24,860		458,667
EOG Resources, Inc.		41,490		5,026,928
Hess Corp.		686,290		49,536,412
Pacific Rubiales Energy Corp. (Colombia)		17,080		361,114
Paladin Energy Ltd. (Australia)*2		187,520		150,768
Range Resources Corp.		105,730		7,773,270
Royal Dutch Shell plc - Class B (Netherlands)1		9,249		324,431
Royal Dutch Shell plc - Class B - ADR (Netherlands)		9,190		641,370
Statoil ASA (Norway)1		14,880		364,283

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

96

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Talisman Energy, Inc. (Canada)		47,460	$	569,077
				69,728,168
Total Energy				109,453,226
Financials - 5.7%
Commercial Banks - 0.2%
Cathay General BanCorp.		38,390		756,667
Hong Leong Financial Group Berhad (Malaysia)1		153,070		779,814
HSBC Holdings plc (United Kingdom)1		40,950		448,484
ICICI Bank Ltd. - ADR (India)		9,550		447,131
Sumitomo Mitsui Trust Holdings, Inc. (Japan)1		141,000		708,597
				3,140,693
Consumer Finance - 0.7%
American Express Co.		155,620		10,645,964
DFC Global Corp.*		21,240		286,740
				10,932,704
Diversified Financial Services - 1.2%
JSE Ltd. (South Africa)1		224,300		1,917,179
MarketAxess Holdings, Inc.		22,160		937,811
The McGraw-Hill Companies, Inc.		278,670		15,078,834
				17,933,824
Insurance - 0.5%
Admiral Group plc (United Kingdom)1		50,032		996,636
Allianz SE (Germany)1		9,660		1,428,913
AXA S.A. (France)1		4,550		85,206
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		164,500		1,746,335
Mapfre S.A. (Spain)1		282,140		1,033,356
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		3,955		792,212
Zurich Insurance Group AG (Switzerland)1		1,910		533,734
				6,616,392
Real Estate Investment Trusts (REITS) - 3.0%
Agree Realty Corp.		8,100		243,567
Alexandria Real Estate Equities, Inc.		32,410		2,358,476
Alstria Office REIT AG (Germany)1		53,410		647,113
American Assets Trust, Inc.		13,520		456,435
American Campus Communities, Inc.		16,140		720,490
Apartment Investment & Management Co. - Class A		14,030		436,473
Associated Estates Realty Corp.		33,230		593,820
AvalonBay Communities, Inc.		2,220		295,349
BioMed Realty Trust, Inc.		200,480		4,512,805

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

97

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
Boston Properties, Inc.		9,460	$	1,035,208
Camden Property Trust		6,960		503,486
Cedar Realty Trust, Inc.		38,840		248,964
Coresite Realty Corp.		25,980		939,956
Corporate Office Properties Trust		139,880		4,055,121
CubeSmart		34,780		611,085
Digital Realty Trust, Inc.		55,420		3,908,218
DuPont Fabros Technology, Inc.		176,380		4,434,193
Education Realty Trust, Inc.		37,860		416,081
Equity Lifestyle Properties, Inc.		5,540		450,125
Equity One, Inc.		19,330		492,722
Equity Residential		4,840		281,010
General Growth Properties, Inc.		31,930		725,450
HCP, Inc.		18,280		974,324
Health Care REIT, Inc.		18,460		1,383,946
Healthcare Realty Trust, Inc.		10,870		326,317
Healthcare Trust of America, Inc.*		46,150		575,952
Home Properties, Inc.		11,420		736,133
Host Hotels & Resorts, Inc.		56,824		1,038,174
Kimco Realty Corp.		39,340		935,505
Land Securities Group plc (United Kingdom)1		34,670		470,982
The Macerich Co.		4,530		317,327
Mack-Cali Realty Corp.		25,420		705,913
Mid-America Apartment Communities, Inc.		9,683		665,513
National Retail Properties, Inc.		16,210		643,213
Pebblebrook Hotel Trust		53,840		1,462,294
Potlatch Corp.		3,550		168,093
Public Storage		2,660		438,900
Realty Income Corp.		7,300		372,081
Simon Property Group, Inc.		9,050		1,611,534
Sovran Self Storage, Inc.		14,860		1,019,396
Tanger Factory Outlet Centers		7,210		267,635
Taubman Centers, Inc.		3,800		324,938
UDR, Inc.		34,130		838,915
Unibail-Rodamco SE (France)1		1,490		389,508
Vornado Realty Trust		1,740		152,354
				44,185,094
Real Estate Management & Development - 0.1%
General Shopping Brasil S.A. (Brazil)*		127,160		781,741
Thrifts & Mortgage Finance - 0.0%**
Aareal Bank AG (Germany)*1		11,235		270,772
Total Financials				83,861,220

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

98

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care - 7.4%
Biotechnology - 0.5%
Green Cross Corp. - Rights (South Korea)*1		1,038	$	29,692
Green Cross Corp. (South Korea)1		13,120		1,801,274
Incyte Corp. Ltd.*		33,550		743,133
Myriad Genetics, Inc.*		93,520		2,604,532
Protalix BioTherapeutics, Inc.*		118,360		671,101
Seattle Genetics, Inc.*		34,480		1,274,036
				7,123,768
Health Care Equipment & Supplies - 2.0%
Alere, Inc.*		90,100		2,313,768
Becton, Dickinson and Co.		108,520		10,233,436
BioMerieux (France)1		14,810		1,407,996
Carl Zeiss Meditec AG (Germany)1		13,920		426,700
The Cooper Companies, Inc.		10,060		1,110,624
DexCom, Inc.*		146,320		2,401,111
GN Store Nord A/S (Denmark)1		41,330		755,897
HeartWare International, Inc.*		12,170		1,182,924
Insulet Corp.*		54,990		1,387,948
Mindray Medical International Ltd. - ADR (China)		36,620		1,446,124
Neogen Corp.*		10,420		529,649
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		1,696,000		1,633,768
Sirona Dental Systems, Inc.*		18,580		1,366,373
Sonova Holding AG (Switzerland)1		5,880		640,556
Straumann Holding AG (Switzerland)1		4,169		547,290
Thoratec Corp.*		27,720		1,003,464
Volcano Corp.*		27,920		566,497
				28,954,125
Health Care Providers & Services - 0.2%
Life Healthcare Group Holdings Ltd. (South Africa)1		27,120		114,573
Odontoprev S.A. (Brazil)		49,950		249,157
Qualicorp S.A. (Brazil)*		116,760		1,136,233
Sonic Healthcare Ltd. (Australia)1		107,490		1,477,288
				2,977,251
Health Care Technology - 1.4%
Cerner Corp.*		200,336		19,386,515
Greenway Medical Technologies, Inc.*		99,970		1,346,596
				20,733,111
Life Sciences Tools & Services - 0.6%
Gerresheimer AG (Germany)1		4,250		242,838
Lonza Group AG (Switzerland)1		10,170		708,666

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

99

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Life Sciences Tools & Services (continued)
QIAGEN N.V. (Netherlands)*1		10,190	$	201,989
QIAGEN N.V. - ADR (Netherlands)*		348,009		6,918,419
				8,071,912
Pharmaceuticals - 2.7%
AstraZeneca plc (United Kingdom)1		2,540		131,879
AstraZeneca plc - ADR (United Kingdom)		16,540		858,757
Bayer AG (Germany)1		13,685		1,430,719
GlaxoSmithKline plc (United Kingdom)1		16,925		436,690
Johnson & Johnson		193,360		16,480,073
Novo Nordisk A/S - Class B (Denmark)1		100,560		17,701,057
Shire plc (Ireland)1		21,165		659,755
Takeda Pharmaceutical Co. Ltd. (Japan)1		3,000		164,705
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		9,790		374,859
UCB S.A. (Belgium)1		15,270		901,209
ViroPharma, Inc.*		29,600		806,600
				39,946,303
Total Health Care				107,806,470
Industrials - 3.8%
Airlines - 0.9%
Ryanair Holdings plc - ADR (Ireland)		15,080		653,567
Southwest Airlines Co.		751,845		10,300,277
Spirit Airlines, Inc.*		34,340		916,878
US Airways Group, Inc.*		64,670		1,092,923
				12,963,645
Commercial Services & Supplies - 0.1%
Aggreko plc (United Kingdom)1		12,870		356,764
Interface, Inc.		6,620		110,819
Tomra Systems ASA (Norway)1		65,630		614,588
				1,082,171
Electrical Equipment - 0.2%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		20,120		454,108
Alstom S.A. (France)1		21,220		871,467
Nexans S.A. (France)1		3,200		147,041
Polypore International, Inc.*		23,390		980,743
Prysmian S.p.A. (Italy)1		7,280		146,944
Schneider Electric S.A. (France)1		5,520		420,827
				3,021,130
Industrial Conglomerates - 0.1%
Siemens AG (Germany)1		20,100		2,100,189

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

100

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Machinery - 1.7%
AGCO Corp.		5,970	$	317,903
Astec Industries, Inc.		3,280		107,682
Deere & Co.		2,800		250,040
FANUC Corp. (Japan)1		9,000		1,358,569
Graham Corp.		6,030		146,529
Joy Global, Inc.		132,050		7,463,466
Kennametal, Inc.		7,580		303,124
KUKA AG (Germany)*1		3,910		177,023
Pall Corp.		150,460		10,037,187
Pentair Ltd. - ADR		8,300		451,105
Titan International, Inc.		13,680		305,201
Trinity Industries, Inc.		7,500		316,575
Turk Traktor ve Ziraat Makineleri AS (Turkey)1		25,900		980,199
Wabash National Corp.*		58,380		550,523
Westport Innovations, Inc. - ADR (Canada)*		32,240		1,001,697
Xylem, Inc.		10,100		280,275
				24,047,098
Marine - 0.1%
Baltic Trading Ltd.		15,120		52,466
D/S Norden A/S (Denmark)1		8,840		273,634
Diana Shipping, Inc. - ADR (Greece)*		6,580		62,444
Mitsui OSK Lines Ltd. (Japan)*1		20,000		83,287
Nippon Yusen Kabushiki Kaisha (Japan)1		36,000		93,980
Pacific Basin Shipping Ltd. (Hong Kong)1		120,000		68,645
Precious Shipping PCL (Thailand)1		362,900		220,386
Sinotrans Shipping Ltd. (China)1		964,500		236,507
				1,091,349
Professional Services - 0.5%
Adecco S.A. (Switzerland)1		130,540		6,982,423
ALS Ltd. (Australia)1		25,990		264,188
Experian plc (United Kingdom)1		27,980		492,300
				7,738,911
Trading Companies & Distributors - 0.1%
Brenntag AG (Germany)1		2,790		476,424
Fastenal Co.		4,470		219,254
Mills Estruturas e Servicos de Engenharia S.A. (Brazil)		32,600		535,743
MSC Industrial Direct Co., Inc. - Class A.		1,430		112,684
				1,344,105
Transportation Infrastructure - 0.1%
Groupe Eurotunnel S.A. (France)1		86,400		723,879

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

101

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Transportation Infrastructure (continued)
Koninklijke Vopak N.V. (Netherlands)1		3,670	$	203,235
Malaysia Airports Holdings Berhad (Malaysia)1		520,010		1,028,911
				1,956,025
Total Industrials				55,344,623
Information Technology - 10.4%
Communications Equipment - 2.8%
Alcatel-Lucent - ADR (France)*		343,850		471,075
Infinera Corp.*		166,450		1,401,509
Juniper Networks, Inc.*		1,353,876		22,406,648
Polycom, Inc.*		74,810		785,505
Qualcomm, Inc.		229,770		14,158,427
Riverbed Technology, Inc.*		56,950		846,277
				40,069,441
Computers & Peripherals - 2.4%
3D Systems Corp.*		1,695		64,817
Apple, Inc.		2,020		894,355
EMC Corp.*		1,522,200		34,142,946
Fusion-io, Inc.*		7,260		136,343
Stratasys Ltd.*		810		67,271
				35,305,732
Electronic Equipment, Instruments & Components - 0.2%
Hitachi Ltd. (Japan)1		236,000		1,508,239
Keyence Corp. (Japan)1		1,609		510,610
Rofin-Sinar Technologies, Inc.*		43,760		1,089,624
				3,108,473
Internet Software & Services - 1.7%
Google, Inc. - Class A*		22,070		18,198,260
LinkedIn Corp. - Class A*		8,210		1,577,059
Liquidity Services, Inc.*		39,540		1,300,866
LogMeIn, Inc.*		48,220		1,088,808
NHN Corp. (South Korea)1		2,800		755,123
SciQuest, Inc.*		34,130		780,212
Tencent Holdings Ltd. (China)1		34,600		1,193,640
				24,893,968
IT Services - 0.9%
Amdocs Ltd. - ADR		43,120		1,539,384
Cap Gemini S.A. (France)1		18,060		832,677
InterXion Holding NV - ADR (Netherlands)*		3,040		76,091
VeriFone Systems, Inc.*		420,100		9,023,748
Wirecard AG (Germany)1		60,100		1,615,560
				13,087,460

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

102

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Office Electronics - 0.0%**
Canon, Inc. (Japan)1		6,800	$	244,559
Semiconductors & Semiconductor Equipment - 0.2%
Samsung Electronics Co. Ltd. (South Korea)1		770		1,064,926
Skyworks Solutions, Inc.*		39,750		877,283
Sumco Corp. (Japan)1		5,000		52,485
Tokyo Electron Ltd. (Japan)1		12,000		614,210
				2,608,904
Software - 2.2%
Aspen Technology, Inc.*		2,410		73,457
Autodesk, Inc.*		180,470		7,106,909
Aveva Group plc (United Kingdom)1		6,980		240,940
Electronic Arts, Inc.*		1,189,460		20,946,391
MICROS Systems, Inc.*		19,680		834,629
RealPage, Inc.*		48,360		986,544
SAP AG (Germany)1		16,750		1,335,343
Temenos Group AG (Switzerland)*1		21,830		516,269
				32,040,482
Total Information Technology				151,359,019
Materials - 3.5%
Chemicals - 2.6%
Air Products & Chemicals, Inc.		78,610		6,835,926
BASF SE (Germany)1		6,070		568,228
Flotek Industries, Inc.*		13,180		211,407
Johnson Matthey plc (United Kingdom)1		15,532		585,909
Linde AG (Germany)1		6,790		1,285,643
Monsanto Co.		189,820		20,276,572
Shin-Etsu Chemical Co. Ltd. (Japan)1		1,700		114,601
Syngenta AG (Switzerland)1		18,360		7,849,256
Tronox Ltd. - Class A		14,900		306,046
Umicore S.A. (Belgium)1		8,190		379,575
Yingde Gases (China)1		252,000		243,011
				38,656,174
Construction Materials - 0.1%
CRH plc (Ireland)1		20,710		445,532
Holcim Ltd. (Switzerland)1		3,450		269,117
				714,649
Metals & Mining - 0.8%
Alcoa, Inc.		1,272,140		10,813,190
Alumina Ltd. (Australia)*1		282,210		282,208
Impala Platinum Holdings Ltd. (South Africa)1		13,980		191,588
Noranda Aluminum Holding Corp.		65,700		250,317

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

103

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining (continued)
Norsk Hydro ASA (Norway)1		49,630	$	233,738
				11,771,041
Total Materials				51,141,864
Telecommunication Services - 1.3%
Diversified Telecommunication Services - 1.2%
Swisscom AG - ADR (Switzerland)3		9,800		461,286
Telefonica S.A. - ADR (Spain)		51,840		755,309
Telenor ASA (Norway)1		713,370		16,075,753
Telenor ASA - ADR (Norway)3		12,530		844,898
Vivendi S.A. (France)1		7,770		176,005
				18,313,251
Wireless Telecommunication Services - 0.1%
MTN Group Ltd. (South Africa)1		13,620		245,786
SK Telecom Co. Ltd. - ADR (South Korea)		63,500		1,237,615
				1,483,401
Total Telecommunication Services				19,796,652
Utilities - 0.1%
Independent Power Producers & Energy Traders - 0.1%
Dynegy, Inc.*		29,730		734,628
Multi-Utilities - 0.0%**
GDF Suez (France)1		4,147		88,913
Water Utilities - 0.0%**
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		19,030		438,477
Total Utilities				1,262,018
TOTAL COMMON STOCKS (Identified Cost $633,930,897)				758,146,647
PREFERRED STOCKS - 0.4%
Financials - 0.4%
Commercial Banks - 0.2%
BB&T Corp., Series D (non-cumulative), 5.85%		43,910		1,161,859
PNC Financial Services Group, Inc., Series Q (non-cumulative), 5.375%		48,600		1,248,534
U.S. Bancorp., Series F (non-cumulative), 6.50%5		30,400		910,784
				3,321,177
Diversified Financial Services - 0.1%
JPMorgan Chase & Co., Series P (non-cumulative), 5.45%		48,800		1,232,200
Real Estate Investment Trusts (REITS) - 0.1%
Boston Properties, Inc., Series F, 5.25%		6,000		152,760

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

104

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	SHARES/            PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
PREFERRED STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
Public Storage, Series Q, 6.50%		39,780	$	1,095,541
				1,248,301
TOTAL PREFERRED STOCKS
(Identified Cost $5,429,393)				5,801,678
CORPORATE BONDS - 21.0%
Convertible Corporate Bonds - 0.2%
Financials - 0.1%
Real Estate Investment Trusts (REITS) - 0.1%
BioMed Realty LP6 , 3.75%, 1/15/2030		850,000		1,110,844
Health Care - 0.0%**
Health Care Equipment & Supplies - 0.0%**
Alere, Inc., 3.00%, 5/15/2016		330,000		327,112
Information Technology - 0.0%**
Computers & Peripherals - 0.0%**
EMC Corp., Series B, 1.75%, 12/1/2013		335,000		471,931
Materials - 0.1%
Containers & Packaging - 0.1%
Owens-Brockway Glass Container, Inc.6, 3.00%, 6/1/2015		940,000		951,750
Total Convertible Corporate Bonds
(Identified Cost $2,629,085)				2,861,637
Non-Convertible Corporate Bonds - 20.8%
Consumer Discretionary - 2.3%
Auto Components - 0.0%**
UCI International, Inc., 8.625%, 2/15/2019		570,000		599,213
Hotels, Restaurants & Leisure - 0.4%
Choice Hotels International, Inc., 5.70%, 8/28/2020		366,000		404,430
International Game Technology, 7.50%, 6/15/2019		3,790,000		4,546,897
Yum! Brands, Inc., 3.875%, 11/1/2020		1,120,000		1,209,142
				6,160,469
Household Durables - 0.3%
NVR, Inc., 3.95%, 9/15/2022		500,000		522,400
Tupperware Brands Corp., 4.75%, 6/1/2021		2,745,000		2,946,123
Weekley Homes LLC - Weekley Finance Corp.6, 6.00%, 2/1/2023		550,000		570,625
				4,039,148
Internet & Catalog Retail - 0.0%**
Netflix, Inc.6, 5.375%, 2/1/2021		550,000		566,500

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

105

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Media - 1.0%
CCO Holdings LLC - CCO Holdings Capital Corp. 6, 5.25%, 3/15/2021		870,000	$	891,750
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		1,515,000		1,764,825
Discovery Communications LLC, 5.05%, 6/1/2020		1,350,000		1,583,969
Nara Cable Funding Ltd. (Spain)6, 8.875%, 12/1/2018		695,000		743,650
NBCUniversal Media LLC, 5.15%, 4/30/2020		2,270,000		2,750,053
Sirius XM Radio, Inc.6, 8.75%, 4/1/2015		495,000		554,400
Sirius XM Radio, Inc.6, 5.25%, 8/15/2022		545,000		562,713
Time Warner, Inc., 3.15%, 7/15/2015		125,000		131,305
Time Warner, Inc., 4.875%, 3/15/2020		1,200,000		1,397,278
Time Warner, Inc., 4.75%, 3/29/2021		1,650,000		1,915,422
Unitymedia Hessen GmbH & Co. KG - Unitymedia NRW GmbH (Germany)6, 5.50%, 1/15/2023		565,000		584,775
Virgin Media Finance plc (United Kingdom), 4.875%, 2/15/2022		545,000		555,900
Virgin Media Secured Finance plc (United Kingdom), 5.25%, 1/15/2021		545,000		587,299
				14,023,339
Multiline Retail - 0.1%
Target Corp., 6.00%, 1/15/2018		965,000		1,181,094
Specialty Retail - 0.4%
Advance Auto Parts, Inc., 4.50%, 1/15/2022		2,000,000		2,067,452
Dufry Finance SCA (Switzerland)6, 5.50%, 10/15/2020		525,000		547,810
The Home Depot, Inc., 5.40%, 3/1/2016		1,220,000		1,378,496
Lowe’s Companies, Inc., 6.10%, 9/15/2017		850,000		1,022,717
Rent-A-Center, Inc., 6.625%, 11/15/2020		775,000		848,625
				5,865,100
Textiles, Apparel & Luxury Goods - 0.1%
Jones Group, Inc. - Apparel Group Holdings - Apparel Group USA - Footwear Accessories Retail, 6.875%, 3/15/2019		545,000		589,963
VF Corp., 5.95%, 11/1/2017		880,000		1,050,516
				1,640,479
Total Consumer Discretionary				34,075,342

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

106

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Staples - 0.4%
Beverages - 0.1%
Beam, Inc., 5.375%, 1/15/2016		229,000	$	253,753
Constellation Brands, Inc., 7.25%, 9/1/2016		575,000		661,250
Constellation Brands, Inc., 7.25%, 5/15/2017		445,000		518,425
PepsiCo, Inc., 7.90%, 11/1/2018		163,000		217,233
				1,650,661
Food Products - 0.2%
C&S Group Enterprises LLC6, 8.375%, 5/1/2017		684,000		735,300
Kraft Foods Group, Inc., 6.125%, 8/23/2018		662,000		807,063
Land O’ Lakes, Inc.6, 6.00%, 11/15/2022		515,000		554,269
Mondelez International, Inc., 6.125%, 2/1/2018		288,000		345,582
Shearer’s Foods LLC - Chip Finance Corp.6, 9.00%, 11/1/2019		545,000		606,313
Tyson Foods, Inc., 4.50%, 6/15/2022		100,000		110,414
Wells Enterprises, Inc.6, 6.75%, 2/1/2020		540,000		585,900
				3,744,841
Tobacco - 0.1%
Vector Group Ltd.6, 7.75%, 2/15/2021		870,000		928,725
Total Consumer Staples				6,324,227
Energy - 1.3%
Energy Equipment & Services - 0.5%
Baker Hughes, Inc., 7.50%, 11/15/2018		935,000		1,227,859
Calfrac Holdings LP (Canada)6, 7.50%, 12/1/2020		1,140,000		1,174,200
Petroleum Geo-Services ASA (Norway)6, 7.375%, 12/15/2018		530,000		589,625
Schlumberger Oilfield plc6, 4.20%, 1/15/2021		400,000		456,826
SESI LLC, 6.375%, 5/1/2019		600,000		651,000
Shelf Drilling Holdings Ltd. (United Arab Emirates)6, 8.625%, 11/1/2018		545,000		583,150
Sidewinder Drilling, Inc.6, 9.75%, 11/15/2019		545,000		565,437
Thermon Industries, Inc., 9.50%, 5/1/2017		490,000		555,415
Weatherford International Ltd., 9.625%, 3/1/2019		1,245,000		1,646,230
				7,449,742
Oil, Gas & Consumable Fuels - 0.8%
Chesapeake Oilfield Operating LLC - Chesapeake Oilfield Finance, Inc.6, 7.125%, 11/15/2019		1,145,000		1,179,350

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

107

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
CVR Refining LLC - Coffeyville Finance, Inc.6, 6.50%, 11/1/2022		555,000	$	571,650
EOG Resources, Inc., 2.625%, 3/15/2023		1,145,000		1,151,933
EPL Oil & Gas, Inc.6, 8.25%, 2/15/2018		660,000		709,500
Gulfport Energy Corp.6, 7.75%, 11/1/2020		835,000		899,713
Lukoil International Finance B.V. (Russia)6, 3.416%, 4/24/2018		735,000		748,230
Northern Tier Energy LLC - Northern Tier Finance Corp.6, 7.125%, 11/15/2020		540,000		575,100
PBF Holding Co. LLC - PBF Finance Corp., 8.25%, 2/15/2020		525,000		593,250
Petrobras International Finance Co. (Brazil), 5.375%, 1/27/2021		3,115,000		3,439,792
Sabine Pass Liquefaction LLC6, 5.625%, 2/1/2021		820,000		848,700
Shell International Finance B.V. (Netherlands), 4.30%, 9/22/2019		910,000		1,059,300
				11,776,518
Total Energy				19,226,260
Financials - 11.4%
Capital Markets - 2.4%
BNP Paribas Home Loan Covered Bonds S.A. (France), 4.50%, 5/30/2014		EUR        300,000		413,028
BNP Paribas Home Loan Covered Bonds S.A. (France)6, 2.20%, 11/2/2015		5,370,000		5,559,561
BNP Paribas Home Loan Covered Bonds S.A. (France), 3.75%, 4/20/2020		EUR        300,000		461,704
Credit Suisse AG (Switzerland)6, 2.60%, 5/27/2016		2,995,000		3,164,718
Goldman Sachs Capital II7, 4.00%, 6/1/2043		2,005,000		1,710,265
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018		2,510,000		2,965,490
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		3,290,000		3,838,637
The Goldman Sachs Group, Inc., 5.25%, 7/27/2021		125,000		144,933
Jefferies Finance LLC - JFIN Co-Issuer Corp.6, 7.375%, 4/1/2020		875,000		910,000
Jefferies Group, Inc., 8.50%, 7/15/2019		2,895,000		3,675,327
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018		1,025,000		1,246,086
Morgan Stanley, 5.55%, 4/27/2017		1,210,000		1,365,849
Morgan Stanley, 7.30%, 5/13/2019		1,355,000		1,697,178
Morgan Stanley, 5.75%, 1/25/2021		3,560,000		4,237,368

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

108

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Capital Markets (continued)
Morgan Stanley, 5.50%, 7/28/2021		2,670,000	$	3,133,560
				34,523,704
Commercial Banks - 4.1%
Banco Santander S.A. (Spain), 3.875%, 2/6/2026		EUR        200,000		275,865
Bank of Montreal (Canada)6, 2.625%, 1/25/2016		1,845,000		1,947,398
Bank of Montreal (Canada)6, 1.95%, 1/30/2017		6,730,000		7,022,082
Bank of Nova Scotia (Canada)6, 1.65%, 10/29/2015		5,370,000		5,517,675
Barclays Bank plc (United Kingdom)6, 2.50%, 9/21/2015		5,370,000		5,586,228
Barclays Bank plc (United Kingdom), 4.25%, 1/12/2022		GBP        490,000		884,961
Canadian Imperial Bank of Commerce (Canada)6, 2.75%, 1/27/2016		1,950,000		2,065,050
Commonwealth Bank of Australia (Australia)6, 0.75%, 1/15/2016		1,575,000		1,578,308
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017		AUD        380,000		424,123
Intesa Sanpaolo S.p.A. (Italy), 3.125%, 1/15/2016		1,385,000		1,384,497
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021		1,425,000		1,550,913
KeyBank National Association, 5.45%, 3/3/2016		1,310,000		1,465,092
Manufacturers & Traders Trust Co., 6.625%, 12/4/2017		1,830,000		2,217,151
National Australia Bank, Ltd. (Australia)6, 1.25%, 3/8/2018		2,000,000		2,011,430
National Bank of Canada (Canada)6, 2.20%, 10/19/2016		3,120,000		3,278,496
National City Corp., 6.875%, 5/15/2019.		2,255,000		2,807,452
Pfandbriefbank der schweizerischen Hypothekarinstitute AG (Switzerland), 2.25%, 9/2/2016		CHF        385,000		441,976
PNC Bank National Association, 5.25%, 1/15/2017		1,035,000		1,173,043
Royal Bank of Canada (Canada), 3.27%, 11/10/2014		CAD        295,000		301,383
Royal Bank of Canada (Canada), 3.18%, 3/16/2015		CAD        465,000		476,802
Royal Bank of Canada (Canada)6, 3.125%, 4/14/2015		4,725,000		4,963,613
Royal Bank of Canada (Canada), 1.20%, 9/19/2017		1,390,000		1,403,205
Royal Bank of Canada (Canada), 3.77%, 3/30/2018		CAD        445,000		479,612
Santander Holdings USA, Inc., 4.625%, 4/19/2016		370,000		397,232
The Toronto-Dominion Bank (Canada)6, 2.20%, 7/29/2015		5,370,000		5,575,134

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

109

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Commercial Banks (continued)
Wachovia Corp., 5.25%, 8/1/2014		1,270,000	$	1,340,788
Wells Fargo & Co., Series M, 3.45%, 2/13/2023		1,355,000		1,382,631
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017		AUD        400,000		446,762
Westpac Banking Corp. (Australia)6, 1.25%, 12/15/2017		1,270,000		1,277,518
				59,676,420
Consumer Finance - 0.7%
American Express Co., 2.65%, 12/2/2022		4,578,000		4,587,586
American Express Co.7, 6.80%, 9/1/2066		930,000		1,017,187
Caterpillar Financial Services Corp., 7.05%, 10/1/2018		815,000		1,046,393
Credit Acceptance Corp., 9.125%, 2/1/2017		520,000		566,800
General Motors Financial Co., Inc.6, 4.75%, 8/15/2017		845,000		891,475
John Deere Capital Corp., 5.50%, 4/13/2017		275,000		320,907
John Deere Capital Corp., 5.75%, 9/10/2018		1,455,000		1,773,734
				10,204,082
Diversified Financial Services - 1.8%
Bank of America Corp., 5.75%, 8/15/2016		840,000		936,811
Bank of America Corp., 3.30%, 1/11/2023		600,000		607,697
The Bear Stearns Companies LLC, 7.25%, 2/1/2018		85,000		105,850
Citigroup, Inc., 8.50%, 5/22/2019		5,323,000		7,160,558
Citigroup, Inc., 4.05%, 7/30/2022		1,350,000		1,403,276
CME Group, Inc., 3.00%, 9/15/2022		2,540,000		2,595,237
CNG Holdings, Inc.6, 9.375%, 5/15/2020		910,000		900,900
CNH Capital LLC, 6.25%, 11/1/2016		520,000		575,900
General Electric Capital Corp., 5.625%, 5/1/2018		625,000		743,372
General Electric Capital Corp., 5.50%, 1/8/2020		4,145,000		4,983,231
ING US, Inc. (Netherlands)6, 2.90%, 2/15/2018		85,000		86,993
ING US, Inc. (Netherlands)6, 5.50%, 7/15/2022		1,185,000		1,347,499
JPMorgan Chase & Co., 4.95%, 3/25/2020		3,130,000		3,641,871
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.6, 7.375%, 10/1/2017		540,000		560,925

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

110

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Diversified Financial Services (continued)
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.6, 8.875%, 8/1/2020		1,005,000	$	1,060,275
				26,710,395
Insurance - 1.1%
American International Group, Inc., 4.875%, 6/1/2022		3,645,000		4,198,581
Fidelity National Financial, Inc., 6.60%, 5/15/2017		2,025,000		2,305,916
First American Financial Corp., 4.30%, 2/1/2023		1,350,000		1,424,180
Genworth Holdings, Inc., 7.625%, 9/24/2021		3,410,000		4,276,696
Genworth Holdings, Inc.7, 6.15%, 11/15/2066		600,000		566,250
Hartford Financial Services Group, Inc., 5.125%, 4/15/2022		2,535,000		3,004,218
				15,775,841
Real Estate Investment Trusts (REITS) - 1.3%
American Campus Communities Operating Partnership LP, 3.75%, 4/15/2023		665,000		698,408
BioMed Realty LP, 3.85%, 4/15/2016		1,145,000		1,216,960
Boston Properties LP, 5.875%, 10/15/2019		1,385,000		1,685,958
Camden Property Trust, 5.70%, 5/15/2017		980,000		1,124,829
Corrections Corp. of America6, 4.125%, 4/1/2020		865,000		893,113
Digital Realty Trust LP, 5.875%, 2/1/2020		200,000		233,865
Digital Realty Trust LP, 5.25%, 3/15/2021		1,870,000		2,131,185
HCP, Inc., 6.70%, 1/30/2018		1,270,000		1,547,824
Health Care REIT, Inc., 6.20%, 6/1/2016		1,240,000		1,422,392
Health Care REIT, Inc., 4.95%, 1/15/2021		275,000		312,119
Host Hotels & Resorts LP, Series D, 3.75%, 10/15/2023		1,490,000		1,519,800
Mack-Cali Realty LP, 7.75%, 8/15/2019.		875,000		1,118,382
National Retail Properties, Inc., 3.30%, 4/15/2023		1,265,000		1,265,517
Simon Property Group LP, 10.35%, 4/1/2019		1,290,000		1,876,153
UDR, Inc., 4.625%, 1/10/2022		1,980,000		2,230,017
				19,276,522
Total Financials				166,166,964

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

111

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Health Care - 0.7%
Health Care Equipment & Supplies - 0.2%
Alere, Inc.6, 7.25%, 7/1/2018		550,000	$	592,625
CR Bard, Inc., 4.40%, 1/15/2021		925,000		1,045,647
Fresenius Medical Care US Finance, Inc. (Germany), 6.875%, 7/15/2017		685,000		791,175
Fresenius Medical Care US Finance, Inc. (Germany)6, 6.50%, 9/15/2018		290,000		335,675
Fresenius US Finance II, Inc.6, 9.00%, 7/15/2015		615,000		708,787
				3,473,909
Health Care Providers & Services - 0.3%
Express Scripts Holding Co., 4.75%, 11/15/2021		1,250,000		1,444,645
Health Management Associates, Inc., 6.125%, 4/15/2016		745,000		821,362
UnitedHealth Group, Inc., 4.70%, 2/15/2021		1,460,000		1,699,879
				3,965,886
Pharmaceuticals - 0.2%
Novartis Securities Investment Ltd. (Switzerland), 5.125%, 2/10/2019		1,245,000		1,491,381
Valeant Pharmaceuticals International (Canada)6, 6.75%, 8/15/2021		550,000		607,750
				2,099,131
Total Health Care				9,538,926
Industrials - 1.5%
Aerospace & Defense - 0.3%
The Boeing Co., 6.00%, 3/15/2019		980,000		1,211,977
Bombardier, Inc. (Canada)6 , 4.25%, 1/15/2016		545,000		568,844
Bombardier, Inc. (Canada)6 , 6.125%, 1/15/2023		545,000		589,281
DigitalGlobe, Inc.6, 5.25%, 2/1/2021		545,000		550,450
Ducommun, Inc., 9.75%, 7/15/2018		815,000		900,575
Textron, Inc., 7.25%, 10/1/2019		940,000		1,142,150
				4,963,277
Air Freight & Logistics - 0.1%
Aguila 3 S.A. (Luxembourg)6, 7.875%, 1/31/2018		580,000		624,950
FedEx Corp., 8.00%, 1/15/2019		785,000		1,032,151
				1,657,101
Airlines - 0.3%
Aviation Capital Group Corp.6, 4.625%, 1/31/2018		540,000		563,277
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B, 6.375%, 1/2/2016		545,000		568,162

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

112

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Airlines (continued)
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015.		290,000	$	305,225
Southwest Airlines Co., 5.25%, 10/1/2014		945,000		997,548
Southwest Airlines Co., 5.75%, 12/15/2016.		1,580,000		1,782,270
				4,216,482
Commercial Services & Supplies - 0.2%
Clean Harbors, Inc., 5.25%, 8/1/2020		610,000		645,075
Garda World Security Corp. (Canada)6, 9.75%, 3/15/2017		540,000		580,500
Waste Management, Inc., 7.375%, 3/11/2019		1,110,000		1,403,147
				2,628,722
Industrial Conglomerates - 0.0%**
Tyco Electronics Group S.A. (Switzerland), 4.875%, 1/15/2021		365,000		409,726
Machinery - 0.2%
Dynacast International LLC - Dynacast Finance, Inc., 9.25%, 7/15/2019		805,000		889,525
Joy Global, Inc., 5.125%, 10/15/2021		120,000		136,269
Kennametal, Inc., 3.875%, 2/15/2022		1,245,000		1,319,248
				2,345,042
Marine - 0.1%
Navios Maritime Holdings, Inc. - Navios Maritime Finance US, Inc., 8.875%, 11/1/2017		815,000		856,769
Professional Services - 0.0%**
FTI Consulting, Inc.6 , 6.00%, 11/15/2022.		540,000		576,450
Road & Rail - 0.2%
JB Hunt Transport Services, Inc., 3.375%, 9/15/2015		515,000		535,273
Union Pacific Corp., 5.65%, 5/1/2017		810,000		944,723
Union Pacific Corp., 2.95%, 1/15/2023.		1,240,000		1,292,547
				2,772,543
Trading Companies & Distributors - 0.1%
International Lease Finance Corp., 5.625%, 9/20/2013		650,000		659,750
Rexel S.A.6, 5.25%, 6/15/2020		875,000		923,125
				1,582,875
Total Industrials				22,008,987

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

113

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Information Technology - 0.8%
Communications Equipment - 0.1%
Hughes Satellite Systems Corp., 6.50%, 6/15/2019		515,000	$	572,937
ViaSat, Inc., 6.875%, 6/15/2020		565,000		615,850
				1,188,787
Computers & Peripherals - 0.2%
Apple, Inc., 2.40%, 5/3/2023		575,000		574,235
Hewlett-Packard Co., 4.75%, 6/2/2014.		1,920,000		1,996,940
				2,571,175
Electronic Equipment, Instruments & Components - 0.2%
Amphenol Corp., 4.00%, 2/1/2022		635,000		679,102
Corning, Inc., 6.625%, 5/15/2019		1,000,000		1,246,934
Corning, Inc., 4.25%, 8/15/2020		115,000		129,750
CPI International, Inc., 8.00%, 2/15/2018		595,000		623,263
				2,679,049
IT Services - 0.1%
The Western Union Co., 5.253%, 4/1/2020		1,350,000		1,474,628
Software - 0.2%
Autodesk, Inc., 3.60%, 12/15/2022		2,605,000		2,651,734
Interface Security Systems Holdings, Inc. - Interface Security Systems LLC6, 9.25%, 1/15/2018		540,000		560,250
Nuance Communications, Inc.6, 5.375%, 8/15/2020		545,000		566,800
				3,778,784
Total Information Technology				11,692,423
Materials - 1.3%
Chemicals - 0.4%
Ashland, Inc.6, 3.875%, 4/15/2018		570,000		587,100
E.I. du Pont de Nemours & Co., 6.00%, 7/15/2018		925,000		1,141,424
Eastman Chemical Co., 3.60%, 8/15/2022		1,235,000		1,310,833
Nufarm Australia Ltd. (Australia)6, 6.375%, 10/15/2019		1,085,000		1,114,837
Rentech Nitrogen Partners LP - Rentech Nitrogen Finance Corp.6, 6.50%, 4/15/2021		940,000		963,500
Trinseo Materials Operating SCA - Trinseo Materials Finance, Inc. (Luxembourg)6, 8.75%, 2/1/2019		545,000		545,000
				5,662,694

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

114

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Containers & Packaging - 0.1%
Reynolds Group Issuer, Inc. - Reynolds Group Issuer LLC - Reynolds Group Issuer (Luxembourg) S.A., 5.75%, 10/15/2020		855,000	$	895,613
Metals & Mining - 0.6%
Allegheny Technologies, Inc., 5.95%, 1/15/2021		1,970,000		2,224,382
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		960,000		1,222,548
Cliffs Natural Resources, Inc., 5.90%, 3/15/2020		60,000		64,489
Cliffs Natural Resources, Inc., 4.80%, 10/1/2020		580,000		585,922
Freeport-McMoRan Copper & Gold, Inc.6, 2.375%, 3/15/2018		105,000		105,755
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/2022		1,330,000		1,330,454
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021		1,620,000		1,731,092
Shale-Inland Holdings LLC - Shale-Inland Finance Corp.6, 8.75%, 11/15/2019		545,000		576,337
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		1,290,000		1,324,186
				9,165,165
Paper & Forest Products - 0.2%
International Paper Co., 7.50%, 8/15/2021		1,425,000		1,882,918
Smurfit Kappa Acquisitions (Ireland)6, 4.875%, 9/15/2018		1,410,000		1,462,875
				3,345,793
Total Materials				19,069,265
Telecommunication Services - 0.8%
Diversified Telecommunication Services - 0.4%
Digicel Ltd. (Jamaica)6, 6.00%, 4/15/2021		570,000		571,425
Inmarsat Finance plc (United Kingdom)6, 7.375%, 12/1/2017		505,000		535,931
UPCB Finance VI Ltd. (Netherlands)6, 6.875%, 1/15/2022		650,000		713,375
Verizon Communications, Inc., 8.75%, 11/1/2018		1,788,000		2,415,472
Windstream Corp., 7.50%, 6/1/2022		770,000		848,925
				5,085,128
Wireless Telecommunication Services - 0.4%
Crown Castle Towers LLC6, 6.113%, 1/15/2020		1,045,000		1,284,121
Crown Castle Towers LLC6, 4.883%, 8/15/2020		353,000		407,409
SBA Tower Trust6 , 5.101%, 4/17/2017		575,000		642,400

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

115

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4/           SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Telecommunication Services (continued)
Wireless Telecommunication Services (continued)
SBA Tower Trust6, 2.933%, 12/15/2017.		1,285,000	$	1,331,011
Telefonica Emisiones S.A.U. (Spain), 3.192%, 4/27/2018		2,445,000		2,474,724
				6,139,665
Total Telecommunication Services				11,224,793
Utilities - 0.3%
Electric Utilities - 0.2%
Southwestern Electric Power Co., 6.45%, 1/15/2019		1,025,000		1,249,881
System Energy Resources, Inc., 4.10%, 4/1/2023		1,560,000		1,647,826
				2,897,707
Independent Power Producers & Energy Traders - 0.1%
Exelon Generation Co. LLC, 5.20%, 10/1/2019		815,000		935,327
Exelon Generation Co. LLC, 4.00%, 10/1/2020		160,000		171,603
				1,106,930
Total Utilities				4,004,637
Total Non-Convertible Corporate Bonds
(Identified Cost $283,494,114)				303,331,824
TOTAL CORPORATE BONDS
(Identified Cost $286,123,199)				306,193,461
MUTUAL FUNDS - 0.0%**
iShares S&P India Nifty 50 Index Fund.		13,700		349,076
PowerShares India Portfolio		16,900		319,748
TOTAL MUTUAL FUNDS
(Identified Cost $654,978)				668,824
U.S. TREASURY SECURITIES - 1.0%
U.S. Treasury Notes - 1.0%
U.S. Treasury Note, 2.625%, 4/30/2018
(Identified Cost $13,779,334)		13,000,000		14,254,292
ASSET-BACKED SECURITIES - 0.2%
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		1,376,188		1,426,129
Ford Credit Auto Owner Trust, Series 2012-D, Class A3, 0.51%, 4/15/2017.		990,000		990,372
Hertz Vehicle Financing LLC, Series 2009-2A, Class A26, 5.29%, 3/25/2016		470,000		506,350

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

116

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		700,000	$	750,488
TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,535,391)				3,673,339
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.6%
Americold LLC Trust, Series 2010-ARTA, Class A16, 3.847%, 1/14/2029		257,055		276,086
BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A6, 2.959%, 12/10/2030		640,000		660,417
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A47, 5.729%, 5/10/2045		3,155,000		3,563,450
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046		850,000		956,001
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		2,020,000		2,181,150
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A47, 5.716%, 9/11/2038		605,000		682,271
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		695,000		785,577
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26, 3.759%, 4/15/2044		420,000		449,045
Citigroup - Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A47, 5.218%, 7/15/2044		420,000		459,165
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16, 3.156%, 7/10/2046		408,966		429,252
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class A3, 2.853%, 10/15/2045		895,000		917,905
Commercial Mortgage Trust, Series 2006-GG7, Class A47, 5.86%, 7/10/2038		615,000		696,539
Credit Suisse Mortgage Capital Certificates, Series 2013-TH1, Class A16,7, 2.13%, 2/25/2043		1,386,343		1,377,699
DBUBS Mortgage Trust, Series 2011-LC1A, Class A16, 3.742%, 11/10/2046.		328,623		352,545
Extended Stay America Trust, Series 2013-ESH7, Class A276, 2.958%, 12/5/2031		1,410,000		1,446,220
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class A2, 2.377%, 5/25/2022		1,255,000		1,266,052
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017		1,190,000		1,207,458

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

117

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019		1,325,000	$	1,358,467
FREMF Mortgage Trust, Series 2011-K701, Class B6,7, 4.286%, 7/25/2048		550,000		595,602
FREMF Mortgage Trust, Series 2011-K702, Class B6,7, 4.77%, 4/25/2044		675,000		746,923
GS Mortgage Securities Corp. II, Series 2010-C2, Class A16, 3.849%, 12/10/2043.		705,692		760,795
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A47, 5.294%, 1/12/2043		1,605,000		1,762,012
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A47, 5.201%, 12/15/2044.		325,000		356,318
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A47, 5.861%, 4/15/2045		1,460,000		1,654,732
JP Morgan Mortgage Trust, Series 2013-1, Class 1A26,7, 3.00%, 3/1/2043		1,364,979		1,395,466
LSTAR Commercial Mortgage Trust, Series 2011-1, Class A6, 3.913%, 6/25/2043		216,430		223,952
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4A7, 5.23%, 9/15/2042		342,526		369,689
Morgan Stanley Capital I Trust, Series 2011-C1, Class A26, 3.884%, 9/15/2047		765,000		822,741
Motel 6 Trust, Series 2012-MTL6, Class A26, 1.948%, 10/5/2025		895,000		903,879
OBP Depositor LLC Trust, Series 2010-OBP, Class A, 4.646%, 7/15/2045		115,000		134,138
Sequoia Mortgage Trust, Series 2013-2, Class A17, 1.874%, 2/25/2043		1,259,113		1,244,987
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX6, 4.004%, 9/13/2028		350,000		392,305
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A47, 5.239%, 10/15/2044		2,119,991		2,313,557
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A37, 6.011%, 6/15/2045		750,000		854,533
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26, 4.393%, 11/15/2043		600,000		686,024
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.918%, 10/15/2045		1,720,000		1,766,552
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A26, 3.791%, 2/15/2044		575,000		618,080

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

118

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A2, 2.029%, 3/15/2045		1,465,000	$	1,515,932
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $37,176,916)				38,183,516
FOREIGN GOVERNMENT BONDS - 2.7%
Bonos de la Tesoreria de la Republica en pesos (Chile), 6.00%, 1/1/2018	CLP	805,000,000		1,767,598
Canada Housing Trust No. 1 (Canada)6, 4.10%, 12/15/2018	CAD	385,000		432,784
Denmark Government Bond (Denmark), 4.00%, 11/15/2017	DKK	2,125,000		438,859
Indonesia Treasury Bond (Indonesia), 7.00%, 5/15/2022	IDR	3,687,000,000		420,794
Ireland Government Bond (Ireland), 5.00%, 10/18/2020	EUR	295,000		433,761
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022	EUR	625,000		930,590
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022	EUR	385,000		573,066
Italy Buoni Poliennali Del Tesoro (Italy)6, 5.00%, 3/1/2025	EUR	490,000		702,222
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016	JPY	100,300,000		1,032,275
Japan Government Ten Year Bond (Japan), 1.00%, 12/20/2021	JPY	58,000,000		618,385
Japan Government Two Year Bond (Japan), 0.10%, 1/15/2014	JPY	44,000,000		451,344
Japan Government Two Year Bond (Japan), 0.10%, 3/15/2014	JPY	71,000,000		728,243
Korea Treasury Bond (Korea), 4.50%, 3/10/2015	KRW	940,000,000		883,837
Malaysia Government Bond (Malaysia), 3.434%, 8/15/2014	MYR	1,520,000		502,874
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016	MYR	3,275,000		1,119,460
Mexican Government Bond (Mexico), 8.00%, 12/17/2015	MXN	26,069,000		2,358,373
Mexican Government Bond (Mexico), 7.25%, 12/15/2016	MXN	5,945,000		541,763
Portugal Obrigacoes do Tesouro OT (Portugal), 4.80%, 6/15/2020	EUR	175,000		223,691
Portugal Obrigacoes do Tesouro OT (Portugal), 4.95%, 10/25/2023	EUR	185,000		229,266
Province of Manitoba Canada, Series FH (Canada), 4.90%, 12/6/2016		1,400,000		1,611,679
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017		3,200,000		3,719,360
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017		2,000,000		2,314,800
Province of Ontario Canada (Canada), 2.30%, 5/10/2016		5,000,000		5,251,000
Province of Quebec Canada (Canada), 5.125%, 11/14/2016		4,600,000		5,308,400

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

119

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
FOREIGN GOVERNMENT BONDS (continued)
Singapore Government Bond (Singapore), 2.50%, 6/1/2019	SGD	845,000	$	757,511
Spain Government Bond (Spain), 4.50%, 1/31/2018	EUR	325,000		457,499
Spain Government Bond (Spain), 4.00%, 4/30/2020	EUR	510,000		691,646
Spain Government Bond (Spain)6, 5.40%, 1/31/2023	EUR	355,000		513,545
State of Berlin (Germany), 3.00%, 3/29/2016	EUR	315,000		445,430
Sweden Government Bond (Sweden), 4.50%, 8/12/2015	SEK	2,785,000		464,985
Thailand Government Bond (Thailand), 2.80%, 10/10/2017	THB	13,525,000		457,110
United Kingdom Gilt (United Kingdom), 2.75%, 1/22/2015	GBP	410,000		664,520
United Kingdom Gilt (United Kingdom), 1.75%, 1/22/2017	GBP	270,000		439,418
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017	GBP	565,000		892,027
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018	GBP	475,000		890,117
TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $38,071,973)				39,268,232
U.S. GOVERNMENT AGENCIES - 18.1%
Mortgage-Backed Securities - 7.2%
Fannie Mae, Pool #621881, 5.50%, 1/1/2017		582		622
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		1,423,652		1,551,143
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		100,775		109,800
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		127,816		140,360
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		902,300		983,103
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		165,994		182,284
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		1,566,476		1,706,758
Fannie Mae, Pool #990895, 5.50%, 10/1/2023		117,071		127,555
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		95,310		103,846
Fannie Mae, Pool #AK7413, 3.00%, 3/1/2027		2,419,280		2,558,867
Fannie Mae, Pool #AO6562, 3.00%, 6/1/2027		398,787		421,796
Fannie Mae, Pool #AP0000, 3.50%, 7/1/2027		985,450		1,051,411
Fannie Mae, Pool #AP7539, 3.00%, 9/1/2027		2,439,526		2,580,281
Fannie Mae, Pool #AB6580, 3.00%, 10/1/2027		663,939		702,247

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

120

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AL2720, 3.00%, 11/1/2027		2,054,892	$	2,173,455
Fannie Mae, Pool #AQ4426, 3.00%, 11/1/2027		847,273		896,159
Fannie Mae, Pool #AQ5073, 3.00%, 12/1/2027		235,769		252,320
Fannie Mae, Pool #AQ5190, 3.00%, 12/1/2027		283,744		300,116
Fannie Mae, Pool #AR4926, 3.00%, 1/1/2028		842,816		891,445
Fannie Mae, Pool #AR5885, 3.00%, 1/1/2028		215,047		227,454
Fannie Mae, Pool #AB7722, 3.50%, 1/1/2028		654,353		698,152
Fannie Mae, Pool #AR1092, 3.00%, 2/1/2028		505,579		539,805
Fannie Mae, Pool #AR5986, 3.00%, 2/1/2028		220,661		236,151
Fannie Mae, Pool #AB8457, 3.50%, 2/1/2028		1,095,641		1,168,978
Fannie Mae, Pool #AB8601, 3.00%, 3/1/2028		795,544		844,678
Fannie Mae, Pool #AL3301, 3.00%, 3/1/2028		1,759,532		1,861,053
Fannie Mae, Pool #AR6001, 3.00%, 3/1/2028		240,341		257,213
Fannie Mae, Pool #AR6002, 3.00%, 3/1/2028		373,603		398,895
Fannie Mae, Pool #AR6024, 3.00%, 3/1/2028		1,153,397		1,219,946
Fannie Mae, Pool #AR8950, 3.00%, 3/1/2028		595,377		629,729
Fannie Mae, Pool #AT3152, 3.00%, 4/1/2028		888,058		948,178
Fannie Mae, Pool #MA1405, 3.00%, 4/1/2028		283,961		300,345
Fannie Mae, Pool #MA1423, 3.50%, 4/1/2028		51,524		54,972
Fannie Mae, Pool #AT2899, 3.00%, 5/1/2028		444,029		469,649
Fannie Mae, Pool #888021, 6.00%, 12/1/2036		280,992		307,854
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		703,159		764,754
Fannie Mae, Pool #995050, 6.00%, 9/1/2037		727,687		797,251
Fannie Mae, Pool #AB8161, 6.00%, 12/1/2037		2,360,981		2,586,680
Fannie Mae, Pool #889576, 6.00%, 4/1/2038		1,547,844		1,693,876
Fannie Mae, Pool #889579, 6.00%, 5/1/2038		1,668,266		1,827,995
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		83,501		91,483
Fannie Mae, Pool #AD0119, 6.00%, 7/1/2038		1,401,295		1,534,013

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

121

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		5,008,076	$	5,480,567
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		143,592		157,319
Fannie Mae, Pool #AA7681, 4.50%, 6/1/2039		1,812,441		1,954,728
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039		478,259		520,154
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		2,410,868		2,600,135
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040		3,502,402		3,832,838
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		2,872,290		3,142,072
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		4,120,471		4,509,220
Fannie Mae, Pool #AL2581, 6.00%, 6/1/2040		2,188,741		2,397,975
Fannie Mae, Pool #890519, 6.00%, 10/1/2040		5,596,573		6,124,586
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041		1,494,605		1,611,940
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041		603,007		651,477
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041		434,451		469,373
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041		1,474,482		1,594,286
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041		370,741		400,541
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		531,027		573,044
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		160,057		175,838
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		116,578		128,072
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		90,570		99,967
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		160,295		177,734
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		67,429		72,343
Freddie Mac, Pool #E09019, 3.00%, 12/1/2027		544,175		577,115
Freddie Mac, Pool #E09022, 3.00%, 1/1/2028		290,637		308,230
Freddie Mac, Pool #J22551, 3.00%, 1/1/2028		549,193		580,034
Freddie Mac, Pool #J22427, 3.00%, 2/1/2028		439,634		468,856
Freddie Mac, Pool #G14708, 3.50%, 2/1/2028		662,805		711,061
Freddie Mac, Pool #E09026, 3.00%, 3/1/2028		1,476,140		1,565,492
Freddie Mac, Pool #E09029, 3.00%, 3/1/2028		1,326,233		1,406,511

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

122

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #E09031, 3.00%, 4/1/2028		146,717	$	155,598
Freddie Mac, Pool #J23444, 3.00%, 4/1/2028		271,117		287,528
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037		348,755		380,133
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		676,405		730,372
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		890,274		970,372
Freddie Mac, Pool #G04264, 5.50%, 4/1/2038		2,164,117		2,336,653
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		1,250,626		1,350,407
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		1,257,227		1,357,535
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038		4,067,329		4,419,295
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038		4,626,955		4,995,780
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		1,196,885		1,296,680
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		1,546,902		1,670,321
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039		2,738,138		2,932,294
Freddie Mac, Pool #A89760, 4.50%, 12/1/2039		410,958		440,098
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040		693,116		748,417
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040		428,567		462,760
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		1,141,478		1,244,177

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

123

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® EXTENDED TERM SERIES	PRINCIPAL            AMOUNT4/            SHARES		VALUE   (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		715,516	$	779,892
Total Mortgage-Backed Securities
(Identified Cost $104,378,900)				105,042,492
Other Agencies - 10.9%
Fannie Mae, 0.375%, 12/21/2015		15,000,000		15,001,425
Fannie Mae, 0.875%, 8/28/2017		34,000,000		34,264,418
Freddie Mac, 3.75%, 3/27/2019		37,000,000		42,734,741
Freddie Mac, 1.25%, 10/2/2019		15,000,000		15,064,710
Freddie Mac, 2.375%, 1/13/2022		28,614,000		30,086,562
Freddie Mac, 6.25%, 7/15/2032		14,960,000		22,313,768
Total Other Agencies
(Identified Cost $155,796,725)				159,465,624
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $260,175,625)				264,508,116
SHORT-TERM INVESTMENT - 3.0%
Dreyfus Cash Management, Inc. - Institutional Shares8, 0.05%,
(Identified Cost $43,588,217)		43,588,217		43,588,217
TOTAL INVESTMENTS - 100.9%
(Identified Cost $1,322,465,923)				1,474,286,322
LIABILITIES, LESS OTHER ASSETS - (0.9%)				(13,871,418	)
NET ASSETS - 100%			$	1,460,414,904

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS OPEN AT APRIL 30, 20139:
SETTLEMENT DATE	CONTRACTS TO         DELIVER		IN EXCHANGE         FOR		CONTRACTS         AT VALUE		UNREALIZED DEPRECIATION
05/08/2013		EUR      2,400,000	$	3,119,328	$	3,160,848	$	(41,520	)
06/06/2013		JPY      138,000,000	$	1,392,772	$	1,415,869	$	(23,097	)

ADR - American Depository Receipt

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

DKK - Danish Krone

EUR - Euro

GBP - British Pound

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

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

124

Investment Portfolio - April 30, 2013

(unaudited)

MYR - Malaysian Ringgit

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

*Non-income producing security.

**Less than 0.1%.

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 Stock Exchange.

³Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁴Amount is stated in USD unless otherwise noted.

⁵The rate shown is a fixed rate as of April 30, 2013; the rate becomes floating, based on LIBOR plus a spread, in 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 $112,938,636 or 7.73%, of the Series’ net assets as of April 30, 2013 (see Note 2 to the financial statements).

⁷The coupon rate is floating and is the effective rate as of April 30, 2013.

⁸Rate shown is the current yield as of April 30, 2013.

⁹The counterparty for all forward foreign currency exchange contracts is the Bank of New York Mellon Corp.

125

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

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $1,322,465,923) (Note 2)	$	1,474,286,322
Foreign currency (identified cost $959,513)		959,475
Cash		717,725
Interest receivable		5,323,587
Receivable for securities sold		2,304,461
Receivable for fund shares sold		1,375,454
Dividends receivable		905,173
Foreign tax reclaims receivable		336,641
Prepaid and other expenses		4,177
TOTAL ASSETS		1,486,213,015
LIABILITIES:
Accrued management fees (Note 3)		889,148
Accrued shareholder services fees (Class S) (Note 3)		162,251
Accrued distribution and services (Rule 12b-1) fees (Class C) (Class R) (Note 3)		104,082
Accrued fund accounting and administration fees (Note 3)		41,596
Accrued transfer agent fees (Note 3)		29,248
Accrued Chief Compliance Officer service fees (Note 3)		167
Payable for securities purchased		23,325,311
Payable for fund shares repurchased		1,016,066
Unrealized depreciation on foreign forward currency contracts (Note 2)		64,617
Accrued foreign capital gains tax (Note 2)		3,730
Other payables and accrued expenses		161,895
TOTAL LIABILITIES		25,798,111
TOTAL NET ASSETS	$	1,460,414,904
NET ASSETS CONSIST OF:
Capital stock	$	1,061,748
Additional paid-in-capital		1,251,150,735
Undistributed net investment income		3,972,228
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		52,465,002
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		151,765,191
TOTAL NET ASSETS	$	1,460,414,904

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

126

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

April 30, 2013 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($797,841,185/46,708,570 shares)	$	17.08
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($508,397,144/46,329,488 shares)	$	10.97
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($103,317,090/8,942,754 shares)	$	11.55
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($50,859,485/4,193,979 shares)	$	12.13

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

127

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

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Interest	$	8,135,696
Dividends (net of foreign taxes withheld, $191,471)		6,224,556
Total Investment Income		14,360,252
EXPENSES:
Management fees (Note 3)		5,191,723
Shareholder services fees (Class S) (Note 3)		978,775
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		468,095
Fund accounting and administration fees (Note 3)		123,027
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		111,620
Transfer agent fees (Note 3)		82,327
Directors’ fees (Note 3)		13,649
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		67,646
Miscellaneous		177,911
Total Expenses		7,215,889
NET INVESTMENT INCOME		7,144,363
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		54,198,547
Foreign currency and translation of other assets and liabilities		(143,056	)
		54,055,491
Net change in unrealized appreciation (depreciation) on-
Investments		78,758,936
Foreign currency and translation of other assets and liabilities		(66,803	)
		78,692,133
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		132,747,624
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	139,891,987

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

128

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	7,144,363		$	15,259,897
Net realized gain (loss) on investments and foreign currency		54,055,491			49,551,577
Net change in unrealized appreciation (depreciation) on investments and foreign currency		78,692,133			36,288,004
Net increase from operations		139,891,987			101,099,478
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(3,873,229	)		(9,026,428	)
From net investment income (Class I)		(3,809,400	)		(7,861,255	)
From net investment income (Class C)		(333,012	)		(859,372	)
From net investment income (Class R)		(247,733	)		(399,233	)
From net realized gain on investments (Class S)		(24,653,986	)		(21,181,721	)
From net realized gain on investments (Class I)		(18,872,811	)		(14,551,102	)
From net realized gain on investments (Class C)		(3,954,106	)		(2,996,587	)
From net realized gain on investments (Class R)		(1,729,274	)		(855,544	)
Total distributions to shareholders		(57,473,551	)		(57,731,242	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase from capital share transactions (Note 5)		32,186,791			187,555,878
Net increase in net assets		114,605,227			230,924,114
NET ASSETS:
Beginning of period		1,345,809,677			1,114,885,563
End of period (including undistributed net investment income of $3,972,228 and $5,091,239, respectively)	$	1,460,414,904		$	1,345,809,677

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

129

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	16.01		$	15.46		$	15.16		$	13.32		$	11.75		$	17.82
Income (loss) from investment operations:
Net investment income		0.08	1		0.19	1		0.23	1		0.22	1		0.17	1		0.22
Net realized and unrealized gain (loss) on investments		1.57			1.01			0.26			1.78			1.60			(4.36	)
Total from investment operations		1.65			1.20			0.49			2.00			1.77			(4.14	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.19	)		(0.19	)		(0.16	)		(0.20	)		(0.21	)
From net realized gain on investments		(0.50	)		(0.46	)		—			—			—			(1.72	)
Total distributions to shareholders		(0.58	)		(0.65	)		(0.19	)		(0.16	)		(0.20	)		(1.93	)
Net asset value - End of period	$	17.08		$	16.01		$	15.46		$	15.16		$	13.32		$	11.75
Net assets - End of period (000’s omitted)	$	797,841		$	792,804		$	716,536		$	676,524		$	511,700		$	424,876
Total return2		10.57	%		8.26	%		3.26	%		15.17	%		15.47	%		(25.70	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.07	%3		1.07	%		1.08	%		1.07	%		1.10	%		1.10	%
Net investment income		1.02	%3		1.20	%		1.49	%		1.52	%		1.48	%		1.50	%
Series portfolio turnover		27	%		58	%		65	%		62	%		62	%		76	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			N/A			N/A			0.00	%4		0.01	%		0.00	%4

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.

130

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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		$	10.38		$	10.26		$	9.08		$	8.10		$	10.00
Income (loss) from investment operations:
Net investment income		0.07	2		0.15	2		0.18	2		0.17	2		0.13	2		0.08
Net realized and unrealized gain (loss) on investments		1.00			0.66			0.17			1.22			1.10			(1.91	)
Total from investment operations		1.07			0.81			0.35			1.39			1.23			(1.83	)
Less distributions to shareholders:
From net investment income		(0.10	)		(0.23	)		(0.23	)		(0.21	)		(0.25	)		(0.07	)
From net realized gain on investments		(0.50	)		(0.46	)		—			—			—			—
Total distributions to shareholders		(0.60	)		(0.69	)		(0.23	)		(0.21	)		(0.25	)		(0.07	)
Net asset value - End of period	$	10.97		$	10.50		$	10.38		$	10.26		$	9.08		$	8.10
Net assets - End of period (000’s omitted)	$	508,397		$	429,157		$	321,632		$	278,210		$	98,015		$	1,084
Total return3		10.63	%		8.60	%		3.43	%		15.39	%		15.82	%		(18.46	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.82	%4		0.82	%		0.83	%		0.83	%		0.85	%		0.85	%4
Net investment income		1.24	%4		1.45	%		1.74	%		1.76	%		1.59	%		1.62	%4
Series portfolio turnover		27	%		58	%		65	%		62	%		62	%		76	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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.

131

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED						FOR THE PERIOD 1/4/101 TO 10/31/10
				10/31/12			10/31/11
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.02		$	10.86		$	10.74		$	10.00
Income from investment operations:
Net investment income2		0.01			0.05			0.08			0.06
Net realized and unrealized gain on investments		1.06			0.70			0.19			0.73
Total from investment operations		1.07			0.75			0.27			0.79
Less distributions to shareholders:
From net investment income		(0.04	)		(0.13	)		(0.15	)		(0.05	)
From net realized gain on investments		(0.50	)		(0.46	)		—			—
Total distributions to shareholders		(0.54	)		(0.59	)		(0.15	)		(0.05	)
Net asset value - End of period	$	11.55		$	11.02		$	10.86		$	10.74
Net assets - End of period (000’s omitted)	$	103,317		$	85,588		$	68,436		$	29,468
Total return3		10.08	%		7.51	%		2.49	%		7.97	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.82	%4		1.82	%		1.83	%		1.83	%4
Net investment income		0.26	%4		0.44	%		0.71	%		0.75	%4
Series portfolio turnover		27	%		58	%		65	%		62	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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 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^® Extended Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED						FOR THE PERIOD
				10/31/12			10/31/11			6/30/101 TO 10/31/10
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.54		$	11.36		$	11.22		$	10.00
Income from investment operations:
Net investment income2		0.04			0.10			0.11			0.02
Net realized and unrealized gain on investments		1.12			0.74			0.23			1.20
Total from investment operations		1.16			0.84			0.34			1.22
Less distributions to shareholders:
From net investment income		(0.07	)		(0.20	)		(0.20	)		—
From net realized gain on investments		(0.50	)		(0.46	)		—			—
Total distributions to shareholders		(0.57	)		(0.66	)		(0.20	)		—
Net asset value - End of period	$	12.13		$	11.54		$	11.36		$	11.22
Net assets - End of period (000’s omitted)	$	50,859		$	38,261		$	8,281		$	112
Total return3		10.43	%		8.03	%		3.04	%		12.20	%
Ratios (to average net assets)/Supplemental Data:
Expenses		1.32	%4		1.33	%		1.33	%		1.33	%4
Net investment income		0.75	%4		0.90	%		0.97	%		0.43	%4
Series portfolio turnover		27	%		58	%		65	%		62	%

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.

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

133

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 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 in each class at the beginning of the period and held for the entire period (November 1, 2012 to April 30, 2013).

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 each class in 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 class of 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 for each class in 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              11/1/12	ENDING ACCOUNT VALUE              4/30/13	EXPENSES PAID DURING PERIOD              11/1/12-4/30/13*	ANNUALIZED EXPENSE RATIO
Class S
Actual	$1,000.00	$1,143.50	$5.74	1.08%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.44	$5.41	1.08%
Class I
Actual	$1,000.00	$1,145.00	$4.41	0.83%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.68	$4.16	0.83%
Class C
Actual	$1,000.00	$1,139.70	$9.71	1.83%
Hypothetical (5% return before expenses)	$1,000.00	$1,015.72	$9.15	1.83%
Class R
Actual	$1,000.00	$1,142.60	$7.07	1.33%
Hypothetical (5% return before expenses)	$1,000.00	$1,018.20	$6.66	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 181/365 to reflect the one-half year period.

134

Portfolio Composition - Pro-Blend^® Maximum Term Series

As of April 30, 2013 (unaudited)

Sector Allocation3
Information Technology	17.1%
Consumer Discretionary	14.9%
Health Care	14.2%
Energy	12.2%
Industrials	11.2%
Financials	8.4%
Consumer Staples	6.9%
Materials	5.4%
Telecommunication Services	2.0%
Utilities	0.1%
3 Including common stocks and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings4
Hess Corp.	3.2%
Google, Inc. - Class A	2.6%
EMC Corp.	2.5%
DIRECTV	2.2%
Monsanto Co.	2.0%
Qualcomm, Inc.	1.7%
Johnson & Johnson	1.7%
Cerner Corp.	1.7%
Cameron International Corp.	1.7%
Alcoa, Inc.	1.7%
4 As a percentage of total investments.

135

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS - 85.2%
Consumer Discretionary - 13.8%
Auto Components - 0.1%
F.C.C. Co. Ltd. (Japan)1		7,700	$	195,205
Hankook Tire Co. Ltd. (South Korea)1		12,429		541,527
Mando Corp. (South Korea)1		1,100		84,061
Musashi Seimitsu Industry Co. Ltd. (Japan)1		8,100		195,684
Nissin Kogyo Co. Ltd. (Japan)1		11,000		243,252
				1,259,729
Automobiles - 0.7%
Hyundai Motor Co. (South Korea)1		1,000		181,583
Tesla Motors, Inc.*		11,890		641,941
Toyota Motor Corp. (Japan)1		4,300		249,563
Toyota Motor Corp. - ADR (Japan)		46,860		5,449,818
				6,522,905
Distributors - 0.0%**
Inchcape plc (United Kingdom)1		27,630		215,396
Anhanguera Educacional Participacoes S.A. (Brazil)		24,120		433,997
Hotels, Restaurants & Leisure - 2.1%
Accor S.A. (France)1		129,990		4,304,167
Arcos Dorados Holdings, Inc. (Argentina)		9,440		128,573
BJ’s Restaurants, Inc.*		137,570		4,718,651
Hyatt Hotels Corp. - Class A*		1,950		83,226
InterContinental Hotels Group plc (United Kingdom)1		8,698		256,992
Orient-Express Hotels Ltd. - ADR - Class A*		32,020		323,402
Yum! Brands, Inc.		135,250		9,213,230
				19,028,241
Household Durables - 0.2%
DR Horton, Inc.		11,590		302,267
Lennar Corp. - Class A		8,080		333,058
LG Electronics, Inc. (South Korea)1		3,720		298,169
NVR, Inc.*		140		144,200
Rodobens Negocios Imobiliarios S.A. (Brazil)		43,750		320,349
Toll Brothers, Inc.*		7,130		244,630
				1,642,673
Internet & Catalog Retail - 1.2%
Amazon.com, Inc.*		23,860		6,055,907
HomeAway, Inc.*		97,490		2,978,319
Ocado Group plc (United Kingdom)*1		207,710		548,499
Shutterfly, Inc.*		18,020		802,431
				10,385,156

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

136

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Leisure Equipment & Products - 0.0%**
Nikon Corp. (Japan)1		9,900	$	215,485
Media - 7.9%
British Sky Broadcasting Group plc (United Kingdom)1		21,600		283,083
DIRECTV*		341,000		19,286,960
Imax Corp. (Canada)*		16,100		411,033
Mediaset Espana Comunicacion S.A. (Spain)*1		97,570		764,759
News Corp. - Class A		188,530		5,838,774
Reed Elsevier plc - ADR (United Kingdom)		5,125		238,927
Societe Television Francaise 1 (France)1		39,080		412,903
Starz - Liberty Capital*		352,770		8,247,763
Time Warner, Inc.		156,530		9,357,363
Valassis Communications, Inc.		19,650		503,629
Viacom, Inc. - Class B		199,690		12,778,163
The Walt Disney Co.		178,740		11,232,022
Wolters Kluwer N.V. (Netherlands)1		17,270		382,160
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (Portugal)1		155,650		698,993
				70,436,532
Multiline Retail - 0.1%
Marks & Spencer Group plc (United Kingdom)1		35,350		225,011
PPR (France)1		1,965		432,832
				657,843
Specialty Retail - 1.3%
Aeropostale, Inc.*		21,630		317,096
American Eagle Outfitters, Inc.		10,370		201,697
Belle International Holdings Ltd. (Hong Kong)1		170,000		277,922
Chico’s FAS, Inc.		9,390		171,555
China ZhengTong Auto Services Holdings Ltd.*1		157,000		97,441
Dick’s Sporting Goods, Inc.		121,330		5,835,973
Group 1 Automotive, Inc.		2,890		174,787
Hennes & Mauritz AB - Class B (Sweden)1		6,720		238,652
Komeri Co. Ltd. (Japan)1		5,400		167,922
Penske Automotive Group, Inc.		5,850		180,882
Rent-A-Center, Inc.		8,660		302,494
Sonic Automotive, Inc. - Class A		9,350		205,607
Tiffany & Co.		50,150		3,695,052
				11,867,080
Textiles, Apparel & Luxury Goods - 0.1%
Adidas AG (Germany)1		4,050		423,497

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

137

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Textiles, Apparel & Luxury Goods (continued)
Burberry Group plc (United Kingdom)1		8,900	$	185,149
Daphne International Holdings Ltd. (China)1		252,000		262,753
Hugo Boss AG (Germany)*1		1,640		191,141
				1,062,540
Total Consumer Discretionary				123,727,577
Consumer Staples - 6.4%
Beverages - 2.3%
Anheuser-Busch InBev N.V. (Belgium)1		89,840		8,630,983
C&C Group plc (Ireland)*1		73,470		456,395
Carlsberg A/S - Class B (Denmark)1		4,950		460,193
Cia Cervecerias Unidas S.A. - ADR (Chile)		8,575		296,095
Cia de Bebidas das Americas (AmBev) - ADR (Brazil)		3,400		142,868
The Coca-Cola Co.		201,040		8,510,023
Diageo plc (United Kingdom)1		24,560		750,003
Kirin Holdings Co. Ltd. (Japan)1		26,100		456,723
SABMiller plc (United Kingdom)1		3,200		172,663
Tsingtao Brewery Co. Ltd. - Class H (China)1		70,000		469,534
				20,345,480
Food & Staples Retailing - 0.6%
Carrefour S.A. (France)1		24,970		741,587
Casino Guichard-Perrachon S.A. (France)1		2,880		311,512
Distribuidora Internacional de Alimentacion S.A. (Spain)1		62,700		486,014
The Fresh Market, Inc.*		1,710		69,990
Koninklijke Ahold N.V. (Netherlands)1		161,130		2,545,405
Raia Drogasil S.A. (Brazil)		14,500		155,744
Tesco plc (United Kingdom)1		196,090		1,115,357
Whole Foods Market, Inc.		2,030		179,290
				5,604,899
Food Products - 3.3%
Annie’s, Inc.*		1,280		48,371
Barry Callebaut AG (Switzerland)1		390		381,031
Biostime International Holdings Ltd. (China)1		33,000		190,416
Charoen Pokphand Foods PCL (Thailand)1		402,910		436,184
Danone S.A. (France)1		73,060		5,572,153
Glanbia plc (Ireland)*1		7,690		102,793
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)		128,690		419,170
Ingredion, Inc.		3,800		273,638
Kraft Foods Group, Inc.		122,370		6,300,831

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

138

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food Products (continued)
M Dias Branco S.A. (Brazil)		4,800	$	214,671
Nestle S.A. (Switzerland)1		63,880		4,555,443
Unilever plc - ADR (United Kingdom)		262,734		11,381,637
				29,876,338
Personal Products - 0.1%
Kao Corp. (Japan)1		8,900		307,745
Natura Cosmeticos S.A. (Brazil)		3,470		86,960
				394,705
Tobacco - 0.1%
Gudang Garam Tbk PT (Indonesia)1		34,500		175,510
Swedish Match AB (Sweden)1		11,100		385,064
				560,574
Total Consumer Staples				56,781,996
Energy - 12.1%
Energy Equipment & Services - 5.5%
Baker Hughes, Inc.		272,760		12,380,576
Bourbon S.A. (France)1		1,770		48,332
Calfrac Well Services Ltd. (Canada)		15,780		400,824
Cameron International Corp.*		242,120		14,902,486
CARBO Ceramics, Inc.		1,300		91,845
Cie Generale de Geophysique - Veritas (CGG - Veritas) (France)*1		5,472		118,374
Gulfmark Offshore, Inc. - Class A		2,450		101,969
Hornbeck Offshore Services, Inc.*		2,190		98,375
ION Geophysical Corp.*		22,000		137,280
Key Energy Services, Inc.*		11,080		65,815
National Oilwell Varco, Inc.		1,150		75,003
Petroleum Geo-Services ASA (Norway)1		14,000		205,694
Schlumberger Ltd.		172,730		12,856,294
SPT Energy Group, Inc. (China)1		92,000		44,972
Trican Well Service Ltd. (Canada)		44,200		577,371
Weatherford International Ltd. - ADR*		539,990		6,906,472
				49,011,682
Oil, Gas & Consumable Fuels - 6.6%
Apache Corp.		83,720		6,185,234
Cameco Corp. (Canada)		16,960		330,890
Chesapeake Energy Corp.		157,330		3,074,228
Cloud Peak Energy, Inc.*		19,370		378,490
Encana Corp. (Canada)		209,270		3,861,031
EOG Resources, Inc.		48,300		5,852,028
Hess Corp.		389,000		28,078,020
Pacific Rubiales Energy Corp. (Colombia)		11,440		241,870
Paladin Energy Ltd. (Australia)*2		127,940		102,865

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

139

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Petroleo Brasileiro S.A. - ADR (Brazil)		209,340	$	4,180,520
Range Resources Corp.		69,880		5,137,578
Royal Dutch Shell plc - Class B (Netherlands)1		7,474		262,169
Royal Dutch Shell plc - Class B - ADR (Netherlands)		7,420		517,842
Statoil ASA (Norway)1		11,920		291,818
Talisman Energy, Inc. (Canada)		40,030		479,987
				58,974,570
Total Energy				107,986,252
Financials - 5.2%
Commercial Banks - 0.2%
Cathay General BanCorp.		12,680		249,923
Hong Leong Financial Group Berhad (Malaysia)1		105,620		538,080
HSBC Holdings plc (United Kingdom)1		32,180		352,435
ICICI Bank Ltd. - ADR (India)		6,670		312,289
Sumitomo Mitsui Trust Holdings, Inc. (Japan)1		92,000		462,347
				1,915,074
Consumer Finance - 0.9%
American Express Co.		107,700		7,367,757
DFC Global Corp.*		13,930		188,055
				7,555,812
Diversified Financial Services - 1.4%
JSE Ltd. (South Africa)1		166,040		1,419,209
MarketAxess Holdings, Inc.		15,580		659,346
The McGraw-Hill Companies, Inc.		184,140		9,963,815
				12,042,370
Insurance - 0.6%
Admiral Group plc (United Kingdom)1		57,370		1,142,809
Allianz SE (Germany)1		7,740		1,144,905
AXA S.A. (France)1		4,615		86,423
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		118,400		1,256,937
Mapfre S.A. (Spain)1		226,030		827,849
Muenchener Rueckversicherungs AG (MunichRe) (Germany)1		3,663		733,722
Zurich Insurance Group AG (Switzerland)1		1,410		394,013
				5,586,658
Real Estate Investment Trusts (REITS) - 2.0%
Agree Realty Corp.		3,000		90,210
Alexandria Real Estate Equities, Inc.		3,800		276,526
Alstria Office REIT AG (Germany)1		41,540		503,296
American Assets Trust, Inc.		3,990		134,702

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

140

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Real Estate Investment Trusts (REITS) (continued)
American Campus Communities, Inc.		10,740	$	479,434
Apartment Investment & Management Co. - Class A		14,700		457,317
Associated Estates Realty Corp.		10,910		194,962
AvalonBay Communities, Inc.		1,710		227,498
BioMed Realty Trust, Inc.		34,100		767,591
Boston Properties, Inc.		3,220		352,365
Camden Property Trust		3,500		253,190
Cedar Realty Trust, Inc.		5,770		36,986
Coresite Realty Corp.		6,970		252,175
Corporate Office Properties Trust		20,750		601,543
CubeSmart		12,470		219,098
Digital Realty Trust, Inc.		37,750		2,662,130
DuPont Fabros Technology, Inc.		113,520		2,853,893
Education Realty Trust, Inc.		18,150		199,469
Equity Lifestyle Properties, Inc.		3,820		310,375
Equity One, Inc.		6,630		168,999
Equity Residential		3,720		215,983
General Growth Properties, Inc.		11,050		251,056
HCP, Inc.		7,450		397,085
Health Care REIT, Inc.		6,930		519,542
Healthcare Realty Trust, Inc.		2,240		67,245
Healthcare Trust of America, Inc.*		19,330		241,238
Home Properties, Inc.		7,540		486,028
Host Hotels & Resorts, Inc.		19,393		354,310
Kimco Realty Corp.		14,610		347,426
Land Securities Group plc (United Kingdom)1		18,400		249,958
The Macerich Co.		1,600		112,080
Mack-Cali Realty Corp.		8,340		231,602
Mid-America Apartment Communities, Inc.		5,100		350,523
National Retail Properties, Inc.		6,090		241,651
Pebblebrook Hotel Trust		26,950		731,962
Potlatch Corp.		1,240		58,714
Public Storage		950		156,750
Realty Income Corp.		3,130		159,536
Simon Property Group, Inc.		3,890		692,692
Sovran Self Storage, Inc.		6,630		454,818
Tanger Factory Outlet Centers		3,680		136,602
Taubman Centers, Inc.		1,360		116,294
UDR, Inc.		14,710		361,572
Unibail-Rodamco SE (France)1		440		115,022
Vornado Realty Trust		650		56,914
				18,148,362
Real Estate Management & Development - 0.1%
General Shopping Brasil S.A. (Brazil)*		77,220		474,725

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

141

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Thrifts & Mortgage Finance - 0.0%**
Aareal Bank AG (Germany)*1		9,707	$	233,946
Total Financials				45,956,947
Health Care - 13.6%
Biotechnology - 1.6%
Biogen Idec, Inc.*		19,390		4,245,053
Green Cross Corp. - Rights (South Korea)*1		774		22,133
Green Cross Corp. (South Korea)1		9,780		1,342,718
Incyte Corp. Ltd.*		22,330		494,609
Myriad Genetics, Inc.*		265,520		7,394,732
Protalix BioTherapeutics, Inc.*		79,270		449,461
Seattle Genetics, Inc.*		23,280		860,196
				14,808,902
Health Care Equipment & Supplies - 4.5%
Alere, Inc.*		546,900		14,044,392
Becton, Dickinson and Co.		93,015		8,771,315
BioMerieux (France)1		9,870		938,347
Carl Zeiss Meditec AG (Germany)1		9,260		283,854
The Cooper Companies, Inc.		6,750		745,200
DexCom, Inc.*		99,960		1,640,344
GN Store Nord A/S (Denmark)1		27,690		506,431
HeartWare International, Inc.*		8,890		864,108
Insulet Corp.*		62,200		1,569,928
Mindray Medical International Ltd. - ADR (China)		12,800		505,472
Neogen Corp.*		7,010		356,318
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		1,125,800		1,084,491
Sirona Dental Systems, Inc.*		15,580		1,145,753
Sonova Holding AG (Switzerland)1		3,900		424,859
Straumann Holding AG (Switzerland)1		1,250		164,095
Thoratec Corp.*		17,700		640,740
Volcano Corp.*		314,190		6,374,915
				40,060,562
Health Care Providers & Services - 0.6%
Life Healthcare Group Holdings Ltd. (South Africa)1		17,040		71,988
Odontoprev S.A. (Brazil)		32,770		163,461
Qualicorp S.A. (Brazil)*		80,180		780,260
Sonic Healthcare Ltd. (Australia)1		77,370		1,063,334
Universal Health Services, Inc. - Class B.		48,270		3,214,299
				5,293,342
Health Care Technology - 1.8%
Cerner Corp.*		155,830		15,079,669

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

142

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES			VALUE   (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Technology (continued)
Greenway Medical Technologies, Inc.*		66,570		$	896,698
					15,976,367
Life Sciences Tools & Services - 1.6%
Gerresheimer AG (Germany)1		2,810			160,559
Lonza Group AG (Switzerland)1		12,040			838,972
QIAGEN N.V. (Netherlands)*1		6,740			133,602
QIAGEN N.V. - ADR (Netherlands)*		425,570			8,460,332
Waters Corp.*		48,860			4,514,664
					14,108,129
Pharmaceuticals - 3.5%
AstraZeneca plc (United Kingdom)1		2,175			112,928
AstraZeneca plc - ADR (United Kingdom)		12,710			659,903
Bayer AG (Germany)1		11,706			1,223,822
GlaxoSmithKline plc (United Kingdom)1		14,755			380,701
Johnson & Johnson		177,810			15,154,746
Novo Nordisk A/S - Class B (Denmark)1		67,140			11,818,307
Shire plc (Ireland)1		16,590			517,143
Takeda Pharmaceutical Co. Ltd. (Japan)1		2,700			148,235
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		6,650			254,629
UCB S.A. (Belgium)1		10,000			590,183
ViroPharma, Inc.*		19,500			531,375
					31,391,972
Total Health Care					121,639,274
Industrials - 10.6%
Air Freight & Logistics - 1.1%
C.H. Robinson Worldwide, Inc.		157,530			9,355,707
Airlines - 2.0%			��
Ryanair Holdings plc - ADR (Ireland)		108,560			4,704,990
Southwest Airlines Co.		506,767			6,942,708
Spirit Airlines, Inc.*		227,270			6,068,109
					17,715,807
Commercial Services & Supplies - 0.1%
Aggreko plc (United Kingdom)1		8,460			234,516
Interface, Inc.		5,060			84,704
Tomra Systems ASA (Norway)1		47,870			448,275
					767,495
Electrical Equipment - 0.2%
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland)		13,740			310,112
Alstom S.A. (France)1		14,500			595,488

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

143

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Electrical Equipment (continued)
Nexans S.A. (France)1		2,050	$	94,198
Polypore International, Inc.*		16,300		683,459
Prysmian S.p.A. (Italy)1		2,710		54,700
Schneider Electric S.A. (France)1		4,200		320,194
				2,058,151
Industrial Conglomerates - 1.7%
General Electric Co.		256,140		5,709,361
Siemens AG (Germany)1		91,010		9,509,365
				15,218,726
Machinery - 3.7%
AGCO Corp.		4,010		213,533
Astec Industries, Inc.		2,380		78,135
Deere & Co.		2,000		178,600
FANUC Corp. (Japan)1		6,000		905,713
Graham Corp.		3,980		96,714
Joy Global, Inc.		219,460		12,403,879
Kennametal, Inc.		5,050		201,949
KUKA AG (Germany)*1		2,580		116,808
Pall Corp.		134,110		8,946,478
Pentair Ltd. - ADR		5,510		299,469
Titan International, Inc.		10,040		223,992
Trinity Industries, Inc.		5,500		232,155
Turk Traktor ve Ziraat Makineleri AS (Turkey)1		18,500		700,142
Wabash National Corp.*		38,180		360,037
Westport Innovations, Inc. - ADR (Canada)*		72,180		2,242,633
Xylem, Inc.		218,850		6,073,087
				33,273,324
Marine - 0.1%
Baltic Trading Ltd		11,570		40,148
D/S Norden A/S (Denmark)1		8,020		248,252
Diana Shipping, Inc. - ADR (Greece)*		4,140		39,289
Mitsui OSK Lines Ltd. (Japan)*1		14,000		58,301
Nippon Yusen Kabushiki Kaisha (Japan)1		22,000		57,432
Pacific Basin Shipping Ltd. (Hong Kong)1		80,000		45,763
Precious Shipping PCL (Thailand)1		239,600		145,507
Sinotrans Shipping Ltd. (China)1		651,300		159,707
				794,399
Professional Services - 0.6%
Adecco S.A. (Switzerland)1		87,130		4,660,476
ALS Ltd. (Australia)1		17,500		177,887

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

144

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Professional Services (continued)
Experian plc (United Kingdom)1		22,420	$	394,474
				5,232,837
Trading Companies & Distributors - 1.0%
Brenntag AG (Germany)1		1,930		329,569
Fastenal Co.		173,260		8,498,403
Mills Estruturas e Servicos de Engenharia S.A. (Brazil)		23,400		384,552
MSC Industrial Direct Co., Inc. - Class A.		960		75,648
				9,288,172
Transportation Infrastructure - 0.1%
Groupe Eurotunnel S.A. (France)1		50,030		419,163
Koninklijke Vopak N.V. (Netherlands)1		2,440		135,121
Malaysia Airports Holdings Berhad (Malaysia)1		327,440		647,885
				1,202,169
Total Industrials				94,906,787
Information Technology - 16.4%
Communications Equipment - 5.0%
Alcatel-Lucent - ADR (France)*		230,160		315,319
Infinera Corp.*		115,640		973,689
Juniper Networks, Inc.*		839,800		13,898,690
Polycom, Inc.*		56,200		590,100
Qualcomm, Inc.		249,140		15,352,007
Riverbed Technology, Inc.*		943,160		14,015,358
				45,145,163
Computers & Peripherals - 2.6%
3D Systems Corp.*		1,125		43,020
Apple, Inc.		1,530		677,407
EMC Corp.*		991,890		22,248,093
Fusion-io, Inc.*		4,820		90,520
Stratasys Ltd.*		540		44,847
				23,103,887
Electronic Equipment, Instruments & Components - 0.2%
Hitachi Ltd. (Japan)1		154,000		984,190
Keyence Corp. (Japan)1		1,146		363,679
Rofin-Sinar Technologies, Inc.*		31,340		780,366
				2,128,235
Internet Software & Services - 3.4%
Google, Inc. - Class A*		28,389		23,408,718
LinkedIn Corp. - Class A*		17,170		3,298,185
Liquidity Services, Inc.*		26,420		869,218
LogMeIn, Inc.*		32,240		727,979

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

145

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Internet Software & Services (continued)
NHN Corp. (South Korea)1		2,000	$	539,373
SciQuest, Inc.*		22,700		518,922
Tencent Holdings Ltd. (China)1		25,000		862,457
				30,224,852
IT Services - 1.9%
Amdocs Ltd. - ADR		269,830		9,632,931
Cap Gemini S.A. (France)1		13,610		627,504
InterXion Holding NV - ADR (Netherlands)*		2,020		50,561
VeriFone Systems, Inc.*		270,260		5,805,185
Wirecard AG (Germany)1		22,193		596,575
				16,712,756
Office Electronics - 0.0%**
Canon, Inc. (Japan)1		4,500		161,840
Semiconductors & Semiconductor Equipment - 0.2%
Samsung Electronics Co. Ltd. (South Korea)1		560		774,491
Skyworks Solutions, Inc.*		26,570		586,400
Sumco Corp. (Japan)1		3,300		34,640
Tokyo Electron Ltd. (Japan)1		9,300		476,013
				1,871,544
Software - 3.1%
Aspen Technology, Inc.*		1,510		46,025
Autodesk, Inc.*		151,450		5,964,101
Aveva Group plc (United Kingdom)1		5,260		181,568
Electronic Arts, Inc.*		742,740		13,079,651
MICROS Systems, Inc.*		146,470		6,211,793
RealPage, Inc.*		36,370		741,948
SAP AG (Germany)1		13,420		1,069,869
Temenos Group AG (Switzerland)*1		14,500		342,918
				27,637,873
Total Information Technology				146,986,150
Materials - 5.3%
Chemicals - 3.5%
Air Products & Chemicals, Inc.		52,440		4,560,182
BASF SE (Germany)1		4,330		405,342
Chr. Hansen Holding A/S (Denmark)1		5,800		209,302
Flotek Industries, Inc.*		9,360		150,134
Johnson Matthey plc (United Kingdom)1		11,091		418,382
Linde AG (Germany)1		5,330		1,009,202
Monsanto Co.		167,410		17,882,736
Shin-Etsu Chemical Co. Ltd. (Japan)1		1,100		74,154
Syngenta AG (Switzerland)1		14,450		6,177,655
Tronox Ltd. - Class A		9,770		200,676

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

146

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	SHARES		VALUE   (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Chemicals (continued)
Umicore S.A. (Belgium)1		3,850	$	178,433
Yingde Gases (China)1		169,000		162,972
				31,429,170
Construction Materials - 0.1%
CRH plc (Ireland)1		13,720		295,157
Holcim Ltd. (Switzerland)1		2,710		211,394
				506,551
Metals & Mining - 1.7%
Alcoa, Inc.		1,742,890		14,814,565
Alumina Ltd. (Australia)*1		217,340		217,339
Impala Platinum Holdings Ltd. (South Africa)1		9,270		127,040
Noranda Aluminum Holding Corp.		43,650		166,307
Norsk Hydro ASA (Norway)1		32,620		153,628
				15,478,879
Total Materials				47,414,600
Telecommunication Services - 1.7%
Diversified Telecommunication Services - 1.6%
Swisscom AG - ADR (Switzerland)3		9,116		429,090
Telefonica S.A. - ADR (Spain)		39,010		568,376
Telenor ASA (Norway)1		553,990		12,484,134
Telenor ASA - ADR (Norway)3		9,830		662,837
Vivendi S.A. (France)1		5,180		117,337
				14,261,774
Wireless Telecommunication Services - 0.1%
MTN Group Ltd. (South Africa)1		7,410		133,721
SK Telecom Co. Ltd. - ADR (South Korea)		53,960		1,051,680
				1,185,401
Total Telecommunication Services				15,447,175
Utilities - 0.1%
Independent Power Producers & Energy Traders - 0.1%
Dynegy, Inc.*		19,750		488,023
Multi-Utilities - 0.0%**
GDF Suez (France)1		4,464		95,710
Water Utilities - 0.0%**
Cia de Saneamento de Minas Gerais - Copasa MG (Brazil)		15,510		357,371
Total Utilities				941,104
TOTAL COMMON STOCKS
(Identified Cost $654,837,525)				761,787,862

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

147

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	PRINCIPAL AMOUNT 4		VALUE   (NOTE 2)
CORPORATE BONDS - 6.2%
Non-Convertible Corporate Bonds - 6.2%
Consumer Discretionary - 0.9%
Media - 0.5%
NBCUniversal Media LLC, 2.875%, 4/1/2016		3,955,000	$	4,183,848
Specialty Retail - 0.4%
Lowe’s Companies, Inc., 1.625%, 4/15/2017		4,080,000		4,176,798
Total Consumer Discretionary				8,360,646
Consumer Staples - 0.5%
Beverages - 0.5%
PepsiCo, Inc., 1.25%, 8/13/2017		4,170,000		4,199,891
Financials - 3.1%
Capital Markets - 0.9%
BNP Paribas Home Loan Covered Bonds S.A. (France)5, 2.20%, 11/2/2015		2,425,000		2,510,603
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		410,000		478,371
Jefferies Group, Inc., 5.125%, 4/13/2018		850,000		941,641
Jefferies Group, Inc., 8.50%, 7/15/2019		3,000,000		3,808,629
Morgan Stanley, 5.50%, 1/26/2020		405,000		471,232
				8,210,476
Commercial Banks - 1.1%
Bank of Nova Scotia (Canada)5, 1.65%, 10/29/2015		2,425,000		2,491,687
Barclays Bank plc (United Kingdom)5, 2.50%, 9/21/2015		2,425,000		2,522,645
Royal Bank of Canada (Canada)5, 3.125%, 4/14/2015		2,135,000		2,242,817
The Toronto-Dominion Bank (Canada)5, 2.20%, 7/29/2015		2,425,000		2,517,635
				9,774,784
Consumer Finance - 0.0%**
American Express Co., 2.65%, 12/2/2022		362,000		362,758
Diversified Financial Services - 0.6%
Citigroup, Inc., 8.50%, 5/22/2019		279,000		375,314
General Electric Capital Corp., 1.625%, 7/2/2015		4,115,000		4,192,037
General Electric Capital Corp., 5.50%, 1/8/2020		375,000		450,835
JPMorgan Chase & Co., 4.95%, 3/25/2020		385,000		447,962
				5,466,148
Insurance - 0.5%
American International Group, Inc., 5.45%, 5/18/2017		3,740,000		4,281,126
Total Financials				28,095,292

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

148

Investment Portfolio - April 30, 2013

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES	PRINCIPAL AMOUNT 4 / SHARES		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Health Care - 0.5%
Biotechnology - 0.5%
Amgen, Inc., 5.70%, 2/1/2019		3,510,000	$	4,222,330
Industrials - 0.4%
Aerospace & Defense - 0.4%
United Technologies Corp., 1.80%, 6/1/2017		4,040,000		4,172,423
Information Technology - 0.5%
Computers & Peripherals - 0.5%
Hewlett-Packard Co., 2.60%, 9/15/2017		4,170,000		4,242,867
Telecommunication Services - 0.3%
Diversified Telecommunication Services - 0.3%
Verizon Communications, Inc., 8.75%, 11/1/2018		1,936,000		2,615,410
TOTAL CORPORATE BONDS
(Identified Cost $53,918,102)				55,908,859
MUTUAL FUNDS - 0.1%
iShares S&P India Nifty 50 Index Fund		10,400		264,992
PowerShares India Portfolio		12,800		242,176
TOTAL MUTUAL FUNDS
(Identified Cost $427,472)				507,168
U.S. GOVERNMENT AGENCIES - 4.4%
Other Agencies - 4.4%
Fannie Mae, 0.875%, 8/28/2017		16,000,000		16,124,432
Fannie Mae, 6.25%, 5/15/2029		1,608,000		2,324,755
Fannie Mae, 7.25%, 5/15/2030		1,448,000		2,312,414
Fannie Mae, 6.625%, 11/15/2030		1,528,000		2,318,444
Freddie Mac, 6.75%, 3/15/2031		1,508,000		2,314,603
Freddie Mac, 6.25%, 7/15/2032		9,247,000		13,792,474
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $37,734,325)				39,187,122
SHORT-TERM INVESTMENT - 3.1%
Dreyfus Cash Management, Inc. - Institutional Shares6 , 0.05%,
(Identified Cost $28,043,045)		28,043,045		28,043,045
TOTAL INVESTMENTS - 99.0%
(Identified Cost $774,960,469)				885,434,056
OTHER ASSETS, LESS LIABILITIES - 1.0%				9,086,340
NET ASSETS - 100%			$	894,520,396

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

149

Investment Portfolio - April 30, 2013

(unaudited)

ADR - American Depository Receipt

*Non-income producing security.

**Less than 0.1%.

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 Stock Exchange.

³Latest quoted sales price is not available and the latest quoted bid price was used to value the security.

⁴Amount is stated in USD unless otherwise noted.

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 $12,285,387 or 1.37%, of the Series’ net assets as of April 30, 2013 (see Note 2 to the financial statements).

⁶Rate shown is the current yield as of April 30, 2013.

150

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

April 30, 2013 (unaudited)

ASSETS:
Investments, at value (identified cost $774,960,469) (Note 2)	$	885,434,056
Foreign currency (identified cost $713,485)		713,450
Receivable for securities sold		7,862,729
Dividends receivable		1,025,714
Interest receivable		822,682
Receivable for fund shares sold		490,650
Foreign tax reclaims receivable		439,305
Prepaid and other expenses		2,022
TOTAL ASSETS		896,790,608
LIABILITIES:
Cash overdraft		306,092
Accrued management fees (Note 3)		544,629
Accrued shareholder services fees (Class S) (Note 3)		100,892
Accrued transfer agent fees (Note 3)		32,659
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R)(Note 3)		32,485
Accrued fund accounting and administration fees (Note 3)		19,332
Accrued Chief Compliance Officer service fees (Note 3)		167
Payable for fund shares repurchased		914,879
Payable for securities purchased		208,067
Other payables and accrued expenses		111,010
TOTAL LIABILITIES		2,270,212
TOTAL NET ASSETS	$	894,520,396
NET ASSETS CONSIST OF:
Capital stock	$	584,720
Additional paid-in-capital		728,464,052
Undistributed net investment income		1,555,579
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities		53,425,599
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities		110,490,446
TOTAL NET ASSETS	$	894,520,396

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

151

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

April 30, 2013 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($496,392,487/26,027,213 shares)	$	19.07
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($345,737,939/28,483,116 shares)	$	12.14
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C ($27,959,793/2,215,393 shares)	$	12.62
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R ($24,430,177/1,746,272 shares)	$	13.99

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

152

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

For the Six Months Ended April 30, 2013 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $282,103)	$	6,151,799
Interest		955,788
Total Investment Income		7,107,587
EXPENSES:
Management fees (Note 3)		3,188,284
Shareholder services fees (Class S) (Note 3)		596,438
Distribution and service (Rule 12b-1) fees (Class C) (Note 3)		127,140
Transfer agent fees (Note 3)		83,712
Fund accounting and administration fees (Note 3)		72,330
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		51,452
Directors’ fees (Note 3)		8,541
Chief Compliance Officer service fees (Note 3)		1,116
Custodian fees		47,218
Miscellaneous		132,201
Total Expenses		4,308,432
NET INVESTMENT INCOME		2,799,155
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		55,049,395
Foreign currency and translation of other assets and liabilities		(8,231	)
		55,041,164
Net change in unrealized appreciation (depreciation) on-
Investments		56,730,314
Foreign currency and translation of other assets and liabilities		14,418
		56,744,732
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		111,785,896
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	114,585,051

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

153

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

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEAR ENDED 10/31/12
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	2,799,155		$	3,164,278
Net realized gain (loss) on investments and foreign currency		55,041,164			35,034,888
Net change in unrealized appreciation (depreciation) on investments and foreign currency		56,744,732			33,538,255
Net increase from operations		114,585,051			71,737,421
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
From net investment income (Class S)		(453,532	)		(2,108,007	)
From net investment income (Class I)		(1,143,129	)		(2,634,625	)
From net investment income (Class C)		—			(15,318	)
From net investment income (Class R)		(13,984	)		(56,697	)
From net realized gain on investments (Class S)		(8,525,711	)		—
From net realized gain on investments (Class R)		(458,009	)		—
From net realized gain on investments (Class C)		(657,225	)		—
From net realized gain on investments (Class I)		(8,772,271	)		—
Total distributions to shareholders		(20,023,861	)		(4,814,647	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(28,848,853	)		17,554,083
Net increase in net assets		65,712,337			84,476,857
NET ASSETS:
Beginning of period		828,808,059			744,331,202
End of period (including undistributed net investment income of $1,555,579 and $367,069, respectively)	$	894,520,396		$	828,808,059

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

154

Pro-Blend^® Maximum Term Series

Financial Highlights - Class S

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED
				10/31/12			10/31/11			10/31/10			10/31/09			10/31/08
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	17.00		$	15.66		$	15.59		$	13.35		$	11.50		$	19.57
Income (loss) from investment operations:
Net investment income		0.05	1		0.06	1		0.10	1		0.08	1		0.06	1		0.12
Net realized and unrealized gain (loss) on investments		2.36			1.35			0.05			2.21			1.90			(6.22	)
Total from investment operations		2.41			1.41			0.15			2.29			1.96			(6.10	)
Less distributions to shareholders:
From net investment income		(0.02	)		(0.07	)		(0.08	)		(0.05	)		(0.11	)		(0.10	)
From net realized gain on investments		(0.32	)		—			—			—			—			(1.87	)
Total distributions to shareholders		(0.34	)		(0.07	)		(0.08	)		(0.05	)		(0.11	)		(1.97	)
Net asset value - End of period	$	19.07		$	17.00		$	15.66		$	15.59		$	13.35		$	11.50
Net assets - End of period (000’s omitted)	$	496,392		$	467,244		$	512,215		$	539,781		$	443,770		$	342,015
Total return2		14.35	%		9.04	%		0.94	%		17.17	%		17.34	%		(34.19	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.08	%3		1.09	%		1.09	%		1.10	%		1.10	%		1.10	%
Net investment income		0.59	%3		0.36	%		0.59	%		0.54	%		0.55	%		0.77	%
Series portfolio turnover		31	%		64	%		65	%		68	%		67	%		82	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			N/A			N/A			0.00	%4		0.03	%		0.04	%

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.

155

Pro-Blend^® Maximum Term Series

Financial Highlights - Class I

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED												FOR THE PERIOD 3/28/081 TO 10/31/08
				10/31/12			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	$	10.95		$	10.12		$	10.12		$	8.70		$	7.57		$	10.00
Income (loss) from investment operations:
Net investment income		0.05	2		0.06	2		0.09	2		0.08	2		0.05	2		0.05
Net realized and unrealized gain (loss) on investments		1.50			0.88			0.03			1.43			1.24			(2.44	)
Total from investment operations		1.55			0.94			0.12			1.51			1.29			(2.39	)
Less distributions to shareholders:
From net investment income		(0.04	)		(0.11	)		(0.12	)		(0.09	)		(0.16	)		(0.04	)
From net realized gain on investments		(0.32	)		—			—			—			—			—
Total distributions to shareholders		(0.36	)		(0.11	)		(0.12	)		(0.09	)		(0.16	)		(2.39	)
Net asset value - End of period	$	12.14		$	10.95		$	10.12		$	10.12		$	8.70		$	7.57
Net assets - End of period (000’s omitted)	$	345,738		$	320,999		$	210,597		$	190,344		$	52,271		$	2,597
Total return3		14.50	%		9.42	%		1.14	%		17.47	%		17.58	%		(24.01	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.83	%4		0.84	%		0.84	%		0.85	%		0.85	%		0.85	%4
Net investment income		0.84	%4		0.57	%		0.83	%		0.81	%		0.68	%		0.88	%4
Series portfolio turnover		31	%		64	%		65	%		68	%		67	%		82	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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.

156

Pro-Blend^® Maximum Term Series

Financial Highlights - Class C

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED						FOR THE PERIOD 1/4/101 TO 10/31/10
				10/31/12			10/31/11
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	11.38		$	10.52		$	10.54		$	10.00
Income (loss) from investment operations:
Net investment loss2		(0.01	)		(0.04	)		(0.02	)		(0.01	)
Net realized and unrealized gain on investments		1.57			0.91			0.04			0.58
Total from investment operations		1.56			0.87			0.02			0.57
Less distributions to shareholders:
From net investment income		—			(0.01	)		(0.04	)		(0.03	)
From net realized gain on investments		(0.32	)		—			—			—
Total distributions to shareholders		(0.32	)		(0.01	)		(0.04	)		(0.03	)
Net asset value - End of period	$	12.62		$	11.38		$	10.52		$	10.54
Net assets - End of period (000’s omitted)	$	27,960		$	23,045		$	18,102		$	7,383
Total return3		13.97	%		8.27	%		0.15	%		5.68	%
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.83	%4		1.84	%		1.84	%		1.85	%4
Net investment loss		(0.16	%)4		(0.40	%)		(0.15	%)		(0.13	%)4
Series portfolio turnover		31	%		64	%		65	%		68	%
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:
		N/A			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 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.

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

157

Pro-Blend^® Maximum Term Series

Financial Highlights - Class R

	FOR THE SIX MONTHS ENDED 4/30/13 (UNAUDITED)			FOR THE YEARS ENDED						FOR THE PERIOD 6/30/101 TO 10/31/10
				10/31/12			10/31/11
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$	12.56		$	11.63		$	11.64		$	10.00
Income (loss) from investment operations:
Net investment income (loss)2		0.02	2		0.00	3		0.00	3		(0.01	)
Net realized and unrealized gain on investments		1.74			1.00			0.09			1.65
Total from investment operations		1.76			1.00			0.09			1.64
Less distributions to shareholders:
From net investment income		(0.01	)		(0.07	)		(0.10	)		—
From net realized gain on investments		(0.32	)		—			—			—
Total distributions to shareholders		(0.33	)		(0.07	)		(0.10	)		—
Net asset value - End of period	$	13.99		$	12.56		$	11.63		$	11.64
Net assets - End of period (000’s omitted)	$	24,430		$	17,520		$	3,418		$	31
Total return4		14.26	%		8.72	%		0.71	%		16.40	%
Ratios (to average net assets)/
Supplemental Data:
Expenses		1.33	%5		1.34	%		1.34	%		1.35	%5
Net investment income		0.34	%5		0.02	%		0.04	%		(0.38	%)5
Series portfolio turnover		31	%		64	%		65	%		68	%

¹Commencement of operations.

²Calculated based on average shares outstanding during the period.

³Less than $0.01.

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 or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

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

158

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 to provide income and 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 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, 2013, 10.3 billion shares have been designated in total among 43 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 Stock Market 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 Stock Market 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 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.

159

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

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 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 within 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, 2013 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	$	58,449,321	$	50,101,265	$	8,348,056	$	—
Consumer Staples		53,343,863		50,366,334		2,977,529		—
Energy		64,723,932		64,371,248		352,684		—
Financials		83,885,543		79,205,482		4,680,061		—
Health Care		75,289,547		65,726,581		9,562,966		—
Industrials		39,208,113		33,322,242		5,885,871		—
Information Technology		73,017,713		70,080,611		2,937,102		—
Materials		22,161,696		18,322,091		3,839,605		—
Telecommunication Services		7,549,278		3,003,611		4,545,667		—
Utilities		610,670		610,670		—		—

160

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
Preferred securities:
Financials	$	5,722,978		$	5,722,978	$	—		$	—
Debt securities:
U.S. Treasury and other U.S. Government agencies		485,044,534			—		485,044,534			—
Corporate debt:
Consumer Discretionary		63,616,058			—		63,616,058			—
Consumer Staples		13,087,858			—		13,087,858			—
Energy		23,634,039			—		23,634,039			—
Financials		238,088,895			—		238,088,895			—
Health Care		13,727,005			—		13,727,005			—
Industrials		30,971,002			—		30,971,002			—
Information Technology		17,261,564			—		17,261,564			—
Materials		32,468,407			—		32,468,407			—
Telecommunication Services		10,105,653			—		10,105,653			—
Utilities		7,817,865			—		7,817,865			—
Convertible corporate debt:
Financials		535,819			—		535,819			—
Health Care		178,425			—		178,425			—
Information Technology		56,350			—		56,350			—
Materials		875,812			—		875,812			—
Asset-backed securities		5,613,353			—		5,613,353			—
Commercial mortgage-backed securities		43,357,776			—		43,357,776			—
Foreign government bonds		37,275,805			—		37,275,805			—
Mutual funds		32,710,200			32,710,200		—			—
Total assets		1,540,389,074			473,543,313		1,066,845,761			—
Liabilities:
Other financial instruments*		(48,965	)		—		(48,965	)		—
Total	$	1,540,340,109		$	473,543,313	$	1,066,796,796		$	—
	PRO-BLEND® MODERATE TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	106,202,781		$	90,956,279	$	15,246,502		$	—
Consumer Staples		35,686,448			26,786,800		8,899,648			—
Energy		84,780,772			83,723,734		1,057,038			—
Financials		71,730,225			62,679,828		9,050,397			—
Health Care		85,734,976			60,006,043		25,728,933			—
Industrials		42,590,363			28,209,838		14,380,525			—
Information Technology		118,729,211			110,489,167		8,240,044			—
Materials		48,317,065			37,708,023		10,609,042			—
Telecommunication Services		15,642,715			1,486,569		14,156,146			—
Utilities		931,633			850,267		81,366			—
Preferred securities:
Financials		6,775,773			6,775,773		—			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		368,433,169			—		368,433,169			—

161

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
Corporate debt:
Consumer Discretionary	$	40,757,858		$	—	$	40,757,858		$	—
Consumer Staples		7,510,073			—		7,510,073			—
Energy		22,791,436			—		22,791,436			—
Financials		197,426,895			—		197,426,895			—
Health Care		14,605,239			—		14,605,239			—
Industrials		24,443,638			—		24,443,638			—
Information Technology		12,275,335			—		12,275,335			—
Materials		23,655,728			—		23,655,728			—
Telecommunication Services		12,879,291			—		12,879,291			—
Utilities		4,415,915			—		4,415,915			—
Convertible corporate debt:
Financials		1,078,172			—		1,078,172			—
Health Care		327,113			—		327,113			—
Information Technology		302,881			—		302,881			—
Materials		956,812			—		956,812			—
Asset-backed securities		3,758,674			—		3,758,674			—
Commercial mortgage-backed securities		44,560,239			—		44,560,239			—
Foreign government bonds		46,426,534			—		46,426,534			—
Mutual funds		45,153,371			45,153,371		—			—
Total assets		1,488,880,335			554,825,692		934,054,643			—
Liabilities:
Other financial instruments*		(64,784	)		—		(64,784	)		—
Total	$	1,488,815,551		$	554,825,692	$	933,989,859		$	—
	PRO-BLEND® EXTENDED TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	130,451,548		$	112,161,206	$	18,290,342		$	—
Consumer Staples		47,670,007			35,938,806		11,731,201			—
Energy		109,453,226			108,101,057		1,352,169			—
Financials		83,861,220			73,358,714		10,502,506			—
Health Care		107,806,470			76,391,929		31,414,541			—
Industrials		55,344,623			37,023,213		18,321,410			—
Information Technology		151,359,019			140,874,438		10,484,581			—
Materials		51,141,864			38,693,458		12,448,406			—
Telecommunication Services		19,796,652			1,992,924		17,803,728			—
Utilities		1,262,018			1,173,105		88,913			—
Preferred securities:
Financials		5,801,678			5,801,678		—			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		278,762,408			—		278,762,408			—
Corporate debt:
Consumer Discretionary		34,075,342			—		34,075,342			—
Consumer Staples		6,324,227			—		6,324,227			—
Energy		19,226,260			—		19,226,260			—
Financials		166,166,964			—		166,166,964			—
Health Care		9,538,926			—		9,538,926			—

162

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
Industrials	$	22,008,987		$	—	$	22,008,987		$	—
Information Technology		11,692,423			—		11,692,423			—
Materials		19,069,265			—		19,069,265			—
Telecommunication Services		11,224,793			—		11,224,793			—
Utilities		4,004,637			—		4,004,637			—
Convertible corporate debt:
Financials		1,110,844			—		1,110,844			—
Health Care		327,112			—		327,112			—
Information Technology		471,931			—		471,931			—
Materials		951,750			—		951,750			—
Asset-backed securities		3,673,339			—		3,673,339			—
Commercial mortgage-backed securities		38,183,516			—		38,183,516			—
Foreign government bonds		39,268,232			—		39,268,232			—
Mutual funds		44,257,041			44,257,041		—			—
Total assets		1,474,286,322			675,767,569		798,518,753			—
Liabilities:
Other financial instruments*		(64,617	)		—		(64,617	)		—
Total	$	1,474,221,705		$	675,767,569	$	798,454,136		$	—
	PRO-BLEND® MAXIMUM TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	123,727,577		$	111,153,776	$	12,573,801		$	—
Consumer Staples		56,781,996			28,079,288		28,702,708			—
Energy		107,986,252			107,014,893		971,359			—
Financials		45,956,947			37,752,933		8,204,014			—
Health Care		121,639,274			99,812,572		21,826,702			—
Industrials		94,906,787			74,447,851		20,458,936			—
Information Technology		146,986,150			139,971,033		7,015,117			—
Materials		47,414,600			37,774,600		9,640,000			—
Telecommunication Services		15,447,175			1,620,056		13,827,119			—
Utilities		941,104			845,394		95,710			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		39,187,122			—		39,187,122			—
Corporate debt:
Consumer Discretionary		8,360,646			—		8,360,646			—
Consumer Staples		4,199,891			—		4,199,891			—
Financials		28,095,292			—		28,095,292			—
Health Care		4,222,330			—		4,222,330			—
Industrials		4,172,423			—		4,172,423			—
Information Technology		4,242,867			—		4,242,867			—
Telecommunication Services		2,615,410			—		2,615,410			—
Mutual funds		28,550,213			28,550,213		—			—
Total assets	$	885,434,056		$	667,022,609	$	218,411,447		$	—

*Other financial instruments are derivative instruments not reflected in the investment portfolio, such as futures, forwards, and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

163

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

There were no Level 3 securities held by any of the Pro-Blend^® Series as of October 31, 2012 or April 30, 2013.

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, 2013.

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.

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

164

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Forward Foreign Currency Exchange Contracts (continued)

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, 2013 are shown at the end of each Investment Portfolio. During the period of April 9, 2013 through April 30, 2013, the period for which forward foreign currency contracts were held, the average volume of derivative activity (measured in terms of notional amounts) was $2,745,301, $3,649,326 and $3,645,634 for Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series and Pro-Blend^® Extended Term Series, respectively.

The following table presents the present value of derivatives held at April 30, 2013 as reflected on the Statement of Assets and Liabilities, and the effect of the derivative instruments on the Statement of Operations:

PRO-BLEND® CONSERVATIVE TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Foreign forward currency exchange contracts	Unrealized depreciation on foreign forward currency exchange contracts	$      (48,965	)
STATEMENT OF OPERATIONS
Derivative
Foreign forward currency exchange contracts	Net realized gain (loss) on foreign currency transactions and translation of other assets and liabilities	$      (13,983	)
Derivative
Foreign forward currency exchange contracts	Net change in unrealized appreciation (depreciation) on foreign currency transactions and translation of other assets and liabilities	$      (48,965	)
PRO-BLEND® MODERATE TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Foreign forward currency exchange contracts	Unrealized depreciation on foreign forward currency exchange contracts	$      (64,784	)
STATEMENT OF OPERATIONS
Derivative
Foreign forward currency exchange contracts	Net realized gain (loss) on foreign currency transactions and translation of other assets and liabilities	$      (18,250	)
Derivative
Foreign forward currency exchange contracts	Net change in unrealized appreciation (depreciation) on foreign currency transactions and translation of other assets and liabilities	$      (64,784	)

165

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Forward Foreign Currency Exchange Contracts (continued)

PRO-BLEND® EXTENDED TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Foreign forward currency exchange contracts	Unrealized depreciation on foreign forward currency exchange contracts	$      (64,617	)
STATEMENT OF OPERATIONS
Derivative
Foreign forward currency exchange contracts	Net realized gain (loss) on foreign currency transactions and translation of other assets and liabilities	$      (18,118	)
Derivative
Foreign forward currency exchange contracts	Net change in unrealized appreciation (depreciation) on foreign currency transactions and translation of other assets and liabilities	$      (64,617	)

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 their 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, 2013.

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

166

Notes to Financial Statements (continued)

2. Significant Accounting Policies (continued)

Federal Taxes (continued)

required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At April 30, 2013, 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, 2009 through October 31, 2012. 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 they invest, 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

167

Notes to Financial Statements (continued)

3. Transactions with Affiliates (continued)

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 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, 2014, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series, exclusive of shareholder services fees and distribution and service fees (12b-1), at no more than the amounts presented in the following table, 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, inclusive of shareholder services fees and distribution and service fees (12b-1), at no more than the amounts presented in the following table, 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, 2013, 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 and Strategic Income Series); 0.015% on the next $3 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.01% of the average daily net assets in excess of $6 billion (excluding Target Series and Strategic Income 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,

168

Notes to Financial Statements (continued)

3. Transactions with Affiliates (continued)

are charged. Effective October 1, 2012, the aforementioned agreements were modified to reduce the annual fee related to fund accounting and administration, as well as transfer agent fees, by 10%, excluding out-of-pocket expenses.

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, 2013, purchases and sales of securities, other than short-term securities, were as follows:

SERIES	PURCHASES OTHER ISSUERS		GOVERNMENT		SALES OTHER ISSUERS		GOVERNMENT
Pro-Blend® Conservative Term Series	$	294,843,426	$	142,905,535	$	200,123,253	$	48,949,569
Pro-Blend® Moderate Term Series		298,069,445		113,681,133		269,978,846		52,477,994
Pro-Blend® Extended Term Series		261,886,582		117,640,674		341,296,365		28,695,906
Pro-Blend® Maximum Term Series		227,708,289		25,888,206		280,473,306		14,847,393

5. Capital Stock Transactions

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

PRO-BLEND® CONSERVATIVE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS S:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		15,148,318		$	207,421,891			26,069,181		$	343,763,360
Reinvested		2,131,273			28,452,500			2,267,263			28,835,907
Repurchased		(9,752,029	)		(133,163,385	)		(23,020,286	)		(304,046,708	)
Total		7,527,562		$	102,711,006			5,316,158		$	68,552,559
PRO-BLEND® CONSERVATIVE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS I:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		6,853,403		$	75,205,319			11,315,785		$	120,465,074
Reinvested		608,671			6,524,957			496,678			5,126,231
Repurchased		(3,818,592	)		(41,966,629	)		(6,068,215	)		(64,644,410	)
Total		3,643,482		$	39,763,647			5,744,248		$	60,946,895
PRO-BLEND® CONSERVATIVE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS C:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,251,922		$	24,032,424			3,294,301		$	34,352,366
Reinvested		236,412			2,458,686			165,508			1,656,482
Repurchased		(698,609	)		(7,453,963	)		(808,540	)		(8,436,523	)
Total		1,789,725		$	19,037,147			2,651,269		$	27,572,325

169

Notes to Financial Statements (continued)

5. Capital Stock Transactions (continued)

PRO-BLEND® CONSERVATIVE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS R:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,076,917		$	11,429,445			3,136,578		$	32,630,982
Reinvested		119,682			1,241,104			38,175			386,243
Repurchased		(384,064	)		(4,095,300	)		(354,355	)		(3,733,100	)
Total		812,535		$	8,575,249			2,820,398		$	29,284,125
PRO-BLEND® MODERATE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS S:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		6,151,558		$	83,492,234			13,456,576		$	173,187,990
Reinvested		1,566,564			20,600,316			2,497,934			30,293,484
Repurchased		(6,524,862	)		(88,081,402	)		(15,524,966	)		(199,950,024	)
Total		1,193,260		$	16,011,148			429,544		$	3,531,450
PRO-BLEND® MODERATE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS I:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		9,846,938		$	106,144,532			19,011,171		$	195,393,293
Reinvested		1,535,260			16,074,179			1,793,291			17,519,244
Repurchased		(9,183,304	)		(100,111,408	)		(7,863,290	)		(80,891,498	)
Total		2,198,894		$	22,107,303			12,941,172		$	132,021,039
PRO-BLEND® MODERATE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS C:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,876,757		$	20,473,722			2,743,976		$	28,755,211
Reinvested		256,432			2,715,610			295,321			2,909,073
Repurchased		(546,550	)		(5,970,249	)		(974,897	)		(10,273,739	)
Total		1,586,639		$	17,219,083			2,064,400		$	21,390,545
PRO-BLEND® MODERATE	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS R:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,002,156		$	11,273,288			2,467,798		$	26,568,820
Reinvested		127,662			1,390,238			125,978			1,275,941
Repurchased		(376,548	)		(4,233,648	)		(683,284	)		(7,401,853	)
Total		753,270		$	8,429,878			1,910,492		$	20,442,908
PRO-BLEND® EXTENDED	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
TERM SERIES CLASS S:	SHARES			AMOUNT			SHARES			AMOUNT
Sold		5,229,878		$	85,838,889			13,112,333		$	202,738,783
Reinvested		1,762,102			27,929,312			2,045,908			29,485,102
Repurchased		(9,798,072	)		(159,187,524	)		(11,985,226	)		(186,275,586	)
Total		(2,806,092	)	$	(45,419,323	)		3,173,015		$	45,948,299

170

Notes to Financial Statements (continued)

5. Capital Stock Transactions (continued)

PRO-BLEND® EXTENDED TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED 10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		14,405,260		$	150,366,568			21,647,453		$	216,083,753
Reinvested		1,310,012			13,322,816			1,373,291			13,023,907
Repurchased		(10,265,572	)		(109,240,190	)		(13,118,636	)		(131,307,939	)
Total		5,449,700		$	54,449,194			9,902,108		$	97,799,721

PRO-BLEND® EXTENDED TERM SERIES CLASS C:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED 10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,401,904		$	15,750,644			2,122,883		$	22,673,316
Reinvested		391,928			4,213,228			384,905			3,827,641
Repurchased		(620,788	)		(6,986,795	)		(1,041,421	)		(11,141,698	)
Total		1,173,044		$	12,977,077			1,466,367		$	15,359,259

PRO-BLEND® EXTENDED TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED 10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,147,703		$	13,426,467			2,966,151		$	32,865,356
Reinvested		175,540			1,976,573			120,408			1,254,744
Repurchased		(445,465	)		(5,223,197	)		(499,400	)		(5,671,501	)
Total		877,778		$	10,179,843			2,587,159		$	28,448,599

PRO-BLEND® MAXIMUM TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED 10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,334,717		$	42,310,345			4,736,070		$	76,881,479
Reinvested		512,071			8,833,221			135,989			2,059,460
Repurchased		(4,307,465	)		(77,239,758	)		(10,099,677	)		(164,352,376	)
Total		(1,460,677	)	$	(26,096,192	)		(5,227,618	)	$	(85,411,437	)

PRO-BLEND® MAXIMUM TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		5,192,535		$	59,750,623			16,683,670		$	170,265,289
Reinvested		422,024			4,629,601			136,210			1,338,627
Repurchased		(6,457,744	)		(74,101,691	)		(8,295,889	)		(84,917,904	)
Total		(843,185	)	$	(9,721,467	)		8,523,991		$	86,686,012

PRO-BLEND® MAXIMUM TERM SERIES CLASS C:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		309,117		$	3,716,749			624,670		$	6,847,410
Reinvested		55,571			636,289			1,483			14,790
Repurchased		(173,887	)		(2,100,104	)		(321,604	)		(3,491,401	)
Total		190,801		$	2,252,934			304,549		$	3,370,799

171

Notes to Financial Statements (continued)

5. Capital Stock Transactions (continued)

PRO-BLEND® MAXIMUM TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED  4/30/13						FOR THE YEAR ENDED  10/31/12
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		545,477		$	7,256,698			1,291,508		$	15,255,655
Reinvested		37,013			468,955			4,971			55,655
Repurchased		(230,789	)		(3,009,781	)		(195,888	)		(2,402,601	)
Total		351,701		$	4,715,872			1,100,591		$	12,908,709

At April 30, 2013, 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		153,479		0.1	%	$	1,729,707
Pro-Blend® Moderate Term Series		171,330		0.1	%		1,903,473
Pro-Blend® Extended Term Series		1,814,586		1.7	%		19,906,006
Pro-Blend® Maximum Term Series		1,579,836		2.7	%		19,179,207

In addition, one shareholder owned 13,204,075 shares of Pro-Blend^® Moderate Term Series (11.3% of shares outstanding) valued at $146,697,278. The Target 2040 Series, another series of the Fund, owned 7,106,300 shares of Pro-Blend^® Maximum Term Series (12.2% of shares outstanding) valued at $86,270,488. 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, 2013.

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 their 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.

172

Notes to Financial Statements (continued)

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, 2012 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	$	23,254,049	$	25,502,215	$	18,107,350	$	4,814,647
Long-term capital gains		16,955,171		31,469,820		39,623,892		—

At April 30, 2013, 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	$	1,424,302,498		$	1,360,433,796		$	1,322,838,909		$	775,845,414
Unrealized appreciation		122,255,797			144,707,151			172,112,609			129,883,603
Unrealized depreciation		(6,169,221	)		(16,260,612	)		(20,665,196	)		(20,294,961	)
Net unrealized appreciation	$	116,086,576		$	128,446,539		$	151,447,413		$	109,588,642

173

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. Board of Directors’ meeting, held on November 14, 2012, the Investment Advisory Agreement between the Fund and Manning & Napier Advisors, LLC was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered 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 2012 Annual consideration 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 26 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 performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: 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. 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 Series’ actual performance and comparative performance, especially for those series with 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 18 of the 37 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 Series Class C, and Target Series Class R and Class C, are lower than, or substantially similar to, the Morningstar mean and median reported total expense ratio. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services 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.

174

Renewal of Investment Advisory Agreement

(unaudited)

• 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, 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 then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given 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, the number of newly established series of the Fund 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.

175

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 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-04/13-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 28, 2013

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 28, 2013

/s/ Christine Glavin

Christine Glavin

Chief Financial Officer & Principal Financial Officer of Manning & Napier Fund, Inc.

June 28, 2013