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: 811-4603
The LB Series Fund, Inc.
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
John C. Bjork, Secretary
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant's telephone number, including area code: (612) 340-7005
Date of fiscal year end: December 31
Date of reporting period: June 30, 2003
Item 1. Report to Stockholders
[GRAPHIC OMITTED: Thrivent Financial for Lutherans TM]
LB Series Fund, Inc.
Semiannual Report
June 30, 2003
[GRAPHIC OMITTED: Father with 2 Children]
Table of Contents
President's Letter 1 Economic and Market Overview 2 Portfolio Perspectives Small Cap Growth Portfolio 4 Opportunity Growth Portfolio 6 Mid Cap Select Growth Portfolio 8 Mid Cap Growth Portfolio 10 World Growth Portfolio 12 All Cap Portfolio 14 Growth Portfolio 16 Investors Growth Portfolio 18 Growth Stock Portfolio 20 Value Portfolio 22 High Yield Portfolio 24 Income Portfolio 26 Limited Maturity Bond Portfolio 28 Money Market Portfolio 30 Schedules of Investments Small Cap Growth Portfolio 32 Opportunity Growth Portfolio 35 Mid Cap Select Growth Portfolio 40 Mid Cap Growth Portfolio 42 World Growth Portfolio 47 All Cap Portfolio 51 Growth Portfolio 53 Investors Growth Portfolio 57 Growth Stock Portfolio 59 Value Portfolio 61 High Yield Portfolio 64 Income Portfolio 72 Limited Maturity Bond Portfolio 78 Money Market Portfolio 84 Statement of Assets and Liabilities 88 Statement of Operations 91 Statement of Changes in Net Assets 94 Notes to Financial Statements 97 Financial Highlights Small Cap Growth Portfolio 106 Opportunity Growth Portfolio 107 Mid Cap Select Growth Portfolio 107 Mid Cap Growth Portfolio 106 World Growth Portfolio 107 All Cap Portfolio 107 Growth Portfolio 108 Investors Growth Portfolio 109 Growth Stock Portfolio 109 Value Portfolio 109 High Yield Portfolio 108 Income Portfolio 109 Limited Maturity Bond Portfolio 109 Money Market Portfolio 110 Supplement to the Prospectus 113
[PHOTO OMITTED: PAMELA J. MORET]
Dear Member:
We are pleased to provide you with the semiannual report for the six-month period ended June 30, 2003, for the LB Series Fund, Inc., as managed by Thrivent Financial for Lutherans ("Thrivent Financial"). In this report, you will find detailed information about the LB Series Fund, Inc. including summaries prepared by each portfolio manager that review his or her portfolio and describe performance, market conditions and management strategies during the six-month period. In addition, Jim Abitz, Thrivent Financial's senior vice president and chief investment officer, has reviewed the summary of forces influencing your investment performance in his Economic and Market Overview.
This year could be one of transition for our financial markets with all the major investment categories in positive territory for 2003 year-to-date following several very challenging years. While it is too early to know if the bear market has truly gone into hibernation, and several aspects of the economy remain open to question, there is no question that the U.S. economy has shown a degree of improvement of late and renewed investor confidence in the markets. International tension has ebbed somewhat from the high anxiety environment seen earlier in the year, though global hotspots certainly remain. The economy continues to plow ahead with steady, if slow, growth, and consumer confidence has risen in recent months. As market trends have once again exhibited how quickly they can shift, and will likely remain volatile for some time, it is a wonderful opportunity to review one's investment portfolio for proper balance, risk temperament, and overall strategy. I encourage you to contact your Thrivent Financial associate if you have any questions. He or she is here to help and would welcome the chance to do so.
Transition and change isn't limited solely to our nation's financial markets -- Thrivent Financial has recently adopted a new strategy for our investment products. This new course not only renews our already strong commitment to all of our investment products, but will also result in stronger product offerings, a wider variety of choices, and complementary investment options from select outside firms that share our values and integrity. We believe that implementation of this strategy will further enhance our ability to offer top-shelf investments and will strongly benefitour member investors. As an early delivery in this regard, look for three recently introduced investment options tied to intriguing asset classes that could provide additional balance or diversification for your overall portfolio -- mortgage, small cap value, and real estate securities. Ask your Financial associate for more information.
The financier, Bernard Baruch, once said, "Now is always the hardest time to invest." His words ring particularly true in light of the host of difficulties around which the U.S. economy, financial markets, and investors have navigated over the past few years. I would also suggest that Mr. Baruch's quote could be tweaked to read, "Now is always the hardest time to stick to an investment strategy or plan." Despite so much uncertainty and market fluctuations that can leave one's head spinning, history has shown time and time again that betting against the long-term strength and resilience of the U.S. economy and financial markets is an unwise wager. Be assured that Thrivent Financial is here to serve -- no matter how the markets are performing -- with trustworthy advice and financial solutions to help you meet your individual goals.
Yours sincerely,
/S/ PAMELA J. MORET
Pamela J. Moret
President
LB Series Fund, Inc.
[PHOTO OMITTED: JIM ABITZ]
June 30, 2003
Jim Abitz
Senior Vice President and
Chief Investment Officer
Economic and Market Overview
The financial markets took a decidedly sharp turn during the six months ended June 30, 2003. The period began with losses for stocks as the steady march toward the possibility of war with Iraq created investor anxiety. The same uncertainty that plagued equities over this period proved advantageous to high-quality bond investors as economic stagnancy and geopolitical unrest drove demand higher for this asset class's perceived safety. In the month of March, with resolution of the debate over war and the prospect of a decisive military victory, the stock markets rebounded impressively and continued to perform strongly throughout the period. For the six months, every major asset class posted positive returns with growth stocks and high yield bonds leading the way. High-quality bonds continued their winning ways as a result of more risk-averse investors questioning the speed and endurance of the U.S. economic recovery and seeking safety in this asset class, but faltered toward the end as the threat of rising interest rates increased.
U.S. Economy
Economic growth, while not robust, continued to plod forward at a 1-2% annual rate. The war on terrorism, geopolitical anxieties leading up to the war on Iraq, higher energy prices in the first quarter and unseasonably cold weather teamed to temper the pace of economic activity in early 2003. The overall direction and pace for a more vital U.S. economic recovery remains open for discussion as job growth and capital spending by businesses has yet failed to materialize. The nation's jobless rate has been mired over the 6% mark, an eight-year high, for some time now and unemployment claims continue unabated. Capital spending, and by extension, manufacturing and industrial production, remains anemic although many economists believe spending is set to pick up as a result of the war with Iraq reaching a conclusion and higher consumer and business confidence taking hold. Second and third quarter reports on corporate spending and production will be key in determining if these important economic variables will come to life as the dust settles overseas.
For the past three years, the consumer has been the economy's principal source of strength. Consumer sentiment climbed in the post-war weeks and spending remained strong throughout the period, sparked in part by wave after wave of mortgage refinancings, which are a result of the lowest interest rate environment in over forty years. The prospects for the U.S. consumer should also be enhanced as the "advance refund" checks, part of the recently approved tax relief package, begin to be mailed in July.
Inflation and Monetary Policy
Inflation was largely a non-factor throughout the period, with the exception of the occasional jump in energy prices. Competitive pressures and less-than-stellar industrial production teamed to prevent manufacturers from raising prices, even as corporate cost-cutting measures and efficiencies led to stronger overall productivity. In fact, it was the possibility of a Japan-like deflationary scenario that Fed chairman Alan Greenspan addressed in April -- though unlikely with our nation's strong banking system and the Fed's watchful eye. Interest rates remain very low and should provide fertile ground for increased business and consumer spending.
Equity Performance
The reporting period began with a small and short-lived new year rally before anxiety associated with nearly constant media coverage over a potential war with Iraq and a spate of weak economic data derailed stock prices. In mid-March, leading up to the hostilities in Iraq, the stock market again re-tested its recent lows from July and early October 2002. Investors, chafed from losses and worried about an already stagnant economy, flocked to low-risk investments. In mid-March, stocks rose precipitously as it became clear that the final direction would indeed be war and a resolution was forthcoming. When the conflict turned into a swift allied victory, stocks surged to new short-term highs and posted strong gains. Improvement in corporate profits assured the rally would continue through the end of the reporting period.
Both equity styles -- growth and value -- produced excellent returns over the reporting period. The S&P 500 Index, a broad large-company index, posted an 11.75% total return, with value issues narrowly outperforming the growth segment of the Index despite the technology-heavy growth area surging in the final month of the period. In observing returns for other market capitalizations, small-cap stocks performed best with the Russell 2000 Growth Index recording a 17.89% total return while the mid-cap area, as measured by the S&P MidCap 400 Index, finished the period, appropriately, in the middle of the pack, returning 12.40%. All equity categories finished strong in May and June, led by a resurgent NASDAQ Composite Index and improved corporate earnings.
Fixed-Income Performance
The perceived safety of fixed-income instruments led to another productive session for bond investors. Investment-grade bonds greatly benefited from widespread international uncertainty -- war with Iraq, a war of words with North Korea, SARS and a generally weak global economy. Asset- and mortgage-backed bonds posted solid gains related to tremendous demand for government agency securities and concern over the direction of the economy early in the period, while corporate bonds led all fixed-income sectors. For the period, the Lehman Brothers Aggregate Bond Index -- a broad barometer of investment-grade bond performance -- generated a tempered 3.93% total return.
The high-yield market snapped back dramatically after languishing for several years. With yields between high-yield bonds and U.S. Treasuries at historically attractive spreads and corporate profitability improving, assets flooded into the more aggressive credit markets starting in the fall months of 2002 with the result being substantial investor gains. Investors hungry for yield in a very low interest rate environment also helped boost the high-yield sector's popularity. Benefiting from these factors, the Lehman Brothers High Yield Bond Index produced a staggering 18.48% total return over the six-month period.
Outlook
Near term it will be of critical interest to see whether the recent gains in stocks were simply a "relief rally" as a result of the war with Iraq coming to a swift conclusion or if the underpinnings of a stronger economic recovery are set in motion. Close to a half a million jobs were lost in February and March alone and job growth remains a key missing piece from the economic recovery puzzle. The downward pressure on companies to lay off workers is likely to slow over the next several months. As the economy picks up steam and businesses increase investment in capital equipment, job growth should ensue.
As many of the uncertainties that burdened the U.S. economy over the past six months are peeled away, business spending should accelerate. The combination of easy monetary policy, strong productivity growth, tax cuts, and improved profitability that is currently being set into place, should set the stage for a moderate economic expansion through the end of this year and into 2004.
Conditions in the financial markets showed remarkable improvement over the last half of the reporting period and should continue to rally in the event of a stronger economic revival. The corporate malfeasance and accounting-related scandals appear largely behind us and today's management teams are more concerned with honesty and forthrightness. Faith in the integrity of our markets is on the mend. The economic climate is set for solid growth and investor confidence is on the upswing, which is good news for investors.
Small Cap Growth Portfolio
[GRAPHIC OMITTED: FRANKLIN TEMPLETON INVESTMENTS]
Franklin Advisers, Inc. (FAI), the subadviser for the Small Cap Growth Portfolio, has three co-managers of the Portfolio. Edward B. Jamieson, executive vice president of FAI, Michael P. McCarthy, senior vice president of FAI and Aidan W. O'Connell, vice president, have served as portfolio managers of the Small Cap Growth Portfolio since its inception in November 2001.
A marked difference between first and second half performance resulted in positive returns for investors for the six-month period ended June 30, 2003. In this unsettled environment, the Small Cap Growth Portfolio turned in a 14.58% total return as compared to its Lipper peer group of similarly managed small cap growth equity portfolios which returned 15.85% over the identical period. The Portfolio's market benchmark, the Russell 2000 Growth Index, registered a 19.33% total return.
Tale of Two Markets
The first few months of the year were volatile and disappointing for small-company growth stock investors as the anticipation of an Iraq conflict negatively influenced the equity markets and the economy. Decreased trading volume and stock prices coincided with declining consumer confidence, decelerated consumer spending, and high unemployment. The second half of the reporting period witnessed an abrupt about face and was characterized by a powerful equity market upsurgefollowing the conclusion of major fighting in Iraq. Small-cap growth stocks were major beneficiaries of this rally and rose dramatically in the third quarter. Specifically, the smallest of the small-caps, called micro-caps, and more speculative issues performed best.
Despite posting attractive absolute returns for investors, the Portfolio's relative performance was hindered by a slightly larger cash position. With historically low yields, any amount of cash provided drag on performance suffered in relative terms in the second half of the period when equity returns were very strong. Also, as mentioned previously, the speculative and very small rode the crest of this rally and the Portfolio's tempered exposure to these riskier and less liquid areas of the small-cap growth segment contributed to its relative underperformance. In particular, the Portfolio's lesser exposure to the biotechnology industry adversely impacted performance as these stocks did very well despite a general lack of earnings and the uncertainty associated with the risks inherent in the research and drug approval process. Our overweight position in the more defensive producer manufacturing sector also slowed performance over a period that disproportionately rewarded the most aggressive holdings.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Information Technology 42.7% Industrials 13.3% Consumer Discretionary 11.9% Energy 7.5% Health Care 6.8% Financials 6.0% Materials 4.9% Consumer Staples 0.6% Communications Services 0.5% Utilities 0.4%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 5.4% Common Stocks 94.6%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Small Cap Growth Portfolio seeks long-term capital growth by investing primarily in a diversified portfolio of common stocks of U.S. small capitalization companies.
Portfolio Facts Net Assets $22,559,275 NAV $8.82 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- -3.88% -7.62%
Outlook
Since the declared conclusion of the major conflict in Iraq, investors have demonstrated more optimism about corporate profit potential and appear to be willing to look further into the future for such potential to be realized. We believe this change in investor outlook can serve as a cornerstone of economic recovery only if it encourages the transmission of capital from low-yielding bonds to the more speculative equity markets, where the capital can fund new research projects, staffing, and advertisement and plant investment. As this trend progresses, we believe that investors will require evidence of improving profitability in their equity investments and in the economy as a whole. While such evidence, in the form of rising corporate profits, will not likely materialize immediately, we are confident that the dramatic cost-cutting over the last three years has the potential to begin yielding improving profit levels in the next year. With the belief that profit growth must materialize to validate and sustain an improved investor outlook, we continue to look for small-cap companies whose profit improvement, in their view, appears to be both imminent and relatively certain. We will focus on these opportunities across all industries, with a particular emphasis on the technology, transportation, industrial, commodity and energy sectors.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Russell Small Cap 2000 Consumer Growth Growth Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 10,550 10,623 9,961 2002 10,413 10,245 9,983 2002 9,962 9,582 10,023 2002 10,851 10,414 10,079 2002 10,540 10,189 10,135 2002 10,079 9,593 10,135 2002 9,179 8,780 10,141 2002 7,684 7,430 10,152 2002 7,665 7,427 10,186 2002 6,786 6,891 10,203 2002 7,450 7,239 10,228 2002 8,220 7,957 10,228 2002 7,699 7,408 10,206 2003 7,633 7,207 10,251 2003 7,462 7,015 10,330 2003 7,308 7,121 10,392 2003 7,963 7,795 10,369 2003 8,735 8,673 10,353 June 30, 2003 $8,822 $8,840 $10,364
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
** The Russell 2000 Growth Index is an unmanaged index comprised of companies with a greater than average growth orientation within the Russell 2000 Index. The Russell 2000 Index is comprised of the 2,000 smaller companies in the Russell 3000 Index, which represents the 3,000 largest companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in these Indexes.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Opportunity Growth Portfolio
[PHOTO OMITTED: ANDREA J. THOMAS]
Andrea J. Thomas, CFA, began serving as the manager of the Opportunity Growth Portfolio in February 2002. She joined Thrivent Financial for Lutherans in 1993 and served as the associate manager of the Mid Cap Portfolio from 1998 through February 2002.
Following an inauspicious start to the year, small-company growth stocks rebounded with authority. For the six-month period ended June 30, 2003, the Opportunity Growth Portfolio produced a 15.81% return. The Portfolio's Lipper peer group of similar small-cap growth portfolios produced a 15.85% median total return. The Portfolio's previous market benchmark, the small company Russell 2000 Index, returned 17.89%, while the Portfolio's current benchmark, the Russell 2000 Growth Index, returned 19.33%. Because the Russell 2000 Growth Index is a more accurate reflection of the companies in which the Portfolio invests, it will be used to compare performance of the Portfolio, rather than the Russell 2000 Index.
Technology Bounces Back
The year started with stocks declining on reports of poor year-end corporate profit numbers and continued headline uncertainty over hostilities with Iraq. However, market conditions improved in March and small-cap stocks began their steady climb. During the second quarter of 2003, small-cap stocks, as measured by the Russell 2000 Growth Index, turned in a powerful 24.15% gain. As far as style, growth stocks continued to moderately outpace value shares, although both have produced impressive returns so far this year.
The Portfolio's overweighting in technology adversely affected its performance early in the year. However, the technology sector responded vigorously in the second quarter and fueled the Portfolio's 22.71% second-quarter return, which outpaced its Lipper peer group's 20.73% median total return during the same period.
The Portfolio also benefited from an aggressive stance in the biotechnology area overall, as well as from strong stock selections within the industry. Semiconductors and semiconductor equipment also contributed gains as these industries tend to lead the technology sector out of downturns.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Information Technology 28.5% Health Care 20.9% Consumer Discretionary 17.1% Industrials 12.9% Financials 6.7% Energy 5.1% Consumer Staples 1.9% Materials 1.1% Communications Services 0.8% Utilities 0.3%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 4.5% Common Stocks 95.5%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Opportunity Growth Portfolio seeks long-term growth of capital by investing primarily in a professionally managed portfolio of smaller capitalization common stocks.
Portfolio Facts Net Assets $218,434,862 NAV $8.05 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 5-Year 1/18/1996 - ----------------------------------------------------------- - -3.48% -5.34% -1.32%
Outlook
The foreseeable future for small-cap growth stocks appears promising. We continue to believe that the economy is in the early stages of a recovery. At the margin, economic data reported during the second quarter was stable to positive. We believe the Fed's obliging monetary policy, combined with the recently passed tax cut stimulus package, should encourage both corporate and consumer spending.
Any form of sustained economic recovery -- particularly an earnings recovery -- should propel small-caps to produce attractive returns. Just as these small-company stocks typically bear the brunt of a depressed economy, so too do they reap the rewards in a recovery and growth environment. It was just such an atmosphere that fostered the tremendous move in technology and biotech shares in the second quarter.
Moving ahead, however, our enthusiasm for technology -- at its current prices -- has been tempered. We've recently pared back our stance and have reloaded our profits into stocks that provide discernable value. Biotechnology, telecommunications equipment and software are sectors of interest. We will also maintain a slight underweighting in financials in anticipation of a rotation out of those names at the margin.
Because of the magnitude of the recent move in the major averages off the March lows, the healthier scenario for the market, in our opinion, is a consolidation. In other words, if the market were to trade sideways for a period of time, it would allow earnings to catch up with stock prices. This would build a healthy base from which the market could experience another leg upward this fall.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Russell Opportunity Russell 2000 Consumer Growth 2000 Growth Price Date Portfolio Index** Index* Index*** - ------------------------------------------------------------------------------ January 18, 1996 10,000 10,000 10,000 10,000 1996 10,544 9,989 9,989 10,059 1996 10,983 10,301 10,300 10,091 1996 11,305 10,511 10,514 10,143 1996 12,594 11,073 11,076 10,182 1996 13,407 11,509 11,512 10,202 1996 12,517 11,036 11,039 10,208 1996 11,446 10,073 10,076 10,228 1996 12,124 10,658 10,661 10,248 1996 13,014 11,075 11,078 10,280 1996 11,982 10,904 10,908 10,313 1996 11,550 11,354 11,357 10,332 1996 11,917 11,651 11,654 10,332 1997 12,155 11,884 11,887 10,365 1997 11,106 11,596 11,600 10,397 1997 9,927 11,049 11,052 10,423 1997 9,499 11,080 11,083 10,436 1997 10,901 12,312 12,315 10,430 1997 11,480 12,840 12,844 10,443 1997 12,078 13,437 13,441 10,456 1997 12,359 13,745 13,749 10,476 1997 13,726 14,751 14,755 10,502 1997 12,912 14,104 14,107 10,528 1997 12,417 14,012 14,016 10,521 1997 12,028 14,257 14,261 10,508 1998 11,665 14,032 14,036 10,528 1998 12,378 15,069 15,073 10,547 1998 12,837 15,690 15,694 10,567 1998 12,880 15,776 15,780 10,586 1998 11,830 14,926 14,930 10,606 1998 11,920 14,957 14,961 10,619 1998 11,019 13,746 13,749 10,632 1998 8,646 11,076 11,079 10,645 1998 9,291 11,943 11,947 10,658 1998 9,854 12,431 12,434 10,684 1998 10,534 13,082 13,086 10,684 1998 11,668 13,892 13,896 10,678 1999 11,498 14,077 14,080 10,704 1999 10,392 12,936 12,940 10,717 1999 10,573 13,138 13,142 10,749 1999 10,799 14,315 14,319 10,827 1999 11,224 14,524 14,528 10,827 1999 11,969 15,181 15,185 10,827 1999 11,960 14,765 14,769 10,860 1999 11,452 14,219 14,222 10,886 1999 11,776 14,221 14,225 10,938 1999 11,856 14,280 14,284 10,958 1999 12,941 15,132 15,136 10,964 1999 14,882 16,845 16,850 10,964 2000 14,215 16,574 16,579 10,990 2000 16,935 19,310 19,316 11,055 2000 16,117 18,038 18,043 11,147 2000 14,719 16,952 16,957 11,153 2000 13,746 15,964 15,968 11,160 2000 15,624 17,356 17,360 11,225 2000 14,536 16,797 16,801 11,244 2000 16,497 18,079 18,083 11,257 2000 16,011 17,547 17,552 11,316 2000 15,373 16,764 16,769 11,336 2000 12,846 15,043 15,047 11,342 2000 13,982 16,335 16,339 11,336 2001 14,000 17,186 17,191 11,407 2001 12,119 16,059 16,063 11,453 2001 10,856 15,273 15,277 11,479 2001 12,030 16,468 16,472 11,524 2001 12,182 16,873 16,877 11,577 2001 12,303 17,455 17,460 11,596 2001 11,863 16,511 16,515 11,564 2001 11,194 15,977 15,982 11,564 2001 9,541 13,827 13,830 11,616 2001 10,326 14,636 14,639 11,577 2001 10,945 15,768 15,773 11,557 2001 11,464 16,741 16,746 11,511 2002 11,038 16,567 16,572 11,538 2002 10,422 16,113 16,118 11,583 2002 11,095 17,409 17,413 11,648 2002 10,692 17,567 17,572 11,713 2002 10,200 16,787 16,792 11,713 2002 9,385 15,955 15,959 11,720 2002 8,136 13,545 13,549 11,733 2002 8,148 13,512 13,515 11,772 2002 7,567 12,541 12,545 11,792 2002 7,874 12,944 12,947 11,821 2002 8,456 14,099 14,102 11,821 2002 7,822 13,315 13,319 11,795 2003 7,520 12,949 12,952 11,847 2003 7,287 12,557 12,561 11,938 2003 7,382 12,719 12,722 12,010 2003 8,003 13,924 13,927 11,984 2003 8,877 15,417 15,421 11,964 June 30, 2003 $9,059 $15,697 $15,702 $11,977
Footnotes read:
* The Russell 2000 Growth Index is an unmanaged index comprised of companies with a greater than average growth orientation within the Russell 2000 Index. The Russell 2000 Index is comprised of the 2,000 smaller companies in the Russell 3000 Index, which represents the 3,000 largest companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in these Indexes.
** The Russell 2000 Index is an unmanaged index comprised of the 2,000 smaller companies in the Russell 3000 Index, which represents the 3,000 largest companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in these Indexes.
*** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Mid Cap Select Growth Portfolio
[LOGO OMITTED: M F S INVESTMENT MANAGEMENT]
The Mid Cap Select Growth Portfolio is subadvised by Massachusetts Financial Services Company (MFS), which uses an investment advisory group that has day-to-day responsibility for managing the Portfolio and developing and executing the Portfolio's investment program.
Evidence that the worst imaginable outcomes in Iraq had been avoided, together with better-than-expected first-quarter earnings reports and continued low interest rates, helped stocks register encouraging gains over the six-month period ended June 30, 2003. The Mid Cap Select Growth Portfolio provided a total return of 18.17%, bettering its Lipper peer group of similar mid-cap growth portfolios which returned a median of 16.93%. The Russell MidCap Growth Index, the Portfolio's market benchmark, returned 18.74% over the same period.
Favorable Market Environment for Stocks
Worries of the impending war with Iraq and its potential economic impact dominated investor sentiment during the first two months of the period, contributing to stock losses. Sentiment changed rapidly when investors realized that the course of war would be pursued and a measure of resolution had arrived. The favorable outcome in Iraq, combined with better-than-expected first-quarter earnings reports and continued low interest rates, helped stocks move higher for the remainder of the period.
The market's rally was fairly broad-based and the results in our Portfolio, which had been newly diversified heading into 2003, were reflective of this. Health care stocks, particularly biotech companies, formed one of the Portfolio's strongest-performing sectors. In addition to our diverse health care holdings, we had strong performance among our utilities and communication stocks. Overall, stock selection was the lead factor behind the Portfolio's returns. The Portfolio's performance was slowed as a result of our underweighted position in technology -- a sector that snapped back with a fury from very depressed levels. We continue to build into a select group of technology companies where we believe fundamentals (earnings, cash flow, etc.) merit investment. For many companies in this sector, however, the future picture remains uncertain. The fact that many distressed or fundamentally less sound companies led the recent rally is cause for some thought.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Information Technology 27.2% Consumer Discretionary 26.2% Health Care 18.3% Industrials 9.9% Financials 5.7% Energy 4.7% Communications Services 2.1% Consumer Staples 0.9% Materials 0.3%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 4.7% Common Stocks 95.3%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Mid Cap Select Growth Portfolio seeks long-term capital growth by investing primarily in a diversified portfolio of common stocks of companies with medium market capitalizations.
Portfolio Facts Net Assets $20,022,828 NAV $7.04 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 3.62% -19.79%
Outlook
Viewing the global economy, there is little hard evidence that economic factors, such as unemployment, consumer spending, or business investment, have dramatically improved since the beginning of the year. In our view, the market rally seemed largely based on a combination of relief, hope, earnings improvement and low interest rates. Relief resulted from resolution of the Iraq situation and containment of the SARS outbreak. Hope for stronger economic numbers in the second half of 2003 also led to the strong stock run up, though we believe future earnings will also have to improve to justify some lofty valuations. First-quarter corporate earnings reports were somewhat stronger than expected. And, interest rates are so low that investors sought out riskier asset classes, such as stocks, that offer potentially higher returns.
Overall, our decision to transition to a more-diversified Portfolio, with more companies represented and smaller positions in individual companies, benefited our six-month returns. We expect to maintain our relatively diversified approach through the remainder of 2003, positioning the Portfolio broadly across industries.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Mid Cap Russell Select MidCap Consumer Growth Growth Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 10,599 10,380 9,961 2002 9,735 10,043 9,983 2002 9,362 9,474 10,023 2002 9,981 10,197 10,079 2002 8,678 9,657 10,135 2002 8,161 9,369 10,135 2002 6,811 8,335 10,141 2002 6,129 7,525 10,152 2002 6,139 7,499 10,186 2002 5,568 6,903 10,203 2002 6,017 7,438 10,228 2002 6,349 8,020 10,228 2002 5,972 7,535 10,206 2003 5,988 7,461 10,251 2003 5,912 7,397 10,330 2003 5,972 7,534 10,392 2003 6,369 8,047 10,369 2003 6,987 8,822 10,353 June 30, 2003 $7,057 $8,947 $10,364
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
** The Russell MidCap Growth Index is an unmanaged index comprised of those Russell MidCap Index companies with higher price-to-book ratios and higher forecasted growth values, specifically the 800 smallest companies within the top 1,000 of the Russell 3000 Index. The Russell 3000 Index is comprised of the 3,000 largest U.S. companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in these Indexes.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Mid Cap Growth Portfolio
[PHOTO OMITTED: BRIAN L. THORKELSON]
Brian L. Thorkelson joined Thrivent Financial for Lutherans in 1987 and has served as a portfolio manager since 1998.
Mid-cap growth stocks garnered impressive returns for the six-month period ended June 30, 2003. The Mid Cap Growth Portfolio posted a robust 17.16% return, as compared to the Portfolio's current benchmark, the Russell MidCap Growth Index's 18.74% median total return. The Portfolio's previous benchmark, the S&P MidCap 400 Index, returned a median of 12.40% over the identical period. Because the Russell MidCap Growth Index is a more accurate reflection of the companies in which the Portfolio invests, it will be used to compare performance of the Portfolio, rather than the S&P MidCap 400 Index. The Portfolio's Lipper peer group of similar mid-cap growth stock funds returned 16.93%.
Too good to be true?
Following a re-testing of market lows in the days preceding the Iraq war, it was off-to-the-races for mid-cap stock investors from mid-March through the end of the period. Interestingly, many market participants didn't believe the market rally would hold. We disagreed with this stance and benefited our investors by being healthy participants in more aggressive areas of the mid-cap market.
Despite the market clearly being on a tear, many investors continued to view it with disbelief, saying the end of the war was not sufficient reason to bring about such a rally. What they overlooked was the fact that the markets declined significantly because of the war, so it only made sense that they rallied back to pre-war levels as hostilities subsided. The realization that the economy was still in poor shape also contributed to the incredulity of some market participants. However, the markets are a discounting mechanism -- looking beyond the current economic conditions and toward a projected future economic state.
The Portfolio benefited from a fairly aggressive jump into tech stocks, mostly in the semiconductor and communication equipment industries. The Portfolio's performance in this sector helped it to nearly keep pace with its market benchmark. It also buffered the Portfolio against an underweighting in the strong-performing health care sector, led by biotechnology and health care products and equipment.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Information Technology 23.5% Health Care 21.8% Consumer Discretionary 20.6% Industrials 11.8% Financials 7.6% Energy 6.1% Materials 2.1% Consumer Staples 1.0% Communications Services 0.8% Utilities 0.5%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 4.2% Common Stocks 95.8%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Mid Cap Growth Portfolio seeks long-term growth of capital by investing primarily in a professionally managed diversified portfolio of common stocks of companies with medium market capitalizations.
Portfolio Facts Net Assets $394,322,453 NAV $11.28 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 5-Year 1/30/1998 - ----------------------------------------------------------- 3.06% 3.71% 5.20%
Outlook
In light of the tremendous rally in the first half of 2003, we do anticipate some form of market consolidation. However, we believe the economy will continue to improve and with it, demand in technology, since its new-product growth pipeline continues to demonstrate its vitality. In addition, we believe areas in health care will likely provide intriguing opportunities, especially on the services side comprised of hospital management and HMOs.
Overall, because smaller to mid-sized companies are the most economically sensitive, in that demand flows easily through to the bottom line, they will continue to provide very attractive growth prospects, especially when compared to larger, more mature companies.
While significant levers are in place to drive real economic expansion, it will likely take a quarter or more for these policies to influence capital spending plans. Also, we continue to look for improvements in the employment market, as this is one piece of economic data that has lagged, yet is a critical factor for producing sustainable growth.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Russell S&P Mid Cap MidCap MidCap Consumer Growth Growth 400 Price Date Portfolio Index*** Index* Index** - ------------------------------------------------------------------------------ January 30, 1998 10,000 10,000 10,000 10,000 1998 10,732 10,940 10,829 10,019 1998 11,132 11,399 11,317 10,037 1998 11,224 11,554 11,523 10,056 1998 10,650 11,078 11,005 10,074 1998 10,968 11,392 11,074 10,087 1998 10,457 10,904 10,645 10,099 1998 8,344 8,823 8,664 10,111 1998 8,868 9,490 9,472 10,124 1998 9,393 10,189 10,319 10,149 1998 10,084 10,876 10,834 10,149 1998 11,162 12,003 12,143 10,142 1999 11,588 12,362 11,670 10,167 1999 10,939 11,758 11,059 10,179 1999 11,624 12,413 11,368 10,210 1999 12,050 12,978 12,265 10,285 1999 11,920 12,811 12,318 10,285 1999 12,843 13,706 12,977 10,285 1999 12,704 13,269 12,702 10,316 1999 12,487 13,131 12,266 10,340 1999 12,453 13,020 11,888 10,390 1999 13,387 14,026 12,493 10,408 1999 14,357 15,479 13,149 10,415 1999 16,704 18,159 13,931 10,415 2000 16,493 18,155 13,538 10,439 2000 20,549 21,972 14,486 10,501 2000 20,047 21,995 15,698 10,588 2000 18,689 19,860 15,150 10,594 2000 17,859 18,412 14,961 10,600 2000 19,007 20,366 15,181 10,662 2000 18,586 19,076 15,420 10,681 2000 20,821 21,953 17,142 10,693 2000 20,590 20,880 17,025 10,749 2000 19,689 19,451 16,447 10,767 2000 17,733 15,224 15,206 10,774 2000 18,936 16,026 16,369 10,767 2001 19,025 16,941 16,734 10,835 2001 16,177 14,011 15,779 10,879 2001 14,383 12,006 14,606 10,903 2001 16,328 14,007 16,217 10,947 2001 16,313 13,941 16,594 10,996 2001 16,189 13,948 16,527 11,015 2001 15,554 13,008 16,281 10,984 2001 14,564 12,065 15,749 10,984 2001 12,616 10,071 13,790 11,033 2001 13,550 11,129 14,400 10,996 2001 14,654 12,328 15,471 10,978 2001 15,198 12,796 16,270 10,934 2002 14,733 12,381 16,186 10,959 2002 14,118 11,679 16,205 11,003 2002 14,925 12,570 17,364 11,064 2002 14,435 11,905 17,283 11,126 2002 14,065 11,549 16,991 11,126 2002 12,770 10,275 15,748 11,132 2002 11,481 9,277 14,222 11,145 2002 11,397 9,244 14,294 11,182 2002 10,574 8,510 13,143 11,201 2002 11,254 9,169 13,712 11,228 2002 12,062 9,887 14,504 11,228 2002 11,234 9,289 13,908 11,204 2003 11,076 9,198 13,502 11,253 2003 10,971 9,118 13,181 11,340 2003 11,108 9,288 13,291 11,408 2003 11,915 9,920 14,256 11,383 2003 12,958 10,875 15,436 11,365 June 30, 2003 $13,162 $11,030 $15,633 $11,377
Footnotes read:
* The S&P MidCap 400 Index is an unmanaged index that represents the average performance of a group of 400 medium capitalization stocks. It is not possible to invest directly in the Index.
** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
*** The Russell MidCap Growth Index is an unmanaged index comprised of those Russell MidCap Index companies with higher price-to-book ratios and higher forecasted growth values, specifically the 800 smallest companies within the top 1,000 of the Russell 3000 Index. The Russell 3000 Index is comprised of the 3,000 largest U.S. companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in these Indexes.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
World Growth Portfolio
[LOGO OMITTED: T. ROWE PRICE]
The World Growth Portfolio is subadvised by T. Rowe Price International, Inc., which uses an investment advisory group that has day-to-day responsibility for managing the Portfolio and developing and executing the Portfolio's investment program.
International stocks posted strong returns during the first half of the year as stocks soared in the second quarter following the conclusion of the war in Iraq, which helped ignite a broad rally in financial assets. In this improved environment for international equities, the World Growth Portfolio recorded a 7.33% total return while its Lipper peer group of international stock portfolios posted an 8.12% median total return. The Portfolio's market benchmark, the MSCI EAFE Index, turned in a 9.47% total return.
Market Environment Improves
Non-U.S. stock markets surged in the second quarter, rallying sharply from the low levels reached during the first quarter. Investors appeared to gain confidence as the major negative influences early in the year -- the war in Iraq and concerns about severe acute respiratory syndrome (SARS) -- began to be resolved. With growth still sluggish and inflation in check, the European Central Bank (ECB) cut rates by 50 basis points in June, bringing the short-term rate to 2% -- the lowest level in any euro zone economy since World War II. The euro continued to show strength, hitting record highs before backing off somewhat in June.
Japan rallied from 20-year lows reached in April. The country's economy remains stalled and the need for structural reform, especially in the banking sector, was highlighted by a government bailout of Resona Holdings Inc., the country's fifth-largest bank. Japanese pension funds have been allowed to return a portion of their pension assets to the Japanese government (daiko henjo is the term used for this) and are selling stocks to raise cash to fund the return. Daiko henjo was a significant technical factor weighing on the market.
Asian stocks rallied over the past few months as SARS came increasingly under control. The disease hurt domestic consumption, tourism and exports, and gross domestic product (GDP) growth forecasts for some markets have been cut. The impact, though, does not appear to be as severe as initially expected.
Stock Selection Weighs on Portfolio
Weak stock selection and, to a lesser extent, sector weightings, hampered performance. Stock selection across several sectors was sidetracked by a variety of issues. In the industrials sector, a Swedish-based provider of security services, Securitas, suffered as a result of lower growth and profitability in its U.S. security business, while the Japanese-based security provider, SECOM, also detracted from results. Stock selection in the health care sector was similarly problematic, with Japanese pharmaceutical company Fujisawa HealthCare, Inc. falling after both reporting a delay in FDA approval for a new product and releasing disappointing earnings forecasts for fiscal year 2004.
[GRAPHIC OMITTED: TOP COUNTRIES]
Top Countries
United Kingdom 27.2% France 15.6% Japan 14.2% Switzerland 6.2% Italy 5.9% Netherlands 4.4% Spain 4.0% Sweden 2.9% South Korea 2.5% Germany 2.2%
[GRAPHIC OMITTED: PIE CHART PORTFOLIO COMPOSITION]
Portfolio Composition
(% of Portfolio)
Short Term Investments 3.9% Common Stocks 96.1%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The World Growth Portfolio seeks long-term growth of capital by investing in a professionally managed diversified portfolio of common stocks of established, non-U.S. companies.*
Portfolio Facts Net Assets $339,312,061 NAV $8.69 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 5-Year 1/18/1996 - ----------------------------------------------------------- - -8.30% -4.22% 0.57%
Seven-Eleven Japan was negatively affected by the weak retail environment in Japan. Fundamentals at the company remain strong, with same-store sales growing at an above-average rate and market share increasing. Good stock selection within the energy sector helped offset weaknesses in other sectors. YUKOS, Russia's second-largest oil producer, benefited from efficiency improvements, production growth and improved investor sentiment toward Russia. Petroleo Brasileiro (Petrobras) moved higher as the Brazilian market improved.
The Portfolio's relative country weightings added value. Within Europe, the Portfolio's overweighted exposure to France, Italy and Sweden were positive, but the benefit was offset somewhat by our underweighting in Germany. The Portfolio remains underweighted in Japan, which added value during the period. Emerging market exposure continued to be positive, primarily due to the Portfolio's positions in Russia and Brazil.
Outlook
Following quick resolutions to the war in Iraq and the SARS epidemic, global markets rallied strongly with every market posting gains for the quarter. With these events behind us, we expect equity markets to look more closely at economic and corporate fundamentals for direction. Global recovery has been slow and economic forecasts have been scaled back, but we believe the low interest rate environment, along with stimulative fiscal policies, will ultimately support a subdued recovery.
Sustained earnings growth will be difficult to achieve until the economic backdrop becomes more supportive. However, we are moderately optimistic that firms with leading market positions, which continue to cut costs and take market share from their competitors, will be able to deliver solid earnings growth over time. Stock valuations remain attractive in all regions both on an absolute basis and relative to the U.S. market.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment World MSCI Consumer Growth EAFE Price Date Portfolio Index** Index*** - ------------------------------------------------------------------------ January 18, 1996 10,000 10,000 10,000 1996 10,014 10,043 10,059 1996 9,988 10,079 10,091 1996 10,113 10,296 10,143 1996 10,370 10,598 10,182 1996 10,351 10,405 10,202 1996 10,483 10,466 10,208 1996 10,152 10,163 10,228 1996 10,305 10,187 10,248 1996 10,548 10,460 10,280 1996 10,495 10,355 10,313 1996 10,980 10,770 10,332 1996 11,041 10,634 10,332 1997 10,886 10,264 10,365 1997 10,998 10,434 10,397 1997 10,982 10,475 10,423 1997 11,051 10,532 10,436 1997 11,754 11,220 10,430 1997 12,256 11,842 10,443 1997 12,585 12,036 10,456 1997 11,449 11,139 10,476 1997 12,212 11,765 10,502 1997 11,322 10,863 10,528 1997 11,291 10,754 10,521 1997 11,351 10,851 10,508 1998 11,754 11,350 10,528 1998 12,440 12,081 10,547 1998 12,869 12,456 10,567 1998 12,970 12,557 10,586 1998 12,946 12,499 10,606 1998 12,942 12,596 10,619 1998 13,101 12,727 10,632 1998 11,499 11,153 10,645 1998 11,242 10,814 10,658 1998 12,240 11,944 10,684 1998 12,799 12,559 10,684 1998 13,251 13,058 10,678 1999 13,120 13,022 10,704 1999 12,888 12,715 10,717 1999 13,410 13,249 10,749 1999 13,907 13,790 10,827 1999 13,275 13,082 10,827 1999 13,781 13,595 10,827 1999 14,042 14,003 10,860 1999 14,197 14,058 10,886 1999 14,279 14,202 10,938 1999 14,750 14,738 10,958 1999 15,780 15,254 10,964 1999 17,774 16,627 10,964 2000 16,675 15,572 10,990 2000 17,580 15,994 11,055 2000 17,766 16,618 11,147 2000 16,775 15,747 11,153 2000 16,176 15,366 11,160 2000 16,975 15,970 11,225 2000 16,419 15,304 11,244 2000 16,812 15,440 11,257 2000 15,761 14,692 11,316 2000 15,158 14,348 11,336 2000 14,378 13,813 11,342 2000 14,909 14,307 11,336 2001 15,077 14,316 11,407 2001 13,744 13,249 11,453 2001 12,685 12,352 11,479 2001 13,708 13,203 11,524 2001 13,105 12,717 11,577 2001 12,566 12,197 11,596 2001 12,274 11,989 11,564 2001 11,967 11,723 11,564 2001 10,727 10,537 11,616 2001 11,058 10,807 11,577 2001 11,528 11,206 11,557 2001 11,774 11,273 11,511 2002 11,211 10,675 11,538 2002 11,330 10,750 11,583 2002 11,933 11,337 11,648 2002 11,856 11,419 11,713 2002 11,865 11,574 11,713 2002 11,378 11,095 11,720 2002 10,100 12,198 11,733 2002 10,071 12,141 11,772 2002 8,929 10,820 11,792 2002 9,570 11,402 11,821 2002 10,117 11,921 11,821 2002 9,721 11,521 11,795 2003 9,285 11,040 11,847 2003 8,955 10,787 11,938 2003 8,740 10,575 12,010 2003 9,687 11,611 11,984 2003 10,271 12,315 11,964 June 30, 2003 $10,433 $12,613 $11,977
Footnotes read:
* International investing has special risks including currency fluctuation and political volatility.
** The Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE Index) is a stock index designed to measure the investment returns of the developed countries outside North America. The MSCI EAFE Index currently includes stocks from 21 countries which are selected on the basis of industry representation, liquidity and sufficient float. It is not possible to invest directly in the Index.
*** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
All Cap Portfolio
[LOGO OMITTED: FIDELITY INVESTMENTS]
Fidelity Management & Research Company
The All Cap Portfolio is subadvised by Fidelity Managment & Research Company ("FMR"). Bruce Dirks has served as portfolio manager of the All Cap Portfolio since its inception in November 2001. He has been employed by FMR as a portfolio manager since 2000, and has over 13 years in the financial services industry.
A strong finish highlighted what was another very volatile period for stock investors. In this unsettled environment, the All Cap Portfolio recorded a 8.12% total return while its Lipper peer group of similarly managed multi-cap core portfolios had a 11.93% total return. The Portfolio's market benchmark, the Russell 3000 Index, posted a 12.70% total return over the identical period.
Stocks Surge Despite Weak Economy
The second quarter of 2003 marked the most rewarding period for stock returns since 1998. This rally came in stark contrast to the first three months of the year when the markets were saddled with anxiety over the march to war with Iraq and very tepid economic data. As war worries turned to relief, the markets rallied strongly and continued to register strong returns through the end of the reporting period.
Besides reaching resolution in Iraq, the substantial stock rally can be traced to several other sources. Among them, the Federal Reserve Board lowered interest rates, the long-anticipated tax-cut package was passed and first-quarter profits were better than many investors had expected. These positive factors helped offset less than dazzling economic reports and drove the broad markets higher after a re-testing of lows in mid-March.
The Portfolio trailed its peer group and market benchmark with the majority of the underperformance stemming from weak security selection and, to a lesser degree, unfavorable industry selection. Stock selection in the suddenly resurgent technology sector was an issue as it was in the health care sector where our heavier allocations to pharmaceutical and medical services companies underperformed more robust industries such as biotechnology. The Portfolio's stock picking as well as its relatively lesser overall weighting in the technology sector also impacted performance as this was one of the top-performing areas for the six-month period. On the positive side, strong security selection in the consumer discretionary sector provided benefit as did positions in the Portfolio's entertainment and media holdings, which outperformed those in the index.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Financials 18.4% Information Technology 15.9% Health Care 14.1% Industrials 10.8% Consumer Discretionary 10.8% Consumer Staples 9.6% Energy 6.6% Communications Services 3.8% Utilities 3.0% Materials 3.0%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 4.0% Common Stocks 96.0%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The All Cap Portfolio seeks long-term growth of capital by investing primarily in common stocks of all capitalizations.
Portfolio Facts Net Assets $38,494,920 NAV $6.86 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- -12.79% -21.11%
Outlook
Stock returns, after a very fast and furious rally, are likely to be tempered through the end of the year. Investors will want to ensure that future company earnings will support the recent run up in valuations and will look for a stronger economic recovery to boost corporate prospects. The combination of tax-cuts, low interest rates, improving corporate profitability and improved investor confidence should bode well for stock investors. Issues of concern remain, however, with the main detractions being higher unemployment, the lack of job creation, and weak industrial and manufacturing activity.
The Portfolio's strategy remains focused on identifying stocks with improving fundamentals that offer high-quality earnings at reasonable prices. Both short- and long-term earnings growth will be considered, as well as a particular stock's valuation level. Stock by stock portfolio construction, using Fidelity's extensive research capabilities, will continue to drive investment decisions.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Russell Consumer All Cap 3000 Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 10,310 10,141 9,961 2002 9,754 10,014 9,983 2002 9,579 9,809 10,023 2002 10,156 10,239 10,079 2002 9,647 9,702 10,135 2002 9,207 9,589 10,135 2002 7,882 8,899 10,141 2002 7,027 8,192 10,152 2002 6,879 8,230 10,186 2002 6,092 7,366 10,203 2002 6,433 7,952 10,228 2002 6,707 8,433 10,228 2002 6,358 7,957 10,206 2003 6,182 7,762 10,251 2003 6,131 7,634 10,330 2003 6,181 7,714 10,392 2003 6,430 8,344 10,369 2003 6,832 8,847 10,353 June 30, 2003 $6,874 $8,967 $10,364
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
** The Russell 3000 Index is an unmanaged index comprised of the 3,000 largest companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Growth Portfolio
[PHOTO OMITTED: SCOTT A. VERGIN]
Scott A. Vergin, CFA, joined Thrivent Financial for Lutherans in 1984 and began serving as portfolio manager of the Growth Portfolio in 1994.
Large-company growth stocks staged a complete reversal of a disappointing early year trend and finished the second quarter of 2003 with double-digit returns. For the six-month period ended June 30, 2003, the Growth Portfolio posted a 13.51% total return, outpacing its Lipper peer group of similar large-cap growth portfolios, which returned a median of 12.26%, and the 13.09% total return of its current market benchmark, the Russell 1000 Growth Index. The Portfolio's previous benchmark, the large-company S&P 500 Index, returned 11.75%. Because the Russell 1000 Growth Index is a more accurate reflection of the companies in which the Portfolio invests, it will be used to compare performance of the Portfolio, rather than the S&P 500 Index.
Relief Gives Way to Optimism
Despite the sputtering economy, a war in the Middle East, faltering consumer confidence, and a dismal first quarter, investors enjoyed robust returns in the first half of 2003. One of the most significant reasons for this apparent dichotomy is the fact that the stock markets were vastly oversold at the beginning of the year and were due for a rebound. But there were other elements that also factored into the recovery. The economy, for one, has improved on the year-over-year basis and gross domestic product (GDP) is growing, albeit slowly. More help for the economy came from low interest rates, courtesy of the Federal Reserve Bank.
While the Iraq war had the potential to hinder the markets in the first half of the year, the speed with which the victory was won assured a steady rise in the markets. In addition, the relief resulting from the non-use of weapons of mass destruction and no disruption in oil supplies led to renewed optimism overall, including for the economy. Finally, and perhaps most importantly, corporate profits matched expectations during this period despite many observers' predictions to the contrary.
One of the biggest reasons for the Portfolio's ability to outperform was the fact that it was heavily leveraged in the NASDAQ market, which was the best performing market in the industry in the first half of 2003. Our aggressive overweighting in NASDAQ mainstays such as technology and biotechnology produced strong returns. We also were positioned aggressively in financials, specifically equity-sensitive financials, and underweighted in interest-sensitive financials. At the same time, we diminished our energy bet in time to avoid its disappointing second-quarter returns.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Information Technology 23.7% Health Care 22.7% Consumer Discretionary 17.0% Financials 14.9% Industrials 9.2% Consumer Staples 5.5% Energy 3.4% Communications Services 1.5% Materials 0.4%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 1.7% Common Stocks 98.3%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Growth Portfolio seeks long-term growth of capital by investing primarily in common stocks of established corporations that appear to offer attractive prospects of a high total return from dividends and capital appreciation.
Portfolio Facts Net Assets $2,218,403,696 NAV $11.98 Average Annual Total Returns /1/ June 30, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 0.56% -0.71% 9.42%
Outlook
Clearly, the strong start of the stock market in 2003 surprised many and it's easy to find market observers who believe the markets need to correct and consolidate. Those of us on the large-cap growth team respectfully disagree. In fact, we are still quite constructive on the stock market for the second half of 2003 because we believe that the economy and corporate profits could actually gain strength in the second half of the year. The Federal Reserve Bank also looks as if it will keep interest rates low for the foreseeable future. These factors should help boost consumer confidence moving forward. And finally, two major unknowns in the first half of the year, SARS and the Iraq conflict, appear to be largely behind us.
The question that everyone seeks an answer to is, "Are the markets currently overvalued after the rally in the first half?" We don't believe so. If economic and corporate fundamentals continue to improve, and investors start to look for better rates of return than fixed income vehicles can currently provide, then the stock markets could have more room for growth as the year progresses.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Russell 1000 Consumer Growth S&P 500 Growth Price Date Portfolio Index* Index** Index*** - ----------------------------------------------------------------------------- June 30, 1993 10,000 10,000 10,000 10,000 1993 9,972 9,960 9,821 10,000 1993 10,338 10,338 10,224 10,028 1993 10,433 10,258 10,149 10,048 1993 10,525 10,471 10,431 10,090 1993 10,242 10,371 10,361 10,097 1993 10,475 10,496 10,539 10,097 1994 10,804 10,853 10,784 10,125 1994 10,510 10,559 10,586 10,159 1994 10,002 10,098 10,075 10,194 1994 9,989 10,228 10,121 10,208 1994 10,001 10,395 10,274 10,215 1994 9,660 10,141 9,970 10,249 1994 9,891 10,474 10,311 10,277 1994 10,341 10,903 10,885 10,319 1994 10,173 10,637 10,738 10,346 1994 10,317 10,876 10,990 10,353 1994 9,911 10,479 10,638 10,367 1994 9,987 10,635 10,816 10,367 1995 10,207 10,911 11,047 10,409 1995 10,609 11,336 11,510 10,450 1995 10,911 11,670 11,846 10,485 1995 11,227 12,014 12,105 10,519 1995 11,574 12,494 12,526 10,540 1995 12,080 12,784 13,010 10,561 1995 12,727 13,208 13,550 10,561 1995 12,767 13,242 13,565 10,589 1995 13,166 13,800 14,190 10,609 1995 13,202 13,751 14,200 10,644 1995 13,686 14,355 14,752 10,637 1995 13,709 14,631 14,837 10,630 1996 14,041 15,129 15,333 10,693 1996 14,334 15,270 15,613 10,727 1996 14,384 15,417 15,633 10,783 1996 14,898 15,644 16,045 10,824 1996 15,226 16,047 16,605 10,845 1996 15,028 16,108 16,628 10,852 1996 14,381 15,397 15,654 10,873 1996 14,946 15,721 16,058 10,893 1996 15,855 16,606 17,227 10,928 1996 16,126 17,064 17,331 10,963 1996 15,101 18,354 18,632 10,983 1996 14,812 17,991 18,267 10,983 1997 15,792 19,115 19,548 11,018 1997 15,592 19,264 19,416 11,053 1997 14,859 18,473 18,365 11,080 1997 15,549 19,576 19,585 11,094 1997 16,652 20,768 20,998 11,087 1997 17,360 21,698 21,839 11,101 1997 18,897 23,424 23,770 11,115 1997 18,146 22,112 22,379 11,136 1997 19,150 23,323 23,480 11,163 1997 18,513 22,544 22,612 11,191 1997 19,014 23,588 23,573 11,184 1997 19,282 23,993 23,837 11,170 1998 19,417 24,258 24,549 11,191 1998 20,786 26,008 26,396 11,212 1998 21,835 27,340 27,448 11,233 1998 22,210 27,615 27,828 11,253 1998 21,673 27,140 27,039 11,274 1998 22,503 28,242 28,695 11,288 1998 22,258 27,942 28,505 11,302 1998 18,496 23,902 24,227 11,316 1998 19,897 25,433 26,088 11,330 1998 21,451 27,502 28,184 11,357 1998 22,848 29,168 30,328 11,357 1998 24,754 30,849 33,063 11,350 1999 26,311 32,139 35,004 11,378 1999 25,215 31,140 33,405 11,392 1999 26,814 32,386 35,165 11,427 1999 27,725 33,641 35,210 11,510 1999 27,163 32,846 34,128 11,510 1999 29,122 34,669 36,518 11,510 1999 28,259 33,587 35,357 11,544 1999 28,211 33,421 35,935 11,572 1999 28,319 32,505 35,180 11,627 1999 30,299 34,562 37,837 11,648 1999 32,200 35,264 39,878 11,655 1999 35,549 37,341 44,026 11,655 2000 34,314 35,465 41,962 11,683 2000 37,012 34,794 44,013 11,752 2000 39,081 38,198 47,163 11,849 2000 37,044 37,048 44,919 11,856 2000 35,255 36,288 42,657 11,863 2000 37,650 37,183 45,890 11,932 2000 37,042 36,601 43,977 11,953 2000 40,467 38,875 47,959 11,967 2000 38,173 36,823 43,422 12,029 2000 37,018 36,667 41,368 12,050 2000 32,996 33,776 35,270 12,057 2000 33,789 33,941 34,154 12,050 2001 35,134 35,145 36,513 12,126 2001 30,829 31,941 30,315 12,175 2001 28,351 29,917 27,015 12,202 2001 31,279 32,242 30,433 12,251 2001 31,030 32,458 29,984 12,306 2001 30,170 31,668 29,290 12,327 2001 29,154 31,357 28,558 12,292 2001 26,624 29,394 26,223 12,292 2001 23,662 27,020 23,605 12,348 2001 24,790 27,535 24,843 12,306 2001 27,175 29,648 27,230 12,285 2001 27,325 29,907 27,178 12,237 2002 26,491 29,471 26,698 12,265 2002 25,120 28,903 25,590 12,313 2002 26,294 29,990 26,475 12,382 2002 24,124 28,172 24,315 12,452 2002 23,678 27,964 23,727 12,452 2002 21,594 25,972 21,532 12,458 2002 19,874 23,947 20,348 12,472 2002 20,025 24,105 20,409 12,514 2002 18,093 21,488 18,292 12,535 2002 19,657 23,377 19,970 12,566 2002 20,708 24,752 21,054 12,566 2002 19,129 23,299 19,600 12,538 2003 18,743 22,690 19,124 12,594 2003 18,607 22,349 19,037 12,691 2003 18,961 22,565 19,391 12,767 2003 20,440 24,423 20,825 12,739 2003 21,502 25,708 21,864 12,718 June 30, 2003 $21,715 $26,037 $22,165 $12,732
Footnotes read:
* The S&P 500 Index is an unmanaged index that represents the average performance of a group of 500 large-capitalization stocks. It is not possible to invest directly in the Index.
** The Russell 1000 Growth Index is an unmanaged index comprised of those Russell 1000 companies with higher than average price-to-book ratios and higher forecasted growth values. The Russell 1000 Index is comprised of the 1,000 largest companies in the Russell 3000 Index, which represents the 3,000 largest companies based on market capitalization and is designed to represent the performance of about 98% of the U.S. equity market. It is not possible to invest directly in these Indexes.
*** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Investors Growth Portfolio
[LOGO OMITTED: M F S INVESTMENT MANAGEMENT]
The Investors Growth portfolio is subadvised by Massachusetts Financial Services Company (MFS). Stephen Pesek, senior vice president of MFS, has served as portfolio manager of the Investors Growth Portfolio since its inception in November 2001. He has been with the investment management area of MFS since 1994 and has served as a portfolio manager since 1999.
Investors enjoyed better results than they had experienced in several years over the six-month period ending June 30, 2003, due to the favorable outcome in Iraq, along with better-than-expected first-quarter earnings reports and continued low interest rates. The Investors Growth Portfolio provided a total return of 12.87% while its Lipper peer group of similar large-cap growth portfolios returned a median of 12.26%. The Portfolio's market benchmark, the S&P 500/Barra Growth Index, which measures the performance of large-company U.S. growth stocks, provided a return of 11.24% over the same time period.
Stock Investors Benefit as Market Improves
During the first half of 2003, nearly all asset classes showed positive performance for the period and gave investors in the U.S., as well as in overseas stock markets, their best quarter in many years. Investor sentiment underwent a rapid reversal, leading up to hostilities with Iraq and culminated with a swift military victory. Adding more optimism to the picture was a solid earnings announcement season in April where a majority of companies met or exceeded expectations.
Portfolio performance over the period was boosted by our holdings in the heath care sector and spearheaded by several of our biotechnology positions. These health care stocks performed well due to a variety of factors: favorable experimental results for pharmaceuticals, exciting innovations and successful new product launches. Our holdings in the leisure and cable sectors also helped performance and were led by Comcast, after it successfully integrated a new broadband business, and InterActiveCorp, which fully acquired subsidiaries expected to boost growth prospects. Positioning among industrial goods and services firms was the largest detractor from performance. Despite the fact that several of our technology holdings were strong performers, our overall positioning in the sector detracted from results.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Consumer Discretionary 25.2% Health Care 19.8% Information Technology 18.8% Financials 11.4% Industrials 11.2% Consumer Staples 5.8% Energy 2.9% Communications Services 1.4%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 3.5% Common Stocks 96.5%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Investors Growth Portfolio seeks long-term growth of capital and future income by investing primarily in a diversified portfolio of common stocks of companies that appear to offer better than average long-term growth potential.
Portfolio Facts Net Assets $28,572,682 NAV $8.36 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- -0.02% -10.68%
Outlook
In viewing the global economy, there is little hard evidence that economic factors, such as unemployment, consumer spending, or business investment , have dramatically improved since the beginning of the year. In our view, the market rally seemed largely based on a combination of relief, hope, earnings improvement, and low interest rates. Relief resulted from resolution of the Iraq situation and containment of the SARS outbreak. Hope for stronger economic numbers in the second half of 2003 also led to the strong stock run up, though we believe future earnings will also have to improve to justify some lofty valuations. First-quarter corporate earnings reports were somewhat stronger than expected. And, interest rates are so low that investors sought out riskier asset classes, such as stocks, that offer potentially higher returns.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment S&P Investors 500/Barra Consumer Growth Growth Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 10,089 10,015 9,961 2002 9,758 9,999 9,983 2002 9,456 9,704 10,023 2002 9,875 9,936 10,079 2002 9,258 9,225 10,135 2002 9,073 9,046 10,135 2002 8,367 8,320 10,141 2002 7,782 7,921 10,152 2002 7,839 7,970 10,186 2002 7,195 7,146 10,203 2002 7,687 7,806 10,228 2002 8,019 8,185 10,228 2002 7,412 7,653 10,206 2003 7,253 7,462 10,251 2003 7,220 7,440 10,330 2003 7,305 7,590 10,392 2003 7,854 8,098 10,369 2003 8,296 8,362 10,353 June 30, 2003 $8,366 $8,514 $10,364
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
** The S&P 500/Barra Growth Index is an unmanaged capitalization-weighted index comprised of the highest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Barra Growth Index is designed so that approximately one-half of the S&P 500 market capitalization is characterized as "value" and the other half as "growth." It is not possible to invest directly in these Indexes.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Growth Stock Portfolio
[LOGO OMITTED: T. ROWE PRICE]
The Growth Stock Portfolio is subadvised by T. Rowe Price Associates, Inc. Robert W. Smith, vice president of T. Rowe Price, has served as portfolio manager of the Growth Stock Portfolio since its inception in November 2001. He has been employed in the investment management area of T. Rowe Price since 1992.
The conclusion of the latest Iraq campaign -- with the fall of Saddam Hussein -- helped ignite an impressively broad rally in financial assets that was nonetheless led by the riskiest securities across all asset classes. For the six-month period, the Growth Stock Portfolio managed a strong 14.40% total return, outpacing its market benchmark, the S&P 500/Barra Growth Index, which returned 11.24%. Its Lipper peer group of similarly run large-company growth portfolios registered a 12.26% median total return.
Strong Stock Selection Pays Off
The Portfolio greatly benefited from the additions of stocks from certain sectors believed to be set for take-off after the war resolution. The consumer discretionary sector provided the greatest relative strength as media and specialty retailers generated solid performance. Throughout the past year, we had been adding to our media holdings with the belief that advertising spending would pick up dramatically when the clouds lifted from the Iraq conflict. This decision was rewarded in the second quarter when overweighted positions to Univision Communications and Liberty Media Corporation were top contributors to performance. Other key performance boosters were retailers Best Buy and Home Depot -- two companies closely correlated to an improving economy. Holdings in biotechnology, industrials and the business services sectors also provided benefit.
The financial sector was the largest detractor to performance but did ratchet up in the second quarter, which is encouraging. Our allocation to Freddie Mac proved a damper on performance when key executives of the mortgage lender were replaced and the announcement was made that earnings would have to be restated. We have significantly reduced our holding but remain convinced that the company is fundamentally sound and its business remains viable.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Consumer Discretionary 20.3% Financials 19.2% Health Care 18.3% Information Technology 13.3% Industrials 10.4% Consumer Staples 6.6% Energy 3.9% Communications Services 3.3% Materials 0.6%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 4.1% Common Stocks 95.9%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Growth Stock Portfolio seeks long-term growth of capital and, secondarily, increase dividend income by investing primarily in a diversified portfolio of common stocks of well-established growth companies.
Portfolio Facts Net Assets $45,928,235 NAV $8.91 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 5.21% -6.91%
Outlook
The market's recent improvement is what is generally expected in an early phase of an economic recovery. Deeply troubled companies move off the critical list as the capital markets open and business stabilizes. Fast-growth companies regain luster and investors try to feel comfortable taking on additional risk to recover losses. We believe this first phase is nearing a completion; in fact, it may have gone too far. In general, this stage tends to work against our style of investing and we are encouraged by our reasonable first-half performance.
Once the economy improves and moves into a modest growth phase, investors will likely focus on companies with sustainable earnings. This tends to be the phase where our investing style excels and we expect to benefit from the strength of our fundamental research to find the stocks that will be enduring winners. We continued to add to companies that fit into our "growth at a reasonable price" investment philosophy because we believe that these stocks offer strong free cash flow, reasonable valuations and the potential for long-term gains. Despite the market's great strides this year, we continue to expect modest returns for the next several years. In this environment, enduring growth companies will be a rare commodity and provide rewarding investments. We will continue to work diligently on your behalf to find these companies.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment S&P Growth 500/Barra Consumer Stock Growth Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 10,163 10,015 9,961 2002 9,805 9,999 9,983 2002 9,588 9,704 10,023 2002 10,008 9,936 10,079 2002 9,419 9,225 10,135 2002 9,286 9,046 10,135 2002 8,487 8,320 10,141 2002 7,876 7,921 10,152 2002 8,045 7,970 10,186 2002 7,212 7,146 10,203 2002 7,894 7,806 10,228 2002 8,290 8,185 10,228 2002 7,805 7,653 10,206 2003 7,677 7,462 10,251 2003 7,562 7,440 10,330 2003 7,684 7,590 10,392 2003 8,321 8,098 10,369 2003 8,785 8,362 10,353 June 30, 2003 $8,929 $8,514 $10,364
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
** The S&P 500/Barra Growth Index is an unmanaged capitalization-weighted index comprised of the highest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Barra Growth Index is designed so that approximately one-half of the S&P 500 market capitalization is characterized as "value" and the other half as "growth." It is not possible to invest directly in these Indexes.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Value Portfolio
[LOGO OMITTED: THRIVENT FINANCIAL FOR LUTHERANS]
The Value Portfolio is managed by a team of investment professionals from Thrivent Financial for Lutherans.
On the strength of productive first-quarter returns, large-company value stocks produced solid gains in the six-month period ended June 30, 2003. During the period, the Value Portfolio produced a 10.12% total return. Its Lipper peer group of similar large-company value equity portfolios returned a median of 11.35% and its market benchmark, the S&P 500/Barra Value Index, produced a 12.28% total return.
Lower Quality Stocks Surge
The Portfolio performed well in the first quarter of 2003 as our emphasis on high-quality stocks proved advantageous in a slow-growth environment of economic and geopolitical uncertainty. In the second quarter, though, as the market began its strong rally, the benefits of that stance reversed as the Portfolio was adversely affected by the impressive showing by lower-quality stocks -- particularly in April and May.
Such a rise in these stocks -- rated at or below the S&P common stock major ranking category and based primarily on a company's long-term earnings consistency -- is not unusual during significant market rallies. Lower-quality stocks take their cue from an atmosphere of high optimism and during these times it's often the underperforming stocks that take the lead. But while the outperformance by these stocks, given these conditions, was not unusual, the breadth and depth of this rally was exceptional. Stocks in the "C" and "D" major rating categories, for instance, posted the second best quarter in the 18 years that they have been tracked. Our underweighting in these riskier stocks, especially in the consumer discretionary sector, contributed to the Portfolio's underperformance.
For the period overall, the materials sector led the Portfolio's positive performance. Energy, along with the consumer discretionary and financial sectors, represented the biggest underperformers. However, most of the Portfolio's returns, both positive and negative, resulted from specific stock choices -- and the rise of the lower-quality stocks - -- rather than the actual sector allocations, which tended to even out.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Financials 29.0% Consumer Discretionary 11.3% Industrials 11.1% Energy 10.0% Information Technology 7.9% Health Care 6.5% Materials 5.5% Communications Services 5.2% Consumer Staples 5.1% Utilities 4.2%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 4.2% Common Stocks 95.8%
Footnote reads:
Quoted Top Industries and Portfolio Composition are subject to change.
The Value Portfolio seeks long-term growth of capital by investing primarily in common stocks of large companies that are considered undervalued.
Portfolio Facts Net Assets $153,760,615 NAV $8.53 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- -8.43% -8.98%
Outlook
The size of the market rise from March to June was significant. However, we don't expect sustained growth of that magnitude throughout the remainder of 2003, unless the economy displays yet unseen vigorous signs of improvement. Recently, we have seen an increase in the unemployment rate and manufacturing activity has reportedly been weak. On the positive side, home sales continued to be strong and the service sector showed better growth than it has in quite some time.
While the data has been less than stellar and the economy may not be turning upward as quickly as most people would like, there are certainly reasons for optimism and better economic growth in the second half of the year. With continued low interest rates and the benefits of tax cuts on the horizon, appropriate steps have been taken to boost economic activity. While this leaves us cautiously optimistic heading into the second half of 2003, we don't see enough evidence to believe that the lower-quality stocks will continue to lead the market.
As for our Portfolio, we remain broadly diversified across economic sectors and industries in an effort to lower our risk, which we feel is appropriate given the volatility we've seen recently. We will continue to seek and highlight quality companies with attractive stock prices for the Portfolio.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment S&P 500/Barra Consumer Value Growth Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 10,144 10,152 9,961 2002 9,949 9,874 9,983 2002 9,927 9,785 10,023 2002 10,377 10,287 10,079 2002 10,070 9,771 10,135 2002 10,060 9,810 10,135 2002 9,412 9,192 10,141 2002 8,611 8,198 10,152 2002 8,644 8,255 10,186 2002 7,788 7,312 10,203 2002 7,859 7,919 10,228 2002 8,199 8,475 10,228 2002 7,826 8,034 10,206 2003 7,636 7,815 10,251 2003 7,468 7,602 10,330 2003 7,471 7,592 10,392 2003 8,036 8,342 10,369 2003 8,495 8,956 10,353 June 30, 2003 $8,618 $9,021 $10,364
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
** The S&P 500/Barra Value Index is an unmanaged capitalization-weighted index comprised of the lowest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Barra Value Index is designed so that approximately one-half of the S&P 500 market capitalization is characterized as "value" and the other half as "growth." It is not possible to invest directly in these Indexes.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
High Yield Portfolio
[PHOTO OMITTED: PAUL J. OCENASEK]
Paul J. Ocenasek, CFA, (left) joined Thrivent Financial for Lutherans in 1987 and has served as a portfolio manager since 1997.
[PHOTO OMITTED: MARK L. SIMENSTAD]
Mark L. Simenstad, CFA, (right) has served as a portfolio manager with Thrivent Financial for Lutherans since 1999.
The high-yield bond market experienced a tremendous rally driven by significantly depressed high yield bond prices, extremely low interest rates, declining default rates, and large inflows into the asset class over the six-month period ended June 30, 2003. The High Yield Portfolio finished the reporting period with a 17.23% total return, while its Lipper peer group of similar high yield bond variable product portfolios returned a median of 14.72%. The Portfolio's market benchmark, the Lehman Brothers High Yield Bond Index, returned 18.48% over this same time period.
Investors Hunger for Yield
The rally in the high-yield market began in November of last year and continued throughout the reporting period as investors searched for yield amidst an extremely low interest rate environment. The Federal Reserve dropped the target for the federal funds rate another quarter of a percent in June to stimulate the lagging economy, leaving interest rates at 45-year lows and institutions and investors searching for yield. A declining default rate also contributed to the rally as companies continued to be more productive and pay down debt. Spreads between treasuries and high-yield bonds continued to tighten throughout the period, causing high-yield bond prices to rise as investors finally felt comfortable taking on a higher degree of credit risk.
The Portfolios's early overweighted position in utilities contributed significantly to its strong performance. Lending institutions finally began resuming financing for companies in this industry because they believed their assets were valued appropriately and the worst was behind. The solid recovery in our subordinated preferred stock positions also boosted returns for the period, while our underweight position in the highest risk CCC-rated category hurt performance as these securities rose dramatically in price from very low valuations.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
Communications Services 22.1% Consumer Cyclical 14.8% Utilities 13.1% Consumer Non-Cyclical 8.9% Basic Materials 8.8% Capital Goods 8.2% Energy 6.0% Financials 3.7% Technology 3.1% Transportation 2.4%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Long Term Fixed Income 91.3% Preferred Stock 5.5% Short Term Investments 2.5% Common Stocks 0.7%
[GRAPHIC OMITTED: RATINGS DISTRIBUTIONS]
Moody's Bond Quality
Ratings Distributions
Aaa 0.0% Aa 0.0% A 0.0% Baa 3.8% Ba 26.3% B 54.9% Caa 10.3% Ca 2.0% C 0.0% D 0.0% Not Rated 2.7%
Footnote reads:
Quoted Top Industries, Portfolio Composition and Moody's Bond Quality Ratings Distributions are subject to change.
The High Yield Portfolio seeks high current income and, secondarily, growth of capital by investing primarily in a diversified portfolio of high-yielding ("junk") corporate bonds which involve greater volatility and risk than higher quality investments.
Portfolio Facts Net Assets $791,359,215 NAV $4.91 Average Annual Total Returns /1/ June 30, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 15.13% -3.13% 3.39%
Outlook
High-yield bonds have rallied significantly this year and investors should not expect a repeat of the tremendous returns that have been recorded over the past eight months. That said, we believe the market has room for continued appreciation in the longer term, as the market default rate continues to decline and the economy's health improves. High-yield bonds typically outperform high-quality bonds in the recovery phase of an economic cycle because the rise in corporate profits is more important than the threat of rising interest rates. We continue to de-emphasize the lowest-rated highest risk CCC category in favor of higher quality B and BB credits because we believe they still offer good relative value without extreme price fluctuation.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Lehman Brothers High High Yield Consumer Yield Bond Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ June 30, 1993 10,000 10,000 10,000 1993 10,099 10,097 10,000 1993 10,180 10,182 10,028 1993 10,180 10,208 10,048 1993 10,526 10,415 10,090 1993 10,569 10,465 10,097 1993 10,750 10,595 10,097 1994 11,083 10,825 10,125 1994 11,043 10,797 10,159 1994 10,624 10,389 10,194 1994 10,487 10,318 10,208 1994 10,540 10,323 10,215 1994 10,585 10,355 10,249 1994 10,508 10,443 10,277 1994 10,589 10,517 10,319 1994 10,534 10,518 10,346 1994 10,565 10,542 10,353 1994 10,339 10,409 10,367 1994 10,278 10,486 10,367 1995 10,311 10,628 10,409 1995 10,714 10,993 10,450 1995 10,821 11,111 10,485 1995 11,087 11,394 10,519 1995 11,323 11,713 10,540 1995 11,378 11,788 10,561 1995 11,739 11,936 10,561 1995 11,789 11,974 10,589 1995 11,900 12,121 10,609 1995 11,957 12,196 10,644 1995 12,096 12,303 10,637 1995 12,292 12,497 10,630 1996 12,578 12,717 10,693 1996 12,899 12,727 10,727 1996 12,775 12,718 10,783 1996 12,861 12,746 10,824 1996 13,005 12,823 10,845 1996 12,900 12,929 10,852 1996 12,809 12,989 10,873 1996 13,015 13,129 10,893 1996 13,460 13,446 10,928 1996 13,422 13,549 10,963 1996 13,283 13,816 10,983 1996 13,440 13,915 10,983 1997 13,601 14,051 11,018 1997 13,800 14,283 11,053 1997 13,360 14,071 11,080 1997 13,362 14,219 11,094 1997 13,874 14,523 11,087 1997 14,272 14,725 11,101 1997 14,762 15,129 11,115 1997 14,811 15,095 11,136 1997 15,271 15,394 11,163 1997 15,136 15,408 11,191 1997 15,185 15,555 11,184 1997 15,334 15,691 11,170 1998 15,660 15,974 11,191 1998 15,876 16,067 11,212 1998 16,085 16,218 11,233 1998 16,023 16,282 11,253 1998 15,967 16,339 11,274 1998 16,045 16,397 11,288 1998 16,144 16,491 11,302 1998 14,841 15,581 11,316 1998 14,621 15,651 11,330 1998 14,314 15,330 11,357 1998 15,025 15,967 11,357 1998 15,104 15,984 11,350 1999 15,435 16,221 11,378 1999 15,316 16,126 11,392 1999 15,598 16,280 11,427 1999 16,220 16,595 11,510 1999 15,966 16,371 11,510 1999 16,134 16,336 11,510 1999 16,179 16,401 11,544 1999 16,023 16,220 11,572 1999 15,904 16,103 11,627 1999 15,862 15,996 11,648 1999 16,219 16,185 11,655 1999 16,692 16,367 11,655 2000 16,785 16,296 11,683 2000 17,227 16,327 11,752 2000 16,885 15,984 11,849 2000 16,508 16,010 11,856 2000 16,061 15,846 11,863 2000 16,287 16,168 11,932 2000 16,154 16,292 11,953 2000 16,040 16,403 11,967 2000 15,610 16,260 12,029 2000 14,762 15,739 12,050 2000 13,207 15,116 12,057 2000 13,260 15,408 12,050 2001 14,460 16,562 12,126 2001 14,430 16,782 12,175 2001 13,655 16,387 12,202 2001 13,207 16,183 12,251 2001 13,330 16,475 12,306 2001 12,823 16,012 12,327 2001 12,846 16,248 12,292 2001 12,988 16,440 12,292 2001 12,039 15,335 12,348 2001 12,402 15,714 12,306 2001 12,780 16,288 12,285 2001 12,778 16,221 12,237 2002 12,980 16,334 12,265 2002 12,671 16,106 12,313 2002 12,895 16,494 12,382 2002 13,009 16,751 12,452 2002 12,784 16,664 12,452 2002 11,885 15,436 12,458 2002 11,355 14,761 12,472 2002 11,450 15,182 12,514 2002 11,233 14,983 12,535 2002 11,036 14,852 12,566 2002 11,704 15,772 12,566 2002 11,673 15,993 12,538 2003 11,997 16,525 12,594 2003 12,213 16,729 12,691 2003 12,558 17,210 12,767 2003 13,184 18,231 12,739 2003 13,278 18,419 12,718 June 30, 2003 $13,684 $18,949 $12,732
Footnotes read:
* The Lehman Brothers High Yield Bond Index is an unmanaged index which measures the performance of fixed-rate non-investment grade bonds. It is not possible to invest directly in the Index.
** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Income Portfolio
[PHOTO OMITTED: MICHAEL G. LANDREVILLE]
Michael G. Landreville, CFA, (left) joined Thrivent Financial for Lutherans in 1983 and has served as a portfolio manager since 1998.
[PHOTO OMITTED: ALAN D. ONSTAD]
Alan D. Onstad, CFA, (right) joined Thrivent Financial for Lutherans in 1973 and has served as a portfolio manager since 1995.
Set against the backdrop of economic uncertainty and market volatility, investment-grade bond investors realized impressive gains during the six-month period ending June 30, 2003. The Income Portfolio posted a vigorous 7.01% total return, which bested the 3.93% return of its market benchmark, the Lehman Brothers Aggregate Bond Index. The Portfolio also edged the 6.23% return of its Lipper peer group of similar fixed-income funds.
Corporate Bond Revival
The Portfolio's emphasis on corporate bonds provided the spark for the strong growth produced during the period. Building on a remarkable turnaround, which began at the end of 2002, corporate bonds continued to produce exceptional results throughout the first half of 2003. Investors, looking for shelter from the Iraq war volatility, sought out the relatively calm waters of high-grade bonds. From there, reduced concerns over corporate scandals and slightly increased optimism about the economy provided the impetus for the corporate bond revival.
A slightly overweighted stance in issues rated in the "BBB" major rating category also contributed to the Portfolio's ability to outperform its market benchmark. In addition, modest overweighting in electrical utilities produced positive results.
Outlook
During June there was much speculation concerning the Federal Reserve Bank's possible lowering of its targeted overnight interest rates for the 13th time since 2001. After the cut occurred, the markets actually drove longer-term rates higher. Higher interest rates reduce the value of bonds currently owned and thus generate negative returns. The longer-term maturity of the portfolio magnifies this susceptibility to the effects of interest rates.
[GRAPHIC OMITTED: RATINGS DISTRIBUTIONS]
Moody's Bond Quality
Ratings Distributions
Aaa 35.0% Aa 5.1% A 15.9% Baa 31.8% Ba 7.8% B 2.1% Caa 0.0% Ca 0.0% C 0.0% D 0.0% Not Rated 2.3%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Preferred Stock 0.6% Short Term Investments 10.1% Long Term Fixed Income 94.6%
Footnote reads:
Quoted Moody's Bond Quality Ratings Distributions and Portfolio Composition are subject to change.
The Income Portfolio seeks a high level of income over the longer term while providing reasonable safety of capital through investment primarily in readily marketable intermediate and long-term fixed income securities.
Portfolio Facts Net Assets $1,147,415,432 NAV $10.28 Average Annual Total Returns /1/ June 30, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 10.71% 6.57% 6.62%
Therefore, the question that everyone seeks to answer is, "Will the economy recover or will it continue to flounder?" You will likely find equal numbers of observers on both sides of this issue. Many believe it's clearly going to improve in spite of -- or because of -- three long years of stagnation. Others warn, however, that in the absence of any tangible evidence, there's no substance to such claims.
While we are not making an aggressive bet on either position, we are believers in the economy's ability to stage a recovery. We also envision the likelihood that interest rates will modestly increase, perhaps as a result of continued deflation concerns. As a result, our expectation is that corporate bonds will earn their coupons and avoid the compression of risk premium.
Therefore, the Portfolio will maintain its modest overweighting in corporate bonds and keep the duration of the portfolio neutral to modestly short. In an environment that continues to offer more questions than answers, diversification remains the most prudent long-term strategy for investors.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Lehman Brothers Aggregate Consumer Income Bond Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ June 30, 1993 10,000 10,000 10,000 1993 10,089 10,057 10,000 1993 10,271 10,233 10,028 1993 10,302 10,261 10,048 1993 10,394 10,299 10,090 1993 10,283 10,212 10,097 1993 10,341 10,267 10,097 1994 10,494 10,406 10,125 1994 10,267 10,225 10,159 1994 9,929 9,973 10,194 1994 9,822 9,893 10,208 1994 9,841 9,892 10,215 1994 9,769 9,870 10,249 1994 9,980 10,066 10,277 1994 10,005 10,078 10,319 1994 9,829 9,930 10,346 1994 9,793 9,921 10,353 1994 9,795 9,899 10,367 1994 9,857 9,968 10,367 1995 10,035 10,165 10,409 1995 10,265 10,407 10,450 1995 10,323 10,470 10,485 1995 10,500 10,617 10,519 1995 10,955 11,028 10,540 1995 11,045 11,108 10,561 1995 10,981 11,084 10,561 1995 11,119 11,217 10,589 1995 11,226 11,327 10,609 1995 11,399 11,474 10,644 1995 11,576 11,646 10,637 1995 11,764 11,809 10,630 1996 11,832 11,887 10,693 1996 11,583 11,681 10,727 1996 11,468 11,600 10,783 1996 11,397 11,534 10,824 1996 11,390 11,511 10,845 1996 11,532 11,666 10,852 1996 11,555 11,698 10,873 1996 11,513 11,678 10,893 1996 11,737 11,881 10,928 1996 12,010 12,145 10,963 1996 11,762 12,353 10,983 1996 11,699 12,238 10,983 1997 11,736 12,275 11,018 1997 11,791 12,306 11,053 1997 11,618 12,169 11,080 1997 11,754 12,352 11,094 1997 11,877 12,468 11,087 1997 12,049 12,616 11,101 1997 12,405 12,956 11,115 1997 12,274 12,846 11,136 1997 12,471 13,036 11,163 1997 12,571 13,225 11,191 1997 12,628 13,285 11,184 1997 12,723 13,419 11,170 1998 12,894 13,591 11,191 1998 12,916 13,581 11,212 1998 12,990 13,628 11,233 1998 13,062 13,699 11,253 1998 13,176 13,829 11,274 1998 13,300 13,946 11,288 1998 13,321 13,976 11,302 1998 13,411 14,203 11,316 1998 13,785 14,536 11,330 1998 13,705 14,459 11,357 1998 13,867 14,541 11,357 1998 13,917 14,585 11,350 1999 14,050 14,689 11,378 1999 13,727 14,432 11,392 1999 13,811 14,512 11,427 1999 13,845 14,558 11,510 1999 13,643 14,431 11,510 1999 13,573 14,385 11,510 1999 13,522 14,324 11,544 1999 13,490 14,316 11,572 1999 13,630 14,483 11,627 1999 13,645 14,536 11,648 1999 13,676 14,535 11,655 1999 13,636 14,465 11,655 2000 13,587 14,418 11,683 2000 13,750 14,592 11,752 2000 13,902 14,784 11,849 2000 13,812 14,742 11,856 2000 13,753 14,735 11,863 2000 14,105 15,042 11,932 2000 14,223 15,178 11,953 2000 14,439 15,398 11,967 2000 14,492 15,495 12,029 2000 14,533 15,598 12,050 2000 14,713 15,853 12,057 2000 15,049 16,147 12,050 2001 15,382 16,411 12,126 2001 15,531 16,554 12,175 2001 15,546 16,637 12,202 2001 15,454 16,568 12,251 2001 15,551 16,668 12,306 2001 15,563 16,731 12,327 2001 15,924 17,105 12,292 2001 16,093 17,301 12,292 2001 16,123 17,502 12,348 2001 16,497 17,869 12,306 2001 16,294 17,622 12,285 2001 16,156 17,510 12,237 2002 16,252 17,652 12,265 2002 16,385 17,823 12,313 2002 16,161 17,527 12,382 2002 16,395 17,867 12,452 2002 16,500 18,018 12,452 2002 16,513 18,174 12,458 2002 16,371 18,393 12,472 2002 16,676 18,704 12,514 2002 16,896 19,007 12,535 2002 16,623 18,920 12,566 2002 16,715 18,915 12,566 2002 17,084 19,305 12,538 2003 17,194 19,323 12,594 2003 17,507 19,589 12,691 2003 17,556 19,574 12,767 2003 17,854 19,736 12,739 2003 18,247 20,103 12,718 June 30, 2003 $18,282 $20,063 $12,732
Footnotes read:
* The Lehman Brothers Aggregate Bond Index is an unmanaged index that encompasses five classes of fixed-income securities in the United States: U.S. Treasury and U.S. government agency securities, corporate debt obligations, mortgage-backed securities and asset-backed securities. It is not possible to invest directly in the Index.
** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Limited Maturity Bond Portfolio
[PHOTO OMITTED: MICHAEL G. LANDREVILLE]
Michael G. Landreville, CFA, joined Thrivent Financial for Lutherans in 1983 and has served as a portfolio manager since 1998.
Riding the strong performance of corporate bonds, the Limited Maturity Bond Portfolio posted exceptional returns in the six-month period ended June 30, 2003. For the period, the Portfolio produced a total return of 3.71%, strongly outperforming the 2.92% return of its market benchmark, the Lehman Brothers Government/Corporate 1-5 Year Bond Index, and the 2.50% median return of its Lipper Short-Intermediate Investment Grade Debt peer group.
Renewed Corporate Confidence
Early in 2003, with the markets mired in the volatility and emotion brought on by the Iraq war uncertainty, equity investors added to an already strong demand for the relatively safe haven of high-grade bonds. Therefore, following a year in which they were consistently among the weakest performing sectors, corporate bonds responded with a flourish in 2003, leading a steady rise in the bond market during the first half of the year.
Still in the shadow of 2002's accounting scandals, most corporations have redoubled their efforts to cleanse their balance sheets and improve their cost structures. The enhanced financial health of these corporations was a key to fostering the exceptional growth in the corporate bond sector. The forward-looking nature of the markets also contributed to this growth. Although the economy has not displayed marked progress, there is optimism that the worst economic news is behind us. Any positive economic movement makes it more likely that companies can repay their debt, which diminishes corporate bonds' risk premium.
The Portfolio's general emphasis on corporate bonds was clearly the key to its ability to outperform its peer group. Within corporate bonds, the Portfolio's overweighting in the strongest-performing investment-grade sector -- bonds rated in the "BBB" major rating category -- helped lead the six-month climb. The Portfolio's performance was also bolstered by a modest overweighting in electrical utilities, which also produced attractive returns during the period.
[GRAPHIC OMITTED: RATINGS DISTRIBUTIONS]
Moody's Bond Quality
Ratings Distributions
Aaa 55.4% Aa 6.7% A 11.7% Baa 18.2% Ba 4.8% B 0.0% Caa 0.0% Ca 0.0% C 0.0% D 0.0% Not Rated 3.2%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Preferred Stock 0.4% Short Term Investments 12.2% Long Term Fixed Income 87.4%
Footnote reads:
Quoted Moody's Bond Quality Ratings Distributions and Portfolio Composition are subject to change.
The Limited Maturity Bond Portfolio seeks a high level of current income consistent with stability of principal.
Portfolio Facts Net Assets $196,567,564 NAV $10.36 Average Annual Total Returns /1/ June 30, 2003 From Inception 1 Year 11/30/2001 - ------------------------------------------------------------- 6.77% 5.63%
Outlook
Is the economy showing signs of life? On one hand, one might assume that after three years of malaise and uncertainty, an economic rebound is finally on the horizon. On the other hand, there's a sizable camp of market observers who caution that, in the absence of meaningful growth evidence, betting on a significant economic turnaround is ill-advised.
The answers lie within business, as consumers have continued to spend in spite of economic woes. It remains to be seen whether business leaders can find anything to be optimistic about. However, the fear of deflation and a possible economic turnaround could very well lead to higher interest rates.
As a defensive posture to the current environment, the Portfolio will maintain its modest overweighting in corporate bonds and keep the duration of the Portfolio neutral to modestly short. This healthy balance between credit risk and interest rate risk should position the Portfolio well in the event of interest rate increases.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment Lehman Brothers Limited Government/ Maturity Corporate 1-5 Consumer Bond Year Bond Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2001 9,939 9,952 9,961 2002 10,005 10,022 9,983 2002 10,072 10,119 10,023 2002 9,970 9,985 10,079 2002 10,093 10,163 10,135 2002 10,153 10,252 10,135 2002 10,213 10,342 10,141 2002 10,267 10,466 10,152 2002 10,332 10,591 10,186 2002 10,422 10,732 10,203 2002 10,393 10,725 10,228 2002 10,381 10,713 10,228 2002 10,514 10,896 10,206 2003 10,526 10,907 10,251 2003 10,639 11,029 10,330 2003 10,641 11,035 10,392 2003 10,751 11,104 10,369 2003 10,874 11,241 10,353 June 30, 2003 $10,904 $11,244 $10,364
Footnotes read:
* The Lehman Brothers Government/Corporate 1-5 Year Bond Index is an unmanaged index comprised of securities in the intermediate maturity range of one to five years. The index encompasses five major classes of U.S. fixed-income securities: U.S. Treasury and government agency securities, corporate debt obligations, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. It is not possible to invest directly in the Index.
** The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Money Market Portfolio
[PHOTO OMITTED: GAIL R. ONAN]
Gail R. Onan joined Thrivent Financial for Lutherans in 1969 and has served as a portfolio manager since 1994.
Money market yields continued a steady march lower in lockstep with overall short-term market interest rates for the six-month period ending June 30, 2003. The Money Market Portfolio provided investors with a total return of 0.47%, while the Potrfolio's Lipper peer group of similar variable product money market portfolios earned a median total return of 0.38%.
Federal Reserve Policy Stimulative
Economic data over the period indicated soft economic performance primarily due to the war with Iraq. This uncertainty inhibited spending, production, and employment over the period. In response to these lackluster economic reports, the Federal Open Market Committee (FOMC), the monetary policy setting arm of the U.S. Federal Reserve, continued its efforts to spark the economy by cutting its target for the federal funds rate again in June, leaving interest rates at 45-year lows. The federal funds rate is the overnight interest rate at which depository institutions can borrow from the Federal Reserve. Changes in the federal funds rate affect all market interest rates and, ultimately, the economy, including employment, production and prices of goods and services.
Supply of Commercial Paper Still Limited
Beginning in the fourth quarter of 2001, the operating environment for money market participants changed significantly. Investors shunned issuers burdened with high levels of short-term debt following the high-profile bankruptcies of Enron Corp. and WorldCom. In response, many companies cut back on short-term financing, which significantly decreased the supply of commercial paper. While the supply of commercial paper is still less than desirable, we are pleased that we were able to keep the Portfolio fully invested in only the highest-quality money market instruments over the period.
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)]
Portfolio Composition
(% of Portfolio)
Short Term Investments 100.0%
Footnote reads:
Quoted Portfolio Composition is subject to change.
The Money Market Portfolio seeks the maximum current income that is consistent with stability of capital and maintenance of liquidity through investment in high-quality, short-term debt instruments.*
Portfolio Facts Net Assets $338,642,972 NAV $1.00 Average Annual Total Returns /1/ June 30, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 1.19% 3.92% 4.41%
Outlook
Currently, money market funds are reinvesting maturing securities at very low yield levels and we expect this to continue until the domestic economy shows signs of a stronger recovery -- some of which have begun to transpire this year. It is likely that the FOMC will not lower rates any further and may begin to raise rates as the economy picks up steam. Once the economy improves, interest rates will edge up, with money market yields summarily rising. We have already seen some investors shifting from the safety of money market funds back into the equities and corporate bond markets. We are maximizing liquidity this year to prepare for this eventual shift out of money market funds.
We have always taken a very conservative credit position and invest in a broad range of industries and different maturities. We focus on strong, top-tier companies with established and growing track records in terms of company fundamentals, strong balance sheets, customer service focus and are leaders in their respective industries. We add value to our shareholders by following a conservative investment approach centered on the highest-quality money market securities.
Money Market Portfolio** June 30, 2003 Portfolio - ----------------------------------------------------- 7-Day Yield 0.81% 7-Day Effective Yield 0.85%
Footnotes read:
* An investment in the Money Market Portfolio is not insured or guaranteed by the FDIC or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the Portfolio.
** Seven-day yields of the Money Market Portfolio refer to the income generated by an investment in the Portfolio over a specified seven-day period. Effective yields reflect the reinvestment of income. Yields are subject to daily fluctuation and should not be considered an indication of future results.
/1/ Past performance is not an indication of future results. Investment return and principal value will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. At various times, the Portfolio's adviser waived its management fee and/or reimbursed Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns have not been adjusted for charges associated with variable contracts that invest in the Portfolio. For additional information on those charges, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully.
Small Cap Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (94.6%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 3,200 NII Holdings, Inc.* $122,464 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 122,464 ========================================================================================================================= Consumer Discretionary (11.9%) - ------------------------------------------------------------------------------------------------------------------------- 11,700 Acme Communications, Inc.* 88,920 200 Aquantive, Inc.* 2,100 10,000 Argosy Gaming Company* 209,100 39,300 Charming Shoppes, Inc.* 195,321 3,600 Cost Plus, Inc.* 128,376 17,400 Entravision Communications Corporation* 197,490 7,600 Four Seasons Hotels, Inc. 328,776 4,400 Fred's, Inc. 163,592 6,400 Gentex Corporation* 195,904 4,100 Guitar Center, Inc.* 118,900 7,600 J. Jill Group, Inc.* 127,984 1,300 Oxford Industries, Inc. 53,976 3,200 Regis Corporation 92,960 7,300 Sinclair Broadcast Group, Inc.* 84,753 9,500 Station Casinos, Inc.* 239,875 3,700 Superior Industries International, Inc. 154,290 8,700 Tuesday Morning Corporation* 228,810 2,300 Urban Outfitters, Inc.* 82,570 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 2,693,697 ========================================================================================================================= Consumer Staples (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 4,600 Bunge Limited Finance Corporation 131,560 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 131,560 ========================================================================================================================= Energy (7.5%) - ------------------------------------------------------------------------------------------------------------------------- 10,500 Cal Dive International, Inc.* 228,900 13,100 Chesapeake Energy Corporation 132,310 8,100 FMC Technologies, Inc.* 170,505 6,200 Headwaters, Inc.* 91,078 9,200 Patterson-UTI Energy, Inc.* 298,080 18,600 PetroQuest Energy, Inc.* 43,710 9,600 Premcor, Inc.* 206,880 5,200 Spinnaker Exploration Company* 136,240 4,500 Stone Energy Corporation* 188,640 12,400 Superior Energy Services, Inc.* 117,552 8,200 Swift Energy Company* 90,200 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 1,704,095 ========================================================================================================================= Financials (6.0%) - ------------------------------------------------------------------------------------------------------------------------- 5,700 American Capital Strategies, Ltd. 142,158 7,700 AmerUs Group Company 217,063 2,000 Colonial Properties Trust 70,380 50 Doral Financial Corporation 2,232 5,600 Financial Federal Corporation* 136,640 1,700 First State Bancorporation* 46,767 6,600 Greater Bay Bancorp 135,564 2,000 IPC Holdings, Ltd. 67,000 2,000 Jefferies Group, Inc. 99,580 9,700 Jones Lang LaSalle, Inc.* 153,260 12,100 The Phoenix Companies, Inc. 109,263 3,900 Umpqua Holdings Corporation* 74,061 4,400 Waddell & Reed Financial, Inc. 112,948 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 1,366,916 ========================================================================================================================= Health Care (6.8%) - ------------------------------------------------------------------------------------------------------------------------- 8,900 Alpharma, Inc. 192,240 100 American Medical Systems Holdings, Inc. 1,687 4,000 AtheroGenics, Inc.* 59,720 9,400 Conceptus, Inc.* 132,070 1,500 Inamed Corporation* 80,535 6,200 InterMune, Inc.* 99,882 6,000 MAXIMUS, Inc.* 165,780 2,800 Medicis Pharmaceutical Corporation 158,760 5,800 Varian Medical Systems, Inc.* 333,906 8,900 Wilson Greatbatch Technologies, Inc.* 321,290 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 1,545,870 ========================================================================================================================= Industrials (13.3%) - ------------------------------------------------------------------------------------------------------------------------- 5,700 CDI Corporation* 147,972 10,000 CNH Global NV* 95,400 5,600 Crane Company 126,728 3,100 Cuno, Inc.* 111,972 10,000 Flowserve Corporation* 196,700 18,000 Forward Air Corporation* 456,660 6,100 Global Payments, Inc. 216,550 4,400 Heidrick & Struggles International, Inc.* 55,528 7,000 Knight Transportation, Inc.* 174,300 5,500 Landstar System, Inc.* 345,675 6,700 NCO Group, Inc.* 119,997 2,700 Oshkosh Truck Corporation 160,164 7,700 Pegasus Solutions, Inc.* 125,125 4,900 Pentair, Inc. 191,394 24,500 PRG-Schultz International, Inc.* 144,550 5,700 Reliance Steel & Aluminum Comp 117,990 9,300 Resources Connection, Inc.* 221,898 14,400 U S Liquids, Inc.* 3,744 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 3,012,347 ========================================================================================================================= Information Technology (42.7%) - ------------------------------------------------------------------------------------------------------------------------- 28,200 Adaptec, Inc.* 219,396 3,800 Advanced Digital Information Corporation* 37,962 12,900 Advanced Energy Industries, Inc.* 183,825 18,100 Advanced Fibre Communications, Inc.* 294,487 8,700 Anaren Microware, Inc.* 81,519 28,300 ARM Holdings plc* 96,503 8,825 Ascential Software Corporation* 145,083 21,200 Aspen Technology, Inc.* 101,760 15,100 Atmel Corporation* 38,203 6,200 Avocent Corporation* 185,566 13,000 BearingPoint, Inc.* 125,450 18,800 Borland Software Corporation* 183,676 6,100 C&D Technologies, Inc. 87,596 11,200 Catapult Communications Corporation* 118,944 5,100 Cognex Corporation* 113,985 5,200 Cognizant Technology Solutions Corporation 126,672 5,200 Coherent, Inc.* 124,436 4,100 Credence Systems Corporation* 34,727 5,200 CTI Molecular Imaging, Inc.* 98,332 12,500 Cymer, Inc.* 400,125 7,000 Digital Insight Corporation* 133,350 2,400 Drexler Technology Corporation* 37,200 4,200 DRS Technologies, Inc.* 117,264 16,800 Electro Scientific Industries, Inc.* 254,688 27,300 Entrust, Inc.* 80,262 10,500 Exar Corporation* 166,215 6,000 FLIR Systems, Inc. 180,900 2,700 Hyperion Solutions Corporation* 91,152 16,400 Informatica Corporation* 113,324 22,100 Integrated Circuit Systems, Inc.* 694,604 11,500 Integrated Device Technology, Inc.* 127,075 9,100 Integrated Silicon Solution, Inc.* 63,154 4,000 Intersil Corporation* 106,440 8,900 Jack Henry & Associates, Inc. 158,331 7,500 KEMET Corporation* 75,750 19,200 Lam Research Corporation* 349,632 13,200 Lattice Semiconductor Corporation* 108,636 28,600 Lawson Software, Inc.* 222,222 5,400 LTX Corporation* 46,548 11,200 Merix Corporation* 85,344 7,700 Mettler-Toledo International, Inc.* 282,205 21,100 Micrel, Inc.* 219,229 16,000 National Instruments Corporation* 604,480 4,400 Park Electrochemical Corporation 87,780 6,700 Pericom Semiconductor Corporation* 62,310 10,500 Plexus Corporation* 121,065 6,300 PMC-Sierra, Inc.* 73,899 2,400 Roper Industries, Inc. 89,280 6,100 Rudolph Technologies, Inc.* 97,356 22,800 Semtech Corporation* 324,672 6,400 Technitrol, Inc.* 96,320 14,600 Tektronix, Inc.* 315,360 7,000 Trimble Navigation, Ltd.* 160,510 22,300 Varian Semiconductor Equipment, Inc,* 663,648 11,000 Varian, Inc.* 381,370 11,700 webMethods, Inc.* 95,121 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 9,684,943 ========================================================================================================================= Materials (4.9%) - ------------------------------------------------------------------------------------------------------------------------- 8,700 Cabot Corporation 249,690 5,100 Cleveland-Cliffs, Inc.* 91,035 5,000 FMC Corporation* 113,150 7,400 Minerals Technologies, Inc. 360,084 13,500 NOVA Chemicals Corporation 257,040 16,600 Solutia, Inc. 36,188 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 1,107,187 ========================================================================================================================= Utilities (0.4%) - ------------------------------------------------------------------------------------------------------------------------- 2,900 Energen Corporation 96,570 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 96,570 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $21,420,529) 21,465,649 ========================================================================================================================= Principal Amount Short-Term Investments (5.4%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,227,000 State Street Repurchase Agreement(c) 0.750% 7/1/2003 $1,227,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 1,227,000 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $22,647,529) $22,692,649 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yield. (c) Repurchase agreement dated June 30, 2003, $1,227,026 maturing July 1, 2003, collateralized by $1,256,138 of Federal National Mortgage Association Medium Term Notes, 4.250% due July 1, 2003. The accompanying notes to the financial statements are an integral part of this schedule. Opportunity Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) - ------------------------------------------------------------------------------------------------------------------------- Shares Common Stock (95.5%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 12,400 Commonwealth Telephone Enterprises, Inc.* $545,228 20,600 EMS Technologies, Inc.* 273,362 18,200 Vimpel Communications* 845,208 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 1,663,798 ========================================================================================================================= Consumer Discretionary (17.1%) - ------------------------------------------------------------------------------------------------------------------------- 20,933 99 CENTS Only Stores* 718,421 16,500 Action Performance Companies, Inc. 313,500 37,600 Alliance Gaming Corporation* 711,016 62,400 American Eagle Outfitters, Inc.* 1,130,688 31,350 Cheesecake Factory, Inc.* 1,125,152 34,850 Chico's FAS, Inc. 733,592 16,475 Christopher & Banks Corporation* 609,410 10,500 Coach, Inc. 522,270 20,300 Columbia Sportswear Company* 1,043,623 71,750 Copart, Inc.* 678,038 52,700 Cost Plus, Inc.* 1,879,282 47,900 Cumulus Media, Inc.* 906,747 18,300 Emmis Communications Corporation* 419,985 11,900 Entercom Communications Corporation* 583,219 25,000 Ethan Allen Interiors, Inc. 879,000 9,800 Fred's, Inc. 364,364 24,600 Genesco, Inc.* 435,420 29,800 Gentex Corporation* 912,178 43,400 Getty Images, Inc.* 1,792,420 18,800 GTECH Holdings Corporation* 707,820 29,400 Hibbett Sporting Goods, Inc.* 968,436 86,737 Insight Enterprises, Inc.* 872,574 31,500 J. Jill Group, Inc.* 530,460 19,300 Krispy Kreme Doughnuts, Inc.* 794,774 35,200 Linens 'n Things, Inc.* 831,072 26,900 Lodgenet Entertainment Corporation* 294,555 24,100 Macrovision Corporation* 480,072 18,600 Men's Wearhouse, Inc.* 406,410 22,600 Meredith Corporation 994,400 60,600 Oakley, Inc.* 713,262 11,200 P.F. Chang's China Bistro, Inc.* 551,152 28,787 Pacific Sunwear of California, Inc. 693,479 22,900 Panera Bread Company* 916,000 27,500 Papa John's International, Inc.* 771,375 44,700 Pennsylvania National Gaming, Inc.* 918,585 52,500 Radio One, Inc.* 932,925 5,300 Ryland Group, Inc. 367,820 16,400 Salem Communications Corporation* 328,180 58,200 SBS Broadcasting SA* 1,038,870 32,200 SCP Pool Corporation* 1,107,680 44,675 Sonic Corporation* 1,136,085 31,000 Station Casinos, Inc.* 782,750 30,300 Steiner Leisure, Ltd.* 442,380 64,800 TiVo, Inc.* 789,264 15,700 Tractor Supply Company* 749,675 14,100 Triarc Companies, Inc.* 422,859 57,400 Tweeter Home Entertainment Group, Inc.* 498,232 45,900 Ultimate Electronics, Inc.* 588,438 45,700 Wet Seal, Inc.* 488,076 24,000 Williams-Sonoma, Inc.* 700,800 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 37,576,785 ========================================================================================================================= Consumer Staples (1.9%) - ------------------------------------------------------------------------------------------------------------------------- 27,500 Chattem, Inc.* 517,000 12,800 Coca-Cola Bottling Company Consolidated 698,880 18,900 Constellation Brands, Inc.* 593,460 67,600 First Horizon Pharmaceutical Corporation* 267,020 39,000 Performance Food Group Company* 1,443,000 12,300 United Natural Foods, Inc.* 346,122 5,900 Whole Foods Market, Inc.* 280,427 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 4,145,909 ========================================================================================================================= Energy (5.1%) - ------------------------------------------------------------------------------------------------------------------------- 63,600 Cal Dive International, Inc.* 1,386,480 13,100 Enterprise Products Partners, LP 295,143 143,700 Grey Wolf, Inc.* 580,548 39,500 Hydril Company* 1,076,375 27,100 National-Oilwell, Inc.* 596,200 39,400 Patterson-UTI Energy, Inc.* 1,276,560 38,700 Pride International, Inc.* 728,334 37,900 Prima Energy Corporation* 791,352 27,200 Spinnaker Exploration Company* 712,640 65,900 St. Mary Land & Exploration Company 1,799,070 20,500 Stone Energy Corporation* 859,360 28,000 Unit Corporation* 585,480 45,400 Veritas DGC, Inc.* 522,100 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 11,209,642 ========================================================================================================================= Financials (6.7%) - ------------------------------------------------------------------------------------------------------------------------- 28,700 Affiliated Managers Group, Inc.* 1,749,265 8,200 Alexandria Real Estate Equities, Inc. 369,000 36,900 Charles Schwab Corporation 372,321 20,600 Community First Bankshares, Inc. 562,380 51,950 Doral Financial Corporation 2,319,567 11,800 East West Bancorp, Inc. 426,452 12,800 Federal Agricultural Mortgage Corporation* 286,080 36,400 Financial Federal Corporation* 888,160 25,625 First Financial Bankshares, Inc. 857,412 36,200 Greater Bay Bancorp 743,548 16,200 Investment Technology Group, Inc.* 301,320 31,100 Investors Financial Services Corporation 902,211 36,100 New York Community Bancorp, Inc. 1,050,149 7,300 Novastar Financial, Inc. 436,175 12,300 PartnerRe, Ltd. 628,653 16,500 ProAssurance Corporation* 445,335 10,100 Southwest Bancorporation of Texas, Inc.* 328,351 20,700 W.R. Berkley Corporation 1,090,890 13,700 WFS Financial, Inc.* 459,087 19,000 Wintrust Financial Corporation 562,400 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 14,778,756 ========================================================================================================================= Health Care (20.9%) - ------------------------------------------------------------------------------------------------------------------------- 34,325 Accredo Health, Inc. 748,285 24,100 Advanced Neuromodulation Systems, Inc.* 1,247,657 10,400 AdvancePCS, Inc.* 397,592 16,800 Advisory Board Company* 680,736 47,700 Alexion Pharmaceuticals, Inc.* 813,285 19,500 Align Technology, Inc.* 244,725 29,900 Alkermes, Inc.* 321,425 46,400 American Medical Systems Holdings, Inc* 782,768 32,400 AMN Healthcare Services, Inc.* 411,480 44,100 ArthroCare Corporation* 739,116 21,600 Biosite Diagnostics, Inc.* 1,038,960 114,400 Candela Corporation* 1,317,888 71,900 Caremark Rx, Inc.* 1,846,392 27,800 Celgene Corporation* 845,120 36,700 Cell Genesys, Inc.* 317,088 10,500 Centerpulse, Ltd. 283,500 6,700 Charles River Laboratories International, Inc.* 215,606 28,600 Community Health Systems, Inc.* 551,694 92,100 Conceptus, Inc.* 1,294,005 20,700 Covance, Inc.* 374,670 20,900 Coventry Health Care, Inc.* 964,744 22,000 CV Therapeutics, Inc.* 652,520 74,800 Cytyc Corporation* 786,896 26,300 Datascope Corporation 776,639 34,400 DaVita, Inc.* 921,232 167,300 deCODE Genetics, Inc* 521,976 46,900 Diversa Corporation* 461,027 53,300 EPIX Medical, Inc.* 754,195 13,400 Galen Holdings plc 469,000 39,300 Gene Logic, Inc.* 234,621 26,500 Genencor International, Inc.* 436,455 11,700 Henry Schein, Inc.* 612,378 38,300 Inspire Pharmaceuticals, Inc.* 413,640 41,800 Integra Life Sciences Holdings Corporation* 1,102,684 19,700 InterMune, Inc.* 317,367 30,800 Inverness Medical Innovations, Inc.* 594,440 16,200 Invitrogen Corporation* 621,594 40,400 KOS Pharmaceuticals, Inc.* 948,188 29,200 Kyphon, Inc.* 441,504 29,700 LifePoint Hospitals, Inc.* 621,918 14,000 Martek Biosciences Corporation* 601,160 27,400 MAXIMUS, Inc.* 757,062 30,200 Medicines Company* 594,638 10,100 Medicis Pharmaceutical Corporation 572,670 11,800 Mid Atlantic Medical Services, Inc.* 617,140 58,600 MIM Corporation* 382,658 18,400 Myriad Genetics, Inc.* 250,424 28,000 Nastech Pharmaceutical Company* 280,000 27,100 Neurocrine Biosciences, Inc.* 1,353,374 31,200 Noven Pharmaceuticals, Inc.* 319,488 37,600 NPS Pharmaceuticals, Inc.* 915,184 21,225 Odyssey Healthcare, Inc. 785,325 37,100 OSI Pharmaceuticals, Inc.* 1,194,991 24,300 Pharmaceutical Product Development, Inc.* 698,139 21,300 PolyMedica Corporation 975,327 41,200 Priority Healthcare Corporation* 764,260 62,825 Province Healthcare Company* 695,473 30,800 Regeneron Pharmaceuticals, Inc.* 485,100 25,000 Select Medical Corporation* 620,750 26,326 Sicor, Inc.* 535,471 21,300 Sunrise Senior Living, Inc.* 476,694 27,500 SurModics, Inc.* 838,750 22,900 Taro Pharmaceutical Industries, Ltd.* 1,256,752 13,400 Triad Hospitals, Inc.* 332,588 9,600 Trimeris, Inc.* 438,528 18,200 VISX, Inc.* 315,770 26,900 Wilson Greatbatch Technologies, Inc.* 971,090 21,100 Zoll Medical Corporation* 708,116 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 45,861,932 ========================================================================================================================= Industrials (12.9%) - ------------------------------------------------------------------------------------------------------------------------- 9,000 Actuant Corporation* 425,880 165,350 Aeroflex, Inc.* 1,279,809 7,625 Alliant Techsystems, Inc.* 395,814 18,200 American Woodmark Corporation 847,392 13,500 Apollo Group, Inc. (University of Phoenix Online)* 684,450 48,800 Atlantic Coast Airlines Holdings, Inc.* 658,312 18,400 Bright Horizons Family Solutions, Inc.* 617,504 49,600 C.H. Robinson Worldwide, Inc. 1,763,776 14,600 Career Education Corporation* 998,932 52,800 CheckFree Corporation* 1,469,952 21,866 ChoicePoint, Inc.* 754,814 30,000 Corinthian Colleges, Inc.* 1,457,100 47,300 Corporate Executive Board Company* 1,930,786 40,100 CoStar Group, Inc.* 1,197,386 18,100 Cuno, Inc.* 653,772 25,400 Engineered Support Systems, Inc. 1,062,990 55,700 Forward Air Corporation* 1,413,109 28,700 Global Payments, Inc. 1,018,850 26,800 Iron Mountain, Inc.* 994,012 10,500 ITT Educational Services, Inc.* 307,125 8,200 Jacobs Engineering Group, Inc.* 345,630 14,800 Jetblue Airways Corporation* 625,892 5,200 Landstar System, Inc.* 326,820 13,500 Mercury Computer Systems, Inc.* 245,160 66,100 Mesa Air Group, Inc.* 528,800 25,200 Mueller Industries, Inc.* 683,172 50,000 Pegasus Solutions, Inc.* 812,500 32,300 Right Management Consultants, Inc.* 408,595 27,900 Roto-Rooter, Inc. 1,064,106 28,900 Stericycle, Inc.* 1,112,072 58,600 Stewart & Stevenson Services, Inc. 922,950 57,600 TeleTech Holdings, Inc.* 243,648 14,100 Waste Connections, Inc.* 494,205 26,300 World Fuel Services Corporation 646,717 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 28,392,032 ========================================================================================================================= Information Technology (28.5%) - ------------------------------------------------------------------------------------------------------------------------- 76,125 Activision, Inc. 983,535 79,500 Adaptec, Inc.* 618,510 10,800 ADTRAN, Inc.* 553,932 31,900 Advanced Energy Industries, Inc.* 454,575 53,900 Advanced Fibre Communication, Inc.* 876,953 27,700 Advent Software, Inc.* 468,407 70,000 Agile Software Corporation* 675,500 8,000 Applied Films Corporation* 207,040 33,500 ASM International NV* 498,145 42,400 Asyst Technologies, Inc.* 283,656 35,700 ATMI, Inc.* 891,429 29,900 Avid Technology, Inc.* 1,048,593 34,300 Avocent Corporation* 1,026,599 52,600 Brooks Automation, Inc.* 596,484 17,300 Business Objects SA ADR* 379,735 90,000 Cable Design Technologies Corporation* 643,500 21,200 CACI International, Inc.* 727,160 11,300 Cerner Corporation* 259,335 23,600 Cognex Corporation* 527,460 32,800 Cognizant Technology Solutions Corporation 799,008 17,300 Cognos, Inc.* 467,100 26,800 Coherent, Inc.* 641,324 72,900 Credence Systems Corporation* 617,463 38,700 Cree, Inc.* 630,036 28,000 Cymer, Inc.* 896,280 44,800 Dendrite International, Inc.* 577,024 27,200 Digital River, Inc.* 524,960 44,600 Documentum, Inc.* 877,282 24,000 DSP Group, Inc.* 516,720 23,250 Electro Scientific Industries, Inc.* 352,470 22,100 Electronics for Imaging, Inc.* 448,409 49,500 Embarcadero Technologies, Inc.* 346,500 29,400 Emulex Corporation* 669,438 57,300 Exar Corporation* 907,059 12,300 Fair Isaac Corporation 632,835 27,200 FEI Company* 510,272 20,100 Fisher Scientific International, Inc.* 701,490 37,300 FLIR Systems, Inc. 1,124,595 18,700 Foundry Networks, Inc.* 269,280 12,300 Global Imaging Systems, Inc.* 284,868 30,900 Helix Technology Corporation 408,807 37,300 Hutchinson Technology, Inc.* 1,226,797 17,900 Hyperion Solutions Corporation* 604,304 26,700 Integrated Circuit Systems, Inc.* 839,181 18,500 Internet Security Systems, Inc.* 268,065 20,600 Intersil Corporation* 548,166 33,500 Intrado, Inc.* 528,965 21,600 Itron, Inc.* 465,696 37,400 JDA Software Group, Inc.* 418,506 14,900 Kronos, Inc.* 757,069 43,500 Lam Research Corporation* 792,135 12,000 Logitech International ADR* 451,920 30,300 Manhattan Associates, Inc.* 786,891 28,500 Mantech International Corporation* 546,630 8,800 Mercury Interactive Corporation* 339,768 25,800 MicroStrategy, Inc.* 939,894 58,500 MKS Instruments, Inc.* 1,057,095 25,500 Netease.Com, Inc.* 929,730 62,744 NetIQ Corporation* 970,022 63,700 NetScreen Technologies, Inc.* 1,436,435 56,200 O2Micro International, Ltd.* 905,382 43,400 OmniVision Technologies, Inc.* 1,354,080 33,200 Open Text Corporation* 937,900 37,300 Overture Services, Inc.* 676,249 44,600 Pacific Internet, Ltd.* 371,117 17,100 Packeteer, Inc.* 266,247 41,500 PEC Solutions, Inc.* 668,150 26,700 Photon Dynamics, Inc.* 737,721 39,200 Photronics, Inc.* 684,040 38,600 Pixelworks, Inc.* 229,284 22,400 Plantronics, Inc.* 485,408 45,200 Plato Learning, Inc.* 259,900 33,900 Plexus Corporation* 390,867 29,400 Polycom, Inc.* 407,484 19,500 Power Integrations, Inc.* 474,240 38,600 ProQuest Company* 995,880 83,300 Quest Software, Inc.* 991,270 44,400 Radiant Systems, Inc.* 299,256 39,200 RadiSys Corporation* 517,440 55,700 REMEC, Inc.* 387,672 117,300 RF Micro Devices, Inc.* 706,146 110,200 Roxio, Inc.* 737,238 22,000 SafeNet, Inc.* 615,560 41,100 Seachange International, Inc.* 392,094 25,900 SERENA Software, Inc.* 540,792 17,700 Silicon Laboratories, Inc.* 471,528 54,500 Skyworks Solutions, Inc.* 368,965 14,300 Sohu.com, Inc.* 488,488 26,500 Take-Two Interactive Software, Inc.* 751,010 37,400 Tekelec, Inc.* 422,620 39,800 THQ, Inc.* 716,400 118,600 TIBCO Software, Inc.* 603,674 29,300 Varian Semiconductor Equipment, Inc.* 871,968 24,400 Varian, Inc.* 845,948 40,200 Verisity, Ltd.* 479,988 42,300 Verity, Inc.* 535,518 47,400 WebEx Communications, Inc.* 661,230 35,700 Websense, Inc.* 559,062 5,100 Zebra Technologies Corporation* 383,469 28,500 Zoran Corporation* 547,485 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 62,569,807 ========================================================================================================================= Materials (1.1%) - ------------------------------------------------------------------------------------------------------------------------- 12,100 Cabot Corporation 347,270 3,300 Florida Rock Industries, Inc. 136,224 56,400 Methanex Corporation 602,860 18,800 Rayonier, Inc. 620,400 24,700 Silgan Holdings, Inc.* 772,616 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 2,479,370 ========================================================================================================================= Technology (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 73,800 Bruker Daltonics, Inc.* 393,354 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 393,354 ========================================================================================================================= Utilities (0.3%) - ------------------------------------------------------------------------------------------------------------------------- 25,600 Atmos Energy Corporation 634,880 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 634,880 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $198,151,863) 209,706,265 ========================================================================================================================= Principal Amount Long-Term Fixed Income(b) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $2,299 Timco Aviation Services, Inc. Payment-in-Kind Bond(c) 8.0% 1/2/2007 $2 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $0) 2 ========================================================================================================================= Principal Amount Short-Term Investments (4.5%) Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,000,000 Asset Securitization Corporation 1.041% 7/29/2003 $999,191 8,900,000 Corporate Asset Funding Company 1.300 7/1/2003 8,900,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 9,899,191 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $208,051,054) $219,605,458 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The value of the denoted categories of investments represents less than 0.1% of the total investments of the Lutheran Brotherhood Opportunity Growth Portfolio. (c) Non-income producing and trading flat (without interest). (d) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. Mid Cap Select Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (95.3%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (2.1%) - ------------------------------------------------------------------------------------------------------------------------- 29,930 American Tower Corporation* $264,880 25,700 Sprint PCS Group* 147,775 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 412,655 ========================================================================================================================= Consumer Discretionary (26.2%) - ------------------------------------------------------------------------------------------------------------------------- 3,160 Cheesecake Factory, Inc.* 113,412 3,190 E.W. Scripps Company 283,017 11,750 EchoStar Communications Corporation* 406,785 3,910 Entercom Communications Corporation* 191,629 5,400 Family Dollar Stores, Inc. 206,010 2,400 Four Seasons Hotels, Inc. 103,824 2,300 Getty Images, Inc.* 94,990 5,070 Hearst-Argyle Television, Inc.* 131,313 5,390 InterActiveCorp* 213,282 2,200 Lin TV Corporation* 51,810 460 Mattel, Inc. 8,703 2,560 McGraw-Hill Companies, Inc. 158,720 3,650 Meredith Corporation 160,600 4,300 MGM Mirage, Inc.* 146,974 1,170 New York Times Company 53,235 13,800 Office Depot, Inc.* 200,238 7,860 Outback Steakhouse, Inc. 306,540 13,140 PETsMART, Inc.* 219,044 8,000 Royal Caribbean Cruises, Ltd. 185,280 4,570 Starbucks Corporation* 112,056 4,820 Starwood Hotels & Resorts Worldwide, Inc. 137,804 9,010 Talbots, Inc. 265,344 8,940 Tiffany & Company 292,159 7,900 TJX Companies, Inc. 148,836 4,020 Tribune Company 194,166 5,860 Univision Communications, Inc.* 178,144 6,570 Weight Watchers International, Inc.* 298,869 8,030 Westwood One, Inc.* 272,458 2,600 Williams-Sonoma, Inc.* 75,920 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 5,211,162 ========================================================================================================================= Consumer Staples (0.9%) - ------------------------------------------------------------------------------------------------------------------------- 2,570 Hershey Foods Corporation 179,026 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 179,026 ========================================================================================================================= Energy (4.7%) - ------------------------------------------------------------------------------------------------------------------------- 5,400 Baker Hughes, Inc. 181,278 7,120 BJ Services Company* 266,003 3,150 Cooper Cameron Corporation* 158,697 8,500 GlobalSantaFe Corporation 198,390 200 Noble Corporation* 6,860 3,500 Smith International, Inc. 128,590 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 939,818 ========================================================================================================================= Financials (5.7%) - ------------------------------------------------------------------------------------------------------------------------- 1,600 Affiliated Managers Group, Inc.* 97,520 13,400 Ameritrade Holding Corporation* 99,294 2,590 Arthur J. Gallagher & Company 70,448 8,300 E*TRADE Group, Inc.* 70,550 9,300 Investors Financial Services Corporation 269,793 1,500 Legg Mason, Inc. 97,425 3,020 Lehman Brothers Holdings, Inc. 200,770 1,600 T. Rowe Price Group, Inc. 60,400 2,000 Waddell & Reed Financial, Inc. 51,340 3,820 Willis Group Holdings, Ltd. 117,465 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 1,135,005 ========================================================================================================================= Health Care (18.3%) - ------------------------------------------------------------------------------------------------------------------------- 2,000 Affymetrix, Inc.* 39,420 2,880 AmerisourceBergen Corporation 199,728 5,600 Apogent Technologies, Inc.* 112,000 1,360 Biogen, Inc.* 51,680 15,520 Caremark Rx, Inc.* 398,554 3,070 Celgene Corporation* 93,328 23,970 Cytyc Corporation* 252,164 8,360 Dentsply International, Inc. 341,924 7,370 Genzyme Corporation* 308,066 2,500 Gilead Sciences, Inc.* 138,950 4,540 Guidant Corporation 201,531 6,240 Health Management Associates, Inc. 115,128 1,770 ICOS Corporation* 65,048 6,900 IDEC Pharmaceuticals Corporation* 234,600 1,720 InterMune, Inc.* 27,709 4,630 Invitrogen Corporation* 177,653 2,300 Medicis Pharmaceutical Corporation 130,410 6,860 MedImmune, Inc.* 249,498 6,305 Mylan Laboratories, Inc. 219,225 7,600 Tenet Healthcare Corporation 88,540 2,150 Teva Pharmaceutical Industries, Ltd. 122,400 7,100 WebMD Corporation* 76,893 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 3,644,449 ========================================================================================================================= Industrials (9.9%) - ------------------------------------------------------------------------------------------------------------------------- 1,170 Alliant Techsystems, Inc.* $60,735 1,730 Apollo Group, Inc.* 106,845 13,110 BISYS Group, Inc.* 240,831 5,380 ChoicePoint, Inc.* 185,718 7,660 DST Systems, Inc.* 291,080 5,360 Expeditors International of Washington, Inc.* 185,670 2,940 ITT Industries, Inc. 192,452 4,300 Jetblue Airways Corporation* 181,847 5,380 Manpower, Inc. 199,544 2,600 Monster Worldwide, Inc.* 51,298 2,900 Paychex, Inc. 84,999 4,800 Robert Half International, Inc.* 90,912 3,120 Swift Transportation Company, Inc.* 58,094 2,200 Werner Enterprises, Inc. 46,640 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 1,976,665 ========================================================================================================================= Information Technology (27.2%) - ------------------------------------------------------------------------------------------------------------------------- 2,500 ADTRAN, Inc.* 128,225 7,860 Advanced Fibre Communications, Inc.* 127,882 55,000 Agere Systems, Inc.* 126,500 10,300 Altera Corporation* 168,920 7,600 Amdocs, Ltd.* 182,400 7,790 Analog Devices, Inc.* 271,248 5,300 Apple Computer, Inc.* 101,336 9,200 ASML Holding NV ADR* 87,952 15,840 BEA Systems, Inc.* 172,022 10,900 BearingPoint, Inc.* 105,185 37,110 Crown Castle International Corporation* 288,345 3,100 Energizer Holdings, Inc.* 97,340 4,560 Expedia, Inc. 348,293 4,500 Lam Research Corporation* 81,945 4,210 Maxim Integrated Products, Inc. 143,940 2,410 Mercury Interactive Corporation* 93,050 4,270 Microchip Technology, Inc. 105,170 8,880 Millipore Corporation* 394,006 17,410 Network Associates, Inc.* 220,759 8,580 Novellus Systems, Inc.* 314,208 8,480 Rockwell Automation, Inc. 202,163 2,700 Scientific-Atlanta, Inc. 64,368 11,220 SunGard Data Systems, Inc.* 290,710 2,920 Symantec Corporation* 128,071 5,100 Thermo Electron Corporation* 107,202 15,180 VERITAS Software Corporation* 435,213 14,780 Waters Corporation* 430,541 3,270 Xilinx, Inc.* 82,764 3,190 Yahoo!, Inc.* 104,504 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 5,404,262 ========================================================================================================================= Materials (0.3%) - ------------------------------------------------------------------------------------------------------------------------- 4,880 Jefferson Smurfit Corporation* 63,586 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 63,586 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $16,660,327) 18,966,628 ========================================================================================================================= Principal Amount Short-Term Investments (4.7%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $935,000 State Street Repurchase Agreement(c) 0.750% 7/1/2003 $935,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 935,000 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $17,595,327) $19,901,628 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yield. (c) Repurchase agreement dated June 30, 2003, $935,019 maturing July 1, 2003, collateralized by $953,992 of Federal Home Loan Bank Medium Term Notes, 2.250% due August 13, 2004. The accompanying notes to the financial statements are an integral part of this schedule. Mid Cap Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (95.8%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 112,600 Nextel Communications, Inc.* $2,035,808 40,800 United States Cellular Corporation* 1,038,360 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 3,074,168 ========================================================================================================================= Consumer Discretionary (20.6%) - ------------------------------------------------------------------------------------------------------------------------- 14,300 99 CENTS Only Stores* 490,776 50,800 Abercrombie & Fitch Company* 1,443,228 13,000 Advance Auto Parts, Inc.* 791,700 41,500 Amazon.com, Inc.* 1,514,335 73,700 American Eagle Outfitters, Inc.* 1,335,444 8,600 AutoZone, Inc.* 653,342 81,700 Bed Bath & Beyond, Inc.* 3,170,777 28,500 Best Buy Company, Inc.* 1,251,720 69,150 Brinker International, Inc.* 2,490,783 25,900 Cablevision Systems Corporation Holdings* 537,684 27,700 CDW Corporation* 1,268,660 34,300 CEC Entertainment, Inc.* 1,266,699 20,850 Cheesecake Factory, Inc.* 748,306 51,600 Chico's FAS, Inc. 1,086,180 61,100 Coach, Inc. 3,039,114 32,900 Cost Plus, Inc.* 1,173,214 48,400 Cox Radio, Inc.* 1,118,524 18,500 D.R. Horton, Inc. 519,850 28,810 Darden Restaurants, Inc. 546,814 86,400 Dollar Tree Stores, Inc.* 2,741,472 6,200 E.W. Scripps Company 550,064 8,200 eBay, Inc.* 854,276 34,600 EchoStar Communications Corporation* 1,197,852 43,300 Entercom Communications Corporation* 2,122,133 66,200 Family Dollar Stores, Inc. 2,525,530 93,300 Gap, Inc. 1,750,308 66,800 Gentex Corporation* 2,044,748 46,300 Getty Images, Inc.* 1,912,190 12,020 Harley-Davidson, Inc. 479,117 31,300 Harman International Industries, Inc. 2,477,082 13,500 Harrah's Entertainment, Inc.* 543,240 62,400 Hispanic Broadcasting Corporation* 1,588,080 64,670 InterActiveCorp* 2,558,992 17,000 Krispy Kreme Doughnuts, Inc.* 700,060 63,700 Lamar Advertising Company* 2,242,877 11,100 Lennar Corporation 793,650 19,100 Linens 'n Things, Inc.* 450,951 34,000 Mattel, Inc. 643,280 21,100 Michaels Stores, Inc.* 803,066 41,900 O'Reilly Automotive, Inc.* 1,399,041 97,000 Office Depot, Inc.* 1,407,470 14,200 Outback Steakhouse, Inc. 553,800 43,100 PETsMART, Inc.* 718,477 43,600 Pier 1 Imports, Inc. 889,440 12,500 Pixar, Inc.* 760,500 74,300 Radio One, Inc.* 1,320,311 9,500 Rent-A-Center, Inc.* 720,195 19,100 Ross Stores, Inc. 816,334 30,200 Royal Caribbean Cruises, Ltd. 699,432 18,700 Sonic Corporation* 475,541 104,600 Staples, Inc.* 1,919,410 87,500 Starbucks Corporation* 2,145,500 21,100 Starwood Hotels & Resorts Worldwide, Inc. 603,249 43,600 Talbots, Inc. 1,284,020 19,100 Tiffany & Company 624,188 24,100 Timberland Company* 1,273,926 33,200 TJX Companies, Inc. 625,488 41,600 Toll Brothers, Inc.* 1,177,696 61,200 Univision Communications, Inc.* 1,860,480 22,500 Weight Watchers International, Inc.* 1,023,525 16,300 Wendy's International, Inc. 472,211 46,700 Westwood One, Inc.* 1,584,531 85,500 Williams-Sonoma, Inc.* 2,496,600 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 80,277,483 ========================================================================================================================= Consumer Staples (1.0%) - ------------------------------------------------------------------------------------------------------------------------- 32,400 Dean Foods Company 1,020,600 35,800 Pepsi Bottling Group, Inc. 716,716 29,200 Performance Food Group Company* 1,080,400 24,850 Whole Foods Market, Inc.* 1,181,120 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 3,998,836 ========================================================================================================================= Energy (6.1%) - ------------------------------------------------------------------------------------------------------------------------- 30,103 Apache Corporation 1,958,501 58,920 BJ Services Company* 2,201,251 38,000 Cooper Cameron Corporation* 1,914,440 35,107 Devon Energy Corporation 1,874,714 31,900 ENSCO International, Inc. 858,110 45,800 EOG Resources, Inc. 1,916,272 29,893 GlobalSantaFe Corporation 697,703 20,600 Murphy Oil Corporation 1,083,560 54,400 Nabors Industries, Ltd.* 2,151,520 71,400 National-Oilwell, Inc.* 1,570,800 33,800 Noble Corporation* 1,159,340 41,600 Patterson-UTI Energy, Inc.* 1,347,840 22,700 Pioneer Natural Resources Company* 592,470 12,000 Pogo Producing Company 513,000 42,880 Smith International, Inc. 1,575,411 11,300 Valero Energy Corporation 410,529 19,940 Weatherford International, Ltd.* 835,486 51,533 XTO Energy, Inc. 1,036,329 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 23,697,276 ========================================================================================================================= Financials (7.6%) - ------------------------------------------------------------------------------------------------------------------------- 33,600 A.G. Edwards, Inc. 1,149,120 33,000 Affiliated Managers Group, Inc.* 2,011,350 17,400 Ambac Financial Group, Inc. 1,152,750 33,000 Arthur J. Gallagher & Company 897,600 36,400 Bank of Hawaii Corporation 1,206,660 29,600 BlackRock, Inc.* 1,333,184 19,000 Capital One Financial Corporation 934,420 24,465 Charter One Financial, Inc. 762,819 10,900 Commerce Bancorp, Inc. 404,390 38,500 Doral Financial Corporation 1,719,025 34,100 East West Bancorp, Inc. 1,232,374 41,300 Eaton Vance Corporation 1,305,080 8,100 Everest Re Group, Ltd. 619,650 38,362 Fidelity National Financial, Inc. 1,180,015 28,800 Investors Financial Services Corporation 835,488 24,000 Legg Mason, Inc. 1,558,800 20,800 Moody's Corporation 1,096,368 37,600 New York Community Bancorp, Inc. 1,093,784 13,400 North Fork Bancorporation, Inc. 456,404 15,500 PartnerRe, Ltd. 792,205 13,100 Radian Group, Inc. 480,115 15,900 RenaissanceRe Holdings, Ltd. 723,768 16,800 SEI Investments Company 537,600 21,600 SLM Corporation 846,072 23,300 TCF Financial Corporation 928,272 24,800 Union Planters Corporation 769,544 36,000 United Bankshares, Inc. 1,031,400 11,900 W.R. Berkley Corporation 627,130 28,900 Willis Group Holdings, Ltd. 888,675 15,700 XL Capital, Ltd. 1,303,100 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 29,877,162 ========================================================================================================================= Health Care (21.8%) - ------------------------------------------------------------------------------------------------------------------------- 59,000 AdvancePCS, Inc.* 2,255,570 19,500 Allergan, Inc. 1,503,450 29,900 AmerisourceBergen Corporation 2,073,565 29,002 Anthem, Inc.* 2,237,504 34,950 Barr Laboratories, Inc. 2,289,225 43,700 Biogen, Inc.* 1,660,600 87,267 Biomet, Inc. 2,501,072 33,000 Biovail Corporation* 1,552,980 28,200 Boston Scientific Corporation* 1,723,020 166,400 Caremark Rx, Inc.* 4,273,151 19,700 Celgene Corporation* 598,880 17,700 Cephalon, Inc.* 728,532 19,100 Charles River Laboratories International, Inc.* 614,638 29,900 Chiron Corporation* 1,307,228 31,700 Community Health Systems, Inc.* 611,493 14,200 Coventry Health Care, Inc.* 655,472 42,200 Cytyc Corporation* 443,944 50,700 Dentsply International, Inc. 2,073,630 28,700 Express Scripts, Inc.* 1,960,784 47,500 First Health Group Corporation* 1,311,000 34,760 Forest Laboratories, Inc. 1,903,110 18,800 Genzyme Corporation* 785,840 75,800 Gilead Sciences, Inc.* 4,212,964 14,300 Guidant Corporation 634,777 36,975 Health Management Associates, Inc. 682,189 21,200 Henry Schein, Inc.* 1,109,608 75,250 IDEC Pharmaceuticals Corporation* 2,558,500 40,600 Invitrogen Corporation* 1,557,822 58,925 IVAX Corporation* 1,051,811 66,949 King Pharmaceuticals, Inc.* 988,167 40,500 Laboratory Corporation of America Holdings* 1,221,075 39,200 Lincare Holdings, Inc.* 1,235,192 65,900 Manor Care, Inc.* 1,648,159 29,000 Medicis Pharmaceutical Corporation 1,644,300 99,300 MedImmune, Inc.* 3,611,541 12,200 Mid Atlantic Medical Services, Inc.* 638,060 41,000 Millennium Pharmaceuticals, Inc.* 644,930 65,100 Mylan Laboratories, Inc. 2,263,527 11,500 Neurocrine Biosciences, Inc.* 574,310 77,000 Omnicare, Inc. 2,601,830 17,800 Oxford Health Plans, Inc.* 748,134 23,300 Pharmaceutical Product Development, Inc.* 669,409 31,600 Quest Diagnostics, Inc.* 2,016,080 53,800 Sicor, Inc.* 1,094,292 39,900 St. Jude Medical, Inc. 2,294,250 16,100 Stryker Corporation 1,116,857 24,900 TECHNE Corporation* 755,466 41,800 Teva Pharmaceutical Industries, Ltd. 2,379,674 26,500 Triad Hospitals, Inc.* 657,730 25,700 Universal Health Services, Inc.* 1,018,234 43,000 Varian Medical Systems, Inc.* 2,475,510 161,700 WebMD Corporation* 1,751,211 27,000 WellPoint Health Networks, Inc.* 2,276,100 40,100 Zimmer Holdings, Inc.* 1,806,505 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 85,002,902 ========================================================================================================================= Industrials (11.8%) - ------------------------------------------------------------------------------------------------------------------------- 20,850 Alliant Techsystems, Inc.* 1,082,324 21,900 American Standard Companies, Inc.* 1,619,067 59,450 Apollo Group, Inc.* 3,671,632 24,500 Aramark Corporation* 549,290 66,900 BISYS Group, Inc.* 1,228,953 61,100 C.H. Robinson Worldwide, Inc. 2,172,716 20,700 Career Education Corporation* 1,416,294 59,700 CheckFree Corporation* 1,662,048 28,600 ChoicePoint, Inc.* 987,272 15,300 Cintas Corporation 542,232 56,650 Concord EFS, Inc.* 833,888 46,900 Corinthian Colleges, Inc.* 2,277,933 42,300 Corporate Executive Board Company* 1,726,686 21,800 Danaher Corporation 1,483,490 24,100 Deere & Company 1,101,370 29,000 DeVry, Inc.* 675,410 15,600 DST Systems, Inc.* 592,800 16,600 Education Management Corporation* 882,788 49,300 Equifax, Inc. 1,281,800 46,060 Expeditors International of Washington, Inc. 1,595,518 58,600 Fastenal Company 1,988,884 44,565 Fiserv, Inc.* 1,586,960 12,000 FTI Consulting, Inc. 299,640 17,700 Global Payments, Inc. 628,350 12,400 H&R Block, Inc. 536,300 35,971 IMS Health, Inc. 647,118 19,100 Iron Mountain, Inc.* 708,419 8,200 ITT Industries, Inc. 536,772 17,300 J.B. Hunt Transport Services, Inc.* 653,075 44,100 Jacobs Engineering Group, Inc.* 1,858,815 28,400 L-3 Communications Holdings, Inc.* 1,235,116 42,600 Manpower, Inc. 1,580,034 53,800 Pall Corporation 1,210,500 19,700 Paychex, Inc. 577,407 85,400 Robert Half International, Inc.* 1,617,476 28,700 Shaw Group, Inc.* 345,835 20,200 SPX Corporation 890,012 22,800 Stericycle, Inc.* 877,344 28,200 Swift Transportation Company, Inc.* 525,084 10,300 W.W. Grainger, Inc. 481,628 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 46,168,280 ========================================================================================================================= Information Technology (23.5%) - ------------------------------------------------------------------------------------------------------------------------- 36,200 Adobe Systems, Inc. 1,160,934 56,400 Affiliated Computer Services, Inc.* 2,579,172 51,500 Altera Corporation* 844,600 56,800 Amdocs, Ltd.* 1,363,200 31,000 American Power Conversion Corporation* 483,290 56,100 Analog Devices, Inc.* 1,953,402 77,800 Apple Computer, Inc.* 1,487,536 101,000 AVX Corporation 1,109,990 254,500 BEA Systems, Inc.* 2,763,870 38,700 BMC Software, Inc.* 631,971 65,700 Broadcom Corporation* 1,636,587 71,700 Business Objects SA ADR* 1,573,815 67,400 Check Point Software Technologies, Ltd.* 1,317,670 207,400 CIENA Corporation* 1,076,406 54,600 Citrix Systems, Inc.* 1,111,656 8,925 Cognizant Technology Solutions Corporation 217,413 23,900 Cognos, Inc.* 645,300 101,200 Comverse Technology, Inc.* 1,521,036 13,700 Cymer, Inc.* 438,537 28,500 Electronic Arts, Inc.* 2,108,715 28,500 Emulex Corporation* 648,945 15,400 Expedia, Inc. 1,176,252 11,300 Fair Isaac Corporation 581,385 52,000 Fisher Scientific International, Inc.* 1,814,800 60,400 Flextronics International, Ltd.* 627,556 33,200 Foundry Networks, Inc.* 478,080 54,800 Integrated Circuit Systems, Inc.* 1,722,364 47,000 Intersil Corporation* 1,250,670 43,400 Intuit, Inc.* 1,932,602 105,000 Jabil Circuit, Inc.* 2,320,500 43,500 Juniper Networks, Inc.* 538,095 31,040 KLA-Tencor Corporation* 1,443,050 101,300 Lam Research Corporation* 1,844,673 18,100 Lexmark International, Inc.* 1,280,937 17,200 Linear Technology Corporation 554,012 65,200 Macromedia, Inc.* 1,371,808 81,300 Marvell Technology Group, Ltd.* 2,794,281 24,740 Maxim Integrated Products, Inc. 845,861 78,200 Mercury Interactive Corporation* 3,019,302 104,890 Microchip Technology, Inc. 2,583,441 44,100 National Instruments Corporation* 1,666,098 69,300 National Semiconductor Corporation* 1,366,596 29,100 NetScreen Technologies, Inc.* 656,205 182,500 Network Appliance, Inc.* 2,958,325 39,400 Network Associates, Inc.* 499,592 89,270 Novellus Systems, Inc.* 3,269,157 33,600 NVIDIA Corporation* 773,136 47,100 PeopleSoft, Inc.* 828,489 67,500 QLogic Corporation* 3,262,275 58,900 Research in Motion, Ltd.* 1,272,829 71,700 RF Micro Devices, Inc.* 431,634 66,500 Scientific-Atlanta, Inc. 1,585,360 44,200 Semtech Corporation* 629,408 45,300 Siebel Systems, Inc.* 432,162 24,300 Storage Technology Corporation* 625,482 74,060 SunGard Data Systems, Inc.* 1,918,895 42,500 Symantec Corporation* 1,864,050 16,300 Synopsys, Inc.* 1,008,155 68,700 Tektronix, Inc.* 1,483,920 45,000 UTStarcom, Inc.* 1,600,650 50,400 Varian Semiconductor Equipment, Inc.* 1,499,904 49,000 VeriSign, Inc.* 677,670 98,600 VERITAS Software Corporation* 2,826,862 18,540 Waters Corporation* 540,070 40,120 Xilinx, Inc.* 1,015,437 49,100 Yahoo!, Inc.* 1,608,516 7,100 Zebra Technologies Corporation* 533,849 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 91,688,440 ========================================================================================================================= Materials (2.1%) - ------------------------------------------------------------------------------------------------------------------------- 63,200 Arch Coal, Inc. 1,452,336 34,800 Cytec Industries, Inc.* 1,176,240 58,600 Ecolab, Inc. 1,500,160 33,400 Packaging Corporation of America* 615,562 28,400 Pactiv Corporation* 559,764 40,600 Phelps Dodge Corporation* 1,556,604 20,400 Praxair, Inc. 1,226,040 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 8,086,706 ========================================================================================================================= Utilities (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 32,200 Equitable Resources, Inc. 1,311,828 15,700 Kinder Morgan, Inc. 858,005 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 2,169,833 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $347,606,469) 374,041,086 ========================================================================================================================= Principal Amount Short-Term Investments (4.2%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $5,240,000 New Center Asset Trust 1.350% 7/1/2003 $5,240,000 9,970,000 Thunder Bay Funding, Inc. 1.310 7/1/2003 9,970,000 1,000,000 Triple A-1 Funding Corporation 1.091 7/28/2003 999,183 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 16,209,183 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $363,815,652) $390,250,269 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. World Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (96.1%) Value - ------------------------------------------------------------------------------------------------------------------------- Australia (1.0%) - ------------------------------------------------------------------------------------------------------------------------- 317,000 BHP Billiton, Ltd. $1,836,818 256,695 News Corporation, Ltd. 1,582,072 - ------------------------------------------------------------------------------------------------------------------------- Total Australia 3,418,890 ========================================================================================================================= Belgium (1.1%) - ------------------------------------------------------------------------------------------------------------------------- 95,180 Dexia 1,203,413 77,790 Fortis (Amsterdam Exchange) 1,339,975 38,399 Fortis 666,735 13,448 UCB SA 368,476 - ------------------------------------------------------------------------------------------------------------------------- Total Belgium 3,578,599 ========================================================================================================================= Brazil (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 15,500 Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR 237,770 84,090 Petroleo Brasileiro SA (Petrobras) ADR 1,493,438 - ------------------------------------------------------------------------------------------------------------------------- Total Brazil 1,731,208 ========================================================================================================================= Canada (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 15,830 Alcan, Inc. 489,416 15,015 Celestica, Inc. ADR* 236,636 19,760 Royal Bank of Canada 834,434 - ------------------------------------------------------------------------------------------------------------------------- Total Canada 1,560,486 ========================================================================================================================= Denmark (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 54,200 Novo Nordisk A/S 1,897,390 - ------------------------------------------------------------------------------------------------------------------------- Total Denmark 1,897,390 ========================================================================================================================= Finland (1.7%) - ------------------------------------------------------------------------------------------------------------------------- 343,498 Nokia Oyj 5,656,593 - ------------------------------------------------------------------------------------------------------------------------- Total Finland 5,656,593 ========================================================================================================================= France (15.6%) - ------------------------------------------------------------------------------------------------------------------------- 86,673 Aventis SA 4,768,608 127,872 Axa 1,983,866 131,308 Banque Nationale de Paris 6,672,461 10,010 Carrefour SA 490,614 53,004 Compagnie de Saint-Gobain 2,085,952 8,993 Equant NV* 58,039 142,100 France Telecom SA* 3,485,595 3,670 Groupe Danone 507,849 13,273 Hermes International 1,870,231 17,374 L'Oreal SA 1,225,039 4,095 Lafarge SA 239,831 4,095 Lafarge SA Rights* 11,051 44,749 LVMH Moet Hennessy Louis Vuitton SA 2,219,464 96,400 Orange SA* 855,733 7,265 Pinault-Printemps-Redoute SA 547,294 86,351 Sanofi-Synthelabo SA 5,057,305 44,368 Schneider Electric SA 2,085,928 17,596 Societe Generale 1,115,410 81,137 Societe Television Francaise 1 2,497,096 94,031 Sodexho Alliance SA 2,537,584 48,400 Thomson Multimedia SA 746,454 70,104 Total SA 10,594,495 29,853 Vivendi Universal SA 543,374 - ------------------------------------------------------------------------------------------------------------------------- Total France 52,199,273 ========================================================================================================================= Germany (2.2%) - ------------------------------------------------------------------------------------------------------------------------- 10,041 Allianz AG 834,598 19,672 Bayer AG 455,881 13,516 Bayerische Hypo- Und Vereinsbank AG* 223,352 32,220 Celesia AG 1,266,156 32,190 Deutsche Bank AG 2,087,840 14,703 E.ON AG 755,918 12,900 Rhoen-Klinikum AG 517,748 6,810 SAP AG 803,155 10,090 Siemens AG 494,999 - ------------------------------------------------------------------------------------------------------------------------- Total Germany 7,439,647 ========================================================================================================================= Hong Kong (0.9%) - ------------------------------------------------------------------------------------------------------------------------- 104,000 Cheung Kong Holdings, Ltd. 625,486 566,500 China Mobile (Hong Kong), Ltd. 1,336,685 4,042,000 China Telecom Corporation (Hong Kong) 927,813 - ------------------------------------------------------------------------------------------------------------------------- Total Hong Kong 2,889,984 ========================================================================================================================= Israel (0.1%) - ------------------------------------------------------------------------------------------------------------------------- 21,815 Check Point Software Technologies, Ltd.* 426,483 - ------------------------------------------------------------------------------------------------------------------------- Total Israel 426,483 ========================================================================================================================= Italy (5.9%) - ------------------------------------------------------------------------------------------------------------------------- 222,250 Alleanza Assicurazioni SpA 2,113,264 595,602 Banca Intesa SpA 1,904,859 274,955 Eni SpA 4,158,426 117,939 Mediaset SpA 998,175 94,625 Mediolanum SpA 528,109 412,669 Olivetti SpA* 517,969 225,900 Telecom Italia (RNC) SpA 1,237,417 572,930 Telecom Italia Mobile SpA 2,822,542 197,539 Telecom Italia SpA 1,787,560 757,847 UniCredito Italiano SpA 3,611,696 - ------------------------------------------------------------------------------------------------------------------------- Total Italy 19,680,017 ========================================================================================================================= Japan (14.2%) - ------------------------------------------------------------------------------------------------------------------------- 66,000 Canon, Inc. 3,028,607 61,000 Credit Saison Company, Ltd. 1,000,283 55,700 Denso Corporation 882,757 14,200 Fanuc, Ltd. 703,644 172 Fuji Television Network, Inc. 607,354 119,000 Fujisawa Pharmaceutical Company, Ltd. 2,229,856 14,200 Hitachi Chemical Company, Ltd. 145,341 96,500 Honda Motor Company 3,656,673 37,000 Ito-Yokado Company, Ltd. 885,905 427 Japan Telecom Holdings Company 1,297,980 5,100 Keyence Corporation 934,416 10,400 Kyocera Corporation 595,028 114,000 MARUI Company, Ltd. 1,013,017 196,000 Mitsubishi Estate Company, Ltd. 1,327,071 323,000 Mitsui Fudosan Company, Ltd. 2,063,219 12,500 Murata Manufacturing Company, Ltd. 491,360 86,900 Nissan Motor Company, Ltd. 830,824 212,000 Nomura Holdings, Inc. 2,690,718 1,393 NTT DoCoMo, Inc. 3,016,281 19,000 Rohm Company, Ltd. 2,071,289 106,000 Secom Company, Ltd. 3,107,391 101,000 Seven-Eleven Japan Company, Ltd. 2,515,011 25,700 Shin-Etsu Chemical Company, Ltd. 877,535 165,000 Shiseido Company, Ltd. 1,603,623 10,600 SMC Corporation 892,492 24,700 Sony Corporation 695,282 66,000 Sumitomo Corporation 304,510 96,000 Suzuki Motor Corporation 1,248,819 31,000 Takeda Chemical Industries, Ltd. 1,143,702 101,500 Toyota Motor Corporation 2,628,899 87,000 Yamanouchi Pharmaceutical Company, Ltd. 2,267,833 72,000 Yamato Transport Company, Ltd. 796,902 - ------------------------------------------------------------------------------------------------------------------------- Total Japan 47,553,622 ========================================================================================================================= Mexico (1.4%) - ------------------------------------------------------------------------------------------------------------------------- 80,800 America Movil SA de CV ADR 1,515,000 293,000 Fomento Economico Mexicano SA de CV 1,208,653 1,173,700 Grupo Financiero BBVA Bancomer SA de CV* 994,222 388,000 Wal-Mart de Mexico SA de CV 1,146,804 - ------------------------------------------------------------------------------------------------------------------------- Total Mexico 4,864,679 ========================================================================================================================= Netherlands (4.4%) - ------------------------------------------------------------------------------------------------------------------------- 7,460 Akzo Nobel NV 197,723 120,410 ASM Holding NV* 1,143,535 195,834 ING Groep NV 3,402,582 253,800 Koninklijke (Royal) KPN NV 1,798,284 142,259 Koninklijke (Royal) Philips Electronics NV 2,705,339 103,250 Reed Elsevier NV 1,217,705 38,118 Royal Dutch Petroleum Company 1,769,327 50,883 VNU NV 1,567,743 68,110 Wolters Kluwer NV 821,262 - ------------------------------------------------------------------------------------------------------------------------- Total Netherlands 14,623,500 ========================================================================================================================= Norway (0.4%) - ------------------------------------------------------------------------------------------------------------------------- 60,430 Orkla ASA 1,046,458 48,230 Statoil ASA 410,914 - ------------------------------------------------------------------------------------------------------------------------- Total Norway 1,457,372 ========================================================================================================================= Russia (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 10,930 LUKOIL ADR* 863,470 30,000 YUKOS Oil Company ADR 1,680,000 - ------------------------------------------------------------------------------------------------------------------------- Total Russia 2,543,470 ========================================================================================================================= Singapore (1.0%) - ------------------------------------------------------------------------------------------------------------------------- 850,000 MobileOne (Asia) Limited 646,792 385,112 United Overseas Bank, Ltd. 2,711,748 - ------------------------------------------------------------------------------------------------------------------------- Total Singapore 3,358,540 ========================================================================================================================= South Africa (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 47,900 Nedcor, Ltd.* 570,846 - ------------------------------------------------------------------------------------------------------------------------- Total South Africa 570,846 ========================================================================================================================= South Korea (2.5%) - ------------------------------------------------------------------------------------------------------------------------- 90,102 KT Corporation ADR 1,775,910 42,294 Posco ADR 1,107,680 10,760 Samsung Electronics Company, Ltd. 3,197,823 12,630 SK Telecom Company, Ltd. 2,156,986 - ------------------------------------------------------------------------------------------------------------------------- Total South Korea 8,238,399 ========================================================================================================================= Spain (4.0%) - ------------------------------------------------------------------------------------------------------------------------- 266,654 Banco Bilbao Vizcaya Argentaria SA 2,801,888 274,334 Banco Santander Central Hispano SA 2,403,730 88,692 Endesa SA 1,484,990 71,580 Gas Natural SDG SA 1,438,505 77,600 Industria de Diseno Textil SA* 1,951,585 50,299 Repsol YPF SA 815,597 154,015 Telefonica SA 1,788,116 26,533 Telefonica SA ADR 917,246 - ------------------------------------------------------------------------------------------------------------------------- Total Spain 13,601,657 ========================================================================================================================= Sweden (2.9%) - ------------------------------------------------------------------------------------------------------------------------- 66,215 Electrolux AB 1,306,946 124,060 Hennes & Mauritz AB 2,851,633 178,736 Nordea AB 861,873 13,120 Sandvik AB 343,370 394,160 Securitas AB 4,037,667 426,424 Telefonaktiebolaget LM Ericsson 458,125 - ------------------------------------------------------------------------------------------------------------------------- Total Sweden 9,859,614 ========================================================================================================================= Switzerland (6.2%) - ------------------------------------------------------------------------------------------------------------------------- 104,970 Adecco SA 4,324,346 21,120 Credit Suisse Group 555,872 38,063 Nestle SA 7,854,270 24,900 Roche Holding AG 1,953,212 55,149 STMicroelectronics 1,156,432 91,328 UBS AG 5,080,520 - ------------------------------------------------------------------------------------------------------------------------- Total Switzerland 20,924,652 ========================================================================================================================= Taiwan (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 46,000 MediaTek Incorporation 461,196 740,180 Taiwan Semiconductor Manufacturing Company, Ltd.* 1,219,019 - ------------------------------------------------------------------------------------------------------------------------- Total Taiwan 1,680,215 ========================================================================================================================= Thailand (0.3%) - ------------------------------------------------------------------------------------------------------------------------- 773,000 Bangkok Bank Public Company, Ltd.* 1,029,686 - ------------------------------------------------------------------------------------------------------------------------- Total Thailand 1,029,686 ========================================================================================================================= United Kingdom (27.2%) - ------------------------------------------------------------------------------------------------------------------------- 75,233 Abbey National plc 584,111 94,798 AstraZeneca plc 3,801,306 41,168 Autonomy Corporation plc* 119,564 163,211 BG Group plc 723,138 392,000 BP Amoco plc 2,718,449 301,000 Brambles Industries plc 814,587 221,320 Cadbury Schweppes plc 1,307,468 27,276 Carnival plc 828,641 107,000 Celltech Group plc* 605,627 385,600 Centrica plc 1,118,304 871,150 Compass Group plc 4,697,166 215,506 Diageo plc 2,300,864 113,010 DS Smith plc 308,782 308,370 Electrocomponents plc 1,651,255 120,230 Friends Provident plc 225,183 18,000 GKN plc 66,089 682,904 GlaxoSmithKline plc 13,782,041 116,328 Granada plc 174,684 659,665 Hays plc 1,045,014 68,800 HSBC Holdings plc 816,096 613,872 Kingfisher plc 2,808,515 58,551 Reckitt Benckiser plc 1,074,401 767,168 Reed Elsevier plc 6,383,572 221,779 Rio Tinto plc 4,172,080 357,298 Royal Bank of Scotland Group plc 10,023,211 971,420 Shell Transport & Trading Company plc 6,412,013 71,200 Standard Chartered plc 864,739 995,800 Tesco plc 3,602,791 480,148 Tomkins plc 1,798,574 327,782 Unilever plc 2,609,815 73,229 United Business Media plc 366,145 4,969,045 Vodafone Group plc 9,716,697 290,000 Woolworths Group plc 179,455 464,240 WPP Group plc 3,638,845 - ------------------------------------------------------------------------------------------------------------------------- Total United Kingdom 91,339,222 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $383,392,400) 322,124,044 ========================================================================================================================= Principal Interest Maturity Amount Short-Term Investments (3.9%) Rate(b) Date Value - ------------------------------------------------------------------------------------------------------------------------- e8,400,000 Euro Time Deposit 1.750% 7/1/2003 $9,646,302 $3,400,000 Thunder Bay Funding, Inc. 1.310 7/1/2003 3,400,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 13,046,302 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $396,438,702) $335,170,346 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yieldor, for securities purchased at a discount, the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. All Cap Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (96.0%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (3.8%) - ------------------------------------------------------------------------------------------------------------------------- 8,500 ALLTEL Corporation $409,870 27,200 CenturyTel, Inc. 947,920 5,000 Nextel Communications, Inc.* 90,400 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 1,448,190 ========================================================================================================================= Consumer Discretionary (10.8%) - ------------------------------------------------------------------------------------------------------------------------- 10,900 Belo Corporation 243,724 9,600 Clear Channel Communication, Inc.* 406,944 2,300 E.W. Scripps Company 204,056 13,200 Federated Department Stores, Inc. 486,420 18,400 Fox Entertainment Group, Inc.* 529,552 10,300 Gentex Corporation* 315,283 10,100 Hollywood Entertainment Corporation* 173,720 9,700 InterActiveCorp* 383,829 5,100 International Game Technology* 521,883 200 Media General, Inc. 11,440 5,700 Ross Stores, Inc. 243,618 3,700 Tribune Company 178,710 8,300 Wal-Mart Stores, Inc. 445,461 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 4,144,640 ========================================================================================================================= Consumer Staples (9.6%) - ------------------------------------------------------------------------------------------------------------------------- 4,400 Coca-Cola Company 204,204 23,900 Dean Foods Company 752,850 28,100 Gillette Company 895,266 7,200 Hershey Foods Corporation 501,552 11,000 NBTY, Inc.* 231,660 14,400 SYSCO Corporation 432,576 8,600 Whole Foods Market, Inc.* 408,758 4,900 William Wrigley Jr. Company 275,527 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 3,702,393 ========================================================================================================================= Energy (6.6%) - ------------------------------------------------------------------------------------------------------------------------- 3,100 Devon Energy Corporation 165,540 13,100 Exxon Mobil Corporation 470,421 29,000 Occidental Petroleum Corporation 972,950 21,700 Pogo Producing Company 927,675 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 2,536,586 ========================================================================================================================= Financials (18.4%) - ------------------------------------------------------------------------------------------------------------------------- 1,300 American International Group, Inc. 71,734 13,400 Bank of America Corporation 1,059,002 15,400 Bank of Hawaii Corporation 510,510 10,100 Bear Stearns Companies, Inc. 731,442 10,500 Citigroup, Inc. 449,400 9,000 Commerce Bancorp, Inc. 333,900 3,900 Federal National Mortgage Corporation 263,016 20,075 Fidelity National Financial, Inc. 617,507 7,400 GreenPoint Financial Corporation 376,956 14,600 Legg Mason, Inc. 948,270 13,300 MBIA, Inc. 648,375 14,250 MBNA Corporation 296,970 4,500 PartnerRe, Ltd. 229,995 6,500 Torchmark Corporation 242,125 7,700 Wachovia Corporation 307,692 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 7,086,894 ========================================================================================================================= Health Care (14.1%) - ------------------------------------------------------------------------------------------------------------------------- 8,500 Abbott Laboratories 371,960 23,800 Covance, Inc.* 430,780 9,300 ENDO Pharmaceutical Holdings, Inc.* 157,356 18,300 Forest Laboratories, Inc. 1,001,925 6,400 Gilead Sciences, Inc.* 355,712 26,300 Johnson & Johnson 1,359,710 3,100 Medtronic, Inc. 148,707 4,600 Merck & Company, Inc. 278,530 5,000 Mid Atlantic Medical Services, Inc.* 261,500 25,000 Pfizer, Inc. 853,750 4,300 Pharmaceutical Resources, Inc.* 209,238 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 5,429,168 ========================================================================================================================= Industrials (10.8%) - ------------------------------------------------------------------------------------------------------------------------- 7,200 3M Company 928,656 8,800 Corinthian Colleges, Inc.* 427,416 18,000 CSX Corporation 541,620 7,800 Fastenal Company 264,732 4,200 First Data Corporation 174,048 23,800 General Electric Company 682,584 7,300 Hovnanian Enterprises* 430,335 10,700 Illinois Tool Works, Inc. 704,595 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 4,153,986 ========================================================================================================================= Information Technology (15.9%) - ------------------------------------------------------------------------------------------------------------------------- 32,092 Activision, Inc. 414,629 2,800 Amphenol Corporation* 131,096 19,200 Analog Devices, Inc.* 668,544 21,200 Fisher Scientific International, Inc.* 739,880 10,700 Imation Corporation 404,674 1,100 International Business Machines Corporation 90,750 6,200 Marvell Technology Group, Ltd.* 213,094 49,400 Microsoft Corporation 1,265,134 14,100 National Semiconductor Corporation* 278,052 7,100 NetScreen Technologies, Inc.* 160,105 14,600 Network Associates, Inc.* 185,128 72,700 Western Digital Corporation* 748,810 10,700 Zebra Technologies Corporation* 804,533 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 6,104,429 ========================================================================================================================= Materials (3.0%) - ------------------------------------------------------------------------------------------------------------------------- 29,500 Newmont Mining Corporation $957,570 2,900 Praxair, Inc. 174,290 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 1,131,860 ========================================================================================================================= Utilities (3.0%) - ------------------------------------------------------------------------------------------------------------------------- 16,200 Edison International* 266,166 14,600 FirstEnergy Corporation 561,370 9,500 KeySpan Corporation 336,775 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 1,164,311 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $34,507,541) 36,902,457 ========================================================================================================================= Principal Amount Short-Term Investments (4.0%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,433,000 State Street Repurchase Agreement(c) 0.750% 7/1/2003 $1,433,000 100,000 U.S. Treasury Bill 0.776 8/21/2003 99,890 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 1,532,890 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $36,040,431) $38,435,347 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yieldor, for securities purchased at a discount, the discount rate at the date of purchase. (c) Repurchase agreement dated June 30, 2003, $1,433,030 maturing July 1, 2003, collateralized by $1,463,174 of Federal National Mortgage Association Medium Term Notes, 1.875% due February 15, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (98.3%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (1.5%) - ------------------------------------------------------------------------------------------------------------------------- 683,300 AT&T Wireless Services, Inc.* $5,609,893 288,500 Nextel Communications, Inc.* 5,216,080 88,700 SBC Communications, Inc. 2,266,285 390,750 Sprint PCS Group* 2,246,812 278,300 Verizon Communications, Inc. 10,978,935 310,750 Vodafone Group plc ADR 6,106,238 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 32,424,243 ========================================================================================================================= Consumer Discretionary (17.0%) - ------------------------------------------------------------------------------------------------------------------------- 152,000 Amazon.com, Inc.* 5,546,480 1,021,905 AOL Time Warner, Inc.* 16,442,451 57,800 AutoZone, Inc.* 4,391,066 256,550 Bed Bath & Beyond, Inc.* 9,956,706 192,800 Best Buy Company, Inc.* 8,467,776 84,450 Brinker International, Inc.* 3,041,889 50,700 Centex Corporation 3,943,953 470,600 Clear Channel Communications, Inc.* 19,948,734 635,395 Comcast Corporation* 18,318,438 119,350 Costco Wholesale Corporation* 4,368,210 95,285 Cox Communications, Inc.* 3,039,592 126,100 Dollar Tree Stores, Inc.* 4,001,153 179,900 eBay, Inc.* 18,741,982 101,500 EchoStar Communications Corporation* 3,513,930 79,050 Gannett Company, Inc. 6,071,830 411,050 Gap, Inc. 7,711,298 152,100 General Motors Corporation 5,475,600 155,400 Harley-Davidson, Inc. 6,194,244 707,795 Home Depot, Inc. 23,442,170 321,550 InterActiveCorp* 12,723,734 262,550 Kohl's Corporation* 13,489,819 887,543 Liberty Media Corporation* 10,259,997 384,100 Lowe's Companies, Inc. 16,497,095 55,250 Marriott International, Inc. 2,122,705 94,950 Michaels Stores, Inc.* 3,613,797 56,500 NIKE, Inc. 3,022,185 166,000 Office Depot, Inc.* 2,408,660 154,200 Omnicom Group, Inc. 11,056,140 34,300 Outback Steakhouse, Inc. 1,337,700 197,100 Staples, Inc.* 3,616,785 242,300 Starbucks Corporation* 5,941,196 342,250 Target Corporation 12,950,740 115,000 Tribune Company 5,554,500 227,650 Univision Communications, Inc.* 6,920,560 672,445 Viacom, Inc.* 29,358,949 1,053,100 Wal-Mart Stores, Inc. 56,519,877 346,900 Walt Disney Company 6,851,275 77,900 Yum! Brands, Inc.* 2,302,724 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 379,165,940 ========================================================================================================================= Consumer Staples (5.5%) - ------------------------------------------------------------------------------------------------------------------------- 381,450 Coca-Cola Company 17,703,094 143,150 Coca-Cola Enterprises, Inc. 2,598,172 237,050 Colgate-Palmolive Company 13,737,048 154,050 General Mills, Inc. 7,303,510 285,000 Gillette Company 9,080,100 546,850 PepsiCo, Inc. 24,334,825 347,700 Procter & Gamble Company 31,007,886 172,700 SYSCO Corporation 5,187,908 370,300 Walgreen Company 11,146,030 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 122,098,573 ========================================================================================================================= Energy (3.4%) - ------------------------------------------------------------------------------------------------------------------------- 160,597 Apache Corporation 10,448,441 128,950 BJ Services Company* 4,817,572 83,400 ChevronTexaco Corporation 6,021,480 232,150 ENSCO International, Inc. 6,244,835 157,550 EOG Resources, Inc. 6,591,892 278,550 Exxon Mobil Corporation 10,002,730 47,000 GlobalSantaFe Corporation 1,096,980 118,900 Halliburton Company 2,734,700 69,200 Nabors Industries, Ltd.* 2,736,860 80,450 Patterson-UTI Energy, Inc.* 2,606,580 174,400 Schlumberger, Ltd. 8,296,208 108,265 Smith International, Inc. 3,977,656 123,400 Tidewater, Inc. 3,624,258 173,100 Valero Energy Corporation 6,288,723 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 75,488,915 ========================================================================================================================= Financials (14.9%) - ------------------------------------------------------------------------------------------------------------------------- 105,800 ACE, Ltd. 3,627,882 124,580 AFLAC, Inc. 3,830,835 30,400 Alliance Capital Management Holding, LP 1,109,600 109,950 Allstate Corporation 3,919,718 424,250 American Express Company 17,737,892 91,050 American Financial Realty Trust 1,357,556 500,800 American International Group, Inc. 27,634,144 160,900 Bank of America Corporation 12,715,927 44,050 Bear Stearns Companies, Inc. 3,190,101 565,450 Charles Schwab Corporation 5,705,390 1,098,490 Citigroup, Inc. 47,015,372 155,450 Federal Home Loan Mortgage Corporation 7,892,196 234,515 Federal National Mortgage Corporation 15,815,692 92,145 Fifth Third Bancorp 5,283,594 116,200 FleetBoston Financial Corporation 3,452,302 57,800 Franklin Resources, Inc. 2,258,246 214,630 Goldman Sachs Group, Inc. 17,975,262 67,800 Hartford Financial Services Group, Inc. 3,414,408 328,450 J.P. Morgan Chase & Company 11,226,421 82,400 Lehman Brothers Holdings, Inc. 5,477,952 60,800 Loews Corporation 2,875,232 210,450 Marsh & McLennan Companies, Inc. 10,747,682 647,000 MBNA Corporation 13,483,480 200,100 Merrill Lynch & Company, Inc. 9,340,668 175,700 Morgan Stanley and Company 7,511,175 1,063,250 Nasdaq (100) Trust* 31,844,338 45,900 Neuberger Berman, Inc.(b) 1,831,869 67,100 PNC Financial Services Group, Inc. 3,275,151 67,000 S&P 400 Mid-Cap Depository Receipts 5,877,240 100,000 SAFECO Corporation 3,528,000 213,500 State Street Corporation 8,411,900 77,350 T. Rowe Price Group, Inc. 2,919,962 134,950 Wachovia Corporation 5,392,602 108,050 Washington Mutual, Inc. 4,462,465 205,350 Wells Fargo & Company 10,349,640 189,010 Willis Group Holdings, Ltd. 5,812,058 40,800 XL Capital, Ltd. 3,386,400 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 331,690,352 ========================================================================================================================= Health Care (22.7%) - ------------------------------------------------------------------------------------------------------------------------- 323,850 Abbott Laboratories 14,171,676 75,900 AdvancePCS, Inc.* 2,901,657 115,350 Aetna, Inc. 6,944,070 56,100 Allergan, Inc. 4,325,310 868,550 Amgen, Inc.* 57,706,462 82,350 Anthem, Inc.* 6,353,302 38,500 Biogen, Inc.* 1,463,000 222,700 Biomet, Inc. 6,382,582 211,750 Boston Scientific Corporation* 12,937,925 243,830 Cardinal Health, Inc. 15,678,269 185,350 Caremark Rx, Inc.* 4,759,788 99,200 Cephalon, Inc.* 4,083,072 40,100 Chiron Corporation* 1,753,172 291,600 Eli Lilly and Company 20,111,652 239,010 Forest Laboratories, Inc. 13,085,798 137,800 Genentech, Inc.*(b) 9,938,136 53,000 Genzyme Corporation* 2,215,400 194,850 Gilead Sciences, Inc.* 10,829,763 131,450 IDEC Pharmaceuticals Corporation* 4,469,300 890,150 Johnson & Johnson 46,020,755 181,400 MedImmune, Inc.* 6,597,518 788,300 Medtronic, Inc. 37,814,751 433,150 Merck & Company, Inc. 26,227,232 58,700 Mylan Laboratories, Inc. 2,040,999 205,900 Omnicare, Inc. 6,957,361 2,950,555 Pfizer, Inc. 100,761,454 49,950 Quest Diagnostics, Inc.* 3,186,810 181,200 Schering-Plough Corporation 3,370,320 67,000 Stryker Corporation 4,647,790 212,300 Teva Pharmaceutical Industries, Ltd. 12,086,239 331,400 UnitedHealth Group, Inc. 16,652,850 116,000 WellPoint Health Networks, Inc.* 9,778,800 495,800 Wyeth Corporation 22,583,690 117,300 Zimmer Holdings, Inc.* 5,284,365 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 504,121,268 ========================================================================================================================= Industrials (9.2%) - ------------------------------------------------------------------------------------------------------------------------- 134,650 3M Company 17,367,157 156,100 Alaska Air Group, Inc.* 3,348,345 420,200 Allied Waste Industries, Inc.* 4,223,010 60,800 Career Education Corporation* 4,159,936 69,450 Caterpillar, Inc. 3,865,587 403,800 Cendant Corporation* 7,397,616 87,000 Deere & Company 3,975,900 119,500 Delta Air Lines, Inc. 1,754,260 102,550 Dover Corporation 3,072,398 57,900 Eaton Corporation 4,551,519 91,300 FedEx Corporation 5,663,339 678,050 First Data Corporation 28,098,392 129,125 Fiserv, Inc.* 4,598,141 1,961,700 General Electric Company 56,261,556 60,050 Illinois Tool Works, Inc. 3,954,292 49,400 Ingersoll-Rand Company 2,337,608 161,700 Lockheed Martin Corporation 7,692,069 68,700 Monster Worldwide, Inc.* 1,355,451 100 Norfolk Southern Corporation 1,920 66,850 Northrop Grumman Corporation 5,768,486 153,900 Northwest Airlines Corporation* 1,737,531 212,150 Paychex, Inc. 6,218,116 83,900 Raytheon Company 2,755,276 347,250 Tyco International, Ltd. 6,590,805 163,700 United Parcel Service, Inc., Class B 10,427,690 119,050 United Technologies Corporation 8,432,312 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 205,608,712 ========================================================================================================================= Information Technology (23.7%) - ------------------------------------------------------------------------------------------------------------------------- 399,600 Accenture, Ltd.* 7,228,764 58,000 Adobe Systems, Inc. 1,860,060 199,500 Advanced Micro Devices, Inc.* 1,278,795 52,650 Affiliated Computer Services, Inc.* 2,407,684 423,650 Alcatel SA ADR 3,791,668 316,400 Analog Devices, Inc.* 11,017,048 1,116,650 Applied Materials, Inc.* 17,710,069 455,750 BEA Systems, Inc.* 4,949,445 171,300 BMC Software, Inc.* 2,797,329 100,400 Broadcom Corporation* 2,500,964 115,300 Check Point Software Technologies, Ltd.* 2,254,115 3,138,300 Cisco Systems, Inc.* 52,378,227 218,100 Cypress Semiconductor Corporation* 2,617,200 1,361,350 Dell Computer Corporation* 43,508,746 108,300 Documentum, Inc.* 2,130,261 129,235 Electronic Arts, Inc.* 9,562,098 92,600 Electronics for Imaging, Inc.* 1,878,854 1,436,900 EMC Corporation* 15,044,343 302,900 Flextronics International, Ltd.* 3,147,131 600,205 Hewlett-Packard Company 12,784,366 2,332,250 Intel Corporation 48,473,484 284,000 International Business Machines Corporation 23,430,000 99,800 Intuit, Inc.* 4,444,094 187,600 Jabil Circuit, Inc.* 4,145,960 559,350 JDS Uniphase Corporation* 1,963,318 164,950 KLA-Tencor Corporation* 7,668,526 288,800 Legato Systems, Inc.* 2,423,032 183,400 Linear Technology Corporation 5,907,314 1,653,800 Lucent Technologies, Inc.* 3,357,214 286,250 Maxim Integrated Products, Inc. 9,786,888 3,500,400 Microsoft Corporation 89,645,244 381,900 Motorola, Inc. 3,601,317 128,800 National Semiconductor Corporation* 2,539,936 246,000 Network Appliance, Inc.* 3,987,660 716,120 Nokia Corporation ADR 11,765,852 134,750 Novellus Systems, Inc.* 4,934,680 468,800 Openwave Systems, Inc.* 914,160 2,075,300 Oracle Corporation* 24,945,106 249,050 QUALCOMM, Inc. 8,903,538 201,400 Red Hat, Inc.* 1,524,598 173,500 SAP AG 5,069,670 427,800 Siebel Systems, Inc.* 4,081,212 337,700 Skyworks Solutions, Inc.* 2,286,229 833,850 Sun Microsystems, Inc.* 3,835,710 647,030 Taiwan Semiconductor Manufacturing Company, Ltd. ADR* 6,522,062 538,400 Texas Instruments, Inc. 9,475,840 141,700 THQ, Inc.* 2,550,600 306,250 Unisys Corporation* 3,760,750 644,000 United Microelectronics Corporation ADR* 2,415,000 169,250 VeriSign, Inc.* 2,340,728 410,300 VERITAS Software Corporation* 11,763,301 300,700 Xilinx, Inc.* 7,610,717 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 526,920,907 ========================================================================================================================= Materials (0.4%) - ------------------------------------------------------------------------------------------------------------------------- 155,400 Alcoa, Inc. 3,962,700 79,300 AngloGold, Ltd. 2,529,670 88,600 Dow Chemical Company 2,743,056 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 9,235,426 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $2,255,446,085) 2,186,754,336 ========================================================================================================================= Principal Amount Short-Term Investments (1.7%) Interest Rate(c) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $15,000,000 Abbey National North America 1.330% 7/1/2003 $15,000,000 23,780,000 Koch Industries, Inc. 1.300 7/1/2003 23,780,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 38,780,000 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $2,294,226,085) $2,225,534,336 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) At June 30, 2003, securities valued at $3,304,885 were earmarked to cover call options written as follows: Number of Exercise Expiration Type Contracts Price Date Value - ------------------------------------------------------------------------------------------------------------------------- Neuberger Berman, Inc. 295 40 July 2003 $51,625 Genentech, Inc. 295 85 July 2003 5,900 (c) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. Investors Growth Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (96.5%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (1.4%) - ------------------------------------------------------------------------------------------------------------------------- 21,600 AT&T Wireless Services, Inc.* $177,336 34,900 Sprint PCS Group* 200,675 711 Vodafone Group plc ADR 13,971 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 391,982 ========================================================================================================================= Consumer Discretionary (25.2%) - ------------------------------------------------------------------------------------------------------------------------- 33,500 AOL Time Warner, Inc.* 539,015 3,300 Bayerische Motoren Werke AG* 126,952 3,900 Bed Bath & Beyond, Inc.* 151,359 7,600 Best Buy Company, Inc.* 333,792 2,700 Carnival Corporation 87,777 12,230 Clear Channel Communication, Inc.* 518,430 10,223 Comcast Corporation* 308,530 2,580 eBay, Inc.* 268,784 19,700 Home Depot, Inc. 652,464 11,100 InterActiveCorp* 439,227 9,900 Kohl's Corporation* 508,662 12,300 Liberty Media Corporation* 142,188 9,100 Lowe's Companies, Inc. 390,845 8,300 McDonald's Corporation 183,098 3,400 MGM Mirage, Inc.* 116,212 5,200 Starbucks Corporation* 127,504 16,060 Target Corporation 607,710 800 TJX Companies, Inc. 15,072 5,900 Tribune Company 284,970 11,870 Viacom, Inc.* 518,244 8,920 Wal-Mart Stores, Inc. 478,736 17,900 Walt Disney Company 353,525 800 Weight Watchers International, Inc.* 36,392 2,500 Williams-Sonoma, Inc.* 73,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 7,262,488 ========================================================================================================================= Consumer Staples (5.8%) - ------------------------------------------------------------------------------------------------------------------------- 6,200 Altria Group, Inc. 281,728 300 Anheuser-Busch Companies, Inc. 15,315 8,660 Avon Products, Inc. 538,652 5,400 CVS Corporation 151,362 7,170 PepsiCo, Inc. 319,065 4,300 Procter & Gamble Company 383,474 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 1,689,596 ========================================================================================================================= Energy (2.9%) - ------------------------------------------------------------------------------------------------------------------------- 3,200 BJ Services Company* 119,552 5,600 Encana Corporation* 214,872 3,200 Noble Corporation* 109,760 8,400 Schlumberger, Ltd. 399,588 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 843,772 ========================================================================================================================= Financials (11.4%) - ------------------------------------------------------------------------------------------------------------------------- 8,840 American Express Company 369,600 3,600 Bank of New York Company, Inc. 103,500 1,400 Capital One Financial Corporation 68,852 13,320 Citigroup, Inc. 570,096 5,400 Federal National Mortgage Corporation 364,176 4,290 Goldman Sachs Group, Inc. 359,288 12,200 Merrill Lynch & Company, Inc. 569,496 2,100 Northern Trust Corporation 87,759 9,800 SLM Corporation 383,866 11,500 Travelers Property Casualty Company 182,850 2,750 XL Capital, Ltd. 228,250 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 3,287,733 ========================================================================================================================= Health Care (19.8%) - ------------------------------------------------------------------------------------------------------------------------- 12,100 Abbott Laboratories 529,496 3,400 Aetna, Inc. 204,680 9,670 Amgen, Inc.* 642,475 2,400 Becton, Dickinson and Company 93,240 2,400 Biogen, Inc.* 91,200 2,200 Boston Scientific Corporation* 134,420 5,300 Caremark Rx, Inc.* 136,104 2,500 Forest Laboratories, Inc. 136,875 3,300 Genentech, Inc.* 237,996 1,000 Genzyme Corporation* 41,800 1,400 Gilead Sciences, Inc.* 77,812 4,300 Guidant Corporation 190,877 6,060 Johnson & Johnson 313,302 4,200 McKesson Corporation 150,108 2,800 MedImmune, Inc.* 101,836 3,500 Medtronic, Inc. 167,895 2,600 Novartis AG* 102,887 3,500 Omnicare, Inc. 118,265 29,210 Pfizer, Inc. 997,522 16,300 Schering-Plough Corporation 303,180 5,400 St. Jude Medical, Inc. 310,500 1,900 WellPoint Health Networks, Inc.* 160,170 10,400 Wyeth Corporation 473,720 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 5,716,360 ========================================================================================================================= Industrials (11.2%) - ------------------------------------------------------------------------------------------------------------------------- 4,100 3M Company 528,818 1,400 Apollo Group, Inc.* 86,464 300 Career Education Corporation* 20,526 12,800 Cendant Corporation* 234,496 4,400 FedEx Corporation 272,932 9,240 First Data Corporation 382,906 22,190 General Electric Company 636,409 1,400 Jetblue Airways Corporation* 59,206 1,700 Manpower, Inc. 63,053 2,000 Northrop Grumman Corporation 172,580 24,100 Tyco International, Ltd. 457,418 1,800 United Parcel Service, Inc., Class B 114,660 2,700 United Technologies Corporation 191,241 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 3,220,709 ========================================================================================================================= Information Technology (18.8%) - ------------------------------------------------------------------------------------------------------------------------- 12,100 Analog Devices, Inc.* 421,322 5,300 BEA Systems, Inc.* 57,558 4,900 Cadence Design Systems, Inc.* 59,094 34,240 Cisco Systems, Inc.* 571,466 15,420 Dell Computer Corporation* 492,823 10,200 Hewlett-Packard Company 217,260 16,850 Intel Corporation 350,210 6,170 International Business Machines Corporation 509,025 2,400 Lam Research Corporation* 43,704 9,000 Linear Technology Corporation 289,890 9,900 Microchip Technology, Inc. 243,837 44,680 Microsoft Corporation 1,117,767 4,700 Novellus Systems, Inc.* 172,119 29,040 Oracle Corporation* 349,061 22,900 Taiwan Semiconductor Manufacturing Company, Ltd. ADR* 230,832 8,430 VERITAS Software Corporation* 241,688 1,100 Xilinx, Inc.* 27,841 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 5,395,497 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $25,724,156) 27,808,137 ========================================================================================================================= Principal Amount Short-Term Investments (3.5%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,018,000 State Street Repurchase Agreement(c) 0.750% 7/1/2003 $1,018,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 1,018,000 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $26,742,156) $28,826,137 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yield. (c) Repurchase agreement dated June 30, 2003, $1,018,021 maturing July 1, 2003, collateralized by $1,042,569 of Federal Home Loan Mortgage Corporation Medium Term Notes, 2.000% due April 8, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Growth Stock Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (95.9%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (3.3%) - ------------------------------------------------------------------------------------------------------------------------- 24,100 Nextel Communications, Inc.* $435,728 57 NTT DoCoMo, Inc.* 123,423 375,200 Vodafone Group plc 733,683 11,300 Vodafone Group plc ADR 222,045 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 1,514,879 ========================================================================================================================= Consumer Discretionary (20.3%) - ------------------------------------------------------------------------------------------------------------------------- 22,800 AOL Time Warner, Inc.* 366,852 7,450 Best Buy Company, Inc.* 327,204 10,200 Carnival Corporation 331,602 18,200 Clear Channel Communication, Inc.* 771,498 20,700 Comcast Corporation* 596,781 2,500 E.W. Scripps Company 221,800 14,500 EchoStar Communications Corporation* 501,990 6,400 Harley-Davidson, Inc. 255,104 1,300 Hermes International* 183,176 20,500 Home Depot, Inc. 678,960 10,400 InterActiveCorp* 411,528 5,300 Kohl's Corporation* 272,314 46,232 Liberty Media Corporation* 534,442 5,000 MGM Mirage, Inc.* 170,900 3,800 Omnicom Group, Inc. 272,460 11,300 Starbucks Corporation* 277,076 24,300 Target Corporation 919,512 17,600 Univision Communications, Inc.* 535,040 15,400 Viacom, Inc.* 672,364 6,200 Wal-Mart de Mexico SA de CV ADR* 183,252 39,000 Wal-Mart de Mexico SA de CV* 115,271 10,600 Wal-Mart Stores, Inc. 568,902 10,400 Walt Disney Company 205,400 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 9,373,428 ========================================================================================================================= Consumer Staples (6.6%) - ------------------------------------------------------------------------------------------------------------------------- 11,400 Altria Group, Inc. 518,016 10,700 Coca-Cola Company 496,587 733,000 Companhia de Bebidas das Americas (Ambev)* 148,644 51,200 Compass Group plc* 276,066 7,500 General Mills, Inc. 355,575 5,500 Gillette Company 175,230 5,100 PepsiCo, Inc. 226,950 9,600 SYSCO Corporation 288,384 31,300 Unilever plc* 249,212 10,900 Walgreen Company 328,090 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 3,062,754 ========================================================================================================================= Energy (3.9%) - ------------------------------------------------------------------------------------------------------------------------- 14,900 Baker Hughes, Inc. 500,193 5,500 ChevronTexaco Corporation 397,100 11,800 Exxon Mobil Corporation 423,738 10,000 Schlumberger, Ltd. 475,700 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 1,796,731 ========================================================================================================================= Financials (19.2%) - ------------------------------------------------------------------------------------------------------------------------- 8,500 ACE, Ltd. 291,465 15,100 American International Group, Inc. 833,218 20,500 Charles Schwab Corporation 206,845 42,300 Citigroup, Inc. 1,810,440 8,500 Federal Home Loan Mortgage Corporation 431,545 8,600 Federal National Mortgage Corporation 579,984 7,900 Hartford Financial Services Group, Inc. 397,844 8,800 Marsh & McLennan Companies, Inc. 449,416 15,700 Mellon Financial Corporation 435,675 12,700 Merrill Lynch & Company, Inc. 592,836 4,400 Morgan Stanley and Company 188,100 10,200 Northern Trust Corporation 426,258 8,500 SLM Corporation 332,945 13,600 State Street Corporation 535,840 24,881 Travelers Property Casualty Company 395,608 21,100 U.S. Bancorp 516,950 3,600 Wells Fargo & Company 181,440 3,000 XL Capital, Ltd. 249,000 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 8,855,409 ========================================================================================================================= Health Care (18.3%) - ------------------------------------------------------------------------------------------------------------------------- 9,900 Abbott Laboratories 433,224 7,800 Amgen, Inc.* 518,232 6,400 Baxter International, Inc. 166,400 7,600 Biomet, Inc. 217,816 8,000 Biovail Corporation* 376,480 3,500 Boston Scientific Corporation* 213,850 5,100 Cardinal Health, Inc. 327,930 700 Eli Lilly and Company 48,279 3,600 Forest Laboratories, Inc. 197,100 5,400 Gilead Sciences, Inc.* 300,132 8,800 HCA, Inc. 281,952 12,300 Johnson & Johnson 635,910 6,500 MedImmune, Inc.* 236,405 3,500 Medtronic, Inc. 167,895 47,340 Pfizer, Inc. 1,616,661 5,700 Sanofi-Synthelabo SA* 333,831 27,600 UnitedHealth Group, Inc. 1,386,900 7,500 WellPoint Health Networks, Inc.* 632,250 8,300 Wyeth Corporation 378,065 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 8,469,312 ========================================================================================================================= Industrials (10.4%) - ------------------------------------------------------------------------------------------------------------------------- 3,100 Adecco SA* 127,708 8,300 Apollo Group, Inc.* 512,608 22,200 Cendant Corporation* 406,704 6,100 Danaher Corporation 415,105 1,600 Deere & Company 73,120 29,100 First Data Corporation 1,205,904 12,900 Fiserv, Inc.* 459,369 26,300 General Electric Company 754,284 2,500 Paychex, Inc. 73,275 33,100 Tyco International, Ltd. 628,238 2,300 United Parcel Service, Inc., Class B 146,510 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 4,802,825 ========================================================================================================================= Information Technology (13.3%) - ------------------------------------------------------------------------------------------------------------------------- 20,900 Accenture, Ltd.* 378,081 5,500 Adobe Systems, Inc. 176,385 14,100 Affiliated Computer Services, Inc.* 644,793 7,000 Analog Devices, Inc.* 243,740 20,500 Applied Materials, Inc.* 325,130 38,300 Cisco Systems, Inc.* 639,227 15,100 Dell Computer Corporation* 482,596 7,100 Intuit, Inc.* 316,163 4,600 Maxim Integrated Products, Inc. 157,274 50,300 Microsoft Corporation 1,288,183 3,500 Nokia Corporation ADR 57,505 5,600 PeopleSoft, Inc.* 98,504 3,500 QUALCOMM, Inc. 125,125 600 Samsung Electronics Company, Ltd.* 178,317 12,800 Securitas AB* 131,120 8,900 SunGard Data Systems, Inc.* 230,599 5,300 Symantec Corporation* 232,458 3,700 Texas Instruments, Inc. 65,120 11,600 Yahoo!, Inc.* 380,016 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 6,150,336 ========================================================================================================================= Materials (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 10,900 Industria de Diseno Textil SA* 274,127 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 274,127 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $41,316,807) 44,299,801 ========================================================================================================================= Principal Amount Short-Term Investments (4.1%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,887,000 State Street Repurchase Agreement(c) 0.750% 7/1/2003 $1,887,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 1,887,000 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $43,203,807) $46,186,801 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yield. (c) Repurchase agreement dated June 30, 2003, $1,887,039 maturing July 1, 2003, collateralized by $1,926,806 of Federal National Mortgage Association Medium Term Notes, 1.300% due June 28, 2004. The accompanying notes to the financial statements are an integral part of this schedule. Value Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Shares Common Stock (95.8%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (5.2%) - ------------------------------------------------------------------------------------------------------------------------- 14,600 ALLTEL Corporation $704,012 22,026 AT&T Corporation 424,000 110,400 AT&T Wireless Services, Inc.* 906,384 42,400 BellSouth Corporation 1,129,112 57,540 SBC Communications, Inc. 1,470,147 60,775 Verizon Communications, Inc. 2,397,574 56,100 Vodafone Group plc ADR 1,102,365 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 8,133,594 ========================================================================================================================= Consumer Discretionary (11.3%) - ------------------------------------------------------------------------------------------------------------------------- 11,400 Abercrombie & Fitch Company* 323,874 54,500 AOL Time Warner, Inc.* 876,905 5,000 AutoZone, Inc.* 379,850 10,400 Best Buy Company, Inc.* 456,768 28,000 Clear Channel Communication, Inc.* 1,186,920 23,578 Comcast Corporation* 711,584 46,390 Fox Entertainment Group, Inc.* 1,335,104 28,600 Home Depot, Inc. 947,232 9,300 Johnson Controls, Inc. 796,080 100,400 Liberty Media Corporation* 1,160,624 16,995 Lowe's Companies, Inc. 729,935 62,300 McDonald's Corporation 1,374,338 12,400 Sears, Roebuck and Company 417,136 40,500 Staples, Inc.* 743,175 43,855 Target Corporation 1,659,473 20,600 Toyota Motor Corporation ADR 1,067,080 16,700 Tribune Company 806,610 43,600 Viacom, Inc.* 1,903,576 39,700 Walt Disney Company 784,075 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 17,660,339 ========================================================================================================================= Consumer Staples (5.1%) - ------------------------------------------------------------------------------------------------------------------------- 21,300 Altria Group, Inc. 967,872 59,110 CVS Corporation 1,656,853 24,750 General Mills, Inc. 1,173,398 14,745 Kimberly-Clark Corporation 768,804 29,700 Kraft Foods, Inc. 966,735 74,650 Kroger Company* 1,245,162 13,700 Procter & Gamble Company 1,221,766 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 8,000,590 ========================================================================================================================= Energy (10.0%) - ------------------------------------------------------------------------------------------------------------------------- 14,720 Apache Corporation 957,683 29,700 Baker Hughes, Inc. 997,029 27,500 BP plc 1,155,550 26,683 ChevronTexaco Corporation 1,926,513 52,779 ConocoPhillips 2,892,289 29,210 EOG Resources, Inc. 1,222,146 122,500 Exxon Mobil Corporation 4,398,975 25,800 Noble Corporation* 884,940 33,800 Valero Energy Corporation 1,227,954 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 15,663,079 ========================================================================================================================= Financials (29.0%) - ------------------------------------------------------------------------------------------------------------------------- 22,200 ACE, Ltd. 761,238 39,300 Allstate Corporation 1,401,045 32,500 American Express Company 1,358,825 38,400 American International Group, Inc. 2,118,912 52,375 Bank of America Corporation 4,139,196 31,700 BANK ONE Corporation 1,178,606 139,745 Citigroup, Inc. 5,981,088 8,500 Countrywide Financial Corporation 591,345 15,500 Equity Office Properties Trust 418,655 25,275 Federal Home Loan Mortgage Corporation 1,283,212 31,705 Federal National Mortgage Corporation 2,138,185 14,300 Goldman Sachs Group, Inc. 1,197,625 26,515 Hartford Financial Services Group, Inc. 1,335,295 74,000 J.P. Morgan Chase & Company 2,529,320 13,400 Lehman Brothers Holdings, Inc. 890,832 30,900 MBNA Corporation 643,956 35,900 Merrill Lynch & Company, Inc. 1,675,812 49,400 MetLife, Inc. 1,399,008 26,300 Morgan Stanley and Company 1,124,325 16,300 National City Corporation 533,173 23,400 Prudential Financial, Inc. 787,410 11,100 Simon Property Group, Inc. 433,233 27,600 SouthTrust Corporation 750,720 20,700 St. Paul Companies, Inc. 755,757 44,400 Travelers Property Casualty Company 700,188 80,400 U.S. Bancorp 1,969,800 42,100 Wachovia Corporation 1,682,316 33,410 Washington Mutual, Inc. 1,379,833 56,995 Wells Fargo & Company 2,872,548 14,260 XL Capital, Ltd. 1,183,580 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 45,215,038 ========================================================================================================================= Health Care (6.5%) - ------------------------------------------------------------------------------------------------------------------------- 11,300 Aetna, Inc. 680,260 12,100 Anthem, Inc.* 933,515 5,900 CIGNA Corporation 276,946 63,000 IVAX Corporation* 1,124,550 13,425 Johnson & Johnson 694,072 52,000 McKesson Corporation 1,858,480 19,700 Merck & Company, Inc. 1,192,835 60,900 Pfizer, Inc. 2,079,735 29,500 Wyeth Corporation 1,343,725 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 10,184,118 ========================================================================================================================= Industrials (11.1%) - ------------------------------------------------------------------------------------------------------------------------- 24,100 Boeing Company 827,112 28,900 Burlington Northern Santa Fe Corporation 821,916 22,400 Caterpillar, Inc. 1,246,784 47,000 Cendant Corporation* 861,040 12,600 Dover Corporation 377,496 13,900 FedEx Corporation 862,217 30,690 First Data Corporation 1,271,794 14,700 Fiserv, Inc.* 523,467 30,700 General Electric Company 880,476 32,480 Honeywell International, Inc. 872,088 5,800 Illinois Tool Works, Inc. 381,930 15,300 Lockheed Martin Corporation 727,821 36,200 Masco Corporation 863,370 8,000 Northrop Grumman Corporation 690,320 22,530 Pitney Bowes, Inc. 865,377 12,100 Raytheon Company 397,364 34,000 Republic Services, Inc.* 770,780 71,775 Tyco International, Ltd. 1,362,290 17,500 Union Pacific Corporation 1,015,350 22,900 United Technologies Corporation 1,622,007 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 17,240,999 ========================================================================================================================= Information Technology (7.9%) - ------------------------------------------------------------------------------------------------------------------------- 46,840 Applied Materials, Inc.* 742,882 56,000 Cisco Systems, Inc.* 934,640 51,900 Computer Associates International, Inc. 1,156,332 11,100 Computer Sciences Corporation* 423,132 31,400 Harris Corporation 943,570 116,400 Hewlett-Packard Company 2,479,320 43,300 Intel Corporation 899,947 14,100 International Business Machines Corporation 1,163,250 44,200 Microsoft Corporation 1,131,962 87,600 Motorola, Inc. 826,068 41,080 Oracle Corporation* 493,782 14,900 Storage Technology Corporation* 383,526 45,500 Texas Instruments, Inc. 800,800 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 12,379,211 ========================================================================================================================= Materials (5.5%) - ------------------------------------------------------------------------------------------------------------------------- 60,695 Alcoa, Inc. 1,547,722 19,200 BASF AG 818,304 17,700 E.I. du Pont de Nemours and Company 737,028 40,440 International Paper Company 1,444,921 12,900 Praxair, Inc. 775,290 88,000 United States Steel Corporation 1,440,560 33,900 Weyerhaeuser Company 1,830,600 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 8,594,425 ========================================================================================================================= Utilities (4.2%) - ------------------------------------------------------------------------------------------------------------------------- 27,185 Dominion Resources, Inc. 1,747,180 24,400 Entergy Corporation 1,287,832 21,200 Exelon Corporation 1,267,972 25,300 FirstEnergy Corporation 972,785 18,600 FPL Group, Inc. 1,243,410 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 6,519,179 ========================================================================================================================= - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $143,766,804) 149,590,572 ========================================================================================================================= Principal Amount Short-Term Investments (4.2%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $5,490,000 New Center Asset Trust 1.350% 7/1/2003 $5,490,000 1,000,000 Triple A-1 Funding Corporation 1.091 7/28/2003 999,183 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 6,489,183 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $150,255,986) $156,079,755 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. High Yield Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Principal Amount Long-Term Fixed Income (91.3%) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Basic Materials (8.8%) - ------------------------------------------------------------------------------------------------------------------------- $2,300,000 Abitibi-Consolidated, Inc. 6.000% 6/20/2013 $2,189,050 2,500,000 AK Steel Corporation 7.750 6/15/2012 2,075,000 2,000,000 Avecia Group plc 11.000 7/1/2009 1,810,000 500,000 Buckeye Technologies, Inc. 8.500 12/15/2005 497,500 2,250,000 Buckeye Technologies, Inc. 8.000 10/15/2010 2,103,750 2,550,000 Caraustar Industries, Inc. 9.875 4/1/2011 2,715,750 3,300,000 Corp Durango SA de CV(b) 13.125 8/1/2006 1,815,000 5,000,000 Doman Industries, Ltd.(c) 8.750 3/15/2004 1,075,000 2,000,000 Equistar Chemicals, LP 10.125 9/1/2008 2,060,000 2,850,000 Fastentech, Inc. 11.500 5/1/2011 2,864,250 4,000,000 Fonda Group, Inc. 9.500 3/1/2007 2,240,000 3,400,000 Georgia-Pacific Corporation 8.125 5/15/2011 3,493,500 4,250,000 Georgia-Pacific Corporation 9.375 2/1/2013 4,685,625 2,250,000 Huntsman International, LLC 9.875 3/1/2009 2,340,000 1,800,000 ISP Chemco, Inc. 10.250 7/1/2011 2,034,000 3,900,000 ISP Holdings, Inc. 10.625 12/15/2009 4,143,750 2,300,000 Lyondell Chemical Company 9.500 12/15/2008 2,185,000 1,700,000 Lyondell Chemical Company 10.500 6/1/2013 1,700,000 4,200,000 MacDermid, Inc. 9.125 7/15/2011 4,693,500 5,500,000 MDP Acquisitions plc 9.625 10/1/2012 6,077,500 3,000,000 Methanex Corporation 8.750 8/15/2012 3,360,000 1,700,000 Rhodia SA 7.625 6/1/2010 1,797,750 1,700,000 Rhodia SA 8.875 6/1/2011 1,759,500 2,150,000 Riverwood International Company 10.625 8/1/2007 2,230,625 1,800,000 Steel Dynamics, Inc. 9.500 3/15/2009 1,885,500 2,500,000 Stone Container Corporation 8.375 7/1/2012 2,681,250 2,300,000 US Steel, LLC 9.750 5/15/2010 2,334,500 - ------------------------------------------------------------------------------------------------------------------------- Total Basic Materials 68,847,300 ========================================================================================================================= Capital Goods (8.2%) - ------------------------------------------------------------------------------------------------------------------------- 1,300,000 AGCO Corporation 8.500 3/15/2006 1,296,750 11,000,000 Allied Waste North America, Inc. 10.000 8/1/2009 11,687,504 2,850,000 Allied Waste North America, Inc. 7.875 4/15/2013 2,981,812 1,700,000 Bombardier Capital, Inc. 6.125 6/29/2006 1,738,250 3,000,000 Brand Services, Inc. 12.000 10/15/2012 3,420,000 1,700,000 Crown Euro Holdings SA 9.500 3/1/2011 1,836,000 2,300,000 Crown Euro Holdings SA 10.875 3/1/2013 2,507,000 2,295,000 Hexcel Corporation 9.750 1/15/2009 2,283,525 2,200,000 K&F Industries, Inc. 9.625 12/15/2010 2,442,000 2,000,000 L-3 Communication Holdings, Inc.(d) 4.000 9/15/2011 2,082,500 1,150,000 Legrand SA 8.500 2/15/2025 1,184,500 4,900,000 Owens-Brockway Glass Container, Inc. 8.875 2/15/2009 5,316,500 1,400,000 Owens-Brockway Glass Container, Inc. 8.250 5/15/2013 1,463,000 1,800,000 Owens-Illinois, Inc. 7.150 5/15/2005 1,845,000 3,700,000 Plastipak Holdings, Inc. 10.750 9/1/2011 3,959,000 2,300,000 Pliant Corporation 11.125 9/1/2009 2,443,750 2,300,000 Pliant Corporation 13.000 6/1/2010 2,162,000 1,600,000 Rexnord Corporation 10.125 12/15/2012 1,760,000 2,400,000 Silgan Holdings, Inc. 9.000 6/1/2009 2,484,000 3,400,000 Texas Industries, Inc. 10.250 6/15/2011 3,553,000 2,250,000 Tyco International Group SA 2.750 1/15/2018 2,424,375 3,000,000 United Rentals North America, Inc. 10.750 4/15/2008 3,277,500 - ------------------------------------------------------------------------------------------------------------------------- Total Capital Goods 64,147,966 ========================================================================================================================= Communications Services (22.1%) - ------------------------------------------------------------------------------------------------------------------------- 5,000,000 Adelphia Communications Corporation(c) 10.875 10/1/2010 3,100,000 2,850,000 Advanstar Communications, Inc. 12.000 2/15/2011 2,682,562 3,500,000 Alliance Atlantis Communications, Inc 13.000 12/15/2009 3,990,000 1,150,000 American Color Graphics, Inc. 10.000 6/15/2010 1,144,250 4,150,000 American Tower Escrow Corporation Zero Coupon 8/1/2008 2,676,750 7,700,000 Avalon Cable Holding Finance, Inc.(d) Zero Coupon 12/1/2008 7,363,125 6,000,000 Block Communications, Inc. 9.250 4/15/2009 6,540,000 1,700,000 Canwest Media, Inc. 7.625 4/15/2013 1,806,250 2,300,000 Centennial Cellular Operating Company 10.125 6/15/2013 2,277,000 3,950,000 Charter Communications Holdings, LLC 8.625 4/1/2009 2,844,000 4,000,000 Charter Communications Holdings, LLC(d) Zero Coupon 4/1/2011 2,630,000 3,400,000 Comcast UK Cable Partners, Ltd.(d) 11.200 11/15/2007 3,319,250 4,000,000 Crown Castle International Corporation 9.375 8/1/2011 4,160,000 5,500,000 CSC Holdings, Inc. 7.625 4/1/2011 5,555,000 1,100,000 Dexter Media East, LLC 9.875 11/15/2009 1,226,500 2,200,000 Dexter Media East, LLC 12.125 11/15/2012 2,601,500 2,300,000 DirecTV Holdings, LLC 8.375 3/15/2013 2,564,500 10,000,000 DTI Holdings, Inc.(c,d) 12.500 3/1/2008 450,000 3,450,000 EchoStar Broadband Corporation 10.375 10/1/2007 3,820,875 2,200,000 Echostar Communications Corporation 5.750 5/15/2008 2,329,250 2,750,000 Gray Television, Inc. 9.250 12/15/2011 3,038,750 2,750,000 Hollinger International Publishing 9.000 12/15/2010 2,942,500 1,700,000 Hollinger International Publishing 11.875 3/1/2011 1,887,000 2,000,000 Houghton Mifflin Company 8.250 2/1/2011 2,110,000 1,700,000 Houghton Mifflin Company 9.875 2/1/2013 1,844,500 2,850,000 Intermedia Communications, Inc.(c) 12.250 3/1/2009 897,750 4,850,000 Iridium Capital Corporation(c) 14.000 7/15/2005 363,750 4,200,000 Iridium, LLC(c) 13.000 7/15/2005 315,000 550,000 Lodgenet Entertainment Corporation 9.500 6/15/2013 563,750 2,550,000 Mediacom Broadband, LLC 8.500 4/15/2008 2,575,500 2,300,000 Mediacom Broadband, LLC 11.000 7/15/2013 2,558,750 4,390,000 Millicom International Cellular SA 11.000 6/1/2006 4,346,100 367,000 Millicom International Cellular SA, Payment-in-Kind 2.000 6/1/2006 911,536 11,000,000 Neon Communications, Inc.(c) 12.750 8/15/2008 1,045,000 10,800,000 Nextel Communications, Inc.(d) 9.750 10/31/2007 11,178,000 4,000,000 Nextel Partners, Inc. 8.125 7/1/2011 3,990,000 4,800,000 Panamsat Corporation 8.500 2/1/2012 5,196,000 8,400,000 Paxson Communications(d) Zero Coupon 1/15/2009 7,014,000 1,400,000 Pegasus Communications 9.625 10/15/2005 1,281,000 1,400,000 Pegasus Communications 12.500 8/1/2007 1,288,000 2,600,000 Quebecor Media, Inc. 11.125 7/15/2011 2,977,000 4,500,000 Qwest Capital Funding, Inc.(e) 7.750 8/15/2006 4,185,000 3,850,000 Qwest Capital Funding, Inc. 6.375 7/15/2008 3,137,750 4,580,000 Qwest Capital Funding, Inc. 13.500 12/15/2010 5,175,400 2,000,000 Renaissance Media Group, LLC(d) 10.000 4/15/2008 1,975,000 2,750,000 RH Donnelley, Inc. 10.875 12/15/2012 3,203,750 2,200,000 Shaw Communications, Inc. 7.250 4/6/2011 2,370,500 4,200,000 Sinclair Broadcast Group, Inc. 8.000 3/15/2012 4,483,500 3,150,000 Spectrasite, Inc. 8.250 5/15/2010 3,276,000 1,700,000 Sun Media Corporation 7.625 2/15/2013 1,810,500 1,554,494 Teletrac, Inc., Payment-in-Kind(f,g) 9.000 9/29/2004 777,247 3,600,000 TELUS Corporation 8.000 6/1/2011 4,158,000 3,400,000 Triton PCS, Inc. 8.500 6/1/2013 3,655,000 1,400,000 Vertis, Inc. 9.750 4/1/2009 1,456,000 2,000,000 Vertis, Inc. 10.875 6/15/2009 2,000,000 2,000,000 Vertis, Inc. 13.500 12/7/2009 1,870,000 3,400,000 Vivendi Universal SA 9.250 4/15/2010 3,867,500 11,400,000 WorldCom, Inc.(c) 7.500 5/15/2011 3,363,000 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 172,168,845 ========================================================================================================================= Consumer Cyclical (14.8%) - ------------------------------------------------------------------------------------------------------------------------- 4,750,000 Beazer Homes USA, Inc. 8.625 5/15/2011 5,260,625 3,450,000 Boyd Gaming Corporation 8.750 4/15/2012 3,777,750 1,400,000 Brickman Group, Ltd. 11.750 12/15/2009 1,564,500 3,550,000 Buffets, Inc. 11.250 7/15/2010 3,514,500 3,350,000 Dana Corporation 9.000 8/15/2011 3,626,375 850,000 Gap, Inc. 5.750 3/15/2009 1,142,188 4,000,000 Group 1 Automotive, Inc. 10.875 3/1/2009 4,400,000 1,150,000 Jafra Cosmetics International, Inc. 10.750 5/15/2011 1,201,750 4,700,000 John Q. Hammons Hotels, LP 8.875 5/15/2012 4,935,000 3,300,000 Kindercare Learning Centers 9.500 2/15/2009 3,324,750 2,800,000 La Quinta Properties 8.875 3/15/2011 2,982,000 2,200,000 Liberty Media Corporation 0.750 3/30/2023 2,491,500 2,850,000 MGM Mirage, Inc. 9.750 6/1/2007 3,234,750 2,850,000 Mohegan Tribal Gaming Authority 8.000 4/1/2012 3,078,000 3,000,000 Office Depot, Inc. 10.000 7/15/2008 3,562,500 2,850,000 Park Place Entertainment Corporation 8.125 5/15/2011 3,127,875 1,700,000 Park Place Entertainment Corporation 7.000 4/15/2013 1,819,000 4,200,000 PCA, LLC/PCA Finance Corporation 11.875 8/1/2009 4,578,000 3,900,000 Perry Ellis International, Inc. 12.250 4/1/2006 4,124,250 3,400,000 Rent-Way, Inc. 11.875 6/15/2010 3,502,000 3,650,000 Rite Aid Corporation 9.500 2/15/2011 3,923,750 2,850,000 RJ Tower Corporation 12.000 6/1/2013 2,736,000 2,850,000 Royal Caribbean Cruises, Ltd. 8.750 2/2/2011 3,021,000 3,300,000 Saks, Inc. 8.250 11/15/2008 3,489,750 1,700,000 Saks, Inc. 9.875 10/1/2011 1,912,500 3,000,000 Schuler Homes, Inc. 9.375 7/15/2009 3,390,000 2,850,000 Six Flags, Inc. 8.875 2/1/2010 2,736,000 2,300,000 Stewart Enterprises, Inc. 10.750 7/1/2008 2,564,500 2,850,000 Tenneco Automotive, Inc. 10.250 7/15/2013 2,885,625 2,500,000 Travelcenters of America, Inc. 12.750 5/1/2009 2,875,000 3,150,000 TRW Automotive, Inc. 11.000 2/15/2013 3,433,500 3,600,000 United Auto Group, Inc. 9.625 3/15/2012 3,852,000 3,000,000 Vicar Operating, Inc. 9.875 12/1/2009 3,285,000 2,800,000 Warnaco, Inc. 8.875 6/15/2013 2,898,000 3,450,000 William Carter Company 10.875 8/15/2011 3,898,500 2,000,000 Worldspan LP/WS Finance Corporation 9.625 6/15/2011 2,060,000 1,150,000 Wynn Las Vagas LLC Corporation 12.000 11/1/2010 1,270,750 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 115,479,188 ========================================================================================================================= Consumer Non-Cyclical (8.9%) - ------------------------------------------------------------------------------------------------------------------------- 2,750,000 Advance PCS 8.500 4/1/2008 2,956,250 3,400,000 Advanced Medical Optics, Inc. 9.250 7/15/2010 3,689,000 2,850,000 Alpharma, Inc. 8.625 5/1/2011 2,992,500 2,700,000 Armkel Finance, Inc. 9.500 8/15/2009 3,010,500 2,500,000 Aurora Foods, Inc.(f) 9.875 2/15/2007 887,500 4,300,000 Biovail Corporation(e) 7.875 4/1/2010 4,558,000 840,000 Bunge Ltd Finance Corporation 3.750 11/15/2022 946,050 3,250,000 Concentra Operating Corporation 13.000 8/15/2009 3,526,250 2,600,000 Del Monte Corporation 9.250 5/15/2011 2,782,000 2,750,000 HCA, Inc. 6.300 10/1/2012 2,811,484 2,850,000 HMP Equity Holdings Corporation Zero Coupon 5/15/2008 1,439,250 2,800,000 IASIS Healthcare Corporation 8.500 10/15/2009 2,828,000 1,700,000 Michael Foods, Inc. 11.750 4/1/2011 1,955,000 5,000,000 New World Pasta Company(f) 9.250 2/15/2009 1,575,000 4,300,000 Omnicare, Inc. 8.125 3/15/2011 4,665,500 2,950,000 Playtex Products, Inc. 9.375 6/1/2011 2,950,000 1,100,000 Qwest Diagnostic, Inc. 1.750 11/30/2021 1,130,250 4,700,000 Roundy's, Inc. 8.875 6/15/2012 4,911,500 3,000,000 Smithfield Foods, Inc. 8.000 10/15/2009 3,247,500 4,750,000 Stater Brothers Holdings, Inc. 10.750 8/15/2006 4,999,375 2,900,000 Team Health, Inc. 12.000 3/15/2009 2,972,500 2,850,000 Tenet Healthcare Corporation 7.375 2/1/2013 2,750,250 2,750,000 Triad Hospitals, Inc. 8.750 5/1/2009 2,925,312 2,300,000 Windmere - Durable Holdings , Inc. 10.000 7/31/2008 2,415,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 68,923,971 ========================================================================================================================= Energy (6.0%) - ------------------------------------------------------------------------------------------------------------------------- 5,200,000 BRL Universal Equipment Corporation 8.875 2/15/2008 5,642,000 5,400,000 Chesapeake Energy Corporation 9.000 8/15/2012 6,021,000 4,550,000 Citgo Petroleum Corporation 11.375 2/1/2011 5,073,250 3,000,000 Compton Petroleum Corporation 9.900 5/15/2009 3,300,000 3,950,000 Comstock Resources, Inc. 11.250 5/1/2007 4,305,500 1,650,000 Encore Acquisition Company 8.375 6/15/2012 1,765,500 2,700,000 Magnum Hunter Resources, Inc. 9.600 3/15/2012 2,970,000 3,500,000 Pogo Producing Company 8.250 4/15/2011 3,876,250 4,095,840 Port Arthur Finance Corporation 12.500 1/15/2009 4,792,133 3,800,000 Western Oil Sands, Inc. 8.375 5/1/2012 4,237,000 5,200,000 Windsor Petroleum Transport Corporation(g,h) 7.840 1/15/2021 4,940,000 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 46,922,633 ========================================================================================================================= Financials (3.7%) - ------------------------------------------------------------------------------------------------------------------------- 2,200,000 Altiva Financial Corporation(b,g) 12.000 6/15/2006 0 2,843,750 ASAT Finance, LLC 12.500 11/1/2006 2,445,625 3,550,000 Chevy Chase Savings Bank 9.250 12/1/2005 3,558,875 3,600,000 CSAM Funding Corporation(g) 12.780 10/15/2016 3,600,000 4,200,000 Dollar Financial Group, Inc. 10.875 11/15/2006 3,906,000 4,935,321 FC CBO II, Ltd.(b,g) 11.050 9/9/2010 246,766 1,700,000 Goldman Sachs Group, Inc., Convertible Notes 0.250 6/20/2013 1,615,255 2,550,000 Katonah, Ltd.(g) 12.015 2/20/2015 2,435,250 4,000,000 Riggs Capital Trust II 8.875 3/15/2027 3,900,000 9,000,000 SIG Capital Trust I(b) 9.500 8/15/2027 450,000 3,000,000 Sovereign Bancorp, Inc. 10.500 11/15/2006 3,604,047 10,060,000 United Companies Financial Corporation(c,g) 8.375 7/1/2005 75,450 3,000,000 Venture CDO 2002, Ltd.(g) 13.060 3/15/2015 2,940,000 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 28,777,268 ========================================================================================================================= Foreign (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 1,650,000 Brazilian Government International 11.000 1/11/2012 1,641,750 - ------------------------------------------------------------------------------------------------------------------------- Total Foreign 1,641,750 ========================================================================================================================= Technology (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 3,400,000 AMI Semiconductor, Inc. 10.750 2/1/2013 3,842,000 2,000,000 Amkor Technology, Inc. 5.750 6/1/2006 1,825,000 2,850,000 Amkor Technology, Inc. 5.000 3/15/2007 2,383,312 15,900,000 DIVA Systems Corporation(c) 12.625 3/1/2008 894,375 2,920,000 Northern Telecom Capital 7.875 6/15/2026 2,679,100 2,750,000 Sanmina-SCI Corporation 10.375 1/15/2010 3,066,250 1,700,000 Thomas & Betts Corporation 7.250 6/1/2013 1,700,000 2,200,000 Unisys Corporation 8.125 6/1/2006 2,354,000 5,500,000 Xerox Corporation 7.625 6/15/2013 5,506,875 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 24,250,912 ========================================================================================================================= Transportation (2.4%) - ------------------------------------------------------------------------------------------------------------------------- 4,350,000 Avis Group Holdings, Inc. 11.000 5/1/2009 4,872,000 1,455,777 Continental Airlines, Inc. 8.048 11/1/2020 1,442,821 3,800,000 Hornbeck Offshore Services 10.625 8/1/2008 4,189,500 3,633,230 Northwest Airlines Corporation 8.970 1/2/2015 1,959,437 3,130,000 Overseas Shipholding Group 8.250 3/15/2013 3,255,200 4,120,625 United AirLines, Inc. (i) 7.762 10/1/2005 703,020 3,000,000 United AirLines, Inc. (i) 7.730 7/1/2010 2,366,070 - ------------------------------------------------------------------------------------------------------------------------- Total Transportation 18,788,048 ========================================================================================================================= Utilities (13.1%) - ------------------------------------------------------------------------------------------------------------------------- 2,850,000 AES Corporation 8.875 2/15/2011 2,785,875 5,000,000 AES Corporation 8.750 5/15/2013 5,200,000 1,550,000 ANR Pipeline Company 8.875 3/15/2010 1,693,375 3,400,000 Calpine Canada Energy Finance ULC 8.500 5/1/2008 2,652,000 1,150,000 Calpine Corporation 4.000 12/26/2006 1,035,000 2,800,000 Calpine Corporation 4.000 12/26/2006 2,520,000 4,550,000 Calpine Corporation 8.500 2/15/2011 3,412,500 6,296,625 CE Generation, LLC 7.416 12/15/2018 6,265,142 3,100,000 CMS Energy Corporation 7.500 1/15/2009 3,065,125 4,000,000 Dynegy Holdings, Inc. 6.875 4/1/2011 3,360,000 5,400,000 Edison Mission Energy 9.875 4/15/2011 4,995,000 7,000,000 El Paso Corporation 7.000 5/15/2011 6,370,000 5,700,000 El Paso Production Holding Company 7.750 6/1/2013 5,685,750 1,700,000 Ferrellgas Partners, LP 8.750 6/15/2012 1,844,500 2,850,000 FIMEP SA 10.500 2/15/2013 3,177,750 3,550,000 Midland Funding Corporation II 11.750 7/23/2005 3,834,000 4,450,000 Midland Funding Corporation II 13.250 7/23/2006 5,028,500 2,850,000 Nevada Power Company 10.875 10/15/2009 3,192,000 3,400,000 Orion Power Holdings, Inc. 12.000 5/1/2010 3,944,000 4,000,000 PSEG Energy Holdings, Inc. 8.625 2/15/2008 4,300,000 4,000,000 Reliant Resources, Inc. 9.500 7/15/2013 4,030,000 2,000,000 Southern Natural Gas Company 8.875 3/15/2010 2,180,000 4,000,000 TNP Enterprises, Inc. 10.250 4/1/2010 4,000,000 4,000,000 USEC, Inc. 6.625 1/20/2006 3,780,000 2,300,000 Williams Companies, Inc. 8.625 6/1/2010 2,403,500 8,500,000 Williams Companies, Inc. 8.125 3/15/2012 8,712,500 1,650,000 Xcel Energy, Inc. 7.500 11/21/2007 2,411,062 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 101,877,579 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $737,161,309) 711,825,460 ========================================================================================================================= Shares Preferred Stock (5.5%) Value - ------------------------------------------------------------------------------------------------------------------------- 17,000 Alltel Corporation $845,750 10,000 Anthem, Inc 932,500 66,251 Cablevision Systems Corporation 6,807,290 105,000 Chevy Chase Preferred Capital Corporation 5,811,750 402 Completel Europe NV* 807,878 2,463 Dobson Communications Corporation 12.25% Payment-in-Kind 2,438,370 7,304 Dobson Communications Corporation 13.00% Payment-in-Kind* 7,157,920 64,278 Neon Communications*(g) 723,128 17,000 Omnicare, Inc.* 931,600 36,000 PRIMEDIA, Inc., Series D 3,456,000 23,000 PRIMEDIA, Inc., Series H 2,093,000 5,000 Sovereign REIT* 7,250,000 70,000 Travelers Property Casualty Company 1,694,700 15,000 Xerox Corporation* 1,567,500 - ------------------------------------------------------------------------------------------------------------------------- Total Preferred Stock (cost $37,129,102) 42,517,386 ========================================================================================================================= Shares Common Stock (0.7%) Value - ------------------------------------------------------------------------------------------------------------------------- 5,000 Aavid Thermal Technology, Stock Warrants* $50,625 4,150 American Tower Corporation* 425,375 4,600 ASAT Finance, LLC, Stock Warrants* 6,900 18,783 Birch Telecom, Inc.*(g) 301 3,000 Birch Telecom, Inc., Stock Warrants* 30 40,237 Completel Europe NV* 600,228 47,700 Diva Systems, Stock Warrants* 477 252,644 ICO Global Communications, Ltd.* 176,851 5,485 Jostens, Inc., Stock Warrants* 452,512 541,622 Minorplanet Systems USA, Inc., Stock Warrants* 265,936 385,784 Neon Communications, Preferred Warrants*(g) 0 321,506 Neon Communications, Stock Warrants, Class A*(g) 0 23,509 NII Holdings, Inc.* 899,689 64,000 NTL, Inc.* 2,183,680 6,000 Pliant Corporation, Stock Warrants* 6,000 23,840 Protection One, Inc., Stock Warrants* 238 121,520 TVMAX Holdings, Inc.* 121,520 5,000 XM Satellite Radio, Stock Warrants* 27,500 27,227 XO Communications, Inc., Stock Warrants, Series A* 70,790 20,420 XO Communications, Inc., Stock Warrants, Series B* 32,672 20,420 XO Communications, Inc., Stock Warrants, Series C* 11,231 80,000 ZSC Specialty Chemical plc, Preferred Warrants*(g) 800 80,000 ZSC Specialty Chemical plc, Stock Warrants*(g) 800 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $47,357,545) 5,334,155 ========================================================================================================================= Principal Amount Short-Term Investments (2.5%) Interest Rate(j) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $2,000,000 Asset Securitization Corporation 1.041% 7/29/2003 $1,998,382 3,390,000 Corporate Asset Funding Company 1.300 7/1/2003 3,390,000 1,400,000 Thunder Bay Funding, Inc. 1.310 7/1/2003 1,400,000 12,430,000 Merrill Lynch & Company, Inc. 1.300 7/1/2003 12,430,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 19,218,382 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $840,866,339) $778,895,383 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) Non-income producing and in default. (c) Non-income producing and in bankruptcy. (d) Step coupon bond. (e) Earmarked as collateral as discussed in the notes to the financial statements. (f) Non-income producing and trading flat (without interest). (g) Denotes restricted securities. These securities have been valued from the date of acquisition through June 30, 2003, by obtaining quotations from brokers active with these securities. The following table indicates the acquisition date and cost of restricted securities the Fund owned as of June 30, 2003. Acquisition Security Date Cost - ------------------------------------------------------------------------------------------------------------------------- Altiva Financial Corporation 11/16/1996 $4,840,205 Birch Telecom, Inc. 6/18/1998 2,988,821 Birch Telecom, Inc., Stock Warrants 6/18/1998 16,304 CSAM Funding Corporation 5/10/2002 3,590,880 FC CBO II, Ltd. 9/4/1998 4,741,739 Katonah, Ltd. 2/7/2003 2,435,537 Neon Communications 4/21/2003 723,127 Neon Communications, Preferred Warrants 4/21/2003 0 Neon Communications, Stock Warrants, Class A 4/21/2003 0 Teletrac, Inc., Payment-in-Kind 7/31/1997 1,362,242 United Companies Financial Corporation 9/17/1998 8,330,866 Venture CDO 2002, Ltd. 3/13/2002 3,000,000 Windsor Petroleum Transport Corporation 4/15/1998 4,242,603 ZSC Specialty Chemical plc, Preferred Warrants 6/24/1999 47,568 ZSC Specialty Chemical plc, Stock Warrants 6/24/1999 111,712 (h) Denotes variable rate obligations for which the current yield and next scheduled reset date are shown. (i) In bankruptcy. (j) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. Income Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Principal Amount Long-Term Fixed Income (89.3%) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities (6.7%) - ------------------------------------------------------------------------------------------------------------------------- $5,000,000 BMW Vehicle Owner Trust 4.460% 5/25/2007 $5,283,305 13,000,000 Chase Credit Card Master Trust(b) 5.500 11/17/2008 14,292,590 6,000,000 Comed Transitional Funding Trust 5.630 6/25/2009 6,609,582 9,000,000 CPL Transition Funding, LLC 5.010 1/15/2010 9,733,104 4,000,000 Daimler Chrysler Motor Company(c) 1.360 7/15/2003 4,002,200 4,500,000 GMAC Mortgage Corporation Loan Trust(c) 1.165 7/25/2003 4,504,410 9,000,000 MBNA Credit Card Master Note Trust(b) 4.950 6/15/2009 9,816,939 8,000,000 MBNA Credit Card Master Notes Trust(c) 1.290 7/15/2003 8,014,904 11,000,000 MMCA Automobile Owner Trust 4.300 3/15/2010 11,184,712 936,424 Structured Asset Securities Corporation 7.750 1/27/2033 932,865 6,500,000 Toyota Auto Receivables Owner Trust 4.390 5/15/2009 6,860,308 - ------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities 81,234,919 ========================================================================================================================= Basic Materials (2.4%) - ------------------------------------------------------------------------------------------------------------------------- 2,200,000 Abitibi-Consolidated, Inc. 6.000 6/20/2013 2,093,874 3,000,000 Dow Chemical Company 5.000 11/15/2007 3,198,159 4,000,000 Georgia-Pacific Corporation 8.875 2/1/2010 4,340,000 7,000,000 International Paper Company 5.850 10/30/2012 7,629,216 2,950,000 Lyondell Chemical Company 10.500 6/1/2013 2,950,000 1,125,000 Peabody Energy Corporation 6.875 3/15/2013 1,178,438 2,000,000 Weyerhaeuser Company 6.125 3/15/2007 2,212,402 5,000,000 Weyerhaeuser Company 6.750 3/15/2012 5,676,005 - ------------------------------------------------------------------------------------------------------------------------- Total Basic Materials 29,278,094 ========================================================================================================================= Capital Goods (5.3%) - ------------------------------------------------------------------------------------------------------------------------- 4,250,000 Allied Waste North America, Inc. 8.875 4/1/2008 4,611,250 5,150,000 Allied Waste North America, Inc. 10.000 8/1/2009 5,471,875 900,000 Ball Corporation 6.875 12/15/2012 954,000 6,000,000 Bombardier Capital, Inc.(b) 6.125 6/29/2006 6,135,000 2,350,000 L-3 Communication Holdings, Inc.(d) 4.000 9/15/2011 2,446,938 6,500,000 Lockheed Martin Corporation 8.200 12/1/2009 8,220,004 3,000,000 Raytheon Company 4.500 11/15/2007 3,178,365 6,000,000 Raytheon Company 5.375 4/1/2013 6,346,908 3,000,000 Sealed Air Corporation 5.375 4/15/2008 3,148,464 4,000,000 Sealed Air Corporation 5.625 7/15/2013 4,034,960 5,632,407 Systems 2001 Asset Trust, LLC 6.664 9/15/2013 6,340,857 2,350,000 Tyco International Group SA 2.750 1/15/2018 2,532,125 9,000,000 Waste Management, Inc. 6.500 11/15/2008 10,290,015 - ------------------------------------------------------------------------------------------------------------------------- Total Capital Goods 63,710,761 ========================================================================================================================= Commercial Mortgage-Backed Securities (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 2,263,605 Banc of America Commercial Mortgage, Inc. 3.366 7/11/2043 2,333,118 3,000,000 Banc of America Commercial Mortgage, Inc. 5.118 7/11/2043 3,236,973 9,000,000 CS First Boston Mortgage Securities Corporation 2.843 5/15/2038 8,955,693 6,000,000 J.P. Morgan Chase Commercial Mortgage Securities Corporation(c) 1.500 7/14/2003 6,000,354 10,250,000 LB-UBS Commercial Mortgage Trust 3.323 3/15/2027 10,430,062 5,941,645 Lehman Brothers "CALSTRS" Mortgage Trust 3.988 11/20/2012 6,190,660 - ------------------------------------------------------------------------------------------------------------------------- Total Commercial Mortgage-Backed Securities 37,146,860 ========================================================================================================================= Communications Services (7.3%) - ------------------------------------------------------------------------------------------------------------------------- 7,000,000 AT&T Corporation 7.800 11/15/2011 8,001,784 2,000,000 AT&T Wireless Services, Inc. 7.350 3/1/2006 2,244,282 3,500,000 AT&T Wireless Services, Inc. 7.875 3/1/2011 4,133,577 1,500,000 British Sky Broadcasting Group plc 8.200 7/15/2009 1,777,500 5,000,000 Clear Channel Communications, Inc. 4.625 1/15/2008 5,241,550 4,000,000 Clear Channel Communications, Inc. 5.750 1/15/2013 4,326,056 5,000,000 Comcast Cable Communications, Inc.(b) 6.875 6/15/2009 5,780,670 5,000,000 Comcast Corporation 6.500 1/15/2015 5,623,175 5,000,000 Cox Communications, Inc. 7.750 11/1/2010 6,116,025 2,600,000 CSC Holdings, Inc. 7.625 4/1/2011 2,626,000 2,300,000 Echostar Communications Corporation 5.750 5/15/2008 2,435,125 2,100,000 EchoStar DBS Corporation(b) 9.125 1/15/2009 2,346,750 6,000,000 Interpublic Group(b) 7.250 8/15/2011 6,330,000 1,100,000 Lin Television Corporation 6.500 5/15/2013 1,097,250 4,500,000 Rogers Cable, Inc. 6.250 6/15/2013 4,488,750 4,750,000 Sprint Capital Corporation 7.625 1/30/2011 5,421,868 8,500,000 TELUS Corporation 7.500 6/1/2007 9,477,500 9,000,000 Verizon Pennsylvania, Inc. 5.650 11/15/2011 9,932,184 750,000 Vivendi Universal SA 9.250 4/15/2010 853,125 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 88,253,171 ========================================================================================================================= Consumer Cyclical (4.3%) - ------------------------------------------------------------------------------------------------------------------------- 5,000,000 AOL Time Warner, Inc. 6.875 5/1/2012 5,708,080 1,400,000 Brinker International, Inc. Zero Coupon 10/10/2021 992,250 1,000,000 Cendant Corporation 6.875 8/15/2006 1,118,547 5,500,000 Cendant Corporation 6.250 1/15/2008 6,086,366 4,500,000 DaimlerChrysler North American Holdings Corporation 4.750 1/15/2008 4,616,082 4,500,000 Ford Motor Credit Company 6.875 2/1/2006 4,772,700 2,000,000 Gap, Inc. 6.900 9/15/2007 2,155,000 1,100,000 Gap, Inc. 5.750 3/15/2009 1,478,125 4,500,000 General Motors Acceptance Corporation 5.125 5/9/2008 4,446,760 6,000,000 General Motors Acceptance Corporation 6.875 9/15/2011 6,020,022 2,250,000 Liberty Media Corporation 5.700 5/15/2013 2,287,172 2,400,000 Liberty Media Corporation (Convertible to AOL Time Warner Common Stock) 0.750 3/30/2023 2,718,000 3,250,000 Park Place Entertainment Corporation 8.125 5/15/2011 3,566,875 1,750,000 Royal Caribbean Cruises, Ltd. 8.000 5/15/2010 1,820,000 2,825,000 Ryland Group, Inc. 5.375 6/1/2008 2,916,812 1,250,000 Yum! Brands, Inc. 7.700 7/1/2012 1,425,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 52,127,791 ========================================================================================================================= Consumer Non-Cyclical (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 1,350,000 Amgen, Inc. Zero Coupon 3/1/2032 1,059,750 7,000,000 Bunge Limited Finance Corporation 7.800 10/15/2012 8,195,348 2,200,000 Bunge Ltd Finance Corporation 3.750 11/15/2022 2,477,750 1,750,000 Fisher Scientific International, Inc. 8.125 5/1/2012 1,872,500 5,000,000 HCA Healthcare Company 7.875 2/1/2011 5,599,540 6,000,000 Kellogg Company 7.450 4/1/2031 7,613,652 7,000,000 Kroger Company 5.500 2/1/2013 7,388,913 1,325,000 Omnicare, Inc. 6.125 6/1/2013 1,351,500 2,100,000 Qwest Diagnostic, Inc. 1.750 11/30/2021 2,157,750 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 37,716,703 ========================================================================================================================= Energy (1.5%) - ------------------------------------------------------------------------------------------------------------------------- 900,000 Key Energy Services, Inc. 6.375 5/1/2013 913,500 3,000,000 Occidental Petroleum Corporation 4.250 3/15/2010 3,129,873 2,650,000 Premco Refining Group 9.250 2/1/2010 2,888,500 1,100,000 Pride International, Inc. 2.500 3/1/2007 1,402,500 6,675,000 Union Pacific Resources Group, Inc. 6.500 5/15/2005 7,183,502 2,000,000 XTO Energy, Inc. 6.250 4/15/2013 2,125,000 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 17,642,875 ========================================================================================================================= Financials (19.6%) - ------------------------------------------------------------------------------------------------------------------------- 7,150,000 Abbey National Capital Trust I(c) 8.963 12/29/2049 10,258,269 7,000,000 Anthem Insurance Companies, Inc.(b) 9.125 4/1/2010 8,814,218 9,000,000 Bank One Issuance Trust(c) 1.360 7/15/2003 9,004,950 5,000,000 BNP Paribas Capital Trust(c) 9.003 12/29/2049 6,488,685 9,000,000 Boeing Capital Corporation 5.750 2/15/2007 9,829,899 5,000,000 Capital One Bank 6.500 7/30/2004 5,189,405 3,750,000 Capital One Bank 4.875 5/15/2008 3,826,905 8,000,000 CIT Group, Inc. 4.000 5/8/2008 8,146,992 5,000,000 Citigroup, Inc.(c) 1.360 8/7/2003 5,002,985 5,250,000 CS First Boston Mortgage Securities Corporation 3.861 3/15/2036 5,418,966 10,000,000 Equitable Life Assurance Society USA 6.950 12/1/2005 11,150,220 5,000,000 First National Master Note Trust(c) 1.280 7/15/2003 5,009,585 6,000,000 General Electric Capital Corporation 6.750 3/15/2032 7,017,390 3,000,000 Goldman Sachs Group, Inc. 5.250 4/1/2013 3,198,807 1,100,000 Goldman Sachs Group, Inc. (Convertible) 0.250 6/20/2013 1,045,165 3,500,000 Household Finance Corporation(b) 5.750 1/30/2007 3,862,736 2,500,000 Household Finance Corporation 5.875 2/1/2009 2,787,175 2,500,000 Household Finance Corporation 6.375 11/27/2012 2,847,815 7,000,000 ING Capital Funding Trust III(b,c) 8.439 12/29/2049 8,737,092 1,500,000 International Lease Finance Corporation 4.000 1/17/2006 1,541,716 4,250,000 International Lease Finance Corporation(b) 5.625 6/1/2007 4,622,054 9,000,000 J.P. Morgan Chase & Company 6.400 6/20/2008 9,123,750 5,000,000 J.P. Morgan Chase & Company 8.000 6/20/2008 5,162,500 26,040,000 Lehman Brothers, Inc.(c) 6.539 8/15/2007 28,594,706 7,000,000 Marsh & McLennan Companies, Inc. 5.375 3/15/2007 7,707,161 9,600,000 Morgan Stanley and Company(b,c) 7.252 9/15/2011 11,329,344 3,250,000 Morgan Stanley and Company(d) 9.414 12/15/2012 3,340,350 4,000,000 Nationwide Financial Services, Inc. 5.900 7/1/2012 4,416,700 3,000,000 Nationwide Mutual Insurance Company 8.250 12/1/2031 3,708,228 6,000,000 United Overseas Bank, Ltd. 4.500 7/2/2013 5,959,872 12,000,000 Washington Mutual Bank(c) 4.070 12/25/2032 12,062,988 2,500,000 Wells Fargo Financial, Inc. 4.875 6/12/2007 2,713,935 6,000,000 Wells Fargo Financial, Inc. 7.730 12/1/2026 6,947,310 6,500,000 Westpac Banking Corporation 4.625 6/1/2018 6,454,630 4,500,000 XL Capital Europe plc 6.500 1/15/2012 5,146,484 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 236,468,987 ========================================================================================================================= Foreign (5.6%) - ------------------------------------------------------------------------------------------------------------------------- 9,250,000 Corporacion Andina de Fomento(b) 6.875 3/15/2012 10,530,561 8,000,000 Korea Development Bank 4.250 11/13/2007 8,260,064 7,000,000 Mexico Government International 9.875 2/1/2010 8,977,500 1,500,000 Mexico Government International 6.375 1/16/2013 1,590,000 1,718,750 Pemex Finance, Ltd. 8.450 2/15/2007 1,921,012 6,000,000 Pemex Finance, Ltd. 9.030 2/15/2011 7,395,420 5,000,000 Province of Quebec(b) 7.500 9/15/2029 6,663,845 9,500,000 Republic of Italy 5.375 6/15/2033 10,008,696 12,000,000 Sallie Mae, Inc.(f) 2.000 3/15/2005 12,133,680 - ------------------------------------------------------------------------------------------------------------------------- Total Foreign 67,480,778 ========================================================================================================================= Mortgage-Backed Securities (6.1%) - ------------------------------------------------------------------------------------------------------------------------- 17,500,000 Federal National Mortgage Association 15-Yr. Conventional(e) 4.500 7/1/2018 17,850,000 32,000,000 Federal National Mortgage Association 15-Yr. Conventional(e) 5.000 7/1/2018 33,049,984 22,000,000 Federal National Mortgage Association 30-Yr. Conventional(e) 5.500 7/1/2033 22,735,636 - ------------------------------------------------------------------------------------------------------------------------- Total Mortgage-Backed Securities 73,635,620 ========================================================================================================================= Technology (0.9%) - ------------------------------------------------------------------------------------------------------------------------- 7,000,000 Electronic Data Systems 6.000 8/1/2013 6,824,300 2,500,000 Flextronics International, Ltd. 6.500 5/15/2013 2,406,250 1,650,000 Unisys Corporation 6.875 3/15/2010 1,716,000 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 10,946,550 ========================================================================================================================= Transportation (3.3%) - ------------------------------------------------------------------------------------------------------------------------- 5,500,000 CNF Transportation, Inc. 8.875 5/1/2010 6,082,956 3,000,000 Delta Air Lines, Inc. 6.417 7/2/2012 3,245,715 4,490,521 Fed Ex Corporation 6.720 1/15/2022 5,234,152 4,473,811 Federal Express Corporation 6.845 1/15/2019 5,048,651 4,250,000 Hertz Corporation 7.400 3/1/2011 4,352,808 6,500,000 Southwest Airlines Company 5.496 11/1/2006 7,052,194 3,500,000 Union Pacific Company 3.625 6/1/2010 3,463,604 5,889,461 United AirLines, Inc.(g) 7.186 4/1/2011 5,032,426 - ------------------------------------------------------------------------------------------------------------------------- Total Transportation 39,512,506 ========================================================================================================================= U.S. Government (10.7%) - ------------------------------------------------------------------------------------------------------------------------- 9,000,000 Federal Home Loan Mortgage Corporation(f) 4.500 8/15/2004 9,332,955 22,175,000 U.S. Treasury Bonds(f) 6.125 8/15/2029 27,095,943 33,556,200 U.S. Treasury Inflation-Indexed Bonds(f) 3.875 4/15/2029 42,810,364 3,000,000 U.S. Treasury Notes(f) 3.250 5/31/2004 3,060,585 8,500,000 U.S. Treasury Notes(b,f) 2.250 7/31/2004 8,609,905 7,000,000 U.S. Treasury Notes(f) 2.125 10/31/2004 7,093,240 28,000,000 U.S. Treasury Notes(b,f) 1.250 5/31/2005 27,983,592 3,000,000 U.S. Treasury Notes(b) 4.375 5/15/2007 3,259,218 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Government 129,245,802 ========================================================================================================================= Utilities (9.4%) - ------------------------------------------------------------------------------------------------------------------------- 9,500,000 American Electric Power Company, Inc. 5.250 6/1/2015 9,574,917 12,000,000 CalEnergy Company, Inc. 7.630 10/15/2007 14,019,588 5,500,000 Calpine Corporation 8.500 2/15/2011 4,125,000 6,500,000 Consumers Energy Company 4.000 5/15/2010 6,479,102 3,000,000 Duke Capital Corporation 6.250 10/1/2009 3,432,144 3,000,000 Dynegy Holdings, Inc. 8.125 3/15/2005 2,917,500 3,000,000 El Paso Corporation 7.800 8/1/2031 2,527,500 1,000,000 Ferrellgas Partners, LP 8.750 6/15/2012 1,085,000 7,300,216 FPL Energy Virginia Funding Corporation(b) 7.520 6/30/2019 8,101,049 4,000,000 Kinder Morgan Energy Partners, LP 7.500 11/1/2010 4,864,092 3,000,000 Kinder Morgan Energy Partners, LP 7.750 3/15/2032 3,782,766 5,500,000 National Rural Utilities(c) 1.690 8/7/2003 5,502,360 9,000,000 NiSource Finance Corporation 7.625 11/15/2005 9,840,150 2,000,000 Oncor Electric Delivery Company 7.000 9/1/2022 2,230,606 3,000,000 Power Contract Financing(b) 6.256 2/1/2010 3,030,180 2,500,000 Power Contract Financing, LLC 5.200 2/1/2006 2,515,300 3,000,000 PSEG Energy Holdings, Inc.(b) 8.625 2/15/2008 3,225,000 4,000,000 Public Service Company of Colorado 7.875 10/1/2012 5,035,876 1,500,000 Southern Natural Gas Company 8.875 3/15/2010 1,635,000 5,500,000 Texas-New Mexico Power Company 6.125 6/1/2008 5,529,381 3,000,000 Transcontinental Gas Pipe Corporation 8.875 7/15/2012 3,390,000 8,000,000 TXU Corporation 6.375 6/15/2006 8,510,000 2,250,000 Xcel Energy, Inc. 7.000 12/1/2010 2,573,235 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 113,925,746 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $1,021,329,145) 1,078,327,163 ========================================================================================================================= Shares Preferred Stock (0.6%) Value - ------------------------------------------------------------------------------------------------------------------------- 23,100 Alltel Corporation $1,149,225 92,000 General Motors Preferred Stock 2,290,800 95,000 Travelers Property Casualty Company 2,299,950 12,700 Anthem, Inc 1,184,275 - ------------------------------------------------------------------------------------------------------------------------- Total Preferred Stock (cost $7,020,267) 6,924,250 ========================================================================================================================= Principal Amount Short-Term Investments (10.1%) Interest Rate(h) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $15,000,000 American Honda Finance Corporation 1.022% 8/11/2003 $14,982,575 5,000,000 Asset Securitization Cooperative Corporation 1.041 7/29/2003 4,995,956 1,600,000 Federal National Mortgage Association 1.152 7/31/2003 1,598,467 11,675,000 Kitty Hawk Funding Corporation 1.001 7/23/2003 11,667,865 21,220,000 Koch Industries, Inc. 1.300 7/1/2003 21,220,000 17,570,000 Merrill Lynch & Company, Inc. 1.300 7/1/2003 17,570,000 10,000,000 Sheffield Receivables Corporation 1.252 7/10/2003 9,996,875 5,000,000 Triple A-1 Funding Corporation 1.060 7/10/2003 4,998,675 3,410,000 SBC International, Inc. 1.211 7/10/2003 3,408,968 24,404,000 Stellar Funding Group, Inc. 1.252 7/14/2003 24,392,984 1,400,000 Svenska Handelsbanke 0.961 8/15/2003 1,398,320 6,050,000 Venture Business Trust 1.310 7/1/2003 6,050,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 122,280,685 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $1,150,630,097) $1,207,532,098 ========================================================================================================================= (a) The categories of investment are shown as a percentage of total investments. (b) Earmarked as collateral as discussed in the notes to the financial statements. (c) Denotes variable rate obligations for which the current yield and next scheduled reset date are shown. (d) Step coupon bond. (e) Denotes investments purchased on a when-issued basis. (f) At June 30, 2003, U.S. Treasury Notes and other securities valued at $109,096,710 were pledged as the initial margin deposit or earmarked as collateral to cover open financial futures contracts as follows: Notional Number of Expiration Principal Unrealized Type Contracts Date Position Value Amount Gain - ------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bond Futures 905 September 2003 Short $106,280,936 $106,935,674 $654,738 (g) In bankruptcy. (h) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. Limited Maturity Bond Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Principal Amount Long-Term Fixed Income (87.4%) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities (8.8%) - ------------------------------------------------------------------------------------------------------------------------- $1,500,000 American Express Credit Account Master Trust(b) 1.300% 7/15/2003 $1,503,680 1,000,000 BMW Vehicle Owner Trust 4.460 5/25/2007 1,056,661 1,250,000 Capital Auto Receivables Asset Trust 2.920 4/15/2008 1,283,132 2,000,000 Capital Auto Receivables Asset Trust(b) 1.400 7/15/2003 2,000,528 1,500,000 Citibank Credit Card Issuance Trust 4.100 12/7/2006 1,558,352 500,000 Citibank Credit Card Master Trust 6.100 5/15/2008 556,672 500,000 CPL Transition Funding, LLC 5.010 1/15/2010 540,728 1,500,000 Daimler Chrysler Motor Company(b) 1.360 7/15/2003 1,500,825 1,000,000 Federal Home Loan Mortgage Corporation(c) 3.158 12/27/2029 1,019,020 1,357,820 Federal National Mortgage Association(b) 1.420 7/25/2003 1,357,926 1,500,000 GMAC Mortgage Corporation Loan Trust(b,c) 1.165 7/25/2003 1,501,470 500,000 MBNA Credit Card Master Note Trust 4.950 6/15/2009 545,386 1,000,000 MBNA Credit Card Master Notes Trust(b) 1.290 7/15/2003 1,001,863 750,000 MMCA Automobile Owner Trust 4.300 3/15/2010 762,594 1,196,605 Residential Asset Securities Corporation(b) 1.185 7/25/2003 1,196,724 200,662 Structured Asset Securities Corporation(c) 7.750 1/27/2033 199,900 750,000 Toyota Auto Receivables Owner Trust 4.390 5/15/2009 791,574 - ------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities 18,377,035 ========================================================================================================================= Basic Materials (1.2%) - ------------------------------------------------------------------------------------------------------------------------- 275,000 Abitibi-Consolidated, Inc. 6.000 6/20/2013 261,734 300,000 Georgia-Pacific Corporation 8.875 2/1/2010 325,500 900,000 International Paper Company 3.800 4/1/2008 918,378 250,000 Lyondell Chemical Company 10.500 6/1/2013 250,000 125,000 Peabody Energy Corporation 6.875 3/15/2013 130,938 500,000 Weyerhaeuser Company 6.125 3/15/2007 553,100 - ------------------------------------------------------------------------------------------------------------------------- Total Basic Materials 2,439,650 ========================================================================================================================= Capital Goods (2.3%) - ------------------------------------------------------------------------------------------------------------------------- 500,000 Allied Waste North America, Inc. 8.875 4/1/2008 542,500 300,000 Ball Corporation(c) 6.875 12/15/2012 318,000 600,000 Bombardier Capital, Inc. 6.125 6/29/2006 613,500 150,000 L-3 Communication Holdings, Inc.(d) 4.000 9/15/2011 156,188 600,000 Lockheed Martin Corporation(c) 8.200 12/1/2009 758,770 750,000 Raytheon Company 4.500 11/15/2007 794,591 800,000 Sealed Air Corporation 5.375 4/15/2008 839,590 150,000 Tyco International Group SA 2.750 1/15/2018 161,625 500,000 Waste Management, Inc. 6.500 11/15/2008 571,668 - ------------------------------------------------------------------------------------------------------------------------- Total Capital Goods 4,756,432 ========================================================================================================================= Commercial Mortgage-Backed Securities (2.1%) - ------------------------------------------------------------------------------------------------------------------------- 543,265 Banc of America Commercial Mortgage, Inc. 3.366 7/11/2043 559,948 1,500,000 J.P. Morgan Chase Commercial Mortgage Securities Corporation(b) 1.500 7/14/2003 1,500,088 1,500,000 LB-UBS Commercial Mortgage Trust 3.323 3/15/2027 1,526,350 891,247 Lehman Brothers "CALSTRS" Mortgage Trust 3.988 11/20/2012 928,599 - ------------------------------------------------------------------------------------------------------------------------- Total Commercial Mortgage-Backed Securities 4,514,985 ========================================================================================================================= Communications Services (3.6%) - ------------------------------------------------------------------------------------------------------------------------- 250,000 AT&T Wireless Services, Inc. 7.875 3/1/2011 295,256 275,000 British Sky Broadcasting Group plc 8.200 7/15/2009 325,875 600,000 Clear Channel Communications, Inc. 4.625 1/15/2008 628,986 900,000 Comcast Cable Communications, Inc. 6.875 6/15/2009 1,040,521 900,000 Cox Enterprises, Inc. 8.000 2/15/2007 1,053,965 750,000 Deutsche Telekom AG 8.250 6/15/2005 836,346 150,000 Echostar Communications Corporation(c) 5.750 5/15/2008 158,812 125,000 Lin Television Corporation 6.500 5/15/2013 124,688 600,000 News America, Inc. 4.750 3/15/2010 627,130 500,000 Sprint Capital Corporation 7.625 1/30/2011 570,723 600,000 TELUS Corporation 7.500 6/1/2007 669,000 675,000 Verizon Pennsylvania, Inc. 5.650 11/15/2011 744,914 500,000 Vivendi Universal SA 9.250 4/15/2010 568,750 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 7,644,966 ========================================================================================================================= Consumer Cyclical (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 AOL Time Warner, Inc. 6.125 4/15/2006 820,084 125,000 Brinker International, Inc. Zero Coupon 10/10/2021 88,594 900,000 Cendant Corporation 6.875 8/15/2006 1,006,692 300,000 DaimlerChrysler North American Holdings Corporation 4.750 1/15/2008 307,739 1,500,000 Ford Credit Floorplan Master Owner Trust, Series 2001-2, Class A(b,c) 1.320 7/15/2003 1,504,590 250,000 Ford Motor Credit Company 6.875 2/1/2006 265,150 200,000 Gap, Inc. 6.900 9/15/2007 215,500 125,000 Gap, Inc. 5.750 3/15/2009 167,969 1,000,000 General Motors Acceptance Corporation 4.500 7/15/2006 1,004,770 450,000 Park Place Entertainment Corporation 8.125 5/15/2011 493,875 250,000 Royal Caribbean Cruises, Ltd. 8.000 5/15/2010 260,000 250,000 Ryland Group, Inc. 5.375 6/1/2008 258,125 150,000 Yum! Brands, Inc. 7.700 7/1/2012 171,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 6,564,088 ========================================================================================================================= Consumer Non-Cyclical (1.6%) - ------------------------------------------------------------------------------------------------------------------------- 200,000 Amgen, Inc. Zero Coupon 3/1/2032 157,000 600,000 Bunge Limited Finance Corporation 7.800 10/15/2012 702,458 200,000 Bunge Ltd Finance Corporation 3.750 11/15/2022 225,250 350,000 Fisher Scientific International, Inc. 8.125 5/1/2012 374,500 750,000 Gillette Company(c) 3.500 10/15/2007 766,958 500,000 Kellogg Company 6.000 4/1/2006 551,210 225,000 Omnicare, Inc. 6.125 6/1/2013 229,500 400,000 Qwest Diagnostic, Inc. 1.750 11/30/2021 411,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 3,417,876 ========================================================================================================================= Energy (1.3%) - ------------------------------------------------------------------------------------------------------------------------- 200,000 Key Energy Services, Inc. 6.375 5/1/2013 203,000 750,000 Occidental Petroleum Corporation(c) 4.000 11/30/2007 786,962 750,000 Ocean Energy, Inc. 4.375 10/1/2007 788,642 350,000 Premco Refining Group(c) 9.250 2/1/2010 381,500 125,000 Pride International, Inc. 2.500 3/1/2007 159,375 375,000 XTO Energy, Inc. 6.250 4/15/2013 398,438 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 2,717,917 ========================================================================================================================= Financials (20.6%) - ------------------------------------------------------------------------------------------------------------------------- 1,000,000 Bank One Corporation 2.625 6/30/2008 983,127 1,500,000 Bank One Issuance Trust(b) 1.360 7/15/2003 1,500,825 750,000 Bear Stearns Company, Inc. 3.000 3/30/2006 769,388 900,000 Boeing Capital Corporation 5.750 2/15/2007 982,990 300,000 Capital One Bank 6.875 2/1/2006 321,911 600,000 CIT Group, Inc. 4.000 5/8/2008 611,024 900,000 Citigroup, Inc.(b) 1.360 8/7/2003 900,537 1,000,000 Countrywide Home Loans, Inc. 3.250 5/21/2008 1,004,829 600,000 Credit Suisse First Boston USA, Inc. 4.625 1/15/2008 640,725 900,000 CS First Boston Mortgage Securities Corporation 3.861 3/15/2036 928,966 1,000,000 First National Master Note Trust(b) 1.280 7/15/2003 1,001,917 750,000 Goldman Sachs Group, Inc. 4.125 1/15/2008 788,139 175,000 Goldman Sachs Group, Inc. 0.250 6/20/2013 166,276 750,000 Honda Auto Receivables Owner Trust(c) 2.480 7/18/2008 761,626 250,000 Household Finance Corporation 5.750 1/30/2007 275,910 350,000 Household Finance Corporation 5.875 2/1/2009 390,204 500,000 International Lease Finance Corporation 4.000 1/17/2006 513,906 1,250,000 J.P. Morgan Chase & Company 6.400 6/20/2008 1,267,188 400,000 J.P. Morgan Chase & Company 8.000 6/20/2008 413,000 1,680,000 Lehman Brothers, Inc.(b) 6.539 8/15/2007 1,844,820 500,000 Marsh & McLennan Companies, Inc. 5.375 3/15/2007 550,512 1,000,000 Monumental Global Funding II 3.850 3/3/2008 1,033,603 15,544,000 Morgan Stanley and Company 5.878 3/1/2007 17,096,531 450,000 Morgan Stanley and Company(d) 9.414 12/15/2012 462,510 1,500,000 National City Credit Card Master Trust(b) 1.330 7/15/2003 1,504,192 900,000 Prudential Financial, Inc.(c) 3.750 5/1/2008 926,819 700,000 Textron Financial Corporation 2.750% 6/1/2006 698,969 750,000 TIAA Global Markets 4.125 11/15/2007 793,760 750,000 Union Planters Bank 5.125 6/15/2007 807,794 750,000 US Bancorp 2.750 3/30/2006 765,434 750,000 Washington Mutual Bank(b) 4.070 12/25/2032 753,937 750,000 Washington Mutual, Inc. 4.375 1/15/2008 793,692 750,000 Wells Fargo Financial, Inc. 4.875 6/12/2007 814,180 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 43,069,241 ========================================================================================================================= Foreign (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 Corporacion Andina de Fomento 6.875 3/15/2012 853,829 750,000 Export Development Canada 2.750 12/12/2005 768,462 900,000 Korea Development Bank 4.250 11/13/2007 929,257 500,000 Mexico Government International 9.875 2/1/2010 641,250 750,000 Nordic Investment Bank 2.750 1/11/2006 767,192 312,500 Pemex Finance, Ltd. 8.450 2/15/2007 349,275 900,000 Republic of Italy(c) 2.500 3/31/2006 917,495 1,250,000 Sallie Mae, Inc. 2.000 3/15/2005 1,263,925 - ------------------------------------------------------------------------------------------------------------------------- Total Foreign 6,490,685 ========================================================================================================================= Mortgage-Backed Securities (7.2%) - ------------------------------------------------------------------------------------------------------------------------- 3,000,000 Federal National Mortgage Association 15-Yr. Conventional(e) 4.500 7/1/2018 3,060,000 11,500,000 Federal National Mortgage Association 15-Yr. Conventional(e) 5.500 7/1/2018 11,942,037 - ------------------------------------------------------------------------------------------------------------------------- Total Mortgage-Backed Securities 15,002,037 ========================================================================================================================= Municipal Bonds (0.9%) - ------------------------------------------------------------------------------------------------------------------------- 500,000 Minneapolis & St. Paul Metropolitan Airports Commission(c) 4.850 1/1/2006 529,365 600,000 Oregon School Boards Association Taxable Pension Bonds Zero Coupon 6/30/2005 576,000 750,000 Washington State Office of the State Treasurer 4.500 7/1/2007 801,090 - ------------------------------------------------------------------------------------------------------------------------- Total Municipal Bonds 1,906,455 ========================================================================================================================= Other (0.4%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 Harvard University, MA 8.125 4/15/2007 904,665 - ------------------------------------------------------------------------------------------------------------------------- Total Other 904,665 ========================================================================================================================= Technology (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 250,000 Flextronics International, Ltd. 6.500 5/15/2013 240,625 150,000 Unisys Corporation 6.875 3/15/2010 156,000 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 396,625 ========================================================================================================================= Transportation (1.3%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 Delta Air Lines, Inc. 6.417 7/2/2012 811,429 250,000 Hertz Corporation(c) 7.400 3/1/2011 256,048 1,000,000 Union Pacific Company(c) 3.625 6/1/2010 989,601 736,183 United AirLines, Inc.(f) 7.186 4/1/2011 629,053 - ------------------------------------------------------------------------------------------------------------------------- Total Transportation 2,686,131 ========================================================================================================================= U.S. Government (24.4%) - ------------------------------------------------------------------------------------------------------------------------- 1,000,000 U.S. Department of Housing and Urban Development 3.450 8/1/2006 1,046,284 5,000,000 U.S. Treasury Notes 3.250 5/31/2004 5,100,975 8,775,000 U.S. Treasury Notes(c) 2.250 7/31/2004 8,888,461 750,000 U.S. Treasury Notes 2.125 10/31/2004 759,990 1,050,000 U.S. Treasury Notes 1.625 1/31/2005 1,057,219 7,000,000 U.S. Treasury Notes 1.625 3/31/2005 7,048,125 1,350,000 U.S. Treasury Notes 1.625 4/30/2005 1,358,859 12,750,000 U.S. Treasury Notes 1.250 5/31/2005 12,742,528 500,000 U.S. Treasury Notes 5.625 2/15/2006 552,832 500,000 U.S. Treasury Notes 2.000 5/15/2006 505,312 9,284,800 U.S. Treasury Notes 3.375 1/15/2007 10,195,871 1,000,000 U.S. Treasury Notes 4.375 5/15/2007 1,086,406 750,000 U.S. Treasury Notes 4.375 8/15/2012 804,170 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Government 51,147,032 ========================================================================================================================= Utilities (5.3%) - ------------------------------------------------------------------------------------------------------------------------- 600,000 Duke Capital Corporation 6.250 10/1/2009 686,429 225,000 Ferrellgas Partners, LP 8.750 6/15/2012 244,125 500,000 Indiana Michigan Power Company 6.125 12/15/2006 555,400 750,000 Kinder Morgan Energy Partners, LP 7.500 11/1/2010 912,017 1,250,000 Midamerican Energy Holdings Company 3.500 5/15/2008 1,256,724 900,000 National Rural Utilities(b,c) 1.690 8/7/2003 900,386 750,000 NiSource Finance Corporation 7.625 11/15/2005 820,012 750,000 Pepco Holdings, Inc. 3.750 2/15/2006 775,464 600,000 Pinnacle West Capital Corporation 6.400 4/1/2006 648,269 800,000 Power Contract Financing, LLC 5.200 2/1/2006 804,896 800,000 PSEG Energy Holdings, Inc. 7.750 4/16/2007 846,000 600,000 Texas-New Mexico Power Company 6.125 6/1/2008 603,205 850,000 TXU Corporation 6.375 6/15/2006 904,188 1,000,000 Xcel Energy, Inc. 7.000 12/1/2010 1,143,660 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 11,100,775 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $179,034,016) 183,136,595 ========================================================================================================================= Shares Preferred Stock (0.4%) Value - ------------------------------------------------------------------------------------------------------------------------- 1,800 Alltel Corporation $89,550 7,000 General Motors* 174,300 20,000 Travelers Property Casualty Company 484,200 1,000 Anthem, Inc 93,250 - ------------------------------------------------------------------------------------------------------------------------- Total Preferred Stock (cost $855,111) 841,300 ========================================================================================================================= Principal Amount Short-Term Investments (12.2%) Interest Rate(g) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $5,000,000 Cintas Group 0.941% 7/23/2003 $4,997,128 5,000,000 Kitty Hawk Funding Corporation 1.001 7/23/2003 4,996,944 5,000,000 Montauk Funding Corporation 1.101 7/9/2003 4,998,778 7,820,000 New Center Asset Trust 1.350 7/1/2003 7,820,000 1,697,000 Stellar Funding Group, Inc. 1.272 7/14/2003 1,696,222 1,000,000 Triple A-1 Funding Corporation 1.091 7/28/2003 999,183 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 25,508,255 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $205,397,382) $209,486,150 ========================================================================================================================= * Non-income producing security. (a) The categories of investment are shown as a percentage of total investments. (b) Denotes variable rate obligations for which the current yield and next scheduled reset date are shown. (c) Earmarked as collateral as discussed in the notes to the financial statements. (d) Step coupon bond. (e) Denotes investments purchased on a when-issued basis. (f) In bankruptcy. (g) The interest rate shown reflects the discount rate at the date of purchase. The accompanying notes to the financial statements are an integral part of this schedule. Money Market Portfolio Schedule of Investments as of June 30, 2003 (unaudited)(a) Principal Amount Certificates of Deposit (9.0%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Banking - Domestic (9.0%) - ------------------------------------------------------------------------------------------------------------------------- $8,000,000 Abbey National Treasury North America 1.910% 10/22/2003 $8,000,000 7,000,000 Barclays Bank NY plc 1.250 7/28/2003 7,000,025 7,500,000 Citibank 1.250 7/30/2003 7,500,000 1,000,000 Toronto Dominion Bank 1.840 8/27/2003 1,000,022 7,000,000 Wells Fargo Financial, Inc. 1.230 7/7/2003 7,000,000 - ------------------------------------------------------------------------------------------------------------------------- Total Banking - Domestic 30,500,047 - ------------------------------------------------------------------------------------------------------------------------- Total Certificates of Deposit 30,500,047 ========================================================================================================================= Principal Amount Commercial Paper (88.7%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities (37.1%) - ------------------------------------------------------------------------------------------------------------------------- $6,500,000 Amsterdam Funding Corporation 1.262% 7/8/2003 $6,498,408 7,000,000 Asset Securitization Cooperative Corporation 1.243 7/18/2003 6,995,901 5,750,000 Asset Securitization Cooperative Corporation 0.981 7/29/2003 5,745,617 7,000,000 Ciesco, LP 1.233 7/29/2003 6,993,303 8,000,000 Ciesco, LP 1.002 8/15/2003 7,990,000 7,000,000 Corporate Receivables Corporation 1.162 7/22/2003 6,995,263 2,550,000 Edison Asset Securitization, LLC 1.154 7/10/2003 2,549,267 7,250,000 Edison Asset Securitization, LLC 1.255 8/27/2003 7,235,651 7,250,000 GOVCO, Inc. 1.264 7/14/2003 7,246,701 1,500,000 GOVCO, Inc. 1.234 8/13/2003 1,497,796 8,000,000 Montauk Funding Corporation 1.061 7/23/2003 7,994,818 6,250,000 Park Avenue Receivables Corporation 1.021 7/23/2003 6,246,104 7,500,000 Park Avenue Receivables Corporation 1.152 8/4/2003 7,491,854 6,250,000 Sheffield Receivables Corporation 1.101 7/14/2003 6,247,517 3,100,000 Sheffield Receivables Corporation 1.222 7/22/2003 3,097,794 1,690,000 Sheffield Receivables Corporation 1.042 9/18/2003 1,686,143 2,000,000 Thunder Bay Funding, Inc. 1.231 7/11/2003 1,999,317 5,937,000 Thunder Bay Funding, Inc. 1.253 7/15/2003 5,934,114 6,300,000 Thunder Bay Funding, Inc. 1.242 7/28/2003 6,294,141 5,000,000 Triple A-1 Funding Corporation 1.001 7/28/2003 4,996,250 7,500,000 Triple A-1 Funding Corporation 1.233 8/8/2003 7,490,262 6,250,000 Windmill Funding Corporation 1.261 7/2/2003 6,249,781 - ------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities 125,476,002 ========================================================================================================================= Banking - Domestic (8.9%) - ------------------------------------------------------------------------------------------------------------------------- 8,000,000 Abbey National North America 1.330 7/1/2003 8,000,000 7,000,000 Stadshypotek Delaware, Inc. 1.032 8/12/2003 6,991,588 4,250,000 UBS Finance Corporation 0.936 8/22/2003 4,244,260 800,000 UBS Finance Corporation 1.053 9/24/2003 798,017 10,130,000 Venture Business Trust 1.310 7/1/2003 10,130,000 - ------------------------------------------------------------------------------------------------------------------------- Total Banking - Domestic 30,163,865 ========================================================================================================================= Banking - Foreign (1.9%) - ------------------------------------------------------------------------------------------------------------------------- 6,500,000 Royal Bank of Scotland Group plc 1.033 9/22/2003 6,484,564 - ------------------------------------------------------------------------------------------------------------------------- Total Banking - Foreign 6,484,564 ========================================================================================================================= Communications Services (1.2%) - ------------------------------------------------------------------------------------------------------------------------- 3,900,000 SBC International, Inc. 1.222 7/17/2003 3,897,885 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 3,897,885 ========================================================================================================================= Consumer Non-Cyclical (2.4%) - ------------------------------------------------------------------------------------------------------------------------- 8,000,000 Procter & Gamble Company 1.750 8/7/2003 7,967,705 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 7,967,705 ========================================================================================================================= Education (4.1%) - ------------------------------------------------------------------------------------------------------------------------- 600,000 Northwestern University 1.252 7/10/2003 599,812 1,500,000 Northwestern University 1.253 7/15/2003 1,499,271 2,500,000 Northwestern University 1.146 11/4/2003 2,490,025 5,000,000 Northwestern University 1.014 11/18/2003 4,980,361 4,400,000 Stanford University 1.232 7/24/2003 4,396,542 - ------------------------------------------------------------------------------------------------------------------------- Total Education 13,966,011 ========================================================================================================================= Energy (4.4%) - ------------------------------------------------------------------------------------------------------------------------- 7,800,000 Shell Finance (UK) plc 1.280 9/18/2003 7,778,261 7,000,000 Total Fina Elf SA 1.222 7/15/2003 6,996,679 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 14,774,940 ========================================================================================================================= Finance (11.8%) - ------------------------------------------------------------------------------------------------------------------------- 7,500,000 Alcon Capital Corporation 1.214 8/20/2003 7,487,396 7,500,000 American General Finance Corporation 1.133 8/18/2003 7,488,700 4,500,000 Citigroup, Inc. 1.022 9/5/2003 4,491,585 4,750,000 Goldman Sachs Group, Inc. 0.923 11/13/2003 4,733,613 2,800,000 JMG Funding, LP 1.271 7/1/2003 2,800,000 3,735,000 Nestle Capital 1.022 8/5/2003 3,731,296 6,250,000 Paradigm Funding, LLC 1.233 7/25/2003 6,244,875 3,000,000 Paradigm Funding, LLC 1.032 8/11/2003 2,996,481 - ------------------------------------------------------------------------------------------------------------------------- Total Finance 39,973,946 ========================================================================================================================= Food & Beverage (3.0%) - ------------------------------------------------------------------------------------------------------------------------- 2,500,000 Cargill, Inc. 1.278 7/9/2003 2,499,295 7,500,000 Cargill, Inc. 1.093 9/8/2003 7,484,331 - ------------------------------------------------------------------------------------------------------------------------- Total Food & Beverage 9,983,626 ========================================================================================================================= Insurance (3.6%) - ------------------------------------------------------------------------------------------------------------------------- 2,498,000 American Family Financial Services, Inc. 1.275 8/6/2003 2,494,827 2,500,000 American Family Financial Services, Inc. 1.225 9/19/2003 2,493,222 7,000,000 Swiss Reinsurance Company 1.244 7/7/2003 6,998,553 - ------------------------------------------------------------------------------------------------------------------------- Total Insurance 11,986,602 ========================================================================================================================= U.S. Government (5.9%) - ------------------------------------------------------------------------------------------------------------------------- 372,000 Federal Farm Credit Corporation Zero Coupon 8/1/2003 371,599 3,518,000 Federal Home Loan Bank Zero Coupon 9/4/2003 3,507,647 2,500,000 Federal Home Loan Bank 1.275 10/20/2003 2,529,094 8,000,000 Federal Home Loan Mortgage Corporation Zero Coupon 8/14/2003 7,987,875 2,617,000 Federal Home Loan Mortgage Corporation Zero Coupon 9/11/2003 2,608,468 1,000,000 Federal Home Loan Mortgage Corporation 1.505 9/15/2003 1,004,147 2,000,000 Federal National Mortgage Association 1.494 8/15/2003 2,006,134 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Government 20,014,964 ========================================================================================================================= Utilities (4.4%) - ------------------------------------------------------------------------------------------------------------------------- 1,000,000 General Electric Capital Corporation 1.233 7/21/2003 999,317 7,000,000 General Electric Capital Corporation 1.253 7/23/2003 6,994,653 7,000,000 General Electric Capital Corporation 1.214 8/28/2003 6,986,354 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 14,980,324 - ------------------------------------------------------------------------------------------------------------------------- Total Commercial Paper 299,670,434 ========================================================================================================================= Principal Amount Variable Rate Notes (2.3%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 5,400,000 American Honda Finance Corporation(c) 1.256% 7/11/2003 $5,400,000 2,300,000 Illinois Student Assistance Commission(c) 1.030 7/2/2003 2,300,000 - ------------------------------------------------------------------------------------------------------------------------- Total Variable Rate Notes 7,700,000 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (at amortized cost) $337,870,481 ========================================================================================================================= (a) The categories of investment are shown as a percentage of total investments. (b) The interest rate shown reflects the current yieldor, for securities purchased at a discount, the discount rate at the date of purchase. (c) Denotes variable rate obligations for which the current yield and next scheduled reset date are shown. The accompanying notes to the financial statements are an integral part of this schedule. This page is intentionally left blank. LB Series Fund, Inc. Statement of Assets and Liabilities Small Cap Opportunity Mid Cap Select Mid Cap World Growth Growth Growth Growth Growth As of June 30, 2003 (unaudited) Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Assets Investments at cost $22,647,529 $208,051,054 $17,595,327 $363,815,652 $396,438,702 Investments at value 22,692,649 219,605,458 19,901,628 390,250,269 335,170,346 Cash 594 19,154 104 10,985 2,628,574 1 Dividends and interest receivable 3,463 20,915 4,613 61,734 980,183 Receivable for investments sold 40,923 5,922,777 290,349 5,330,832 763,155 Receivable for fund shares sold 71,267 55,812 73,113 297,681 132,304 Receivable for forward contracts -- -- -- -- 420,213 Total Assets 22,808,896 225,624,116 20,269,807 395,951,501 340,094,775 Liabilities Payable for investments purchased 188,721 6,901,248 229,514 1,217,927 -- Payable for fund shares redeemed 38,798 213,985 -- 277,094 208,442 Payable for forward contracts -- -- -- -- 419,158 Open options written, at value -- -- -- -- -- Payable to affiliate 22,102 74,021 17,465 134,027 155,114 Total Liabilities 249,621 7,189,254 246,979 1,629,048 782,714 Net Assets Capital stock (beneficial interest) 25,697,177 361,281,952 25,935,226 549,025,852 489,738,788 Accumulated undistributed net investment income/(loss) (61,607) (108,145) (39,410) (100,287) 3,933,781 Accumulated undistributed net realized loss on investments and foreign currency transactions (3,121,415) (154,293,349) (8,179,305) (181,037,729) (93,142,978) Net unrealized appreciation/ (depreciation) on: Investments 45,120 11,554,404 2,306,301 26,434,617 (61,268,356) Options contracts -- -- -- -- -- Foreign currency forward contracts -- -- -- -- 1,055 Foreign currency transactions -- -- 16 -- 49,771 Total Net Assets $22,559,275 $218,434,862 $20,022,828 $394,322,453 $339,312,061 Capital shares outstanding 2,557,124 27,144,810 2,842,844 34,968,129 39,054,044 Net asset value per share $8.82 $8.05 $7.04 $11.28 $8.69 Statement of Assets and Liabilities - continued Investors Growth All Cap Growth Growth Stock Value As of June 30, 2003 (unaudited) Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Assets Investments at cost $36,040,431 $2,294,226,085 $26,742,156 $43,203,807 $150,255,986 Investments at value 38,435,347 2,225,534,336 28,826,137 46,186,801 156,079,755 Cash 623 16,347 1,089 233 9,490 Dividends and interest receivable 27,979 1,255,596 16,736 39,088 147,917 Receivable for investments sold 260,609 42,829,291 647,942 107,308 -- Receivable for fund shares sold 60,867 282,522 75,947 130,143 278,732 Receivable for forward contracts -- -- -- -- -- Total Assets 38,785,425 2,269,918,092 29,567,851 46,463,573 156,515,894 Liabilities Payable for investments purchased 256,146 48,653,550 973,422 499,905 2,665,584 Payable for fund shares redeemed 2,584 2,038,040 29 3,368 12,344 Payable for forward contracts -- -- -- -- -- Open options written, at value -- 57,525 2 -- -- -- Payable to affiliate 31,775 765,281 21,718 32,065 77,351 Total Liabilities 290,505 51,514,396 995,169 535,338 2,755,279 Net Assets Capital stock (beneficial interest) 52,599,101 3,839,529,549 31,666,598 48,019,190 164,560,824 Accumulated undistributed net investment income/(loss) 46,090 5,930,931 16,171 56,719 770,865 Accumulated undistributed net realized loss on investments and foreign currency transactions (16,545,187) (1,558,412,672) (5,194,064) (5,130,804) (17,394,843) Net unrealized appreciation/ (depreciation) on: Investments 2,394,916 (68,691,749) 2,083,981 2,982,994 5,823,769 Options contracts -- 47,637 -- -- -- Foreign currency forward contracts -- -- -- -- -- Foreign currency transactions -- -- (4) 136 -- Total Net Assets $38,494,920 $2,218,403,696 $28,572,682 $45,928,235 $153,760,615 Capital shares outstanding 5,608,774 185,116,767 3,418,975 5,153,469 18,019,559 Net asset value per share $6.86 $11.98 $8.36 $8.91 $8.53 Statement of Assets and Liabilities - continued Limited Money High Yield Income Maturity Market As of June 30, 2003 (unaudited) Portfolio Portfolio Bond Portfolio Portfolio - --------------------------------------------------------------------------------------------------- Assets Investments at cost $840,866,339 $1,150,630,097 $205,397,382 $337,870,481 Investments at value 778,895,383 1,207,532,098 209,486,150 337,870,481 Cash 122,185 8,377 8,066 7,870 Dividends and interest receivable 15,425,665 10,977,945 1,323,273 251,440 Receivable for investments sold 4,268,539 34,609,592 1,646,426 -- Receivable for fund shares sold 209,569 318,100 438,777 1,513,531 Total Assets 798,921,341 1,253,446,112 212,902,692 339,643,322 Liabilities Payable for investments purchased 6,838,543 104,418,915 16,224,230 -- Payable for fund shares redeemed 456,674 785,289 38,990 883,401 Payable for variation margin -- 339,375 -- -- Payable to affiliate 266,909 487,101 71,908 116,949 Total Liabilities 7,562,126 106,030,680 16,335,128 1,000,350 Net Assets Capital stock (beneficial interest) 1,707,415,710 1,115,741,956 190,573,533 338,642,972 Accumulated undistributed net investment income 1,229,331 -- -- -- Accumulated undistributed net realized gain/(loss) on investments and foreign currency transactions (855,314,870) (25,883,263) 1,905,263 -- Net unrealized appreciation/ (depreciation) on: Investments (61,970,956) 56,902,001 4,088,768 -- Futures contracts -- 654,738 -- -- Total Net Assets $791,359,215 $1,147,415,432 $196,567,564 $338,642,972 Capital shares outstanding 161,204,896 111,607,959 18,974,724 338,642,972 Net asset value per share $4.91 $10.28 $10.36 $1.00 1 Includes foreign currency holdings of $2,607,527. 2 Premium received on written options of $105,162. The accompanying notes to the financial statements are an integral part of this statement. LB Series Fund, Inc. Statement of Operations Small Cap Opportunity Mid Cap Select Mid Cap For the six months ended Growth Growth Growth Growth June 30, 2003 (unaudited) Portfolio Portfolio Portfolio Portfolio - ---------------------------------------------------------------------------------------------- Investment Income Dividends $43,570 $221,294 $42,591 $505,836 Taxable interest 5,634 60,037 5,488 98,854 Foreign dividend tax witholding (897) (2,281) (757) (2,009) Total Investment Income 48,307 279,050 47,322 602,681 Expenses Adviser fees 43,966 387,195 40,957 702,968 Subadviser fees 65,948 -- 45,775 -- Administrative service and pricing fees 3,043 9,807 3,015 8,481 Custody fees 6,001 48,818 17,269 43,145 Printing and postage expenses 2,433 6,305 2,913 8,169 Audit fees 3,391 4,013 3,391 5,518 Legal fees 777 1,845 760 2,791 Directors' fees 1,120 1,120 1,120 1,120 Other expenses 5,568 4,406 4,195 4,551 Total Expenses Before Reimbursement 132,247 463,509 119,395 776,743 Less: Reimbursement from adviser (22,330) (76,259) (32,660) (73,685) Fees paid indirectly (3) (55) (3) (90) Total Net Expenses 109,914 387,195 86,732 702,968 Net Investment Loss (61,607) (108,145) (39,410) (100,287) Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/(losses) on: Investments (697,432) (4,732,740) 885,501 (23,191,919) Foreign currency transactions -- -- (103) -- Change in net unrealized appreciation/ (depreciation) on: Investments 4,020,002 34,075,399 2,599,606 80,189,568 Foreign currency forward contracts -- -- 35 -- Foreign currency transactions -- -- (19) -- Net Realized and Unrealized Gains on Investments and Foreign Currency Transactions 3,322,570 29,342,659 3,485,020 56,997,649 Net Increase in Net Assets Resulting From Operations $3,260,963 $29,234,514 $3,445,610 $56,897,362 Statement of Operations - continued World Investors Growth For the six months ended Growth All Cap Growth Growth Stock June 30, 2003 (unaudited) Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------- Investment Income Dividends $5,952,701 $211,283 $10,029,744 $118,766 $216,990 Taxable interest 114,250 5,255 203,370 6,869 6,431 Tax exempt interest -- -- -- -- -- Foreign dividend tax witholding (801,563) -- (55,684) (1,228) (4,872) Total Investment Income 5,265,388 216,538 10,177,430 124,407 218,549 Expenses Adviser fees 548,308 62,813 4,172,458 50,736 69,876 Subadviser fees 783,299 107,635 -- 57,500 89,841 Administrative service and pricing fees 10,322 3,030 24,485 3,038 3,056 Custody fees 118,042 8,698 124,985 33,258 12,312 Printing and postage expenses 5,835 2,912 35,841 1,809 3,510 Audit fees 5,010 3,391 26,004 3,391 3,391 Legal fees 2,567 870 13,314 804 881 Directors' fees 1,120 1,120 1,120 1,120 1,120 Other expenses 4,043 3,985 7,672 4,078 3,976 Total Expenses Before Reimbursement 1,478,546 194,454 4,405,879 155,734 187,963 Less: Reimbursement from adviser (146,874) (24,006) (232,858) (47,498) (28,246) Fees paid indirectly (65) -- (563) -- -- Total Net Expenses 1,331,607 170,448 4,172,458 108,236 159,717 Net Investment Income 3,933,781 46,090 6,004,972 16,171 58,832 Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/(losses) on: Investments (23,261,915) (1,377,024) (167,019,077) 1,000,464 (2,206,046) Options contracts -- -- 275,801 -- -- Futures contracts -- (40,531) -- -- -- Foreign currency transactions 556,640 -- (8,667) 66 (2,959) Change in net unrealized appreciation/ (depreciation) on: Investments 41,373,330 4,222,876 421,254,763 2,479,642 7,809,792 Options contracts -- -- 47,637 -- -- Futures contracts -- -- -- -- -- Foreign currency forward contracts (420) -- -- -- -- Foreign currency transactions (35,516) -- -- 1 (49) Net Realized and Unrealized Gains on Investments and Foreign Currency Transactions 18,632,119 2,805,321 254,550,457 3,480,173 5,600,738 Net Increase in Net Assets Resulting From Operations $22,565,900 $2,851,411 $260,555,429 $3,496,344 $5,659,570 Statement of Operations - continued Limited Money For the six months ended Value High Yield Income Maturity Market June 30, 2003 (unaudited) Portfolio Portfolio Portfolio Bond Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------ Investment Income Dividends $1,087,358 $1,672,056 $53,438 $11,250 $-- Taxable interest 26,628 37,769,916 28,213,804 2,945,848 2,104,227 Tax exempt interest -- -- 69,300 21,111 9,076 Foreign dividend tax witholding (7,052) -- -- -- -- Total Investment Income 1,106,934 39,441,972 28,336,542 2,978,209 2,113,303 Expenses Adviser fees 336,069 1,484,450 2,265,912 353,074 633,274 Subadviser fees -- -- -- -- -- Administrative service and pricing fees 4,005 12,305 14,029 5,300 9,638 Custody fees 23,508 63,708 76,054 30,004 31,664 Printing and postage expenses 28,740 15,451 17,025 12,629 29,817 Audit fees 3,391 9,365 12,081 3,391 4,788 Legal fees 1,231 5,103 7,632 1,654 2,576 Directors' fees 1,120 1,120 1,120 1,120 1,120 Other expenses 4,140 5,105 6,193 3,521 4,043 Total Expenses Before Reimbursement 402,204 1,596,607 2,400,046 410,693 716,920 Less: Reimbursement from adviser (66,115) (111,725) (134,018) (57,601) (83,424) Fees paid indirectly (20) (432) (116) (18) (222) Total Net Expenses 336,069 1,484,450 2,265,912 353,074 633,274 Net Investment Income 770,865 37,957,522 26,070,630 2,625,135 1,480,029 Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/(losses) on: Investments (3,661,691) (64,012,195) 23,608,352 1,920,406 -- Options contracts -- -- -- -- -- Futures contracts -- (20,501) (6,406,835) -- -- Foreign currency transactions -- 5,898 -- -- -- Change in net unrealized appreciation/ (depreciation) on: Investments 13,454,169 144,644,998 32,002,807 1,979,257 -- Options contracts -- -- -- -- -- Futures contracts -- -- 1,824,361 -- -- Foreign currency forward contracts -- -- -- -- -- Foreign currency transactions -- -- -- -- -- Net Realized and Unrealized Gains on Investments and Foreign Currency Transactions 9,792,478 80,618,200 51,028,685 3,899,663 -- Net Increase in Net Assets Resulting From Operations $10,563,343 $118,575,722 $77,099,315 $6,524,798 $1,480,029 The accompanying notes to the financial statements are an integral part of this statement. LB Series Fund, Inc. Statement of Changes in Net Assets Small Cap Opportunity Growth Portfolio Growth Portfolio ------------------------ ------------------------- For the six months and 6/30/2003 6/30/2003 Year ended, respectively (unaudited) 12/31/2002 (unaudited) 12/31/2002 - ---------------------------------------------------------------------------------------- Operations Net investment income/(loss) $(61,607) $(94,476) $(108,145) $(126,658) Net realized gains/ (losses) on: Investments (697,432) (2,423,983) (4,732,740) (68,380,714) Foreign currency transactions -- -- -- -- Change in net unrealized appreciation/(depreciation) on: Investments 4,020,002 (4,253,424) 34,075,399 (38,061,798) Foreign currency forward contracts -- -- -- -- Foreign currency transactions -- -- -- -- Net Change in Net Assets Resulting From Operations 3,260,963 (6,771,883) 29,234,514 (106,569,170) Distributions to Shareholders From net investment income -- -- -- (713,639) From net realized gains -- -- -- -- Total Distributions to Shareholders -- -- -- (713,639) Capital Stock Transactions (1,025,965) 21,401,917 (7,557,963) (57,085,942) Net Increase/(Decrease) in Net Assets 2,234,998 14,630,034 21,676,551 (164,368,751) Net Assets, Beginning of Period 20,324,277 5,694,243 196,758,311 361,127,062 Net Assets, End of Period $22,559,275 $20,324,277 $218,434,862 $196,758,311 All Cap Growth Portfolio Portfolio ------------------------ ------------------------- For the six months and 6/30/2003 6/30/2003 Year ended, respectively (unaudited) 12/31/2002 (unaudited) 12/31/2002 - ---------------------------------------------------------------------------------------- Operations Net investment income/(loss) $46,090 $(57,625) $6,004,972 $12,880,280 Net realized gains/ (losses) on: Investments (1,377,024) (15,116,290) (167,019,077) (823,595,023) Options contracts -- -- 275,801 1,397,256 Futures contracts (40,531) -- -- -- Foreign currency transactions -- -- (8,667) -- Change in net unrealized appreciation/(depreciation) on: Investments 4,222,876 (1,950,891) 421,254,763 (211,172,120) Options contracts -- -- 47,637 -- Foreign currency transactions -- -- -- -- Net Change in Net Assets Resulting From Operations 2,851,411 (17,124,806) 260,555,429 (1,020,489,607) Distributions to Shareholders From net investment income -- -- (11,996,303) (16,584,638) From net realized gains -- (36,709) -- -- Total Distributions to Shareholders -- (36,709) (11,996,303) (16,584,638) Capital Stock Transactions 93,829 46,326,642 (34,886,203) (565,909,289) Net Increase/(Decrease) in Net Assets 2,945,240 29,165,127 213,672,923 (1,602,983,534) Net Assets, Beginning of Period 35,549,680 6,384,553 2,004,730,773 3,607,714,307 Net Assets, End of Period $38,494,920 $35,549,680 $2,218,403,696 $2,004,730,773 Mid Cap Select Mid Cap World Growth Portfolio Growth Portfolio Growth Portfolio ------------------------ ------------------------ ------------------------ For the six months and 6/30/2003 6/30/2003 6/30/2003 Year ended, respectively (unaudited) 12/31/2002 (unaudited) 12/31/2002 (unaudited) 12/31/2002 - ----------------------------------------------------------------------------------------------------------------- Operations Net investment income/(loss) $(39,410) $(56,976) $(100,287) $(268,380) $3,933,781 $4,122,507 Net realized gains/ (losses) on: Investments 885,501 (9,061,647) (23,191,919) (84,008,385) (23,261,915) (52,074,616) Foreign currency transactions (103) 23 -- -- 556,640 1,122,824 Change in net unrealized appreciation/(depreciation) on: Investments 2,599,606 (568,058) 80,189,568 (55,318,739) 41,373,330 (27,334,153) Foreign currency forward contracts 35 -- -- -- (420) 1,475 Foreign currency transactions (19) -- -- -- (35,516) 139,066 Net Change in Net Assets Resulting From Operations 3,445,610 (9,686,658) 56,897,362 (139,595,504) 22,565,900 (74,022,897) Distributions to Shareholders From net investment income -- -- -- (644,695) (5,007,543) (1,948,069) From net realized gains -- (25,715) -- -- -- -- Total Distributions to Shareholders -- (25,715) -- (644,695) (5,007,543) (1,948,069) Capital Stock Transactions (984,717) 21,221,130 (11,368,000) (48,896,090) (1,541,187) (40,763,905) Net Increase/(Decrease) in Net Assets 2,460,893 11,508,757 45,529,362 (189,136,289) 16,017,170 (116,734,871) Net Assets, Beginning of Period 17,561,935 6,053,178 348,793,091 537,929,380 323,294,891 440,029,762 Net Assets, End of Period $20,022,828 $17,561,935 $394,322,453 $348,793,091 $339,312,061 $323,294,891 Investors Growth Value Growth Portfolio Stock Portfolio Portfolio ------------------------ ------------------------ ------------------------ For the six months and 6/30/2003 6/30/2003 6/30/2003 Year ended, respectively (unaudited) 12/31/2002 (unaudited) 12/31/2002 (unaudited) 12/31/2002 - ----------------------------------------------------------------------------------------------------------------- Operations Net investment income/(loss) $16,171 $24,052 $58,832 $74,364 $770,865 $932,577 Net realized gains/ (losses) on: Investments 1,000,464 (6,179,611) (2,206,046) (2,922,049) (3,661,691) (13,731,050) Options contracts -- -- -- -- -- -- Futures contracts -- -- -- -- -- -- Foreign currency transactions 66 220 (2,959) (11,362) -- -- Change in net unrealized appreciation/(depreciation) on: Investments 2,479,642 (448,695) 7,809,792 (4,899,694) 13,454,169 (7,696,328) Options contracts -- -- -- -- -- -- Foreign currency transactions 1 (5) (49) 331 -- -- Net Change in Net Assets Resulting From Operations 3,496,344 (6,604,039) 5,659,570 (7,758,410) 10,563,343 (20,494,801) Distributions to Shareholders From net investment income -- (24,426) -- (62,130) -- (936,442) From net realized gains -- -- -- (3,134) -- -- Total Distributions to Shareholders -- (24,426) -- (65,264) -- (936,442) Capital Stock Transactions 624,397 25,158,952 3,419,821 38,424,543 48,091,447 109,612,508 Net Increase/(Decrease) in Net Assets 4,120,741 18,530,487 9,079,391 30,600,869 58,654,790 88,181,265 Net Assets, Beginning of Period 24,451,941 5,921,454 36,848,844 6,247,975 95,105,825 6,924,560 Net Assets, End of Period $28,572,682 $24,451,941 $45,928,235 $36,848,844 $153,760,615 $95,105,825 Statement of Changes in Net Assets - continued High Yield Income Portfolio Portfolio ------------------------- -------------------------- For the six months and 6/30/2003 6/30/2003 Year ended, respectively (unaudited) 12/31/2002 (unaudited) 12/31/2002 - ------------------------------------------------------------------------------------------ Operations Net investment income $37,957,522 $100,718,674 $26,070,630 $63,207,158 Net realized gains/ (losses) on: Investments (64,012,195) (295,106,939) 23,608,352 (15,722,315) Options contracts -- -- -- 105,339 Futures contracts (20,501) (148,031) (6,406,835) (13,089,045) Foreign currency transactions 5,898 -- -- -- Change in net unrealized appreciation/(depreciation) on: Investments 144,644,998 110,515,394 32,002,807 33,208,958 Options contracts -- -- -- (7,409) Futures contracts -- -- 1,824,361 (1,850,951) Net Change in Net Assets Resulting From Operations 118,575,722 (84,020,902) 77,099,315 65,851,735 Distributions to Shareholders From net investment income (36,585,732) (100,481,777) (26,070,630) (63,207,158) Capital Stock Transactions (10,576,247) (103,253,756) (49,905,252) (80,537,817) Net Increase/(Decrease) in Net Assets 71,413,743 (287,756,435) 1,123,433 (77,893,240) Net Assets, Beginning of Period 719,945,472 1,007,701,907 1,146,291,999 1,224,185,239 Net Assets, End of Period $791,359,215 $719,945,472 $1,147,415,432 $1,146,291,999 - ------------------------------------------------------------------------------------------ Limited Maturity Money Market Bond Portfolio Portfolio ------------------------- -------------------------- For the six months and 6/30/2003 6/30/2003 Year ended, respectively (unaudited) 12/31/2002 (unaudited) 12/31/2002 - ------------------------------------------------------------------------------------------ Operations Net investment income $2,625,135 $3,058,092 $1,480,029 $5,398,258 Net realized gains on: Investments 1,920,406 374,338 -- -- Change in net unrealized appreciation on: Investments 1,979,257 2,234,287 -- -- Net Change in Net Assets Resulting From Operations 6,524,798 5,666,717 1,480,029 5,398,258 Distributions to Shareholders From net investment income (2,625,135) (3,058,092) (1,480,029) (5,398,258) From net realized gains (344,941) -- -- -- Total Distributions to Shareholders (2,970,076) (3,058,092) (1,480,029) (5,398,258) Capital Stock Transactions 33,735,292 135,192,859 19,751,174 (88,801,945) Net Increase/(Decrease) in Net Assets 37,290,014 137,801,484 19,751,174 (88,801,945) Net Assets, Beginning of Period 159,277,550 21,476,066 318,891,798 407,693,743 Net Assets, End of Period $196,567,564 $159,277,550 $338,642,972 $318,891,798 The accompanying notes to the financial statements are an integral part of this statement.
LB SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
As of June 30, 2003 (unaudited)
(1) ORGANIZATION
The LB Series Fund, Inc. (the "Fund") is registered as an open-end investment company under the Investment Company Act of 1940. The Fund is divided into fourteen separate series (each a "Portfolio" and, collectively, the "Portfolios"), each with its own investment objective and policies. The fourteen Portfolios of the Fund are: Small Cap Growth Portfolio, Opportunity Growth Portfolio, Mid Cap Select Growth Portfolio, Mid Cap Growth Portfolio, World Growth Portfolio, All Cap Portfolio, Growth Portfolio, Investors Growth Portfolio, Growth Stock Portfolio, Value Portfolio, High Yield Portfolio, Income Portfolio, Limited Maturity Bond Portfolio and Money Market Portfolio. All Portfolios operate as diversified series of LB Series Fund, Inc. The assets of each Portfolio are segregated and each has a separate class of capital stock.
At the close of business on April 25, 2003, three Portfolios of the LB Series Fund, Inc. acquired all of the net assets of a comparable Portfolio of the AAL Variable Product Series Fund, Inc. The Growth Portfolio acquired all of the net assets of the AAL Variable Product Series Fund Aggressive Growth Portfolio. The AAL Aggressive Growth Portfolio exchanged 1,502,662 shares valued at $8,634,777 for 779,312 shares of the Growth Portfolio. Net assets of the AAL Aggressive Growth Portfolio included unrealized depreciation of $63,036. The Value Portfolio acquired all of the net assets of the AAL Variable Product Series Fund Equity Income Portfolio. The AAL Equity Income Portfolio exchanged 4,282,796 shares valued at $30,315,517 for 3,881,231 shares of the Value Portfolio. Net assets of the AAL Equity Income Portfolio included unrealized depreciation of $2,572,860. The Money Market Portfolio acquired all of the net assets of the AAL Variable Product Series Fund Money Market Portfolio. The AAL Money Market Portfolio exchanged 69,462,396 shares valued at $69,462,396 for 69,462,396 shares of the Money Market Portfolio. Net assets of the AAL Money Market Portfolio included no unrealized appreciation or depreciation.
The Fund serves as the investment vehicle to fund benefits for variable life insurance and variable annuity contracts issued by Thrivent Financial for Lutherans ("Thrivent Financial"), Thrivent Life Insurance Company, an indirect wholly owned subsidiary of Thrivent Financial for Lutherans, and retirement plans sponsored by Thrivent Financial.
(2) SIGNIFICANT ACCOUNTING POLICIES
Valuation of Investments -- Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value in the circumstances, based on quotes that are obtained from an independent pricing service approved by the Board of Directors. The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations obtained from dealers that make markets in the securities. Exchange listed options and futures contracts are valued at the last quoted sales price. If events that materially affect the value of the Portfolios' foreign investments or the foreign currency exchange rates occur after the close of the principal exchange in which the securities are traded, the investments will be valued at their fair value as determined in good faith under the supervision of the Board of Directors by the independent pricing service. For all Portfolios short-term securities with maturities of 60 days or less remaining are valued at amortized cost.
Short-term securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio follows procedures necessary to maintain a constant net asset value of $1.00 per share.
As of June 30, 2003, six securities in the High Yield Portfolio were valued in good faith by or under the direction of the Board of Directors. These securities represented 0.09% of the High Yield Portfolio's net assets.
Foreign Currency Translation -- The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rate of exchange.
Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from sales of foreign currency, exchange gains or losses between the trade date and settlement dates on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments.
For federal income tax purposes, the Fund treats the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.
Foreign Currency Contracts -- In connection with purchases and sales of securities denominated in foreign currencies, all Portfolios except the Money Market Portfolio may enter into forward currency contracts. Additionally, the Portfolios may enter into such contracts to hedge certain other foreign currency denominated investments. These contracts are recorded at market value and the related realized and unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event that counterparties fail to settle these forward contracts, the World Growth Portfolio could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed.
Foreign Denominated Investments -- Foreign denominated assets and currency contracts may involve more risks than domestic transactions, including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.
Federal Income Taxes -- No provision has been made for income taxes because the Portfolio's policy is to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable income on a timely basis. It is also the intention of each Portfolio to distribute an amount sufficient to avoid imposition of any federal excise tax. The Portfolios, accordingly, anticipate paying no federal income taxes and no federal income tax provision was recorded. Each Portfolio is treated as a separate taxable entity for federal income tax purposes.
Income and Expenses -- Estimated expenses are accrued daily. The Portfolios are charged for those expenses that are directly attributable to them. Expenses that are not directly attributable to a Portfolio are allocated among all appropriate Portfolios in proportion to their respective net assets, number of shareholder accounts or other reasonable basis.
Interest income is accrued daily and is determined on the basis of interest or discount earned on any short-term securities and interest earned on all other debt securities, including amortization of discount or premium. Dividend income is recorded on the ex-dividend date. For preferred stock payment-in-kind securities, income is recorded on the ex-dividend date in the amount of the value received.
Fees Paid Indirectly -- The Portfolios have a deposit arrangement with the custodian whereby interest earned on uninvested cash balances is used to pay a portion of custodian fees. This deposit arrangement is an alternative to overnight investments.
Distributions to Shareholders -- Dividends from net investment income, if available, are declared and paid to each shareholder as a dividend. Dividend and capital gain distributions are recorded on the ex-dividend date. With the exception of the Money Market Portfolio, net realized gains from securities transactions, if any, are distributed at least annually for all Portfolios at the close of the Fund's fiscal year, unless a Portfolio is subject to excise taxes, which would require an additional distribution after the close of the fiscal year.
Dividends are declared and reinvested daily for the High Yield, Income and Limited Maturity Bond Portfolios; declared daily and reinvested monthly for the Money Market Portfolio; and, declared and reinvested annually after the close of the Fund's fiscal year for the Small Cap Growth, Opportunity Growth, Mid Cap Select Growth, Mid Cap Growth, World Growth, All Cap, Growth, Investors Growth, Growth Stock, and Value Portfolios. Dividends distributed for the Money Market Portfolio also include any short-term net realized gains or losses on the sale of securities.
Options and Financial Futures Contracts -- Each Portfolio, with the exception of the Money Market Portfolio, may buy put and call options, write covered put and call options and buy and sell futures contracts. The Portfolios intend to generally use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. Each Portfolio may also enter into options and futures contracts on foreign currencies and forward foreign currency contracts to protect against adverse foreign exchange rate fluctuation.
Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds on sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid. During the six months ended June 30, 2003, the Growth Portfolio and Income Portfolio engaged in this type of investment.
Certain Portfolios may use futures contracts to manage the exposure to interest rate fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required initial margin deposit are pledged to the broker. Additional securities held by the Portfolios may be earmarked as collateral for open futures contracts. The future contract's daily change in value ("variation margin") is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, the realized gain or loss recorded is equal to the difference between the value of the contract when opened and the value of the contract when closed. During the six months ended June 30, 2003, the All Cap Portfolio, High Yield Portfolio, and Income Portfolio engaged in this type of investment.
The Impact of Initial Public Offerings on Performance -- Each of the Portfolios may invest in an initial public offering ("IPO") of a security. On occasion, a Portfolio will participate in an IPO. This presents a Portfolio with the opportunity to "flip" or trade the security at higher prices, resulting in a profit for the Portfolio. Conversely, participation in an IPO may result in a short-term loss for that Portfolio.
Dollar Roll Transactions -- Certain of the Portfolios enter into dollar roll transactions, with respect to mortgage securities issued by GNMA, FNMA, and FHLMC, in which the Portfolios sell mortgage securities and simultaneously agree to repurchase similar (same type, coupon, and maturity) securities at a later date at an agreed upon price. During the period between the sale and repurchase, the Portfolios forgo principal and interest paid on the mortgage securities sold. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and from negotiated fees paid by brokers offered as an inducement to the Portfolios to "roll over" their purchase commitments. The Income and Limited Maturity Bond Portfolios earned $1,658,164 and $160,992 respectively, from such fees for the six months ended June 30, 2003.
When-Issued and Delayed Delivery Transactions -- The Portfolios may engage in when-issued or delayed delivery transactions. To the extent a Portfolio engages in such transactions, it will do so for the purpose of acquiring securities consistent with its investment objectives and policies and not for the purpose of investment leverage or to speculate on interest rate changes. On the trade date, assets are earmarked on the Portfolio's records in a dollar amount sufficient to make payment for the securities to be purchased. Income is not accrued until settlement date.
Repurchase Agreements -- It is the policy of each Portfolio to required the custodian bank to take possession of, to have legally segregated in the Federal Reserve Book Entry System or to have segregated within the custodian bank's vault, all securities held as collateral in support of repurchase agreement investments. Additionally, procedures have been established by the Portfolios to monitor, on a daily basis, the market value of the repurchase agreement's underlying securities to ensure the existence of a proper level of collateral. If the seller defaults or if bankruptcy proceedings are initiated with respect to the seller, the realization or retention of the collateral may be subject to legal proceedings.
Credit Risk -- The Portfolios may be susceptible to credit risk to the extent the issuer defaults on its payment obligation. The Portfolios' policy is to monitor the creditworthiness of the issuer. Interest accruals on defaulted securities are monitored for the ability to collect payments in default and adjusted accordingly.
Accounting Estimates -- 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 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.
Other -- For financial statement purposes, investment security transactions are accounted for on the trade date. Realized gains and losses from investment transactions are determined on a specific cost identification basis, which is the same basis used for federal income tax purposes.
(3) FEES AND COMPENSATION PAID TO AFFILIATES
Investment Advisory Fees -- Each Portfolio pays Thrivent Financial, the Fund's investment Adviser, a fee for its advisory services. The fees are accrued daily and paid monthly. The fees are based on the following annual rates of average daily net assets:
$0 to Over (M-Millions) $500M $500M - ------------------------------------------------------------- Small Cap Growth Portfolio 1.00% 0.90% Opportunity Growth Portfolio 0.40% 0.40% Mid Cap Select Growth Portfolio 0.90% 0.80% Mid Cap Growth Portfolio 0.40% 0.40% World Growth Portfolio 0.85% 0.85% All Cap Portfolio 0.95% 0.90% Growth Portfolio 0.40% 0.40% Investors Growth Portfolio 0.80% 0.70% Growth Stock Portfolio 0.80% 0.70% Value Portfolio 0.60% 0.60% High Yield Portfolio 0.40% 0.40% Income Portfolio 0.40% 0.40% Limited Maturity Bond Portfolio 0.40% 0.40% Money Market Portfolio 0.40% 0.40%
The following subadvisory fees are charged as part of the total investment advisory fees stated in the table above.
The Adviser pays Franklin Advisors, Inc. an annual subadvisory fee for the performance of subadvisory services for the Small Cap Growth Portfolio. The fee payable is equal to 0.60% for the first $200 million, 0.52% for the next $300 million, and 0.50% for average daily net assets over $500 million.
The Adviser pays Massachusetts Financial Services Company (MFS) an annual subadvisory fee for the performance of subadvisory services for the Mid Cap Select Growth Portfolio. The fee payable is equal to 0.475% for the first $100 million, 0.42% for the next $400 million, and 0.35% for average daily net assets over $500 million.
The Adviser pays T. Rowe Price International, Inc. an annual subadvisory fee for the performance of subadvisory services for the World Growth Portfolio. The fee payable is equal to 0.50% of the Portfolio's average daily net assets.
The Adviser pays Fidelity Management & Research Company an annual subadvisory fee for the performance of subadvisory services for the All Cap Portfolio. The fee payable is equal to 0.60% for the first $100 million, 0.55% for the next $400 million, 0.50% for the next $250 million, and 0.45% for average daily net assets over $750 million.
The Adviser pays Massachusetts Financial Services Company an annual subadvisory fee for the performance of subadvisory services for the Investors Growth Portfolio. The fee payable is equal to 0.425% for the first $100 million, 0.40% for the next $400 million, and 0.35% for average daily net assets over $500 million.
The Adviser pays T. Rowe Price Associates, Inc. an annual subadvisory fee for the performance of subadvisory services for the Growth Stock Portfolio. The fee payable is equal to 0.45% for the first $50 million, 0.40% for the next $450 million, and 0.35% for average daily net assets over $500 million.
Other Expenses -- All expenses in excess of each Portfolio's advisory fees are paid or reimbursed to the Fund by Thrivent Financial and Thrivent Life Insurance Company pursuant to an Expense Reimbursement Agreement. The Expense Reimbursement Agreement can be terminated at any time by the mutual agreement of the Fund, Thrivent Financial and Thrivent Life Insurance Company.
The Fund has adopted a director fee deferral plan that allows the independent directors of the Fund to defer the receipt of all or a portion of their director fees. Amounts that are deferred are invested in The Lutheran Brotherhood Family of Funds until distribution in accordance with the plan.
Certain officers and non-independent directors of the Fund are officers of Thrivent Financial; however, they receive no compensation from the Fund.
(4) TAX INFORMATION
Distributions are based on amounts calculated in accordance with the applicable federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America.
At December 31, 2002, the components of distributable earnings on a tax basis were as follows:
Undistributed Undistributed Ordinary Long-Term Portfolio Income Capital Gain - -------------------------------------------------- World Growth $5,007,543 $-- Growth 11,996,303 -- High Yield 3,579,168 -- Limited Maturity Bond 323,859 21,082
At December 31, 2002, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Capital Loss Expiration Portfolio Carryover Year - ------------------------------------------------------------ Small Cap Growth $2,168,894 2010 ============== Opportunity Growth $67,123,059 2009 60,021,339 2010 -------------- $127,144,398 ============== Mid Cap Select Growth $7,818,066 2010 -------------- Mid Cap Growth $62,696,503 2009 75,385,490 2010 -------------- $138,081,993 ============== World Growth $10,531,972 2009 50,319,176 2010 -------------- $60,851,148 ============ All Cap $11,053,085 2010 ============ Growth $304,615,661 2009 893,507,659 2010 -------------- $1,198,123,320 ============== Investors Growth $4,088,965 2010 ============== Growth Stock $1,542,471 2010 ============== Value $5,353,433 2010 ============== High Yield $4,536,501 2006 597,597 2007 14,056,111 2008 288,927,133 2009 184,350,285 2010 -------------- $492,467,627 ============== Income $10,443,655 2008 30,311,285 2010 -------------- $40,754,940 ==============
To the extent that these Portfolios realize future net capital gains, taxable distributions will be reduced by any unused capital loss carryovers.
The following Portfolios deferred, on a tax basis, the following post-October 2002 losses:
Portfolio Post-October Loss - --------------------------------------------- Small Cap Growth $43,539 Opportunity Growth 21,027,621 Mid Cap Select Growth 524,016 Mid Cap Growth 17,366,195 World Growth 8,310,853 All Cap 3,809,965 Growth 62,967,868 Investors Growth 667,316 Growth Stock 489,109 Value 7,664,025 High Yield 297,947,945 Income 655,350
These amounts are deferred and deemed to occur in the next fiscal year.
The tax character of distributions paid during the years ended December 31, 2002 and 2001 was as follows:
Ordinary Income Long-Term Capital Gain Portfolio 2002 2001 2002 2001 - ------------------------------------------------------------------------------ Opportunity Growth $713,639 $1,231,094 $-- $22,755,810 Mid Cap Select Growth 25,715 -- -- -- Mid Cap Growth 644,695 15,862,793 -- 24,990,469 World Growth 1,948,069 3,773,803 -- 39,396,536 All Cap 36,709 -- -- -- Growth 16,584,638 364,496,454 -- 553,668,025 Investors Growth 24,426 -- -- -- Growth Stock 65,264 -- -- -- Value 936,442 -- -- -- High Yield 100,481,777 142,570,759 -- -- Income 63,207,158 71,970,016 -- -- Limited Maturity Bond 3,058,092 55,051 -- -- Money Market 5,398,258 13,876,143 -- --
At June 30, 2003, the gross unrealized appreciation and depreciation of investments were as follows:
Net Unrealized Federal Unrealized Unrealized Appreciation Portfolio Tax Cost Appreciation (Depreciation) (Depreciation) - ------------------------------------------------------------------------------ Small Cap Growth $22,647,529 $2,236,050 $(2,190,930) $45,120 Opportunity Growth 208,051,054 29,863,041 (18,308,637) 11,554,404 Mid Cap Select Growth 17,595,327 2,761,546 (455,245) 2,306,301 Mid Cap Growth 363,815,652 58,574,366 (32,139,749) 26,434,617 World Growth 396,438,702 20,715,711 (81,984,067) (61,268,356) All Cap 36,040,431 3,087,205 (692,289) 2,394,916 Growth 2,294,226,085 135,644,161 (204,335,910) (68,691,749) Investors Growth 26,742,156 2,269,471 (185,490) 2,083,981 Growth Stock 43,203,807 4,172,140 (1,189,146) 2,982,994 Value 150,255,986 9,647,278 (3,823,509) 5,823,769 High Yield 840,866,339 60,285,198 (122,256,154) (61,970,956) Income 1,150,630,097 61,708,614 (4,806,613) 56,902,001 Limited Maturity Bond 205,397,382 4,358,814 (270,046) 4,088,768 Money Market 337,870,481 -- -- --
(5) INVESTMENT TRANSACTIONS
Purchases and Sales of Investment Securities -- For the year ended December 31, 2002, the cost of purchases and the proceeds from sales of investment securities other than U.S. Government and short-term securities were as follows:
In thousands ----------------------- Portfolio Purchases Sales - ------------------------------------------------- Small Cap Growth $9,330 $9,922 Opportunity Growth 140,591 152,138 Mid Cap Select Growth 16,315 17,188 Mid Cap Growth 147,194 179,499 World Growth 42,451 73,245 All Cap 50,130 52,949 Growth 1,808,571 1,886,902 Investors Growth 52,298 50,701 Growth Stock 20,738 17,932 Value 70,893 50,994 High Yield 530,946 600,920 Income 1,112,055 1,079,412 Limited Maturity Bond 224,976 136,626
Purchases and sales of U.S. Government securities were:
In thousands ----------------------- Portfolio Purchases Sales - ------------------------------------------------- Opportunity Growth $351 $-- All Cap 111 68 Growth 5,191 8,869 Investors Growth 334 331 Growth Stock 177 724 Value 313 630 Income 894,960 917,761 Limited Maturity Bond 147,840 162,604
Investments in Restricted Securities -- The High Yield Portfolio owns restricted securities that were purchased in private placement transactions without registration under the Securities Act of 1933. Unless such securities subsequently become registered, they generally may be resold only in privately negotiated transactions with a limited number of purchasers. The aggregate value of restricted securities was $19,659,742 at June 30, 2003, which represented 2.48% of the net assets of the High Yield Portfolio.
Investments in High Yielding Securities -- The High Yield Portfolio invests primarily in high yielding fixed income securities. All of the other Portfolios, except the Money Market Portfolio, may also invest in high-yielding securities. These securities will typically be in the lower rating categories or will be non-rated and generally will involve more risk than securities in the higher rating categories. Lower rated or unrated securities are more likely to react to developments affecting market risk and credit risk than are more highly rated securities, which react primarily to movements in the general level of interest rates.
Investments in Options and Futures Contracts -- The movement in the price of the instrument underlying an option or futures contract may not correlate perfectly with the movement in the prices of the portfolio securities being hedged. A lack of correlation could render the Portfolio's hedging strategy unsuccessful and could result in a loss to the Portfolio. In the event that a liquid secondary market would not exist, the Portfolio could be prevented from entering into a closing transaction which could result in additional losses to the Portfolio.
Open Option Contracts -- The number of contracts and premium amounts associated with call option contracts written during the six months ended June 30, 2003 were as follows:
Growth Portfolio ----------------------- Number of Premium Contracts Amount - ----------------------------------------------------------- Balance at December 31, 2002 -- $-- Opened 11,676 1,487,102 Closed (8,571) (1,159,251) Expired (1,403) (81,733) Exercised (1,112) (140,955) ------------ ---------- Balance at June 30, 2003 590 $105,163 ============ ========== Income Portfolio ----------------------- Number of Premium Contracts Amount - ----------------------------------------------------------- Balance at December 31, 2002 -- $-- Opened 1,425 729,414 Closed (975) (564,977) Expired (450) (164,437) Exercised -- -- ------------ ---------- Balance at June 30, 2003 -- $-- ============ ==========
(6) CAPITAL STOCK
The shares of each Portfolio have equal rights and privileges with all shares of that Portfolio. Shares in the Fund are currently sold only to separate accounts of Thrivent Financial, Thrivent Life Insurance Company and retirement plans sponsored by Thrivent Financial.
Authorized capital stock consists of two billion shares as follows:
Shares Par Portfolio Authorized Value - ----------------------------------------------- Small Cap 50,000,000 $0.01 Opportunity Growth 100,000,000 0.01 Mid Cap Select Growth 50,000,000 0.01 Mid Cap Growth 100,000,000 0.01 World Growth 100,000,000 0.01 All Cap 50,000,000 0.01 Growth 350,000,000 0.01 Investors Growth 50,000,000 0.01 Growth Stock 50,000,000 0.01 Value 50,000,000 0.01 High Yield 300,000,000 0.01 Income 200,000,000 0.01 Limited Maturity Bond 50,000,000 0.01 Money Market 500,000,000 0.01
Transactions in capital stock were as follows:
Portfolios --------------------------------------------------------------------------------- Small Cap Opportunity Mid Cap Growth Growth Select Growth ------------------------ ------------------------- -------------------------- Year Ended December 31, 2002 Shares Amount Shares Amount Shares Amount - ------------------------ ----------- ----------- ----------- ----------- ----------- ----------- Sold 2,342,249 $23,139,294 680,337 $5,211,960 2,692,023 $22,948,695 Dividends and distributions reinvested -- -- 77,081 713,639 2,752 25,715 Redeemed (242,237) (1,737,377) (7,822,236) (63,011,541) (319,010) (1,753,280) ----------- ----------- ----------- ----------- ----------- ----------- Net change 2,100,012 $21,401,917 (7,064,818) $(57,085,942) 2,375,765 $21,221,130 =========== =========== =========== =========== =========== =========== Six Months Ended June 30, 2003 - ------------------------ Sold 527,911 $4,257,683 1,082,703 $7,810,322 570,907 $3,644,545 Redeemed (610,560) (5,283,648) (2,254,981) (15,368,285) (674,941) (4,629,262) ----------- ----------- ----------- ----------- ----------- ----------- Net change (82,649) $(1,025,965) (1,172,278) $(7,557,963) (104,034) $(984,717) =========== =========== =========== =========== =========== ===========
Portfolios --------------------------------------------------------------------------------- Mid Cap World Growth Growth All Cap ------------------------ ------------------------- -------------------------- Year Ended December 31, 2002 Shares Amount Shares Amount Shares Amount - ------------------------ ----------- ----------- ----------- ----------- ----------- ----------- Sold 2,339,023 $24,915,738 2,128,501 $17,255,556 5,320,519 $48,505,799 Dividends and distributions reinvested 53,297 644,695 203,049 1,948,069 3,838 36,709 Redeemed (7,410,054) (74,456,523) (6,988,840) (59,967,529) (343,894) (2,215,866) ----------- ----------- ----------- ----------- ----------- ----------- Net change (5,017,734) $(48,896,090) (4,657,290) $(40,763,904) 4,980,463 $46,326,642 =========== =========== =========== =========== =========== =========== Six Months Ended June 30, 2003 - ------------------------ Sold 1,596,978 $16,558,206 2,513,917 $20,660,437 767,348 $4,966,529 Dividends and distributions reinvested -- -- 671,694 5,007,543 -- -- Redeemed (2,866,782) (27,926,206) (3,404,593) (27,209,167) (758,703) (4,872,700) ----------- ----------- ----------- ----------- ----------- ----------- Net change (1,269,804) $(11,368,000) (218,982) $(1,541,187) 8,645 $93,829 =========== =========== =========== =========== =========== ===========
Portfolios ---------------------------------------------------------------------------------- Investors Growth Growth Growth Stock ------------------------ ------------------------- --------------------------- Year Ended December 31, 2002 Shares Amount Shares Amount Shares Amount - ------------------------ ----------- ----------- ----------- ----------- ----------- ----------- Sold 2,837,266 $31,930,768 2,905,068 $26,524,198 4,403,821 $40,595,011 Dividends and distributions reinvested 1,189,087 16,584,638 3,293 24,427 8,258 65,264 Redeemed (51,858,823) (614,424,695) (192,870) (1,389,673) (297,238) (2,235,732) ----------- ----------- ----------- ----------- ----------- ----------- Net change (47,832,470) $(565,909,289) 2,715,491 $25,158,952 4,114,841 $38,424,543 =========== =========== =========== =========== =========== =========== Six Months Ended June 30, 2003 - ------------------------ Sold 14,772,893 $163,412,406 730,207 $5,707,840 1,100,965 $9,008,483 Dividends and distributions reinvested 1,168,217 11,996,303 -- -- -- -- Redeemed (19,573,926) (210,294,912) (614,021) (5,083,443) (677,373) (5,588,662) ----------- ----------- ----------- ----------- ----------- ----------- Net change (3,632,816) $(34,886,203) 116,186 $624,397 423,592 $3,419,821 =========== =========== =========== =========== =========== ===========
Portfolios ----------------------------------------------------------------------------------- High Value Yield Income ------------------------ ------------------------- ---------------------------- Year Ended December 31, 2002 Shares Amount Shares Amount Shares Amount - ------------------------ ----------- ----------- ----------- ----------- ----------- ----------- Sold 11,686,332 $110,356,494 3,032,497 $13,067,068 3,033,459 $26,749,701 Dividends and distributions reinvested 120,742 936,441 20,693,319 100,481,777 6,486,996 63,207,158 Redeemed (209,073) (1,680,427) (46,363,322) (216,802,601) (17,849,648) (170,494,676) ----------- ----------- ----------- ----------- ----------- ----------- Net change 11,598,001 $109,612,508 (22,637,506) $(103,253,756) (8,329,193) $(80,537,817) =========== =========== =========== =========== =========== =========== Six Months Ended June 30, 2003 - ------------------------ Sold 6,322,557 $52,655,853 2,475,016 $11,717,798 1,561,918 $15,883,023 Dividends and distributions reinvested -- -- 7,879,429 36,538,512 2,596,644 26,070,630 Redeemed (583,881) (4,564,406) (12,817,560) (58,832,557) (9,152,808) (91,858,905) ----------- ----------- ----------- ----------- ----------- ----------- Net change 5,738,676 $48,091,447 (2,463,115) $(10,576,247) (4,994,246) $(49,905,252) =========== =========== =========== =========== =========== =========== Portfolios ------------------------------------------------------- Limited Maturity Money Bond Market ------------------------ ---------------------------- Year Ended December 31, 2002 Shares Amount Shares Amount - ------------------------ ----------- ----------- ----------- ----------- Sold 14,178,737 $141,837,680 65,513,590 $65,513,590 Dividends and distributions reinvested 304,614 3,058,092 5,398,258 5,398,258 Redeemed (965,834) (9,702,913) (159,713,793) (159,713,793) ----------- ----------- ----------- ----------- Net change 13,517,517 $135,192,859 (88,801,945) $(88,801,945) =========== =========== =========== =========== Six Months Ended June 30, 2003 - ------------------------ Sold 5,295,248 $54,157,793 129,523,392 $129,523,392 Dividends and distributions reinvested 290,251 2,970,076 1,480,029 1,480,029 Redeemed (2,294,918) (23,392,577) (111,252,247) (111,252,247) ----------- ----------- ----------- ----------- Net change 3,290,581 $33,735,292 19,751,174 $19,751,174 =========== =========== =========== ===========
(7) FORWARD CURRENCY CONTRACTS
As of June 30, 2003 the World Growth Portfolio had entered into forward foreign currency contracts, as summarized below, resulting in net unrealized appreciation of $1,055:
Unrealized Expiration Contract Market Value Appreciation/ Currency Purchased Date Quantity Amount at End of Period (Depreciation) - ------------------------------------------------------------------------------------------ euro (EUR) 7/2/03 183,433 $209,565 $210,648 $1,083 Currency Sold - ------------------ Japanese Yen (JPY) 7/2/03 25,166,953 209,565 209,593 (28) ---------- TOTAL $1,055 ==========
(8) LINE OF CREDIT
The LB Series Fund, Inc., along with the AAL Variable Product Series Fund, Inc., The Lutheran Brotherhood Family of Funds, and The AAL Mutual Funds are party to an unsecured $75 million bank line of credit agreement with State Street Bank and Trust Company. Borrowings under the agreement would bear interest at the Federal Funds rate plus 0.50%. The Funds are allowed to borrow money for temporary or emergency purposes to fund shareholder redemptions. The Portfolios did not borrow against the line during the six months ended June 30, 2003.
LB Series Fund, Inc. Financial Highlights Small Cap Growth Portfolio Opportunity Growth Portfolio - -------------------------------------------------------------------------------------------------------------- Six Months Six Months Ended Year Period Ended Year Year For a share outstanding 6/30/03 Ended Ended 6/30/03 Ended Ended throughout each period (a) (unaudited) 12/31/2002 12/31/2001(f) (unaudited) 12/31/2002 12/31/2001 - -------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $7.70 $10.55 $10.00 $6.95 $10.21 $13.25 Income from Investment Operations Net investment income/ (loss) (0.02) (0.04) (0.01) -- -- 0.02 Net realized and unrealized gain/(loss) on investments (b) 1.14 (2.81) 0.56 1.10 (3.24) (2.36) Total from Investment Operations 1.12 (2.85) 0.55 1.10 (3.24) (2.34) Less Distributions from Net investment income -- -- -- -- (0.02) (0.04) Net realized gains on investments -- -- -- -- -- (0.66) Total Distributions -- -- -- -- (0.02) (0.70) Net Asset Value, End of period $8.82 $7.70 $10.55 $8.05 $6.95 $10.21 Total return (c) 14.58% (27.02)% 5.50% 15.81% (31.77% (18.01% Net assets, end of period (in millions) $22.6 $20.3 $5.7 $218.4 $196.8 $361.1 Ratio of expenses to average net assets (d) 1.00% 1.00% 1.00% 0.40% 0.40% 0.40% Ratio of net investment income/(loss) to average net assets (d) (0.56)% (0.52)% (0.74)% (0.11)% (0.05)% 0.19% Portfolio turnover rate 40% 29% 0% 75% 130% 138% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 1.20% 1.11% 0.48% 0.47% 1.24% 1.02% Ratio of net investment loss to average net assets (d,e) (0.76)% (0.63)% (0.19)% (0.12)% (0.75)% (0.48% Mid Cap Growth Portfolio - ----------------------------------------------------------------------------------------------------------------- Six Months Ended Year Year Year Year Period For a share outstanding 6/30/03 Ended Ended Ended Ended Ended throughout each period (a) (unaudited) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998(g) - ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $9.63 $13.04 $17.59 $16.62 $11.13 $10.00 Income from Investment Operations Net investment income/(loss) -- -- 0.01 0.07 0.02 0.04 Net realized and unrealized gain/(loss) on investments (b) 1.65 (3.39) (3.39) 2.24 5.49 1.13 Total from Investment Operations 1.65 (3.39) (3.38) 2.31 5.51 1.17 Less Distributions from Net investment income -- (0.02) (0.07) -- (0.02) (0.04) Net realized gains on investments -- -- (1.10) (1.34) -- -- Total Distributions -- (0.02) (1.17) (1.34) (0.02) (0.04) Net Asset Value, End of period $11.28 $9.63 $13.04 $17.59 $16.62 $11.13 Total return (c) 17.16% (26.09)% (19.74)% 13.37% 49.64% 11.62% Net assets, end of period (in millions) $394.3 $348.8 $537.9 $588.6 $271.7 $95.7 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income/(loss) to average net assets (d) (0.06)% (0.06)% 0.12% 0.49% 0.26% 0.64% Portfolio turnover rate 40% 51% 121% 117% 148% 125% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 0.44% 0.45% Ratio of net investment income/ (loss) to average net assets (d,e) (0.10)% (0.11)% Opportunity Growth Portfolio Mid Cap Select Growth Portfolio - -------------------------------------------------------------------------------------------------------------------- Six Months Year Year Year Ended Year Period For a share outstanding Ended Ended Ended 6/30/03 Ended Ended throughout each period (a) 12/31/2000 12/31/1999 12/31/1998 (unaudited) 12/31/2002 12/31/2001(f) - -------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $14.10 $11.06 $11.55 $5.96 $10.60 $10.00 Income from Investment Operations Net investment income/ (loss) 0.04 (0.01) 0.03 (0.01) (0.02) -- Net realized and unrealized gain/(loss) on investments (b) (0.89) 3.05 (0.37) 1.09 (4.60) 0.60 Total from Investment Operations (0.85) 3.04 (0.34) 1.08 (4.62) 0.60 Less Distributions from Net investment income -- -- (0.03) -- -- -- Net realized gains on investments -- -- (0.12) -- (0.02) -- Total Distributions -- -- (0.15) -- (0.02) -- Net Asset Value, End of period $13.25 $14.10 $11.06 $7.04 $5.96 $10.60 Total return (c) (6.05)% 27.55% (2.99)% 18.17% (43.66)% 5.99% Net assets, end of period (in millions) $457.4 $436.9 $372.2 $20.0 $17.6 $6.1 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.90% 0.90% 0.90% Ratio of net investment income/(loss) to average net assets (d) 0.26% (0.09)% 0.30% (0.41)% (0.36)% (0.53)% Portfolio turnover rate 147% 60% 134% 90% 171% 15% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 1.24% 1.02% Ratio of net investment loss to average net assets (d,e) (0.75)% (0.48)% World Growth Portfolio All Cap Portfolio - ---------------------------------------------------------------------------------------------------------------------------------- Six Months Six Months Ended Year Year Year Year Year Ended Year Period For a share outstanding 6/30/03 Ended Ended Ended Ended Ended 6/30/03 Ended Ended throughout each period (a) (unaudited) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998 (unaudited) 12/31/2002 12/31/2001(f) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $8.23 $10.02 $13.83 $16.93 $12.67 $11.12 $6.35 $10.30 $10.00 Income from Investment Operations Net investment income/ (loss) 0.10 0.10 0.07 0.06 0.11 0.12 0.01 (0.01) -- Net realized and unrealized gain/(loss) on investments (b) 0.49 (1.85) (2.81) (2.73) 4.21 1.74 0.50 (3.93) 0.30 Total from Investment Operations 0.59 (1.75) (2.74) (2.67) 4.32 1.86 0.51 (3.94) 0.30 Less Distributions from Net investment income (0.13) (0.04) (0.05) -- (0.06) (0.21) -- -- -- Net realized gains on investments -- -- (1.02) (0.43) -- (0.10) -- (0.01) -- Total Distributions (0.13) (0.04) (1.07) (0.43) (0.06) (0.31) -- (0.01) -- Net Asset Value, End of period $8.69 $8.23 $10.02 $13.83 $16.93 $12.67 $6.86 $6.35 $10.30 Total return (c) 7.33% (17.43)% (21.03)% (16.12)% 34.13% 16.75% 8.12% (38.33)% 3.10% Net assets, end of period (in millions) $339.3 $323.3 $440.0 $561.3 $550.1 $369.7 $38.5 $35.5 $6.4 Ratio of expenses to average net assets (d) 0.85% 0.85% 0.85% 0.85% 0.85% 0.85% 0.95% 0.95% 0.95% Ratio of net investment income/(loss) to average net assets (d) 2.51% 1.08% 0.68% 0.44% 0.89% 1.04% 0.26% (0.18)% (0.36)% Portfolio turnover rate 11% 20% 30% 38% 23% 19% 141% 192% 29% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 0.94% 0.95% 1.08% 1.03 Ratio of net investment income/ (loss) to average net assets (d,e) 2.42% 0.98% 0.13% (0.26)% (a) All per share amounts have been rounded to the nearest cent. (b) The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. (c) Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. (d) Computed on an annualized basis for periods less than one year. (e) Prior to the year ended December 31, 2002, ratios were not calculated due to a contractual arrangement between the Portfolios and the Advisor to reimburse all expenses in excess of Advisory fees. (f) Since Portfolio inception, November 30, 2001. (g) Since Portfolio inception, January 30, 1998.
The accompanying notes to the financial statements are an integral part of this schedule.
Growth Portfolio - ------------------------------------------------------------------------------------------------- Six Months Ended Year Year Year Year Year For a share outstanding 6/30/03 Ended Ended Ended Ended Ended throughout each period (a) (unaudited) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998 - ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $10.62 $15.25 $24.06 $30.24 $23.51 $21.58 Income from Investment Operations Net investment income 0.03 0.07 0.07 0.13 0.11 0.19 Net realized and unrealized gain/(loss) on investments (b) 1.39 (4.63) (4.13) (1.18) 9.14 5.28 Total from Investment Operations 1.42 (4.56) (4.06) (1.05) 9.25 5.47 Less Distributions from Net investment income (0.06) (0.07) (0.05) (0.08) (0.11) (0.19) Net realized gains on investments -- -- (4.70) (5.05) (2.41) (3.35) Total Distributions (0.06) (0.07) (4.75) (5.13) (2.52) (3.54) Net Asset Value, End of period $11.98 $10.62 $15.25 $24.06 $30.24 $23.51 Total return (c) 13.51% (29.99)% (19.13)% (4.95)% 43.61% 28.38% Net assets, end of period (in millions) $2,218.4 $2,004.7 $3,607.7 $4,695.7 $4,913.3 $3,320.0 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets (d) 0.58% 0.48% 0.43% 0.48% 0.45% 0.94% Portfolio turnover rate 81% 83% 94% 108% 124% 152% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 0.42% 0.42% Ratio of net investment income/ (loss) to average net assets (d,e) 0.56% 0.46% High Yield Portfolio - ------------------------------------------------------------------------------------------------- Six Months Ended Year Year Year Year Year For a share outstanding 6/30/03 Ended Ended Ended Ended Ended throughout each period (a) (unaudited) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998 - ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $4.40 $5.41 $6.39 $9.09 $9.16 $10.44 Income from Investment Operations Net investment income 0.24 0.56 0.78 0.99 0.99 0.99 Net realized and unrealized gain/ (loss) on investments (b) 0.50 (1.01) (0.98) (2.70) (0.07) (1.12) Total from Investment Operations 0.74 (0.45) (0.20) (1.71) 0.92 (0.13) Less Distributions from Net investment income (0.23) (0.56) (0.78) (0.99) (0.99) (1.00) Net realized gains on investments -- -- -- -- -- (0.15) Total Distributions (0.23) (0.56) (0.78) (0.99) (0.99) (1.15) Net Asset Value, End of period $4.91 $4.40 $5.41 $6.39 $9.09 $9.16 Total return (c) 17.23% (8.65)% (3.60)% (20.56)% 10.52% (1.50)% Net assets, end of period (in millions) $791.4 $719.9 $1,007.7 $1,150.3 $1,525.7 $1,427.3 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets (d) 10.23% 11.64% 12.95% 12.16% 10.71% 10.04% Portfolio turnover rate 66% 79% 80% 62% 59% 71% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 0.43% 0.43% Ratio of net investment income/ (loss) to average net assets (d,e) 10.20% 11.61% Financial Highlights -- continued Investors Growth Portfolio Growth Stock Portfolio Value Portfolio - ----------------------------------------------------------------------------------------------------------------------------------- Six Months Six Months For a share Ended Year Period Ended Year Period Ended Year Period outstanding throughout 6/30/03 Ended Ended 6/30/03 Ended Ended 6/30/03 Ended Ended each period (a) (unaudited) 12/31/2002 12/31/2001(f) (unaudited) 12/31/2002 12/31/2001(f) (unaudited) 12/31/2002 12/31/2001(f) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $7.40 $10.08 $10.00 $7.79 $10.16 $10.00 $7.74 $10.14 $10.00 Income from Investment Operations Net investment income -- 0.01 -- 0.01 0.01 -- 0.04 0.07 0.01 Net realized and unrealized gain/(loss) on investments (b) 0.96 (2.68) 0.08 1.11 (2.37) 0.16 0.75 (2.39) 0.13 Total from Investment Operations 0.96 (2.67) 0.08 1.12 (2.36) 0.16 0.79 (2.32) 0.14 Less Distributions from Net investment income -- (0.01) -- -- (0.01) -- -- (0.08) -- Net realized gains on investments -- -- -- -- -- -- -- -- -- Total Distributions -- (0.01) -- -- (0.01) -- -- (0.08) -- Net Asset Value, End of period $8.36 $7.40 $10.08 $8.91 $7.79 $10.16 $8.53 $7.74 $10.14 Total return (c) 12.87% (26.53)% 0.89% 14.40% (23.20)% 1.63% 10.12% (22.85)% 1.44% Net assets, end of period (in millions) $28.6 $24.5 $5.9 $45.9 $36.8 $6.2 $153.8 $95.1 $6.9 Ratio of expenses to average net assets (d) 0.80% 0.80% 0.80% 0.80% 0.80% 0.80% 0.60% 0.60% 0.60% Ratio of net investment income to average net assets (d) 0.12% 0.12% 0.05% 0.29% 0.26% 0.37% 1.38% 1.39% 0.87% Portfolio turnover rate 197% 214% 13% 45% 37% 3% 44% 104% -- If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 1.15% 0.90% 0.94% 0.89% 0.72% 0.66% Ratio of net investment income/ (loss) to average net assets (d,e) (0.23)% 0.02% 0.15% 0.17% 1.26% 1.33% Income Portfolio Limited Maturity Bond Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Six Months Six Months For a share Ended Year Year Year Year Year Ended Year Period outstanding throughout 6/30/03 Ended Ended Ended Ended Ended 6/30/03 Ended Ended each period (a) (unaudited) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998 (unaudited) 12/31/2002 12/31/2001(f) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $9.83 $9.80 $9.71 $9.41 $10.21 $9.92 $10.16 $9.91 $10.00 Income from Investment Operations Net investment income 0.23 0.51 0.61 0.64 0.59 0.61 0.15 0.32 0.03 Net realized and unrealized gain/(loss) on investments (b) 0.45 0.03 0.09 0.30 (0.80) 0.29 0.22 0.25 (0.09) Total from Investment Operations 0.68 0.54 0.70 0.94 (0.21) 0.90 0.37 0.57 (0.06) Less Distributions from Net investment income (0.23) (0.51) (0.61) (0.64) (0.59) (0.61) (0.15) (0.32) (0.03) Net realized gains on investments -- -- -- -- -- -- (0.02) -- -- Total Distributions (0.23) (0.51) (0.61) (0.64) (0.59) (0.61) (0.17) (0.32) (0.03) Net Asset Value, End of period $10.28 $9.83 $9.80 $9.71 $9.41 $10.21 $10.36 $10.16 $9.91 Total return (c) 7.01% 5.75% 7.38% 10.36% (2.01)% 9.37% 3.71% 5.78% (0.61)% Net assets, end of period (in millions) $1,147.4 $1,146.3 $1,224.2 $1,095.0 $1,066.0 $1,074.3 $196.6 $159.3 $21.5 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets (d) 4.60% 5.29% 6.12% 6.83% 6.09% 6.06% 2.97% 3.11% 3.24% Portfolio turnover rate 186% 151% 190% 136% 91% 86% 182% 236% 24% If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 0.42% 0.43% 0.47% 0.46% Ratio of net investment income/ (loss) to average net assets (d,e) 4.58% 5.26% 2.90% 3.05% (a) All per share amounts have been rounded to the nearest cent. (b) The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. (c) Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. (d) Computed on an annualized basis for periods less than one year. (e) Prior to the year ended December 31, 2002, ratios were not caluclated due to a contractual arrangement between the Portfolios and the Advisor to reimburse all expenses in excess of Advisory fees. (f) Since Portfolio inception, November 30, 2001. The accompanying notes to the financial statements are an integral part of this schedule. Money Market Portfolio - ------------------------------------------------------------------------------------------------- Six Months Ended Year Year Year Year Year For a share outstanding 6/30/03 Ended Ended Ended Ended Ended throughout each period (a) (unaudited) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998 - ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 Income from Investment Operations Net investment income 0.00 0.01 0.04 0.06 0.05 0.05 Less Distributions from Net investment income 0.00 (0.01) (0.04) (0.06) (0.05) (0.05) Net Asset Value, End of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 Total return (c) 0.47% 1.50% 3.96% 6.21% 4.94% 5.32% Net assets, end of period (in millions) $338.6 $318.9 $407.7 $291.7 $294.9 $193.8 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets (d) 0.94% 1.49% 3.76% 6.03% 4.86% 5.16% Portfolio turnover rate N/A N/A N/A N/A N/A N/A If the adviser had not reimbursed expenses and the Portfolio had not received credits for fees paid indirectly the ratios would have been: Ratio of expenses to average net assets (d,e) 0.45% 0.44% Ratio of net investment income to average net assets (d,e) 0.89% 1.45% (a) All per share amounts have been rounded to the nearest cent. (b) The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. (c) Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. (d) Computed on an annualized basis for periods less than one year. (e) Prior to the year ended December 31, 2002, ratios were not calculated due to a contractual arrangement between the Portfolios and the Advisor to reimburse all expenses in excess of Advisory fees. The accompanying notes to the financial statements are an integral part of this schedule.
LB Series Fund, Inc.
Supplement to Prospectus Dated April 30, 2003
Relating to the Value Portfolio
The paragraph under the heading "Value Portfolio" on page 32 of the Prospectus is deleted and replaced with the following paragraph:
The Value Portfolio is managed by a team of investment professionals from Thrivent Financial.
The date of this Supplement is June 3, 2003.
LB Series Fund, Inc.
Supplement to Prospectus Dated April 30, 2003
1. The second paragraph under the heading "All Cap Portfolio" on page 31 of the Prospectus is deleted and replaced with the following paragraph:
Bahaa W. Fam serves as portfolio manager of the All Cap Portfolio. Mr. Fam has served as the portfolio manager of the All Cap Portfolio since July 1, 2003. He has served as portfolio manager of the Fidelity Focused Stock Fund since October of 2001. He managed the Fidelity Strategic Growth Fund from October 2001 to January 2003. Mr. Fam has been employed by FMR Co. since 1994.
2. The references to Christopher Grisanti under the heading "Small Cap Growth Portfolio" on page 31 of the Prospectus are deleted.
3. The first sentence under the heading "Mortgage-Backed and Asset-Backed Securities" on page 35 of the Prospectus is deleted and replaced with the following sentence:
Each of the Portfolios may invest in mortgage-backed and asset-backed securities.
4. The fourth sentence on the back cover of the Prospectus providing instructions about how to obtain additional information for LB Series Fund, Inc. and its Portfolios is replaced with the following sentence:
You may request a free copy of the Statement of Additional Information, the annual report, or the semi-annual report, or you may make additional requests or inquiries by calling 1-800-847-4836.
The date of this Supplement is July 15, 2003.
LBVIP Variable Annuity Account I
LBVIP Variable Insurance Account
Supplement to Prospectuses and Statements of Additional Information
Dated April 30, 2003
Lutheran Brotherhood Variable Insurance Products Company has changed its name to Thrivent Life Insurance Company. Therefore, the name of the issuer of the Contracts funded by LBVIP Variable Annuity Account I and LBVIP Variable Insurance Account is Thrivent Life Insurance Company.
The date of this Supplement is July 15, 2003.
Please include these Supplements with your Prospectus.
We're Listening to You!
In response to concerns regarding multiple mailings, we are sending one semiannual report for LB Series Fund, Inc. to each household. This consolidation helps reduce printing and postage costs, thereby saving money. If you wish to receive an additional copy of this report, call us toll free at (800) 847-4836.
[GRAPHIC OMITTED: THRIVENT FINANCIAL FOR LUTHERANS TRADEMARK LOGO]
625 Fourth Ave. S, Minneapolis, MN 55415-1665
www.thrivent.com * e-mail: mail@thrivent.com * 800 - THRIVENT (800-847-4836)
[GRAPHIC OMITTED: THRIVENT INVESTMENT MANAGEMENT TRADEMARK LOGO]
625 Fourth Ave. S, Minneapolis, MN 55415-1665
www.thrivent.com * e-mail: mail@thrivent.com * 800 - THRIVENT (800-847-4836)
VP54 8-03
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Reserved.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Reserved
Item 9. Controls and Procedures
(a)(i) The registrant's President and Treasurer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There were no significant changes in registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of the evaluation referenced in (a)(i) above.
Item 10. Exhibits
(a) Not applicable.
(b) Certifications pursuant to Rule 30a-2 under the Investment Company Act of 1940 and 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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.
Date: September 2, 2003 THE LB SERIES FUND, INC. By: /s/ Pamela J. Moret ---------------------------- Pamela J. Moret President
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.
Date: September 2, 2003 By: /s/ Pamela J. Moret ---------------------------- Pamela J. Moret President Date: September 2, 2003 By: /s/ Charles D. Gariboldi ---------------------------- Charles D. Gariboldi Treasurer
CERTIFICATION BY PRESIDENT
I, Pamela J. Moret, certify that:
- I have reviewed this report on Form N-CSR of The LB Series Fund, Inc.;
- Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
- Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
- The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have:
- designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
- evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and
- presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date.
- designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
- The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
- all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and
- any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and
- all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and
- The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Date: September 2, 2003 By: /s/ Pamela J. Moret ---------------------------- Pamela J. Moret President
CERTIFICATION BY TREASURER
I, Charles D. Gariboldi, certify that:
- I have reviewed this report on Form N-CSR of The LB Series Fund, Inc.;
- Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
- Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
- The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have:
- designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
- evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and
- presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date.
- designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
- The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
- all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and
- any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and
- all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and
- The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Date: September 2, 2003 By: /s/ Charles D. Gariboldi ---------------------------- Charles D. Gariboldi Treasurer
CERTIFICATION UNDER SECTION 906 OF SARBANES-OXLEY ACT OF 2002
Name of Registrant: The LB Series Fund, Inc.
In connection with the Report on Form N-CSR for the above-named issuer, the undersigned hereby certify, to the best of her or his knowledge, that:
- The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
- The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer.
Date: September 2, 2003 By: /s/ Pamela J. Moret ---------------------------- Pamela J. Moret President Date: September 2, 2003 By: /s/ Charles D. Gariboldi ---------------------------- Charles D. Gariboldi Treasurer