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: 811-1467 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, Assistant 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: December 31, 2003 Item 1. Report to Stockholders [GRAPHIC OMITTED: Thrivent Investment Management TM] LB Series Fund, Inc. Annual Report December 31, 2003 [GRAPHIC OMITTED: Man, Women and Child reading a paper] 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 Report of Independent Auditors 32 Schedules of Investments Small Cap Growth Portfolio 33 Opportunity Growth Portfolio 36 Mid Cap Select Growth Portfolio 42 Mid Cap Growth Portfolio 45 World Growth Portfolio 51 All Cap Portfolio 55 Growth Portfolio 57 Investors Growth Portfolio 61 Growth Stock Portfolio 64 Value Portfolio 67 High Yield Portfolio 70 Income Portfolio 78 Limited Maturity Bond Portfolio 84 Money Market Portfolio 90 Statement of Assets and Liabilities 94 Statement of Operations 97 Statement of Changes in Net Assets 100 Notes to Financial Statements 103 Financial Highlights Small Cap Growth Portfolio 114 Opportunity Growth Portfolio 115 Mid Cap Select Growth Portfolio 115 Mid Cap Growth Portfolio 114 World Growth Portfolio 115 All Cap Portfolio 115 Growth Portfolio 116 Investors Growth Portfolio 117 Growth Stock Portfolio 117 Value Portfolio 117 High Yield Portfolio 116 Income Portfolio 117 Limited Maturity Bond Portfolio 117 Money Market Portfolio 118 Board of Directors and Officers 124 Supplements to the Prospectus 127 [PHOTO OMITTED: PAMELA J. MORET] Dear Member: We are pleased to provide you with the annual report for the 12 months ended December 31, 2003, for the LB Series Fund, Inc., managed by Thrivent Financial for Lutherans. In this report you will find detailed information about the LB Series Fund, Inc. including summaries prepared by each portfolio manager highlighting performance, market conditions and management strategies during the 12-month period. In addition, Jim Abitz, Thrivent Financial's chief investment officer, reviews the larger economic environment influencing your investment performance in his Economic and Market Overview. In 2003, we experienced significant improvement in the financial markets. This has been a welcome change from the past few years. Sadly, however, this improvement has been overshadowed by a string of disturbing disclosures of inappropriate trading practices in the industry. You can count on us for your investment needs We want our shareholders to know we are committed to operating with integrity and earning and retaining your trust every day. This is especially important as investors' confidence in money managers and fund families is being shaken. At a time when the asset management industry is receiving increased negative attention, we are working hard to protect your interests by continually monitoring and reviewing our practices and seeking to hold ourselves to the high standards you expect. Our practices discourage market timing and late trading There are several ways we protect your interests: (bullet) We do not permit late or after hours trading. Investors must place their orders to buy or sell shares before 4 p.m. EST to receive that day's price. (bullet) We reserve the right to reject purchases we believe could negatively impact our investors. (bullet) Last year, we enhanced our fair value pricing that allows us to factor in events that could affect the valuation of our international stock portfolios. This pricing practice helps eliminate potential arbitrage opportunities for market timers. We're building for the future As we continue to strive to operate our business with integrity, we are working to ensure that we continue to meet your investment needs. Investments play an important role in many members' financial plans. Our mutual fund family and portfolio money management capabilities are being repositioned to better meet members' needs. Our goal is to deliver consistent, competitive investment performance, enhanced shareholder services and a growing business with an excellent reputation. We expect to build on our many strengths while also addressing areas that need improvement. We are developing action steps that, taken together, we expect will benefit contractholders. They include: (bullet) Merging the Series Funds' families and in the process, placing all of the funds under a single Board of Directors (bullet) Thrivent Financial investing $4-5 million to enhance the quality of its portfolio money management capabilities (bullet) Creating new product names using the Thrivent Financial brand (bullet) Expanding our investment product offerings (bullet) Offering greater investment choice through access to an expanded array of money managers Your Thrivent Investment Management representative can be your guide As we build our capabilities, our philosophy is centered firmly on your relationship with your Thrivent Investment Management representative. You can expect regular timely advice about asset allocation, the financial markets and the economy. In a period of improving market conditions, it's often a good idea to review your current investment mix and overall balance. Talk to your Thrivent Investment Management representative today if you have any questions. He or she is there to help and would welcome the chance to do so. Thank you for continuing to turn to us for your financial solutions. Sincerely, /S/ PAMELA J. MORET Pamela J. Moret President LB Series Fund, Inc. [PHOTO OMITTED: JIM ABITZ] Jim Abitz December 31, 2003 Senior Vice President and Chief Investment Officer Economic and Market Overview The nation's financial markets moved solidly into recovery mode over the 12 months ended December 31, 2003, with every major asset class recording gains--many of them substantial. After a stronger fourth quarter in 2002, the markets sank again in early 2003, owing to an anxiety-inducing prelude to war with Iraq. In mid-March of 2003, after it became obvious that war was forthcoming, though with an apparent quick end to the initial conflict, the markets responded with an encouraging and broad-based rebound. Strong corporate profit reports supported and added to stock market gains throughout the summer months as further evidence of a strong economic recovery accumulated. All equity market capitalization ranges flourished in this environment with many smaller, "left-for-dead" technology companies leading the charge. High-quality bonds posted positive, yet tempered, returns in the face of a rising interest rate environment and a renewed economy while high-yield issues recorded hefty gains amid their finest run in several years. U.S. Economy Economic growth, after muddling along at a 1-2% rate, jumped sharply in the summer and fall months punctuated with an extraordinary third quarter 2003 gross domestic product (GDP) year-over-year increase of 8.2%, according to the Commerce Department's revised estimate--the strongest growth rate in nearly 20 years. The improvement was largely attributable to a combination of companies rebuilding depleted inventories and increasing capital expenditures and business investment. Last June, we pointed to weak capital spending and the lack of job growth as key missing pieces from the complete economic puzzle. With a solid pick up in business spending, all eyes have been trained on employment numbers and we have seen some improvement on the margin, backed by evidence such as weekly initial jobless claims having fallen to the lowest level since February of 2001. The net job loss figures, however, are sobering and could impact consumer confidence and the rate of economic growth if they continue to make newspaper headlines. Manufacturing activity has recently expanded, the housing sector continues its strong performance and consumer confidence has been increasingly positive--all key factors in the strong recovery. Inflation and Monetary Policy Inflation has yet to register in this economic recovery, with the exception of the occasional spike in energy prices. On a year-over-year basis, inflation, as measured by the Consumer Price Index, has held steady in the 2% range and shows no imminent signs of accelerating. This low level of inflation is consistent with the Federal Reserve holding market interest rates steady well into 2004. Low interest rates will continue to provide stimulatory fuel for the economy but will likely rise as improved employment and stronger economic growth numbers come in. The current federal funds rate--the rate at which banks charge one another for overnight loans and a barometer of all market interest rates--stands at 1%, a 45-year low. Equity Performance The past 12 months were an exceedingly rewarding period for stock investors, with all market capitalization ranges and investment styles turning in robust returns. The stock rally since late March was dominated by a decided "lower-quality" bias that favored small and out-of-favor firms over larger, more established companies. Technology stocks, the scourge of investors over the past several years, led the rally, as evidenced by the NASDAQ Composite's breathtaking 50.77% total return over the 12-month period ended December 31, 2003. Small company stocks, as measured by the Russell 2000 Index, returned 47.27%, while mid-caps and the S&P MidCap 400 Index gained 35.59%. Larger companies brought up the rear with their proxy, the S&P 500 Index, returning 28.67%. As far as investment styles--value-oriented stocks outperformed growth but this should be discounted as so many growth-oriented technology stocks had fallen in price and were being eyed as cheaper value stocks. International stocks emerged from a long hibernation as Japan's economy showed signs of life and valuations of many European stocks became exceedingly attractive. Morgan Stanley's EAFE Index--a commonly used measure of international stock performance--rose 39.17% over the one-year period. Fixed-Income Performance With a recovering economy and a somewhat more stable geopolitical landscape, higher-quality bonds slowed down from a very strong three-year performance period. The threat of rising interest rates teamed with a much-improved stock market sent investors scrambling for more return potential throughout the last six months of the fiscal year. Corporate bonds, especially those below investment grade, performed best as a result of an improved business climate and company balance sheets holding less debt. The threat of rising interest rates dampened investor enthusiasm for the highest-quality U.S. Treasury securities and government agency debt. For the period, the Lehman Brothers Aggregate Bond Index--a broad barometer of high-quality bond performance--posted a 4.10% total return. The historically wide yield difference between high-yield bonds and U.S. Treasuries attracted sizable inflows into high-yield bond funds and teamed with an improved credit market, produced sizable gains for investors. The Lehman Brothers High Yield Bond Index produced a 28.97% total return over the 12-month period. Outlook Signs have grown increasingly positive and it is obvious that the U.S. economy is in the midst of a firm recovery. With a low interest rate environment and strong productivity and continued economic growth, there is no reason that the economy cannot grow at a 4% rate in 2004. Consumer confidence, while inherently volatile has risen in recent months and experts expect a strong holiday retail season from higher consumer spending. Irritants such as high consumer debt levels and a spike in the personal bankruptcy rate have yet to impact consumer confidence while inflation appears sedate. Lower unemployment rates and job creation are factors that could provide leadership into the next market rally and recent indications are that employment numbers are growing more positive. We expect less robust returns for high-quality bonds in the next six to twelve months as interest rates are set to rise from historically low levels. However, in our view, the Federal Reserve will hold off on significant interest rate increases until the unemployment rate exhibits a convincing downward trend. In our experience, the stock market rarely, if ever, moves upward in a steady way. As an example, the month of September saw a drop in all major equity indexes but shouldn't necessarily be viewed negatively. In our opinion, such consolidation periods are a healthy and necessary part of market rallies as they help prepare for future gains and allow investors on the sideline to reenter the market. This additional demand by investors was one reason the stock market performed so well in October. We expect more periodic pullbacks such as September's as investors occasionally reap profits but remain confident that overall, the market is well positioned for a rewarding 2004. SMALL CAP GROWTH PORTFOLIO [GRAPHIC OMITTED: FRANKLIN TEMPLETON INVESTMENTS] Franklin Advisers, Inc. Portfolio Subadviser 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. Small Cap Growth Portfolio Small company stocks led the equity rally of 2003. For the year ended December 31, 2003, the Small Cap Growth Portfolio returned 43.83% compared to the median return of its Lipper, Inc., peer group of 40.36%. The Portfolio's industry benchmark, the Russell 2000 Growth Index, returned 48.54% over the same period. Small, Low Quality Stocks Soar The first three months of the year were volatile and disappointing for small-cap growth investors as the anticipation of an Iraqi conflict, declining consumer confidence and spending, and unemployment negatively impacted the equity markets and the economy. The rest of 2003 was characterized by equity market appreciation, as small-cap stocks outperformed their larger-cap counterparts for three consecutive quarters, particularly in the second and third quarter. Within the small-cap universe, the smallest stocks, which we define as companies with market capitalizations below $250 million, generally outperformed the companies with market capitalizations between $250 million and $1.5 billion. Because the Portfolio's holdings were concentrated in companies in the $250 million and $1.5 billion market capitalization range, the Portfolio underperformed its benchmark, which had benefited from a higher weighting of the better-performing smallest stocks in the category during the second and third quarter. The Portfolio was also hurt by its underweighted exposure to biotechnology, Internet and communications-related sectors, which rallied strongly after a long period of decline. As we drew closer to the year-end, the domestic economy continued to demonstrate signs of recovery. The Portfolio's significant weighting in technology, transportation, energy, industrial and commercial services contributed favorably to performance against the Portfolios' benchmarks. As the year ended, however, investors became somewhat more cautious due to a weakening dollar, persistently high unemployment, seasonal fears about holiday shopping strength, government budget deficits and a recognition that the economy's torrid second half growth might moderate in 2004. Investor caution combined with a desire by many investors to "book some profits" created several sell-offs and a generally choppy quarter for small-cap stocks. The Portfolio's outperformance during the fourth quarter was a result of its large exposure to technology and industrial companies, which showed strong performance during the quarter. The positive performance of these investments was partially offset by weakness in the Portfolio's financial services investments. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Information Technology 43.2% Industrials 13.0% Health Care 10.5% Consumer Discretionary 9.9% Energy 7.0% Materials 4.6% Financials 4.2% Communications Services 0.8% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 6.8% Common Stocks 93.2% Top 10 Holdings (% of Portfolio) Varian Semiconductor Equipment Associates, Inc. 2.4% Semtech Corporation 2.3% National Instruments Corporation 2.0% Lam Research Corporation 1.8% Minerals Technologies, Inc. 1.7% Landstar System, Inc. 1.7% Integrated Circuit Systems, Inc. 1.5% Forward Air Corporation 1.4% Advanced Fibre Communications, Inc. 1.4% Tektronix, Inc. 1.4% These common stocks represent 17.6% of the total investment portfolio. Footnotes read: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $40,055,728 NAV $11.07 NAV -- High+ 12/30/2003-- $11.21 NAV -- Low+ 3/12/2003-- $6.99 Number of Holdings: 147 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 43.83% 5.01% Outlook We believe we're still in the early stages of an economic expansion and, therefore, the Portfolio will remain aggressively positioned with strong exposure to technology, transportation, energy, industrial and commercial services sectors. We feel good about the market's positioning and prospects. With no ominous signs that inflation will return in the near future, the Federal Reserve will likely error on the side of maintaining low interest rates and preserving liquidity. And, traditionally, election years produce an economic and political atmosphere conducive to small-cap growth. We are making significant efforts to find and invest in companies whose true earnings growth potential, we believe, has yet to be recognized. We continue to search across all sectors for opportunities to invest in rapidly growing small- and mid-cap companies, which tend to show higher growth momentum as the economy picks up. We anticipate maintaining the Portfolio's current sector exposures, as the weightings are consistent with our desired leverage to an economic recovery in the U.S. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Russell Small Cap 2000 Consumer Growth Growth Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2002 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 2003 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 2003 8,822 8,840 10,364 2003 9,224 9,508 10,375 2003 10,029 10,019 10,415 2003 9,558 9,766 10,448 2003 10,569 10,609 10,437 2003 10,958 10,955 10,409 December 31, 2003 $11,074 $11,004 $10,398 Footnotes read: * The Russell 2000 Growth Index is an 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 performance of these indexes does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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, Portfolio Manager The Opportunity Growth Portfolio seeks long-term growth of capital by investing primarily in a diversified portfolio of smaller capitalization common stocks. As uncertainty surrounding the Iraq war dissipated and as signs of an economic recovery materialized, small-company growth investors began to realize impressive returns. For the 12-month period ended December 31, 2003, the Opportunity Growth Portfolio produced a 42.35% return, while its Lipper, Inc., peer group of similar small-cap growth funds returned a median of 40.36%. The Portfolio's previous market benchmark, the small company Russell 2000 Index, returned 47.27%, while the Portfolio's current market benchmark, the Russell 2000 Growth Index, returned 48.54%. 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. Micro Caps Maximize Opportunity In general, small-cap growth companies have greater exposure to an economic recovery and, therefore, greater earnings leverage when the economy begins to heat up. For the majority of 2003, economic conditions were ideal for small-caps, but not before the markets bottomed out in March and early April. Once the Iraq war began, however, the cycle reversed itself and positive economic news combined with improved consumer confidence to spur a rally that persevered throughout 2003. After months of trepidation, investors eagerly welcomed these developments as the high-yield markets improved and the smallest of the small-caps, "micro-caps", surged. The technology sector was the primary beneficiary of this rally due to the fact that it had been perhaps most adversely affected by the long-standing bear market. Rather than going out of business, many of the small-cap names secured financing and the elusive liquidity returned. The Portfolio's relative underperformance to that of its current market benchmark, the Russell 2000 Growth Index, can be traced to this micro-cap phenomenon. While the Russell 2000 Growth Index typically includes a large proportion of micro-cap names, institutional investors usually maintain only limited exposure to such stocks. The Portfolio's repositioning in November 2002, however, allowed the Portfolio some exposure to this strong micro-cap move. The Portfolio's strong returns were paced by exceptional performance in traditional growth sectors including technology, telecommunications and consumer. In the fourth quarter, non-traditional growth sectors including energy and basic materials also augmented the Portfolio's performance. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Information Technology 34.5% Health Care 20.0% Consumer Discretionary 16.4% Industrials 8.8% Financials 7.6% Energy 4.5% Communications Services 1.7% Consumer Staples 1.4% Materials 1.1% Utilities 0.7% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 3.3% Common Stocks 96.7% Top 10 Holdings (% of Portfolio) Engineered Support Systems, Inc. 0.8% Ethan Allen Interiors, Inc. 0.8% Getty Images, Inc. 0.8% Cost Plus, Inc. 0.8% Affiliated Managers Group, Inc. 0.7% C.H. Robinson Worldwide, Inc. 0.7% St. Mary Land & Exploration Company 0.7% Caremark Rx, Inc. 0.7% First Financial Bankshares, Inc. 0.7% Forward Air Corporation 0.7% These common stocks represent 7.4% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $268,847,344 NAV $9.89 NAV -- High+ 12/1/2003-- $10.15 NAV -- Low+ 3/12/2003-- $6.14 Number of Holdings: 329 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 5-Year 1/18/1996 - ----------------------------------------------------------- 42.35% -0.93% 1.36% Outlook We believe we're still in the early stages of an economic expansion and, therefore, the Portfolio will remain aggressively positioned with strong exposure to growth sectors, especially technology. While micro caps may still garner positive growth, we believe it's unlikely that they can match 2003's incredible results in which many doubled, tripled or quadrupled in value. We still believe in the promise of small-caps, however, and will look to move from micro-caps, which are under $500 million, to the small-caps occupying positions of more than$1 billion. These stocks have performed well, but have not experienced the kind of explosive movement that micro-caps have experienced in the last 12 months. The Portfolio will also continue to look for value in the energy, basic materials and industrials sectors, which could provide sustained gains if the economy continues to grow. Overall, for the foreseeable future, we feel good about the market's positioning and prospects. With no ominous signs that inflation will return in the near future, the Federal Reserve will likely error on the side of maintaining low interest rates and preserving liquidity. And, traditionally, election years produce an economic and political atmosphere conducive to small-cap growth. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ 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 10,059 9,917 1996 10,983 10,301 10,091 10,369 1996 11,305 10,511 10,143 10,574 1996 12,594 11,073 10,182 11,386 1996 13,407 11,509 10,202 11,970 1996 12,517 11,036 10,208 11,192 1996 11,446 10,073 10,228 9,826 1996 12,124 10,658 10,248 10,553 1996 13,014 11,075 10,280 11,097 1996 11,982 10,904 10,313 10,618 1996 11,550 11,354 10,332 10,913 1997 11,917 11,651 10,332 11,126 1997 12,155 11,884 10,365 11,404 1997 11,106 11,596 10,397 10,715 1997 9,927 11,049 10,423 9,959 1997 9,499 11,080 10,436 9,844 1997 10,901 12,312 10,430 11,324 1997 11,480 12,840 10,443 11,708 1997 12,078 13,437 10,456 12,308 1997 12,359 13,745 10,476 12,677 1997 13,726 14,751 10,502 13,689 1997 12,912 14,104 10,528 12,866 1997 12,417 14,012 10,521 12,560 1998 12,028 14,257 10,508 12,567 1998 11,665 14,032 10,528 12,399 1998 12,378 15,069 10,547 13,494 1998 12,837 15,690 10,567 14,060 1998 12,880 15,776 10,586 14,146 1998 11,830 14,926 10,606 13,118 1998 11,920 14,957 10,619 13,252 1998 11,019 13,746 10,632 12,146 1998 8,646 11,076 10,645 9,342 1998 9,291 11,943 10,658 10,289 1998 9,854 12,431 10,684 10,826 1998 10,534 13,082 10,684 11,665 1999 11,668 13,892 10,678 12,721 1999 11,498 14,077 10,704 13,293 1999 10,392 12,936 10,717 12,077 1999 10,573 13,138 10,749 12,507 1999 10,799 14,315 10,827 13,612 1999 11,224 14,524 10,827 13,634 1999 11,969 15,181 10,827 14,352 1999 11,960 14,765 10,860 13,908 1999 11,452 14,219 10,886 13,388 1999 11,776 14,221 10,938 13,646 1999 11,856 14,280 10,958 13,995 1999 12,941 15,132 10,964 15,475 2000 14,882 16,845 10,964 18,203 2000 14,215 16,574 10,990 18,033 2000 16,935 19,310 11,055 22,229 2000 16,117 18,038 11,147 19,893 2000 14,719 16,952 11,153 17,884 2000 13,746 15,964 11,160 16,318 2000 15,624 17,356 11,225 18,426 2000 14,536 16,797 11,244 16,847 2000 16,497 18,079 11,257 18,619 2000 16,011 17,547 11,316 17,694 2000 15,373 16,764 11,336 16,258 2000 12,846 15,043 11,342 13,306 2001 13,982 16,335 11,336 14,120 2001 14,000 17,186 11,407 15,263 2001 12,119 16,059 11,453 13,171 2001 10,856 15,273 11,479 11,973 2001 12,030 16,468 11,524 13,439 2001 12,182 16,873 11,577 13,750 2001 12,303 17,455 11,596 14,125 2001 11,863 16,511 11,564 12,920 2001 11,194 15,977 11,564 12,114 2001 9,541 13,827 11,616 10,159 2001 10,326 14,636 11,577 11,136 2001 10,945 15,768 11,557 12,066 2002 11,464 16,741 11,511 12,817 2002 11,038 16,567 11,538 12,361 2002 10,422 16,113 11,583 11,561 2002 11,095 17,409 11,648 12,566 2002 10,692 17,567 11,713 12,294 2002 10,200 16,787 11,713 11,575 2002 9,385 15,955 11,720 10,594 2002 8,136 13,545 11,733 8,965 2002 8,148 13,512 11,772 8,961 2002 7,567 12,541 11,792 8,314 2002 7,874 12,944 11,821 8,735 2002 8,456 14,099 11,821 9,600 2003 7,822 13,315 11,795 8,938 2003 7,520 12,949 11,847 8,696 2003 7,287 12,557 11,938 8,464 2003 7,382 12,719 12,010 8,592 2003 8,003 13,924 11,984 9,405 2003 8,877 15,417 11,964 10,465 2003 9,059 15,697 11,977 10,666 2003 9,618 16,679 11,991 11,473 2003 10,149 17,443 12,036 12,089 2003 9,908 17,122 12,075 11,783 2003 10,841 18,559 12,062 12,801 2003 11,238 19,218 12,030 13,218 December 31, 2003 $11,135 $19,609 $12,017 $13,277 Footnotes read: * The Russell 2000 Index is an 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 performance of these indexes does not reflect deductions for fees, expenses or taxes. ** The Russell 2000 Growth Index is an 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 performance of these indexes does not reflect deduction for fees, expenses or taxes. The composition of the Russell 2000 Growth Index serves as a better reflection of the Portfolio's current investment strategy than does the Russell 2000 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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: MFS INVESTMENT MANAGEMENT] Massachusetts Financial Services Company, Portfolio Subadviser 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. Medium-sized growth company stocks turned in very strong performance as an economic recovery teamed with much improved corporate earnings during the 12-month period ended December 31, 2003. In this constructive environment for stocks, the Mid Cap Select Growth Portfolio posted a 37.34% total return as compared to its Lipper, Inc., peer group of similarly managed mid-cap growth portfolios which recorded a 36.59% median total return. The Portfolio's market benchmark, the Russell Midcap Growth Index, ended the identical period with a 42.71% total return. Investors Exhibit Appetite for Risk over Period In the early months of 2003, investors were battered by economic and geopolitical uncertainty. By year-end, however, investors were celebrating 2003 as the first positive year for most stock markets since 1999. The turnaround began in earnest in March and April as it became apparent that the U.S.- and British-led coalition was on the verge of military success in Iraq. Adding in increasingly positive economic numbers and a strong corporate profits recovery, the markets rose dramatically. In the equities markets, the big surprise of 2003 was investors' willingness to take on additional risk. After a brutal three-year equities market decline, many observers, including the management of the Portfolio, believed investors would avoid riskier securities. In fact, it was just the opposite with the relatively low-quality, higher-risk stocks doing the best. Many of these stocks were of companies with substantial debt, lower profit margins and second-tier competitive positioning. In short, investors favored stocks that had fallen the hardest, rather than bidding up industry leaders that had weathered the global downturn relatively well. The Portfolio was largely in line with its Lipper peer group but lagged its market benchmark, primarily due to less exposure to the lower-quality, higher-risk companies described above. In particular, our technology holdings, while providing substantial gains, failed to include some of the rapid rising issues such as Amazon and Nextel. The market benchmark's technology holdings outperformed ours and contributed to our lesser performance. Companies we did own, such as Peoplesoft and Network Associates, failed to perform in line with other technology holdings. Also, the Portfolio's cash position detracted from relative performance as the market index is unmanaged and carried no cash during the sizable market rally. Investments and strong stock selection in the health care sector helped the Portfolio better its peer group as several biotechnology holdings soared after product approvals and industry recoveries. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Information Technology 26.6% Consumer Discretionary 22.1% Health Care 20.7% Industrials 12.5% Communications Services 6.8% Financials 4.4% Energy 3.1% Consumer Staples 0.7% Materials 0.2% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 2.9% Common Stocks 97.1% Top 10 Holdings (% of Portfolio) NTL, Inc. 3.2% Cytyc Corporation 2.4% Invitrogen Corporation 2.1% Millipore Corporation 2.1% Xilinx, Inc. 1.9% American Tower Corporation 1.8% Westwood One, Inc. 1.8% Career Education Corporation 1.6% Getty Images, Inc. 1.6% BJ Services Company 1.6% These common stocks represent 20.1% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $30,457,272 NAV $8.19 NAV -- High+ 12/1/2003-- $8.21 NAV -- Low+ 3/11/2003-- $5.59 Number of Holdings: 102 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 37.34% -9.07% Outlook We will continue to focus on building a diversified Portfolio of many companies and smaller average positions in those companies. We believe this approach offers broad exposure to mid-sized growth companies without taking on inordinate risk. After such a significant and broad stock market recovery as we witnessed in 2003, we expect tempered returns for mid-sized growth companies as many of these stocks have gained sizably in price over the past nine months. Stocks are still poised for gains over the longer term as interest rates remain low, corporate profitability is on the rise and the economy appears poised to continue an upward trajectory. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Mid Cap Russell Select MidCap Consumer Growth Growth Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2002 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 2003 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 2003 7,057 8,947 10,364 2003 7,373 9,267 10,375 2003 7,795 9,777 10,415 2003 7,438 9,588 10,448 2003 7,998 10,361 10,437 2003 8,149 10,638 10,409 December 31, 2003 $8,202 $10,754 $10,398 Footnotes read: * The Russell Midcap Growth Index is an 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. The performance of these indexes does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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 AND ANDREA J. THOMAS] Brian L. Thorkelson (left), and Andrea J. Thomas (right), Portfolio Co-Managers The Mid Cap Growth Portfolio seeks long-term growth of capital by investing primarily in a diversified portfolio of common stocks of companies with medium market capitalizations. Mid-cap growth style investments produced outstanding returns for the 12-month period ended December 31, 2003. The Mid Cap Growth Portfolio posted a 35.92% total return, which was in line with the 35.59% return posted by its previous market benchmark, the S&P MidCap 400 Index, while the Portfolio's current market benchmark, the Russell Midcap Growth Index, returned 42.71%. The Portfolio's Lipper, Inc., peer group of similar mid-cap growth stocks returned 36.59%. 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 Year of the Micro Cap In a year of impressive gains across many sectors and all market capitalization segments, 2003 will go down as the year of the micro caps. These smallest of the small-caps, the under-$500-million stocks, eagerly rode the wave of economic recovery to remarkable gains. Following a three-year period of negative returns, the markets began an upward turn in March of 2003. Investors simultaneously began to gain a comfort level with prospects for economic growth and the viability of many technology sector companies. These companies, which were trading at a level reflective of those expected to go out of business, suddenly rallied and garnered outstanding returns for the remainder of the year. Most institutional investors, however, did not participate in this rally as they typically eschew these low-quality stocks. Of those who had endured micro cap exposure in recent years, most were eager to limit their exposure to this higher risk market capitalization segment-despite the micro caps' growing momentum. While the Mid Cap Growth Portfolio's underweighted stance with regard to micro caps did adversely affect its returns, the Portfolio nonetheless participated in the growth sector's rally and produced impressive gains for mid-cap investors. Several strong-performing sectors and individual stocks led the way in achieving the 35.92% average return. An overweighted position in the high-flying information technology sector helped pace the Portfolio. Positive stock selection in the semiconductor, software, and materials (including metals/mining and chemical industries) were responsible for significant growth. In addition to the Portfolio's underweighted stance on lower quality micro caps, the Portfolio was adversely affected by negative stock selection in the energy, industrials, construction and engineering sectors. The Portfolio's benchmark carried a heavier concentration of the high-flying micro-cap companies and no cash position, which largely explains its higher overall return. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Information Technology 29.3% Consumer Discretionary 20.2% Health Care 19.0% Industrials 9.5% Financials 7.9% Energy 4.8% Materials 2.3% Communications Services 1.5% Utilities 0.8% Consumer Staples 0.8% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 3.9% Common Stocks 96.1% Top 10 Holdings (% of Portfolio) Univision Communications, Inc. 0.9% Gilead Sciences, Inc. 0.8% Coach, Inc. 0.8% Gentex Corporation 0.8% Microchip Technology, Inc. 0.7% Omnicare, Inc. 0.7% Bed Bath & Beyond, Inc. 0.7% Investors Financial Services Corporation 0.7% UTStarcom, Inc. 0.7% Staples, Inc. 0.6% These common stocks represent 7.4% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $478,842,255 NAV $13.08 NAV -- High+ 12/1/2003-- $13.18 NAV -- Low+ 3/11/2003-- $8.94 Number of Holdings: 331 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 5-Year 1/30/1998 - ----------------------------------------------------------- 35.92% 6.47% 7.41% Outlook Overall, we view 2004 with more optimism than many industry observers. Although we agree with the prevailing opinion that returns of more than 30% will likely not be repeated in 2004, we do believe economic conditions could still foster strong growth. Many companies are still in an ideal growth position due to reduced leverage, resulting from low interest rates and leaner operating costs, which are a byproduct of the recent recession. Because these conditions bode well for the growth sectors of the economy, we will keep cash levels low and continue to ride the trends that are working. We will actively seek stocks in healthcare, telecommunications and some of the consumer segments, including broadcasting. While technology appears to be extended, we will look for value in that sector as well as in the market-sensitive (as opposed to interest-rate sensitive) financials. While December ushered in a more normalized return pattern with regard to micro caps, we have taken steps to mitigate the Portfolio's risk and increase its exposure to smaller cap stocks. We believe mid-caps offer an attractive investment option in 2004. With many divergent opinions about short-term economic prospects, mid-caps offer growth potential similar to that of small-caps, while maintaining risk characteristics similar to large-caps. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Russell S&P Mid Cap MidCap MidCap Consumer Growth Growth 400 Price Date Portfolio Index** Index* Index*** - ------------------------------------------------------------------------------ January 18, 1998 10,000 10,000 10,000 10,000 1998 10,732 10,940 10,019 10,829 1998 11,132 11,399 10,037 11,317 1998 11,224 11,554 10,056 11,523 1998 10,650 11,078 10,074 11,005 1998 10,968 11,392 10,087 11,074 1998 10,457 10,904 10,099 10,645 1998 8,344 8,823 10,111 8,664 1998 8,868 9,490 10,124 9,472 1998 9,393 10,189 10,149 10,319 1998 10,084 10,876 10,149 10,834 1999 11,162 12,003 10,142 12,143 1999 11,588 12,362 10,167 11,670 1999 10,939 11,758 10,179 11,059 1999 11,624 12,413 10,210 11,368 1999 12,050 12,978 10,285 12,265 1999 11,920 12,811 10,285 12,318 1999 12,843 13,706 10,285 12,977 1999 12,704 13,269 10,316 12,702 1999 12,487 13,131 10,340 12,266 1999 12,453 13,020 10,390 11,888 1999 13,387 14,026 10,408 12,493 1999 14,357 15,479 10,415 13,149 2000 16,704 18,159 10,415 13,931 2000 16,493 18,155 10,439 13,538 2000 20,549 21,972 10,501 14,486 2000 20,047 21,995 10,588 15,698 2000 18,689 19,860 10,594 15,150 2000 17,859 18,412 10,600 14,961 2000 19,007 20,366 10,662 15,181 2000 18,586 19,076 10,681 15,420 2000 20,821 21,953 10,693 17,142 2000 20,590 20,880 10,749 17,025 2000 19,689 19,451 10,767 16,447 2000 17,733 15,224 10,774 15,206 2001 18,936 16,026 10,767 16,369 2001 19,025 16,941 10,835 16,734 2001 16,177 14,011 10,879 15,779 2001 14,383 12,006 10,903 14,606 2001 16,328 14,007 10,947 16,217 2001 16,313 13,941 10,996 16,594 2001 16,189 13,948 11,015 16,527 2001 15,554 13,008 10,984 16,281 2001 14,564 12,065 10,984 15,749 2001 12,616 10,071 11,033 13,790 2001 13,550 11,129 10,996 14,400 2001 14,654 12,328 10,978 15,471 2002 15,198 12,796 10,934 16,270 2002 14,733 12,381 10,959 16,186 2002 14,118 11,679 11,003 16,205 2002 14,925 12,570 11,064 17,364 2002 14,435 11,905 11,126 17,283 2002 14,065 11,549 11,126 16,991 2002 12,770 10,275 11,132 15,748 2002 11,481 9,277 11,145 14,222 2002 11,397 9,244 11,182 14,294 2002 10,574 8,510 11,201 13,143 2002 11,254 9,169 11,228 13,712 2002 12,062 9,887 11,228 14,504 2003 11,234 9,289 11,204 13,908 2003 11,076 9,198 11,253 13,502 2003 10,971 9,118 11,340 13,181 2003 11,108 9,288 11,408 13,291 2003 11,915 9,920 11,383 14,256 2003 12,958 10,875 11,365 15,436 2003 13,162 11,030 11,377 15,633 2003 13,162 11,030 11,377 15,633 2003 13,562 11,424 11,389 16,188 2003 14,284 12,053 11,433 16,921 2003 13,787 11,820 11,470 16,662 2003 14,888 12,772 11,458 17,922 2003 15,163 13,114 11,427 18,546 December 31, 2003 $15,270 $13,257 $11,414 $18,859 Footnotes read: * The S&P MidCap 400 Index is an 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 performance of the Index does not reflect deductions for fees, expenses or taxes. ** The Russell Midcap Growth Index is an 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. The performance of these indexes does not reflect deductions for fees, expenses or taxes. The composition of the Russell Midcap Growth Index serves as a better reflection of the Portfolio's investment strategy than does the S&P MidCap 400 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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] T. Rowe Price International, Inc., Portfolio Subadviser The World Growth Portfolio seeks long-term growth of capital by investing primarily in a diversified portfolio of common stocks of established, non-U.S. companies.* International stocks posted strong results over the 12-month period ended December 31, 2003 as a global economic recovery took place. The World Growth Portfolio posted a 31.27% total return, lagging its Lipper, Inc., peer group of similarly managed international stock portfolios which returned a median of 33.48%. Over the identical reporting period, Morgan Stanley's EAFE Index, recorded a 39.17% total return. International stocks ended the year in positive territory for the first time since 1999 and outperformed most domestic indexes. Smaller, Lower-Priced Stocks Do Best The nature of the market recovery worked against the larger capitalization and higher quality tilt of the Portfolio as the smallest and least expensive stocks led the charge. The Portfolio's tilt towards less-speculative and higher-quality growth companies was largely responsible for its relative underperformance. The strongest areas for this low-price bias were Japan and the United Kingdom. A typical example can be illustrated in the Portfolio's overweighted position in Sony of Japan. This high-quality consumer discretionary holding lagged smaller, less experienced companies and contributed to our weaker relative performance. A similar phenomena was experienced in Europe where the top performing market was Germany, which was one of the weakest performing countries over the past several years. We preferred France as it appeared to offer more in the way of growth opportunities and certainly many French holdings contributed nicely to the Portfolio's absolute performance, but lacked the punch that German holdings produced. From a sector standpoint, our industry focus on media holdings caused a degree of underperformance in the surging consumer discretionary sector. Reed Elsevier, one of the Portfolio's largest holdings, suffered on concerns that it would miss lofty growth targets for 2004. Utilities holdings provided the most benefit through a combination of being underweight in this more sluggish sector and positive stock selection within the sector. Exposure to several emerging market nations such as India, Turkey, and Brazil also aided performance as the lower-quality international recovery most benefited these less stable but rapidly growing nations. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries (% of Common Stocks) Financials 23.6% Consumer Discretionary 18.1% Communications Services 10.3% Health Care 9.6% Consumer Staples 8.6% Energy 7.7% Information Technology 7.2% Industrials 7.0% Materials 3.8% Utilities 1.6% [GRAPHIC OMITTED: PIE CHART PORTFOLIO COMPOSITION (% OF PORTOFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 2.5% Common Stocks 97.5% Top 10 Countries (% of Portfolio) United Kingdom 24.7% Japan 18.5% France 15.5% Switzerland 6.7% Italy 5.1% Netherlands 4.9% Spain 3.8% Sweden 2.8% Germany 2.4% South Korea 1.7% These common stocks represent 86.1% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Countries excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $420,712,177 NAV $10.62 NAV -- High+ 12/31/2003-- $10.62 NAV -- Low+ 3/12/2003-- $6.86 Number of Holdings: 201 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 5-Year 1/18/1996 - ----------------------------------------------------------- 31.27% -0.75% 3.11% Outlook The global recovery seems to be gaining momentum and non-U.S. companies appear to carry more attractive valuations and possess better earnings potential than their American counterparts. Emerging markets exposure and stock prices remain compelling. The Portfolio's growth orientation has underperformed value stocks for some time, though those valuations have become more attractive. We anticipate our particular investing style -- large, proven growth-oriented companies - -- to gain favor as the lower-quality rally slows. Patient investors in international growth stocks enjoyed fruitful returns in 2003 and could see this particular asset class enjoy a solid relative performance year in 2004 as other asset classes fall from favor. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ World MSCI Consumer Growth EAFE Price Date Portfolio Index** Index*** - ------------------------------------------------------------------------ January 18, 1996 10,000 10,000 10,000 1996 10,014 10,025 10,059 1996 9,988 10,062 10,091 1996 10,113 10,278 10,143 1996 10,370 10,579 10,182 1996 10,351 10,387 10,202 1996 10,483 10,448 10,208 1996 10,152 10,145 10,228 1996 10,305 10,170 10,248 1996 10,548 10,443 10,280 1996 10,495 10,339 10,313 1996 10,980 10,753 10,332 1997 11,041 10,617 10,332 1997 10,886 10,248 10,365 1997 10,998 10,418 10,397 1997 10,982 10,458 10,423 1997 11,051 10,516 10,436 1997 11,754 11,203 10,430 1997 12,256 11,824 10,443 1997 12,585 12,017 10,456 1997 11,449 11,122 10,476 1997 12,212 11,748 10,502 1997 11,322 10,847 10,528 1997 11,291 10,739 10,521 1998 11,351 10,835 10,508 1998 11,754 11,334 10,528 1998 12,440 12,063 10,547 1998 12,869 12,438 10,567 1998 12,970 12,539 10,586 1998 12,946 12,481 10,606 1998 12,942 12,578 10,619 1998 13,101 12,708 10,632 1998 11,499 11,137 10,645 1998 11,242 10,798 10,658 1998 12,240 11,927 10,684 1998 12,799 12,541 10,684 1999 13,251 13,039 10,678 1999 13,120 13,003 10,704 1999 12,888 12,696 10,717 1999 13,410 13,229 10,749 1999 13,907 13,768 10,827 1999 13,275 13,062 10,827 1999 13,781 13,575 10,827 1999 14,042 13,981 10,860 1999 14,197 14,035 10,886 1999 14,279 14,180 10,938 1999 14,750 14,714 10,958 1999 15,780 15,228 10,964 2000 17,774 16,598 10,964 2000 16,675 15,546 10,990 2000 17,580 15,968 11,055 2000 17,766 16,590 11,147 2000 16,775 15,720 11,153 2000 16,176 15,339 11,160 2000 16,975 15,942 11,225 2000 16,419 15,277 11,244 2000 16,812 15,413 11,257 2000 15,761 14,665 11,316 2000 15,158 14,322 11,336 2000 14,378 13,788 11,342 2001 14,909 14,281 11,336 2001 15,077 14,275 11,407 2001 13,744 13,205 11,453 2001 12,685 12,331 11,479 2001 13,708 13,196 11,524 2001 13,105 12,741 11,577 2001 12,566 12,224 11,596 2001 12,274 12,003 11,564 2001 11,967 11,701 11,564 2001 10,727 10,519 11,616 2001 11,058 10,788 11,577 2001 11,528 11,186 11,557 2002 11,774 11,253 11,511 2002 11,211 10,656 11,538 2002 11,330 10,731 11,583 2002 11,933 11,317 11,648 2002 11,856 11,399 11,713 2002 11,865 11,554 11,713 2002 11,378 11,098 11,720 2002 10,100 10,003 11,733 2002 10,071 9,983 11,772 2002 8,929 8,913 11,792 2002 9,570 9,393 11,821 2002 10,117 9,820 11,821 2003 9,721 9,491 11,795 2003 9,285 9,095 11,847 2003 8,955 8,888 11,938 2003 8,740 8,720 12,010 2003 9,687 9,584 11,984 2003 10,271 10,174 11,964 2003 10,433 10,426 11,977 2003 10,592 10,680 11,991 2003 10,859 10,939 12,036 2003 11,089 11,279 12,075 2003 11,668 11,982 12,062 2003 11,909 12,251 12,030 December 31, 2003 $12,761 $13,208 $12,017 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 equity performance of developed countries outside of North America. It is not possible to invest directly in the Index. The performance of the index does not reflect deductions for fees, expenses or taxes. *** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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, Portfolio Subadviser The All Cap Portfolio seeks long-term growth of capital by investing primarily in common stocks of all capitalizations. The 12-month period ended December 31, 2003, marked the return of the stock market to positive territory after three straight years of negative returns. The All Cap Portfolio posted a return of 23.52% over the period while the Portfolio's Lipper, Inc., peer group posted a median return of 29.94%. The Portfolio's industry benchmark, the Russell 3000 Index, returned 31.04% over the same period. Stocks Realize Solid Gains Stocks realized solid gains as investors returned to the equity markets with enthusiasm. Economic growth, tax cuts and low interest rates bolstered investor confidence and fueled a broad-based rally. The Portfolio underperformed both of it benchmarks primarily due to weak stock selection and an underweighting in the top-performing technology sector. Investors' appetite for riskier tech stocks increased amid positive economic signs and rising equity markets. Also hurting relative returns was stock selection in the industrials sector, particularly among defense-related names. Despite growing federal defense spending and the Iraqi war, defense stocks fell during the period. On the plus side, the Portfolio generally owned the right companies in the consumer discretionary sector. Specifically, the Portfolio benefited from its holdings in the homebuilding sector, which continued to be driven by strong home sales and low mortgage rates. Another area of strength was stock selection in the telecommunications sector. Wireless stocks rebounded during the year as business prospects for that industry began to improve. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Financials 19.6% Information Technology 17.1% Health Care 13.7% Industrials 11.1% Consumer Discretionary 10.6% Consumer Staples 10.1% Energy 6.0% Communications Services 3.4% Materials 3.0% Utilities 2.7% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 2.7% Common Stocks 97.3% Top 10 Holdings (% of Portfolio) General Electric Company 3.8% Golden West Financial Corporation 2.5% Fidelity National Financial, Inc. 2.5% Countrywide Financial Corporation 2.4% Occidental Petroleum Corporation 2.3% Estee Lauder Companies 2.3% Western Digital Corporation 2.3% 3M Company 2.2% Pogo Producing Company 2.2% Maxtor Corporation 2.2% These common stocks represent 24.7% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $48,647,837 NAV $7.83 NAV -- High+ 12/29/2003-- $7.86 NAV -- Low+ 3/12/2003-- $5.88 Number of Holdings: 79 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 23.52% -10.95% Outlook We expect to continue to see an economic recovery, but it will be a gradual process with potential dips along the way. Consumers have lost a fair amount of paper wealth during the past several years and many have lost jobs as well. For those finding new jobs, re-employment often occurs at lower compensation levels, which results in less discretionary income available to boost the economy. On the bright side, many corporations have dramatically improved their cost structure during the recent downturn. Resulting profit margin expansion should generate stronger earnings growth once revenues pick up. We continue looking for the best stocks across all sectors, focusing on valuation and growth prospects over an 18- to 24-month time horizon. The Portfolio should benefit from this strategy once investors shift gears and begin to focus more on relative value and long-term growth potential. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Russell Consumer All Cap 3000 Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2002 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 2003 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 2003 6,874 8,967 10,364 2003 6,949 9,172 10,375 2003 7,142 9,375 10,415 2003 7,109 9,274 10,448 2003 7,407 9,835 10,437 2003 7,591 9,970 10,409 December 31, 2003 $7,853 $10,426 $10,398 Footnotes read: * The Russell 3000 Index is an 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. The performance of the index does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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, Portfolio Manager 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. Growth stocks rallied over the 12-month period ended December 31, 2003, primarily due to sales and earnings improvement and positive economic data. The Growth Portfolio returned 30.49% over the period, while the median return of the Portfolio's Lipper, Inc., peer group was 26.98%. The Portfolio's previous market benchmark, the S&P 500, returned 28.67%, while the Portfolio's current benchmark, the Russell 1000 Growth Index, returned 29.75%. 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. Sales and Corporate Earnings Fuel Rally Sales and earnings improvement as well as positive economic data fueled the market recovery in large company growth stocks over the period. Sales and earnings stopped declining from quarter to quarter and falling stock prices abated. In addition, economic data both domestically and worldwide leveled off and started to improve over the period. Information technology was the strongest performer over the period and the Portfolio's overweighting in this sector contributed to the Portfolio's performance against its benchmarks. Also aiding performance was the Portfolio's low cash position. The Portfolio's stock selection in the heath care sector was slightly weak and contributed negatively to performance over the period. The oversold condition of the market since April of 2000 definitely helped to serve as a springboard for equity returns once corporate and economic fundamentals started to improve. Since our Portfolio was aggressively postured going into the rebound, we benefited as the year progressed. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Information Technology 32.5% Health Care 18.6% Consumer Discretionary 15.7% Financials 11.5% Industrials 7.9% Consumer Staples 7.7% Energy 2.9% Communications Services 1.3% Materials 0.5% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 1.1% Common Stocks 98.9% Top 10 Holdings (% of Portfolio) Microsoft Corporation 3.7% Pfizer, Inc. 3.4% Cisco Systems, Inc. 3.3% Intel Corporation 3.2% General Electric Company 2.6% Dell, Inc. 2.0% Amgen, Inc. 1.9% Citigroup, Inc. 1.9% Wal-Mart Stores, Inc. 1.9% Medtronic, Inc. 1.5% These common stocks represent 25.4% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $2,478,756,791 NAV $13.78 NAV -- High+ 12/29/2003-- $13.78 NAV -- Low+ 3/11/2003-- $9.81 Number of Holdings: 218 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 30.49% 0.17% 10.47% Outlook We still feel that large-cap growth stocks will perform well going into 2004 as long as sales, earnings and the economy continue to improve on a year over year basis. Also influencing our positive stance is the fact that interest rates continue to stay low. The equity markets could be construed as being overvalued considering the large run-up last year, but we feel that as long as corporate and economic fundamentals continue to rebound these factors will overshadow valuation concerns. We continue to posture the Portfolio towards sectors and individual companies that tend to outperform during periods of economic recovery and growth and our cash levels remain low. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Russell Consumer 1000 Growth S&P 500 Price Growth Date Portfolio Index* Index*** Index** ----------------------------------------------------------------------------- December 31, 1993 10,000 10,000 10,000 10,000 1994 10,314 10,340 10,027 10,232 1994 10,034 10,059 10,062 10,045 1994 9,548 9,621 10,096 9,559 1994 9,536 9,744 10,110 9,603 1994 9,547 9,904 10,117 9,748 1994 9,222 9,661 10,151 9,460 1994 9,442 9,979 10,178 9,783 1994 9,872 10,388 10,219 10,328 1994 9,712 10,134 10,247 10,188 1994 9,849 10,361 10,254 10,427 1994 9,461 9,984 10,267 10,093 1995 9,534 10,132 10,267 10,262 1995 9,744 10,395 10,309 10,482 1995 10,127 10,800 10,350 10,921 1995 10,416 11,119 10,384 11,239 1995 10,717 11,446 10,418 11,485 1995 11,049 11,904 10,439 11,885 1995 11,532 12,180 10,460 12,344 1995 12,150 12,584 10,460 12,857 1995 12,187 12,616 10,487 12,871 1995 12,568 13,148 10,508 13,464 1995 12,603 13,101 10,542 13,473 1995 13,065 13,676 10,535 13,997 1996 13,087 13,940 10,528 14,077 1996 13,404 14,414 10,590 14,548 1996 13,684 14,548 10,624 14,814 1996 13,731 14,688 10,679 14,833 1996 14,222 14,904 10,720 15,223 1996 14,536 15,289 10,741 15,755 1996 14,346 15,347 10,748 15,777 1996 13,728 14,669 10,768 14,852 1996 14,268 14,978 10,789 15,236 1996 15,136 15,821 10,823 16,345 1996 15,394 16,258 10,857 16,444 1996 16,373 17,486 10,878 17,678 1997 16,060 17,140 10,878 17,332 1997 17,122 18,211 10,912 18,548 1997 16,906 18,354 10,947 18,422 1997 16,110 17,600 10,974 17,425 1997 16,859 18,650 10,988 18,582 1997 18,054 19,786 10,981 19,923 1997 18,822 20,672 10,995 20,721 1997 20,489 22,317 11,008 22,553 1997 19,674 21,067 11,029 21,233 1997 20,763 22,221 11,056 22,278 1997 20,072 21,478 11,084 21,455 1997 20,615 22,473 11,077 22,366 1998 20,906 22,859 11,063 22,617 1998 21,052 23,111 11,084 23,293 1998 22,537 24,778 11,104 25,045 1998 23,674 26,047 11,125 26,043 1998 24,081 26,309 11,145 26,404 1998 23,498 25,857 11,166 25,655 1998 24,399 26,907 11,180 27,226 1998 24,132 26,621 11,193 27,046 1998 20,054 22,772 11,207 22,987 1998 21,572 24,230 11,221 24,752 1998 23,257 26,201 11,248 26,742 1998 24,772 27,789 11,248 28,776 1999 26,839 29,391 11,241 31,371 1999 28,527 30,620 11,269 33,213 1999 27,339 29,668 11,283 31,695 1999 29,072 30,855 11,317 33,365 1999 30,060 32,050 11,399 33,407 1999 29,450 31,293 11,399 32,381 1999 31,575 33,030 11,399 34,649 1999 30,639 31,999 11,433 33,548 1999 30,587 31,841 11,461 34,096 1999 30,704 30,968 11,516 33,379 1999 32,851 32,928 11,536 35,900 1999 34,912 33,597 11,543 37,837 2000 38,543 35,576 11,543 41,773 2000 37,204 33,789 11,571 39,814 2000 40,129 33,149 11,639 41,760 2000 42,372 36,392 11,735 44,749 2000 40,164 35,297 11,742 42,620 2000 38,224 34,573 11,749 40,474 2000 40,821 35,425 11,818 43,541 2000 40,162 34,871 11,838 41,726 2000 43,875 37,037 11,852 45,504 2000 41,388 35,082 11,914 41,200 2000 40,135 34,933 11,934 39,251 2000 35,775 32,179 11,941 33,465 2001 36,635 32,337 11,934 32,406 2001 38,093 33,484 12,010 34,644 2001 33,426 30,431 12,058 28,763 2001 30,739 28,503 12,085 25,633 2001 33,913 30,718 12,133 28,875 2001 33,643 30,924 12,188 28,450 2001 32,711 30,171 12,209 27,791 2001 31,609 29,874 12,174 27,096 2001 28,866 28,004 12,174 24,881 2001 25,655 25,743 12,229 22,396 2001 26,878 26,234 12,188 23,571 2001 29,463 28,246 12,167 25,836 2002 29,626 28,493 12,119 25,787 2002 28,722 28,078 12,147 25,332 2002 27,235 27,536 12,195 24,281 2002 28,509 28,572 12,263 25,120 2002 26,155 26,840 12,332 23,070 2002 25,672 26,642 12,332 22,512 2002 23,412 24,744 12,339 20,429 2002 21,548 22,815 12,353 19,307 2002 21,711 22,966 12,394 19,364 2002 19,617 20,472 12,414 17,356 2002 21,313 22,272 12,445 18,948 2002 22,452 23,582 12,445 19,977 2003 20,741 22,197 12,418 18,597 2003 20,321 21,617 12,473 18,145 2003 20,174 21,292 12,569 18,062 2003 20,558 21,498 12,644 18,398 2003 22,162 23,268 12,617 19,759 2003 23,313 24,493 12,596 20,745 2003 23,544 24,806 12,610 21,030 2003 24,255 25,243 12,624 21,554 2003 24,912 25,735 12,672 22,090 2003 24,466 25,462 12,713 21,854 2003 25,981 26,902 12,699 23,081 2003 26,187 27,138 12,665 23,322 December 31, 2003 $27,064 $28,561 $12,651 $24,129 Footnotes read: * The S&P 500 Index is an 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 performance of the index does not reflect deductions for fees, expenses or taxes. ** The Russell 1000 Growth Index is an 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 performance of these indexes does not reflect deductions for fees, expenses or taxes. The composition of the Russell 1000 Growth Index serves as a better reflection of the Portfolio's current investment strategy than does the S&P 500 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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: MFS INVESTMENT MANAGEMENT] Massachusetts Financial Services Company, Portfolio Subadviser 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. After three straight years of decline, growth stocks finished the 12-month period ended December 31, 2003, with strong gains. The Investors Growth Portfolio provided a 22.75% total return for investors as compared with the median Lipper, Inc., peer group of similarly managed large company growth portfolios which posted a 26.98% median total return. The Portfolio's current market benchmark, the Russell 1000 Growth Index, recorded a 29.75% total return over the identical period, while the Portfolio's previous benchmark, the S&P 500/Barra Growth Index, returned 25.65% 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/Barra Growth Index. Strong Gains across Technology Sector Interestingly, the sector that led into the three-year downturn was the most robust in leading the way back. Technology stocks bounced back with a vengeance as stabilization in corporate demand for networking and storage gear, together with tremendous consumer demand for electronics products such as laptop computers, flat panel displays and wireless handsets, produced overwhelmingly positive earnings revisions. Consequently, stock prices appreciated across the sector. Each of the 13 sectors we track registered gains over the year with the previously beleaguered utilities and communications sectors providing solid advances. The Portfolio benefited from stockpicking in the health care sector, as we managed to avoid many of the very largest pharmaceutical companies on the premise of their tangles with patent expirations on key products and a dearth of new drugs in the development pipeline. This strategy helped us dodge companies such as Johnson & Johnson and Merck, which finished the year flat. Instead we focused on select biotechnology stocks that we believed would offer stronger sustainable growth. To this end, holdings such as Genentech and Amgen provided excellent benefits to the Portfolio. The Portfolio's performance was hampered, and ultimately underperformed its benchmarks, by a relatively underweighted position to the resurgent technology sector as compared to our peers and market benchmark. Strong gains from chip maker Analog Devices and storage software provider Veritas Software failed to completely make up for holding lighter positions in semiconductor companies such as Intel and Texas Instruments. Also detracting from performance was weaker stock selection in the industrial goods and services areas, where aerospace and defense firm Northrup Grumman disappointed because of a number of one-time charges that masked what was otherwise a good operating performance. Additionally, a cash position used to buy new holdings proved disadvantageous in comparison with our benchmark, as the unmanaged index had no cash position in the sharply rising market. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Information Technology 25.8% Consumer Discretionary 20.6% Health Care 19.0% Financials 10.8% Industrials 10.5% Consumer Staples 6.2% Communications Services 2.0% Materials 0.8% Energy 0.7% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 3.6% Common Stocks 96.4% Top 10 Holdings (% of Portfolio) Microsoft Corporation 3.8% Cisco Systems, Inc. 3.2% Pfizer, Inc. 2.8% Intel Corporation 2.7% Tyco International, Ltd. 2.4% Johnson & Johnson 2.2% General Electric Company 2.2% Dell, Inc. 2.1% American International Group, Inc. 2.1% Target Corporation 1.8% These common stocks represent 25.3% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Composition (% of Portfolio) Portfolio Facts December 31, 2003 Net Assets $39,121,171 NAV $9.08 NAV -- High+ 12/29/2003-- $9.09 NAV -- Low+ 3/11/2003-- $6.89 Number of Holdings: 122 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 22.75% -4.43% Outlook The extent of 2003's rally is unlikely to repeat in 2004. Many factors came to a head to back the very strong stock rally: decisiveness in the war with Iraq, a corporate profits recovery, better economic news and lower prices on many company stocks. 2004 is likely to provide tempered returns stemming from solid earnings, a continued, but slower-growing economy and higher overall stock valuations. As always, we believe an allocation to large-company growth stocks is an excellent way to generate attractive, long-term results. Growth stocks can be volatile in shorter periods but provide outstanding exposure to America's largest and most innovative companies. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Russell S&P Investors 1000 500/Barra Consumer Growth Growth Growth Price Date Portfolio Index*** Index** Index* - ---------------------------------------------------------------------------- November 30, 2001 10,000 10,000 10,000 10,000 2002 10,089 10,015 9,961 9,981 2002 9,758 9,999 9,983 9,805 2002 9,456 9,704 10,023 9,398 2002 9,875 9,936 10,079 9,723 2002 9,258 9,225 10,135 8,929 2002 9,073 9,046 10,135 8,714 2002 8,367 8,320 10,141 7,907 2002 7,782 7,921 10,152 7,473 2002 7,839 7,970 10,186 7,495 2002 7,195 7,146 10,203 6,718 2002 7,687 7,806 10,228 7,334 2002 8,019 8,185 10,228 7,732 2003 7,412 7,653 10,206 7,198 2003 7,253 7,462 10,251 7,023 2003 7,220 7,440 10,330 6,991 2003 7,305 7,590 10,392 7,121 2003 7,854 8,098 10,369 7,648 2003 8,296 8,362 10,353 8,029 2003 8,366 8,514 10,364 8,140 2003 8,554 8,625 10,375 8,343 2003 8,708 8,775 10,415 8,550 2003 8,465 8,748 10,448 8,459 2003 8,876 9,141 10,437 8,934 2003 8,861 9,219 10,409 9,027 December 31, 2003 $9,098 $9,616 $10,398 $9,339 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 a capitalization-weighted index comprised of securities with higher price-to-book ratios 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 Index market capitalization is characterized as "value" and the other half as "growth." It is not possible to invest directly in these Indexes. The performance of these indexes does not reflect deductions for fees, expenses or taxes. *** The Russell 1000 Growth Index is an index comprised of those Russell 1000 Index 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 performance of these indexes does not reflect deductions for fees, expenses or taxes. The composition of the Russell 1000 Growth Index serves as a better reflection of the Portfolio's current investment strategy than does the S&P 500/Barra Growth Index. /1/ Past performance is not an indication of future results. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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] T. Rowe Price Associates, Inc., Portfolio Subadviser The Growth Stock Portfolio seeks long-term growth of capital and, secondarily, to increase dividend income by investing primarily in a diversified portfolio of common stocks of well-established growth companies. Buoyed by an improving economy and corporate profit environment, U.S. stocks rose sharply over the 12-month period ended December 31, 2003. The Growth Stock Portfolio recorded a strong total return of 31.05% over this period, outperforming its Lipper, Inc., peer group of similarly managed large-company growth stock portfolios, which returned a median of 26.98%. The Portfolio's market benchmark, the S&P 500/Barra Growth Index, posted a 25.65% total return over the identical 12 months. Stocks Reverse Course in March The year 2003 began as a continuation of the long bear market but sharply reversed course after the initial war in Iraq got underway with signs of a quick military victory and an end to investor anxiety as to what was to happen. At the same time, in the spring months, economic data greatly improved and corporate profits turned higher boosting stock returns across all market capitalizations and styles. The rally grew in strength, continuing through the end of the reporting period, as investor confidence improved and corporate profitability showed no signs of faltering. The Portfolio provided excellent absolute and relative performance through strong stock selection especially in the rejuvenated biotechnology sector with holdings such as Gilead Sciences and Genentech. Superior security choices in the telecommunications sector also aided performance as many stocks bounced back strongly from a multi-year malaise. Both Vodaphone and Nextel Communications provided top absolute and relative performance for our investors. Health care stocks, as typically more defensive issues, performed less well than more aggressive sectors and the Portfolio's overweighted position looked to be a liability early on. Fortunately, our avoidance of Merck and sale of Schering-Plough early in the year helped steer the Portfolio clear of these pharmaceutical giants which battled stiff competition from generic drug makers and lagged over the period. Weaker stock picking in the explosive information technology sector detracted from the Portfolio's relative returns as choices in the semiconductor and IT services arenas provided excellent absolute returns but trailed other technology stocks. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Consumer Discretionary 21.4% Financials 20.2% Information Technology 18.4% Health Care 15.4% Industrials 6.7% Consumer Staples 5.8% Communications Services 3.9% Energy 3.7% Materials 1.4% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 3.1% Common Stocks 96.9% Top 10 Holdings (% of Portfolio) Citigroup, Inc. 3.7% UnitedHealth Group, Inc. 3.2% Microsoft Corporation 3.1% Pfizer, Inc. 2.6% American International Group, Inc. 2.5% First Data Corporation 1.7% Cisco Systems, Inc. 1.6% Comcast Corporation 1.5% Vodafone Group plc 1.5% Target Corporation 1.5% These common stocks represent 22.9% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $69,665,217 NAV $10.19 NAV -- High+ 12/29/2003-- $10.20 NAV -- Low+ 3/11/2003-- $7.16 Number of Holdings: 116 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 31.05% 1.09% Outlook The global economic landscape continues to gain momentum but chances do not favor a repeat of the robust returns of 2003. While we have high expectations for the first half of 2004, rising interest rates and more difficult year-over-year profit comparisons could limit full year returns. Business conditions for advertising and media companies, as well as select financial and retail stocks whose business strategies make them less vulnerable to a higher interest rate environment, look the most promising and will be highlighted in the Portfolio going forward. As the year unfolds, we believe focus will shift to larger, growth-oriented companies that can produce solid and consistent earnings gains. In our view, these are the companies that can best flourish in a more moderately growing economy. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ S&P Growth 500/Barra Consumer Stock Growth Price Date Portfolio Index** Index* - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2002 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 2003 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 2003 8,929 8,514 10,364 2003 9,103 8,625 10,375 2003 9,255 8,775 10,415 2003 9,157 8,748 10,448 2003 9,605 9,141 10,437 2003 9,724 9,219 10,409 December 31, 2003 $10,229 $9,616 $10,398 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 a capitalization-weighted index comprised of securities with higher price-to-book ratios 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 Index market capitalization is characterized as "value" and the other half as "growth." It is not possible to invest directly in these Indexes. The performance of these indexes does not reflect deductions for fees, expenses or taxes. /1/Past performance is not an indication of future results. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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] Thrivent Financial for Lutherans The Value Portfolio seeks long-term growth of capital by investing primarily in common stocks of large companies that are considered undervalued. Value stocks generated very strong returns over the 12 months ended December 31, 2003. For the period, the Value Portfolio had a return of 27.08%, while the median portfolio of the Lipper, Inc., peer group of large capitalization value portfolios returned a median of 28.21%. During this time, the Portfolio's benchmark, the S&P 500/Barra Value Index, gained 31.76%. Lower Quality Stocks Rally Stocks struggled through the early months of 2003, drifting downward as continued uncertainty about the economy weighed on the market. During this period of declining stock prices, the Portfolio performed well on a relative basis, as a more defensive stance versus our peers was an advantage during this timeframe. Our more defensive posture in the form of less exposure to more economically sensitive cyclical stocks proved correct in early 2003 but held back performance over the entire reporting period. Two areas that negatively impacted the Portfolio were commercial banks and media stocks. There was a large bank merger announced which caused the stock of the acquiring company to soar, along with the stocks of other smaller, lower quality banks. The Portfolio was underweighted in this area, and did not keep pace with the rally in banks. In addition, a general underperformance of the media holdings in the Portfolio hurt the Portfolio relative to the peer group. Over the next several months, the Portfolio was gradually repositioned away from some of the more defensive sectors and into a slightly more pro-cyclical stance in anticipation of a further pick-up in the economy. Weightings were increased in sectors such as industrials and decreased in areas such as health care and consumer staples, which proved advantageous as these more defensive, less cyclical areas were among the weakest performers. Stocks rallied strongly from early March, as economic data points began to show more signs of improvement. During this time, large-cap stocks were up 35 to 45%, with value stocks outperforming growth stocks. The strongest sectors during this period included information technology, materials, consumer discretionary and industrials. The more cyclical areas tended to perform better as the market began anticipating a stronger economy. Overall for the 12-month period, financials were the biggest contributor to Portfolio returns on an absolute basis, as interest rates remained low. Information technology stocks also contributed substantially, as these stocks began to rally as confidence in the economy grew and activity picked up. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Financials 28.8% Consumer Discretionary 11.0% Industrials 10.8% Energy 10.5% Information Technology 9.4% Health Care 6.6% Consumer Staples 6.2% Materials 5.1% Communications Services 4.5% Utilities 3.5% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 3.6% Common Stocks 96.4% Top 10 Holdings (% of Portfolio) Citigroup, Inc. 3.9% Exxon Mobil Corporation 2.6% Bank of America Corporation 2.4% ConocoPhillips Company 2.0% Wells Fargo & Company 1.9% J.P. Morgan Chase & Company 1.6% Hewlett-Packard Company 1.6% American International Group, Inc. 1.5% U.S. Bancorp 1.4% ChevronTexaco Corporation 1.3% These common stocks represent 20.2% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $220,431,619 NAV $9.76 NAV -- High+ 12/30/2003-- $9.83 NAV -- Low+ 3/12/2003-- $7.04 Number of Holdings: 138 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ----------------------------------------------------------- 27.08% -0.26% Outlook Value stocks in nearly all sectors and industries have risen substantially over the past several months as investors have shown their confidence in the economic recovery. Valuations now reflect much higher expectations of strong earnings growth for most companies and the "value" parameters have broadened. What remains to be seen is whether or not those earnings come to fruition. While we remain optimistic for both stocks and the economy, more recently we have reduced the economic sensitivity of the Portfolio slightly toward a more neutral stance. Given that many value stocks are trading at levels that already reflect a fair amount of good news, we continue to look for more evidence of a continued economic expansion in the form of increasing corporate earnings. As always, we continue to search for larger company stocks with valuations that are reasonable given their business outlook, particularly those that will benefit the most as the economy improves. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ S&P 500/Barra Consumer Value Growth Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ November 30, 2001 10,000 10,000 10,000 2002 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 2003 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 2003 8,618 9,021 10,364 2003 8,740 9,222 10,375 2003 8,921 9,421 10,415 2003 8,820 9,250 10,448 2003 9,293 9,882 10,437 2003 9,390 9,971 10,409 December 31, 2003 $9,946 $10,586 $10,398 Footnotes read: * The S&P 500/Barra Value Index is a 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 Index market capitalization is characterized as "value" and the other half as "growth." It is not possible to invest directly in these Indexes. The performance of these indexes does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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 AND MARK L. SIMENSTAD] Paul J. Ocenasek, (left) and Mark L. Simenstad, (right), Portfolio Co-Managers The High Yield Portfolio seeks a higher level of income through investment in a diversified portfolio of high yield securities ("junk bonds") which involve greater risks than higher quality investments. The Portfolio will also consider growth of capital as a secondary objective. A significant improvement in credit conditions fueled outstanding returns for high-yield bonds over the 12-month period ended December 31, 2003. The High Yield Portfolio returned 28.00% for the period while the median return of the Portfolio's Lipper, Inc., peer group returned 23.96%. The Portfolio's broad market benchmark, the Lehman Brothers High Yield Bond Index, returned 28.97% for the same period. Significant Credit Market Improvement The high-yield market enjoyed a tremendous recovery from its depressed condition of one year ago. Declining default rates and a reduction in the number of companies in financial distress led to a dramatic increase in high-yield bond prices. Taking credit risk paid off this year, with the lowest quality CCC rated bonds consistently outperforming the higher quality BB rated bonds. And, the beaten down utility and telecommunication industries far outperformed the rest of the market. The Portfolio's lower concentration in the lowest quality or CCC rated bonds detracted from performance this year and largely explains the Portfolio's underperformance versus its market benchmark. Historically, lower-rated CCC securities have been the most volatile in the high-yield market and the Portfolio prefers higher exposure to the B and BB rated securities as they have a more appealing long term risk versus return profile. However, the Portfolio's above average exposure to preferred securities, which were severely out of favor last year, helped offset this negative. The Portfolio's concentration in high-yield bonds that were once investment grade bonds, as well as the Portfolio's concentration in the utility sector, contributed to the Portfolio's outperformance compared to its Lipper peer group. [GRAPHIC OMITTED: TOP INDUSTRIES] Top Industries Communications Services 22.3% Consumer Cyclical 16.4% Utilities 12.8% Capital Goods 10.4% Basic Materials 8.6% Consumer Noncyclical 7.3% Energy 5.9% Financials 3.2% Technology 3.0% Transportation 2.1% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Long Term Fixed Income 92.2% Preferred Stocks 4.2% Short Term Investments 2.7% Common Stocks 0.9% [GRAPHIC OMITTED: RATINGS DISTRIBUTIONS] Moody's Bond Quality Ratings Distributions Aaa 0.0% Aa 0.0% A 0.0% Baa 6.2% Ba 28.8% B 53.1% Caa 6.9% Ca 1.5% C 0.3% D 0.1% Not Rated 3.1% Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. Portfolio Facts December 31, 2003 Net Assets $851,536,393 NAV $5.14 NAV -- High+ 12/31/2003-- $5.14 NAV -- Low+ 1/2/2003-- $4.40 Number of Holdings: 272 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 28.00% -0.22% 3.56% Outlook Looking forward, fundamental and economic data continue to support a constructive outlook for the high-yield market. The number of defaulting and distressed bonds are declining, profits and Gross Domestic Product are growing and monetary and fiscal stimulus remain intact. We are concerned about the current price of high-yield bonds, though. The high-yield market is trading higher than current fundamentals would suggest and, despite a significant increase in liquidity and access to capital markets, debt burdens of high-yield companies have not eased as much as expected. Despite this, we believe that the high-yield market could remain relatively stable as investors searching for yield continue to invest money into the asset class. Given this outlook, we remain fully invested with a relatively neutral overall Portfolio risk profile. We are underweighted in the highest quality, most interest-rate sensitive, BB sector because of our concerns over rising interest rates as the economy continues to improve. We are also underweighted in the lowest quality CCC sector, believing that this high default rate area of the market is overvalued given the incredible rally these bonds have experienced over the last year. We continue to invest a small amount of the Portfolio in convertible securities in place of the lowest quality CCC rated bonds because convertibles securities offer a better risk/return profile and better liquidity than the lowest quality CCC rated bonds. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Lehman Brothers High High Yield Consumer Yield Bond Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ December 31, 1993 10,000 10,000 10,000 1994 10,309 10,217 10,027 1994 10,272 10,190 10,062 1994 9,882 9,806 10,096 1994 9,755 9,738 10,110 1994 9,804 9,743 10,117 1994 9,846 9,773 10,151 1994 9,774 9,856 10,178 1994 9,850 9,926 10,219 1994 9,799 9,927 10,247 1994 9,827 9,950 10,254 1994 9,617 9,825 10,267 1995 9,561 9,897 10,267 1995 9,592 10,031 10,309 1995 9,966 10,375 10,350 1995 10,065 10,487 10,384 1995 10,313 10,754 10,418 1995 10,533 11,055 10,439 1995 10,584 11,126 10,460 1995 10,919 11,266 10,460 1995 10,966 11,301 10,487 1995 11,070 11,440 10,508 1995 11,122 11,511 10,542 1995 11,251 11,612 10,535 1996 11,434 11,795 10,528 1996 11,700 12,003 10,590 1996 11,998 12,012 10,624 1996 11,883 12,004 10,679 1996 11,963 12,030 10,720 1996 12,097 12,103 10,741 1996 12,000 12,203 10,748 1996 11,915 12,259 10,768 1996 12,106 12,392 10,789 1996 12,520 12,690 10,823 1996 12,485 12,788 10,857 1996 12,615 13,040 10,878 1997 12,764 13,134 10,878 1997 12,917 13,262 10,912 1997 13,106 13,481 10,947 1997 12,688 13,280 10,974 1997 12,690 13,421 10,988 1997 13,176 13,708 10,981 1997 13,554 13,898 10,995 1997 14,020 14,279 11,008 1997 14,066 14,247 11,029 1997 14,503 14,529 11,056 1997 14,375 14,542 11,084 1997 14,421 14,681 11,077 1998 14,563 14,810 11,063 1998 14,872 15,077 11,084 1998 15,078 15,165 11,104 1998 15,276 15,307 11,125 1998 15,217 15,368 11,145 1998 15,164 15,421 11,166 1998 15,238 15,477 11,180 1998 15,332 15,565 11,193 1998 14,094 14,706 11,207 1998 13,885 14,772 11,221 1998 13,594 14,469 11,248 1998 14,269 15,070 11,248 1999 14,344 15,087 11,241 1999 14,659 15,310 11,269 1999 14,546 15,220 11,283 1999 14,813 15,366 11,317 1999 15,404 15,663 11,399 1999 15,163 15,451 11,399 1999 15,323 15,418 11,399 1999 15,365 15,480 11,433 1999 15,217 15,309 11,461 1999 15,104 15,199 11,516 1999 15,064 15,098 11,536 1999 15,403 15,276 11,543 2000 15,853 15,447 11,543 2000 15,941 15,381 11,571 2000 16,361 15,411 11,639 2000 16,036 15,087 11,735 2000 15,678 15,111 11,742 2000 15,253 14,956 11,749 2000 15,468 15,260 11,818 2000 15,342 15,377 11,838 2000 15,233 15,482 11,852 2000 14,825 15,347 11,914 2000 14,019 14,855 11,934 2000 12,543 14,267 11,941 2001 12,593 14,542 11,934 2001 13,733 15,632 12,010 2001 13,704 15,840 12,058 2001 12,969 15,467 12,085 2001 12,543 15,274 12,133 2001 12,660 15,549 12,188 2001 12,178 15,113 12,209 2001 12,200 15,336 12,174 2001 12,335 15,517 12,174 2001 11,434 14,474 12,229 2001 11,778 14,832 12,188 2001 12,138 15,373 12,167 2002 12,135 15,310 12,119 2002 12,327 15,417 12,147 2002 12,033 15,202 12,195 2002 12,246 15,567 12,263 2002 12,355 15,810 12,332 2002 12,141 15,728 12,332 2002 11,287 14,569 12,339 2002 10,784 13,932 12,353 2002 10,874 14,330 12,394 2002 10,668 14,141 12,414 2002 10,481 14,018 12,445 2002 11,116 14,886 12,445 2003 11,086 15,095 12,418 2003 11,394 15,597 12,473 2003 11,599 15,789 12,569 2003 11,926 16,244 12,644 2003 12,521 17,207 12,617 2003 12,610 17,384 12,596 2003 12,996 17,884 12,610 2003 12,872 17,688 12,624 2003 13,060 17,891 12,672 2003 13,405 18,380 12,713 2003 13,705 18,751 12,699 2003 13,854 19,036 12,665 December 31, 2003 $14,189 $19,467 $12,651 Footnotes read: * The Lehman Brothers High Yield Bond Index is an index which measures the performance of fixed-rate non-investment grade bonds. It is not possible to invest directly in the Index. The performance of the index does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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 AND ALAN D. ONSTAD] Michael G. Landreville, (left) and Alan D. Onstad, (right), Portfolio Co-Managers 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. Investors--many of whom were initially attracted to high-grade bonds as a shelter from the volatility of the Iraq War--realized outstanding returns in the 12-month period ended December 31, 2003. During the period, the Income Portfolio posted a tremendous 8.51% rate of return, which more than doubled the 4.10% average return posted by its market benchmark, the Lehman Brothers Aggregate Bond Index. It also outperformed its Lipper, Inc., peer group of similar fixed-income funds, which earned a median of 7.49%. Regaining Lost Ground In 2002, corporate bonds were systematically beaten down as a result of the corporate accounting scandals, a sluggish business environment and an even more listless stock market. In 2003, however, corporate bonds reversed the trend and regained all the ground that was lost last year--and more. Following the well-publicized corporate scandals, many companies began to improve their balance sheets, reduce debt and adopt a more conservative financial structure, which was in stark contrast to recent, more aggressive tactics. These developments coincided with an improving economy, which followed the commencement of hostilities in Iraq, and produced an ideal atmosphere for the growth of corporate bonds. The Portfolio's outperformance, therefore, can be traced to its overweighting in BBB corporate bonds and a tactical weighting in non-investment-grade bonds, although most are higher quality bonds. In addition, the Portfolio held a small portion of the Portfolio in Treasury Inflation Protected Securities (TIPS), which garnered a well-above-average return. The Portfolio's duration was relatively short but had a minimal effect on overall performance. The only impediment to higher absolute returns was the Portfolio's low weighting in mortgage-backed securities, which made a significant rebound from a poor performance in 2002. [GRAPHIC OMITTED: RATINGS DISTRIBUTIONS] Moody's Bond Quality Ratings Distributions Aaa 46.0% Aa 7.6% A 19.4% Baa 20.2% Ba 3.5% B 2.3% Caa 0.2% Ca 0.0% C 0.0% D 0.0% Not Rated 0.8% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Long Term Fixed Income 90.4% Short Term Investments 8.9% Preferred Stocks 0.6% Common Stocks 0.1% Top 10 Holdings (% of Portfolio) Federal National Mortgage Association 4.2% U.S. Treasury Inflation Indexed Bonds 3.9% U.S. Treasury Notes 3.1% Lehman Brothers, Inc. 2.5% Federal National Mortgage Association 1.7% Federal Home Loan Mortgage Corporation 1.3% Chase Credit Card Master Trust 1.2% CalEnergy Company, Inc. 1.2% Student Loan Marketing Association 1.1% Equitable Life Assurance Society USA 1.0% These long term fixed income securities represent 21.2% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $1,067,135,431 NAV $10.20 NAV -- High+ 6/13/2003-- $10.43 NAV -- Low+ 1/2/2003-- $9.76 Number of Holdings: 191 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 8.51% 5.90% 6.45% Outlook While repeating a performance of this magnitude appears unlikely in 2004, the economy continues to show positive signs and, therefore, corporate bonds still offer significant value and growth potential. The Portfolio will remain overweighted in corporate bonds and will maintain both its TIPS position and strategic high-yield position for at least the foreseeable future. No interest rate bet appears likely until we get a better sense of its future direction. We will closely monitor both interest rates and the creation of new jobs as we assess our options in 2004. The confirmation of an economic recovery is often marked by a rise in the creation of new jobs, which signals companies' assurance that increased demand is permanent. The performance of corporate bonds in 2003 vividly illustrates the benefit of patience and a long-term investing perspective. Had the corporate fiascos and subsequent market lows motivated investors to abandon corporate bonds, they would have surrendered an opportunity to benefit from the abundance experienced in 2003. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Lehman Brothers Aggregate Consumer Income Bond Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ December 31, 1993 10,000 10,000 10,000 1994 10,148 10,135 10,027 1994 9,928 9,959 10,062 1994 9,601 9,713 10,096 1994 9,498 9,636 10,110 1994 9,516 9,634 10,117 1994 9,446 9,613 10,151 1994 9,650 9,804 10,178 1994 9,675 9,816 10,219 1994 9,505 9,672 10,247 1994 9,470 9,663 10,254 1994 9,472 9,642 10,267 1995 9,532 9,708 10,267 1995 9,704 9,901 10,309 1995 9,927 10,136 10,350 1995 9,982 10,198 10,384 1995 10,153 10,341 10,418 1995 10,593 10,741 10,439 1995 10,681 10,819 10,460 1995 10,619 10,795 10,460 1995 10,752 10,925 10,487 1995 10,856 11,032 10,508 1995 11,023 11,175 10,542 1995 11,195 11,343 10,535 1996 11,376 11,502 10,528 1996 11,442 11,578 10,590 1996 11,201 11,377 10,624 1996 11,090 11,298 10,679 1996 11,022 11,234 10,720 1996 11,015 11,212 10,741 1996 11,152 11,362 10,748 1996 11,174 11,393 10,768 1996 11,133 11,374 10,789 1996 11,350 11,572 10,823 1996 11,614 11,829 10,857 1996 11,853 12,031 10,878 1997 11,790 11,919 10,878 1997 11,827 11,956 10,912 1997 11,883 11,986 10,947 1997 11,708 11,853 10,974 1997 11,845 12,030 10,988 1997 11,970 12,144 10,981 1997 12,143 12,288 10,995 1997 12,502 12,619 11,008 1997 12,369 12,512 11,029 1997 12,568 12,696 11,056 1997 12,669 12,881 11,084 1997 12,726 12,940 11,077 1998 12,822 13,070 11,063 1998 12,995 13,238 11,084 1998 13,016 13,228 11,104 1998 13,091 13,273 11,125 1998 13,164 13,343 11,145 1998 13,278 13,469 11,166 1998 13,403 13,583 11,180 1998 13,424 13,612 11,193 1998 13,515 13,834 11,207 1998 13,892 14,158 11,221 1998 13,812 14,083 11,248 1998 13,974 14,163 11,248 1999 14,025 14,205 11,241 1999 14,159 14,307 11,269 1999 13,834 14,057 11,283 1999 13,918 14,135 11,317 1999 13,952 14,180 11,399 1999 13,749 14,056 11,399 1999 13,679 14,011 11,399 1999 13,627 13,951 11,433 1999 13,595 13,944 11,461 1999 13,735 14,106 11,516 1999 13,751 14,158 11,536 1999 13,782 14,157 11,543 2000 13,742 14,089 11,543 2000 13,692 14,043 11,571 2000 13,856 14,212 11,639 2000 14,010 14,399 11,735 2000 13,919 14,358 11,742 2000 13,860 14,352 11,749 2000 14,215 14,650 11,818 2000 14,334 14,783 11,838 2000 14,551 14,998 11,852 2000 14,604 15,092 11,914 2000 14,646 15,192 11,934 2000 14,827 15,440 11,941 2001 15,166 15,727 11,934 2001 15,501 15,984 12,010 2001 15,652 16,123 12,058 2001 15,667 16,204 12,085 2001 15,574 16,137 12,133 2001 15,672 16,234 12,188 2001 15,684 16,295 12,209 2001 16,048 16,660 12,174 2001 16,218 16,851 12,174 2001 16,249 17,047 12,229 2001 16,625 17,404 12,188 2001 16,420 17,164 12,167 2002 16,281 17,055 12,119 2002 16,378 17,193 12,147 2002 16,512 17,359 12,195 2002 16,286 17,071 12,263 2002 16,523 17,402 12,332 2002 16,628 17,550 12,332 2002 16,641 17,702 12,339 2002 16,498 17,915 12,353 2002 16,805 18,217 12,394 2002 17,027 18,513 12,414 2002 16,752 18,427 12,445 2002 16,845 18,423 12,445 2003 17,217 18,803 12,418 2003 17,327 18,820 12,473 2003 17,643 19,080 12,569 2003 17,692 19,064 12,644 2003 17,993 19,223 12,617 2003 18,388 19,580 12,596 2003 18,424 19,541 12,610 2003 17,881 18,884 12,624 2003 17,995 19,010 12,672 2003 18,451 19,513 12,713 2003 18,403 19,331 12,699 2003 18,468 19,377 12,665 December 31, 2003 $18,683 $19,574 $12,651 Footnotes read: * The Lehman Brothers Aggregate Bond Index is an 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 performance of the index does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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, Portfolio Manager The Limited Maturity Bond Portfolio seeks a high level of current income consistent with stability of principal. Despite a modest increase in intermediate-term interest rates, the Limited Maturity Bond Portfolio posted exceptional returns in the 12-month period ended December 31, 2003. For the period, the Portfolio produced totals returns of 4.48%, outperforming the 3.35% return of its market benchmark, the Lehman Brothers Government/Corporate 1-5 Year Bond Index and strongly outperforming the 2.77% median return of its Lipper, Inc., Short-Intermediate Investment Grade Debt peer group. Rise of Corporate Bonds Early in 2003, uncertainty about the Iraq War combined with poor economic performance to increase demand for the relative safety of high-grade bonds. As more positive economic signs trickled in and as hostilities commenced in Iraq, optimism that the worst was behind us helped spur outstanding market-wide growth. Corporate bonds were no exception, as they more than regained the ground lost during a dreadful 2002. The renewed financial health of these corporations helped maximize the opportunity provided by the economic recovery. Following the corporate scandals in 2002, many corporations took measures to cleanse their balance sheets and solidify their financial and ethical foundation. The Portfolio's outperformance is clearly tied to the strong showing by corporate bonds. Historically, corporate bond holdings comprise 40-50% of the Portfolio and we maintained that strong position throughout 2003. BBB-rated bonds, in particular, garnered exceptional returns. The Portfolio also benefited from a strategic weighting in high-yield bonds and Treasury Inflation Protected Securities (TIPS), which produced above average returns. While the relatively short duration of the Portfolio didn't greatly affect its relative performance, the Portfolio's emphasis on higher quality bonds did inhibit its ability to achieve even greater returns. Lower-quality names across the entire market, including lower-rated corporate bonds, enjoyed robust performance throughout 2003. [GRAPHIC OMITTED: RATINGS DISTRIBUTIONS] Moody's Bond Quality Ratings Distributions Aaa 68.3% Aa 6.3% A 11.1% Baa 11.6% Ba 2.2% B 0.3% Caa 0.0% Ca 0.0% C 0.0% D 0.0% Not Rated 0.2% [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Short Term Investments 9.9% Long Term Fixed Income 90.1% Top 10 Holdings (% of Portfolio) U.S. Treasury Notes 8.7% Federal National Mortgage Association 7.2% Morgan Stanley and Company 7.0% U.S. Treasury Notes 4.3% U.S. Treasury Notes 4.0% U.S. Treasury Notes 3.3% U.S. Treasury Notes 2.1% U.S. Treasury Notes 2.1% Federal Home Loan Mortgage Corporation 2.1% Federal National Mortgage Association 1.7% These long term fixed income securities represent 39.3% of the total investment portfolio. Footnote reads: Quoted Top Industries, Portfolio Composition and Top 10 Holdings are subject to change and percentages shown exclude securities held as collateral for securities loaned. The list of Top 10 Holdings excludes Short Term Investments. Portfolio Facts December 31, 2003 Net Assets $218,773,668 NAV $10.21 NAV -- High+ 6/13/2003-- $10.43 NAV -- Low+ 1/6/2003-- $10.10 Number of Holdings: 153 + For the year ended December 31, 2003 Average Annual Total Returns /1/ December 31, 2003 From Inception 1 Year 11/30/2001 - ------------------------------------------------------------- 4.48% 4.61% Outlook Most indicators appear favorable to continued economic growth. Concerns about unemployment don't always account for historic evidence that unemployment numbers tend to improve long after economic activity has rebounded. We will continue to monitor the progress of the economy and interest rates, which we believe will begin an upward move in the coming months. With that in mind, we will maintain a slightly short-to-neutral duration with a continued overweighting in corporate bonds. In 2004, earning their coupon should be a respectable outcome for corporate bonds. History dictates that a repeat of 2003's returns is unlikely, however. The performance of corporate bonds last year vividly illustrates the benefit of patience and a long-term investing perspective. Had the corporate fiascos and subsequent market lows motivated investors to abandon corporate bonds, they would have surrendered an opportunity to benefit from the abundance experienced in 2003. [GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT] Value of a $10,000 Investment /1/ Lehman Brothers Limited Government/ Maturity Corporate 1-5 Consumer Bond Year Bond Price Date Portfolio Index* Index** - ------------------------------------------------------------------------ November 31, 2001 10,000 10,000 10,000 2002 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 2003 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 2003 10,904 11,244 10,364 2003 10,735 10,973 10,375 2003 10,753 11,021 10,415 2003 10,929 11,264 10,448 2003 10,889 11,186 10,437 2003 10,898 11,204 10,409 December 31, 2003 $10,985 $11,312 $10,398 Footnotes read: * The Lehman Brothers Government/Corporate 1-5 Year Bond Index is an 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 performance of the index does not reflect deductions for fees, expenses or taxes. ** 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, 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: WILLIAM D. STOUTEN] William D. Stouten, Portfolio Manager 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.* Money market yields decreased slightly along with overall short-term market interest rates for the 12-month period ended December 31, 2003. The Money Market Portfolio provided investors with a total return of 0.84%, while the Portfolio's Lipper, Inc., peer group earned a median total return of 0.65%. Federal Reserve Policy With 13 cuts in the federal funds target rate since the beginning of 2001, the overnight federal funds target rate of 1% is now at the lowest level in over 40 years. The Federal Open Market Committee (FOMC) lowered its target for the federal funds rate again during the period due to fears of a falling price environment and lackluster economic reports. In June and July, the tide turned in exactly the opposite direction and rates increased dramatically due to improved economic reports and the fear that interest rates could not possibly stay at a 45-year low for long. Interest rates were essentially range-bound to move only slightly higher for the rest of the year, which provided a more favorable backdrop for money market instruments. The average length of the Portfolio's holdings was shorter than the peer group through most of the period, reflecting our anticipation of better economic news that would steepen the yield curve and allow us to take advantage of higher yields. Fortunately, strong payroll numbers, combined with higher Gross Domestic Product growth rates in the third calendar quarter, provided market optimism. This improved outlook allowed us to take advantage of a steeper yield curve by lengthening our Portfolio in October and again in December to a level more in line with our Lipper peer group, which was the major contributor to our outperformance over the period. [GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION (% OF PORTFOLIO)] Portfolio Composition (% of Portfolio) Commercial Paper 82.9% Variable Rate Notes 8.2% Certificates of Deposit 4.6% U.S. Government 2.5% Medium Term Notes 1.8% Footnote reads: Quoted Portfolio Composition is subject to change. Portfolio Facts December 31, 2003 Net Assets $289,281,921 NAV $1.00 Number of Holdings: 59 Average Annual Total Returns /1/ December 31, 2003 1 Year 5-Year 10-Year - ----------------------------------------------------------- 0.84% 3.47% 4.30% Outlook We expect that the FOMC will raise the overnight federal funds target rate in the coming months when it becomes convinced that the risks to higher than desired growth and a rise in inflation outweigh the risks of a fall in inflation and unsustained growth in the economy. As in any interest rate environment, our strategy remains the same. We continue to focus our efforts on conservative investments that maximize safety and liquidity for our clients. We are confident that as in any investing cycle, yields and returns historically provided by money markets funds will return. Money Market Portfolio** December 31, 2003 Portfolio - ----------------------------------------------------- 7-Day Yield 0.73% 7-Day Effective Yield 0.73% Footnotes read: * To the extent practicable, the Portfolio intends to maintain a stable net asset value of $1.00 per share. 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. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. 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 reimbursed and/or paid non-advisory Portfolio expenses. Had the adviser not done so, the Portfolio's total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. For additional information, refer to your variable contract prospectus which can be obtained from your registered representative or by calling (800) Thrivent. Please read your prospectus carefully. [LOGO OMITTED] PricewaterhouseCoopers LLP Suite 1500 100 E. Wisconsin Ave. Milwaukee WI 53202 Telephone (414) 212 1600 Report of Independent Auditors To the Board of Directors and Shareholders of LB Series Fund, Inc. In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the 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 (constituting the LB Series Fund, Inc., hereafter referred to as the "Fund") at December 31, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. /S/ PricewaterhouseCoopers LLP February 9, 2004 Small Cap Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (93.2%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 4,200 NII Holdings, Inc.(b,c) $313,446 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 313,446 ========================================================================================================================= Consumer Discretionary (9.9%) - ------------------------------------------------------------------------------------------------------------------------- 12,200 Acme Communications, Inc.(c) 107,238 16,800 Argosy Gaming Company(c) 436,632 14,500 Casual Male Retail Group, Inc.(b,c) 100,630 19,700 Charming Shoppes, Inc.(c) 106,380 5,300 Chicago Pizza & Brewery, Inc(b,c) 79,076 4,700 Cost Plus, Inc.(c) 192,700 25,300 Entravision Communications Corporation(c) 280,830 8,200 Four Seasons Hotels, Inc.(b) 419,430 7,200 Fred's, Inc. 223,056 7,300 Gentex Corporation 322,368 11,200 J. Jill Group, Inc.(c) 142,352 4,100 Leapfrog Enterprises, Inc.(b,c) 108,773 6,900 Pennsylvania National Gaming, Inc.(c) 159,252 5,100 Regis Corporation 201,552 7,100 Superior Industries International, Inc.(b) 308,992 3,700 Tractor Supply Company 143,893 13,500 Tuesday Morning Corporation(c) 408,375 5,400 Urban Outfitters, Inc.(b) 200,070 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 3,941,599 ========================================================================================================================= Energy (7.0%) - ------------------------------------------------------------------------------------------------------------------------- 15,800 Cal Dive International, Inc.(c) 380,938 12,900 Chesapeake Energy Corporation(b) 175,182 12,500 FMC Technologies, Inc.(b,c) 291,250 10,100 Patterson-UTI Energy, Inc.(c) 332,492 22,400 PetroQuest Energy, Inc.(c) 69,888 17,800 Premcor, Inc.(c) 462,800 9,800 Spinnaker Exploration Company(c) 316,246 16,300 Superior Energy Services, Inc.(c) 153,220 8,600 Swift Energy Company(c) 144,910 14,600 Tom Brown, Inc.(c) 470,850 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 2,797,776 ========================================================================================================================= Financials (4.2%) - ------------------------------------------------------------------------------------------------------------------------- 1,200 Advanta Corporation(b) 15,588 6,240 American Home Mortgage Investment Corporation(b,c) 140,462 2,090 CVB Financial Corporation(c) 40,316 9,200 Financial Federal Corporation(c) 281,060 2,647 First State Bancorporation(c) 91,983 10,400 Greater Bay Bancorp(b) 296,192 2,300 IPC Holdings, Ltd. 89,562 7,600 Jefferies Group, Inc.(b) 250,952 15,600 Jones Lang LaSalle, Inc.(c) 323,388 7,300 Umpqua Holdings Corporation(b) 151,767 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 1,681,270 ========================================================================================================================= Health Care (10.5%) - ------------------------------------------------------------------------------------------------------------------------- 13,100 Alpharma, Inc. 263,310 13,300 American Medical Systems Holdings, Inc.(c) 289,940 6,400 Centene Corporation(b) 179,264 2,000 Cerner Corporation(b,c) 75,700 9,200 Conceptus, Inc.(b,c) 97,704 5,000 Connetics Corporation(b,c) 90,800 8,600 CTI Molecular Imaging, Inc.(b,c) 145,426 2,100 IDX Systems Corporation(c) 56,322 11,100 InterMune, Inc.(b,c) 257,076 3,900 LabOne, Inc.(b,c) 126,633 2,600 LifePoint Hospitals, Inc.(c) 76,570 6,600 Medicines Company(b,c) 194,436 3,700 Medicis Pharmaceutical Corporation 263,810 10,433 Merit Medical System, Inc.(b,c) 232,231 10,400 PAREXEL International Corporation(c) 169,104 6,000 RehabCare Group, Inc.(b,c) 127,560 9,700 Sierra Health Services, Inc.(c) 266,265 10,300 STERIS Corporation(b,c) 232,780 9,700 Trimeris, Inc.(b,c) 203,506 2,500 Varian Medical Systems, Inc.(c) 172,750 5,600 VCA Antech, Inc.(b,c) 173,488 11,600 Wilson Greatbatch Technologies, Inc.(c) 490,332 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 4,185,007 ========================================================================================================================= Industrials (13.0%) - ------------------------------------------------------------------------------------------------------------------------- 4,600 AMETEK, Inc. 221,996 11,600 C&D Technologies, Inc. 222,372 10,000 CDI Corporation 327,500 10,000 CNH Global NV(c) 166,000 9,400 Crane Company 288,956 4,200 Cuno, Inc.(c) 189,126 17,800 Flowserve Corporation(b,c) 371,664 20,400 Forward Air Corporation(c) 561,000 10,900 Knight Transportation, Inc.(c) 279,585 4,500 Kroll, Inc.(c) 117,000 17,300 Landstar System, Inc. 658,092 9,700 NCO Group, Inc.(c) 220,869 8,000 Oshkosh Truck Corporation 408,240 6,200 Pentair, Inc. 283,340 30,900 PRG-Schultz International, Inc.(b,c) 151,410 7,500 Reliance Steel & Aluminum Company 249,075 11,100 Resources Connection, Inc.(b,c) 303,141 3,600 Roper Industries, Inc. 177,336 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 5,196,702 ========================================================================================================================= Information Technology (43.2%) - ------------------------------------------------------------------------------------------------------------------------- 7,600 Actel Corporation(c) 183,160 37,100 Adaptec, Inc.(c) 327,593 15,500 Advanced Energy Industries, Inc.(b,c) 403,775 27,800 Advanced Fibre Communications, Inc.(c) 560,170 9,800 Aquantive, Inc.(b,c) 100,450 22,600 ARM Holdings plc(c) 155,940 11,525 Ascential Software Corporation(b,c) 298,843 8,100 ASE Test, Ltd.(b,c) 121,257 19,600 Aspen Technology, Inc.(b,c) 201,096 34,300 Atmel Corporation(b,c) 206,143 6,000 Avocent Corporation(c) 219,120 20,500 BearingPoint, Inc.(b,c) 206,845 18,100 Borland Software Corporation(b,c) 176,113 11,700 Catapult Communications Corporation(c) 169,650 5,900 Cognizant Technology Solutions Corporation 269,276 6,900 Coherent, Inc.(c) 164,220 8,100 Cymer, Inc.(c) 374,139 4,800 Drexler Technology Corporation(b,c) 65,616 22,600 Electro Scientific Industries, Inc.(b,c) 537,880 42,400 Entrust, Inc.(c) 172,992 11,900 Exar Corporation(c) 203,252 3,200 F5 Networks, Inc.(c) 80,320 8,400 FileNET Corporation(c) 227,472 11,100 FLIR Systems, Inc. 405,150 10,000 Global Payments, Inc. 471,200 6,000 Hyperion Solutions Corporation(b,c) 180,840 26,400 Informatica Corporation(c) 271,920 21,500 Integrated Circuit Systems, Inc.(c) 612,535 24,800 Integrated Device Technology, Inc.(b,c) 425,816 16,000 Integrated Silicon Solution, Inc.(c) 250,720 3,800 Intersil Corporation 94,430 2,600 InterVoice-Brite, Inc.(c) 30,862 11,600 Jack Henry & Associates, Inc.(b) 238,728 14,200 KEMET Corporation(c) 194,398 21,800 Lam Research Corporation(c) 704,140 18,900 Lattice Semiconductor Corporation(b,c) 182,952 37,500 Lawson Software, Inc.(b,c) 308,625 2,100 Logitech International ADR(c) 89,313 18,900 LTX Corporation(c) 284,067 9,400 Macromedia, Inc.(b,c) 167,696 7,400 MAXIMUS, Inc.(c) 289,562 14,000 Merix Corporation(b,c) 343,420 8,100 Mettler-Toledo International, Inc.(b,c) 341,901 26,300 Micrel, Inc.(c) 409,754 17,300 Microtune, Inc.(c) 37,714 17,400 National Instruments Corporation 791,178 20,800 NetIQ Corporation(c) 275,600 7,000 Overland Storage, Inc.(b,c) 131,600 5,800 Park Electrochemical Corporation(b) 153,642 17,700 Pegasus Solutions, Inc.(c) 185,319 12,000 Pericom Semiconductor Corporation(c) 127,920 10,300 Quest Software, Inc.(c) 146,260 4,900 Seachange International, Inc.(c) 75,460 39,700 Semtech Corporation(b,c) 902,381 17,500 Tektronix, Inc. 553,000 5,900 Trimble Navigation, Ltd.(b,c) 219,716 19,200 Tumbelweed Communications Corporation(c) 160,896 22,300 Varian Semiconductor Equipment Associates, Inc.(c) 974,288 12,200 Varian, Inc.(c) 509,106 11,000 Verity, Inc.(c) 183,590 11,900 webMethods, Inc.(b,c) 108,885 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 17,259,906 ========================================================================================================================= Materials (4.6%) - ------------------------------------------------------------------------------------------------------------------------- 12,500 Cabot Corporation(b) 398,000 3,100 Cleveland-Cliffs, Inc.(c) 157,945 7,500 FMC Corporation(b,c) 255,975 11,300 Minerals Technologies, Inc.(b) 669,525 8,000 NOVA Chemicals Corporation 215,600 6,900 Olin Corporation(b) 138,414 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 1,835,459 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $30,884,292) 37,211,165 ========================================================================================================================= Principal Amount Short-Term Investments (6.8%) Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $2,717,000 State Street Bank Repurchase Agreement(e) 0.750% 1/2/2004 $2,717,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 2,717,000 ========================================================================================================================= Shares or Principal Amount Collateral Held for Securities Loaned Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 7,194,649 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $7,194,649 $663 U.S. Treasury Note 3.625 3/31/2004 673 4,196 U.S. Treasury Note 1.625 1/31/2005 4,242 420 U.S. Treasury Note 9.375 2/15/2006 500 110 U.S. Treasury Note 6.500 10/15/2006 125 9,466 U.S. Treasury Note 3.375 1/15/2007 12,148 85,358 U.S. Treasury Note 4.875 2/15/2012 92,036 729 U.S. Treasury Note 13.250 5/15/2014 1,097 1,237 U.S. Treasury Note 9.000 11/15/2018 1,798 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 7,307,268 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $40,908,560) $47,235,433 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (c) Non-income producing security. (d) The interest rate shown reflects the coupon rate or yield. (e) Repurchase agreement dated December 31, 2003, $2,717,113 maturing January 2, 2004, collateralized by $2,774,731 of Federal Home Loan Bank Medium Term Notes, 1.64% due June 17, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Opportunity Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (96.7%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (1.7%) - ------------------------------------------------------------------------------------------------------------------------- 24,900 Commonwealth Telephone Enterprises, Inc.(b,c) $939,975 20,600 EMS Technologies, Inc.(c) 423,124 37,800 IDT Corporation(b,c) 874,314 11,900 Millicom Internation Cellular SA(b,c) 831,810 79,000 Time Warner Telecom, Inc.(c) 800,270 8,500 Vimpel Communications(c) 624,750 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 4,494,243 ========================================================================================================================= Consumer Discretionary (16.4%) - ------------------------------------------------------------------------------------------------------------------------- 20,933 99 CENTS Only Stores(b,c) 570,006 16,500 Action Performance Companies, Inc.(b) 323,400 37,600 Alliance Gaming Corporation(c) 926,840 28,200 American Eagle Outfitters, Inc.(b,c) 462,480 21,300 Buffalo Wild Wings, Inc.(b,c) 552,735 37,350 Cheesecake Factory, Inc.(b,c) 1,644,520 29,250 Chico's FAS, Inc.(b,c) 1,080,788 23,300 China Yuchai International, Ltd.(b) 712,980 22,812 Christopher & Banks Corporation(b) 445,518 24,800 Coach, Inc. 936,200 23,500 Columbia Sportswear Company(b,c) 1,280,750 49,600 Cost Plus, Inc.(b,c) 2,033,600 48,193 Cumulus Media, Inc.(c) 1,060,246 18,300 Emmis Communications Corporation(b,c) 495,015 51,800 Ethan Allen Interiors, Inc. 2,169,384 14,700 Fred's, Inc. 455,406 24,600 Genesco, Inc.(b,c) 372,198 22,200 Gentex Corporation 980,352 41,600 Getty Images, Inc.(c) 2,085,408 16,000 Gildan Activewear, Inc.(c) 494,080 14,200 GTECH Holdings Corporation 702,758 6,400 Harman International Industries, Inc. 473,472 33,600 Hibbett Sporting Goods, Inc. 1,001,280 82,637 Insight Enterprises, Inc.(c) 1,553,576 31,500 J. Jill Group, Inc.(c) 400,365 21,900 Jarden Corporation(b) 598,746 11,400 Krispy Kreme Doughnuts, Inc.(b,c) 417,240 35,200 Linens 'n Things, Inc.(b,c) 1,058,816 18,600 Men's Wearhouse, Inc.(c) 465,186 11,900 Meredith Corporation(b) 580,839 60,600 Oakley, Inc.(b) 838,704 43,180 Pacific Sunwear of California, Inc. 911,962 19,300 Panera Bread Company(c) 762,929 27,500 Papa John's International, Inc.(b,c) 917,950 30,500 Pennsylvania National Gaming, Inc.(c) 703,940 38,600 ProQuest Company(b,c) 1,136,770 40,600 Radio One, Inc.(b,c) 783,580 9,700 Ryland Group, Inc.(b) 859,808 24,500 Salem Communications Corporation(c) 664,440 40,200 SBS Broadcasting SA(b,c) 1,310,520 22,700 SCP Pool Corporation 741,836 44,675 Sonic Corporation(b,c) 1,367,948 18,100 Starcraft Corporation(c) 588,612 31,000 Station Casinos, Inc. 949,530 30,300 Steiner Leisure, Ltd.(c) 433,290 25,700 Tractor Supply Company(b) 999,473 16,600 Tuesday Morning Corporation(c) 502,150 57,400 Tweeter Home Entertainment Group, Inc.(b,c) 542,430 45,900 Ultimate Electronics, Inc.(b,c) 350,217 69,400 Wet Seal, Inc.(b,c) 686,366 24,000 Williams-Sonoma, Inc.(b,c) 834,480 27,700 XM Satellite Radio Holdings, Inc.(b,c) 730,172 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 43,951,291 ========================================================================================================================= Consumer Staples (1.4%) - ------------------------------------------------------------------------------------------------------------------------- 27,500 Chattem, Inc.(b,c) 492,250 12,800 Coca-Cola Bottling Company Consolidated 684,672 14,700 Constellation Brands, Inc.(c) 484,071 18,900 Performance Food Group Company(b,c) 683,613 36,500 United Natural Foods, Inc.(c) 1,310,715 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 3,655,321 ========================================================================================================================= Energy (4.5%) - ------------------------------------------------------------------------------------------------------------------------- 23,300 Cal Dive International, Inc.(b,c) 561,763 39,500 Hydril Company(c) 945,235 38,700 Maverick Tube Corporation(b,c) 744,975 22,800 McMoran Exploration Company(b,c) 427,500 116,100 OMI Corporation(c) 1,036,773 38,700 Pride International, Inc.(b,c) 721,368 40,400 Prima Energy Corporation(c) 1,420,464 27,200 Spinnaker Exploration Company(b,c) 877,744 65,900 St. Mary Land & Exploration Company 1,878,150 13,700 Stone Energy Corporation(c) 581,565 28,300 Tom Brown, Inc.(c) 912,675 28,000 Unit Corporation(c) 659,400 45,400 Veritas DGC, Inc.(b,c) 475,792 26,300 World Fuel Services Corporation 892,885 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 12,136,289 ========================================================================================================================= Financials (7.6%) - ------------------------------------------------------------------------------------------------------------------------- 27,800 Affiliated Managers Group, Inc.(b,c) 1,934,602 3,600 Alexander's, Inc.(b,c) 448,776 8,200 Alexandria Real Estate Equities, Inc. 474,780 23,800 Astoria Financial Corporation 885,360 13,200 Bank of the Ozarks, Inc. 297,132 7,600 Cathay General Bancorp 423,168 36,900 Charles Schwab Corporation 436,896 33,225 Doral Financial Corporation 1,072,503 11,800 East West Bancorp, Inc.(b) 633,424 12,800 Federal Agricultural Mortgage Corporation(b,c) 409,088 36,400 Financial Federal Corporation(b,c) 1,112,020 41,725 First Financial Bankshares, Inc.(b) 1,739,932 29,600 Greater Bay Bancorp(b) 843,008 12,400 IBERIABANK Corporation 731,600 31,300 Investment Technology Group, Inc.(c) 505,495 36,100 Investors Financial Services Corporation(b) 1,386,601 29,200 New York Community Bancorp, Inc. 1,111,060 22,100 Novastar Financial, Inc.(b) 949,416 12,300 PartnerRe, Ltd. 714,015 31,700 ProAssurance Corporation(c) 1,019,155 47,200 Texas Capital Bancshares, Inc.(c) 682,606 31,050 W.R. Berkley Corporation 1,085,198 13,700 WFS Financial, Inc.(b,c) 581,702 19,000 Wintrust Financial Corporation 856,900 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 20,334,437 ========================================================================================================================= Health Care (20.0%) - ------------------------------------------------------------------------------------------------------------------------- 29,925 Accredo Health, Inc.(b,c) 945,929 18,550 Advanced Neuromodulation Systems, Inc.(b) 852,929 16,800 Advisory Board Company(b,c) 586,488 47,700 Alexion Pharmaceuticals, Inc.(b,c) 811,854 73,600 Align Technology, Inc.(c) 1,215,872 29,900 Alkermes, Inc.(c) 403,650 46,400 American Medical Systems Holdings, Inc.(b,c) 1,011,520 44,100 ArthroCare Corporation(b,c) 1,080,450 20,200 Biosite Diagnostics, Inc.(b,c) 584,790 14,400 Britesmile, Inc.(b,c) 365,328 100,300 Bruker BioSciences Corporation(b,c) 456,365 93,800 Caliper Technologies Corporation(b,c) 617,204 59,300 Candela Corporation(c) 1,078,074 69,900 Caremark Rx, Inc.(c) 1,770,567 15,600 Celgene Corporation(b,c) 702,312 36,700 Cell Genesys, Inc.(c) 474,898 16,100 Cerner Corporation(b,c) 609,385 28,600 Community Health Systems, Inc.(c) 760,188 92,100 Conceptus, Inc.(b,c) 978,102 20,700 Covance, Inc.(b,c) 554,760 7,700 Coventry Health Care, Inc.(b,c) 496,573 74,800 Cytyc Corporation(c) 1,029,248 26,300 Datascope Corporation(b) 942,855 34,400 DaVita, Inc.(c) 1,341,600 44,800 Dendrite International, Inc.(b,c) 702,016 21,300 Digene Corporation(b,c) 854,130 46,900 Diversa Corporation(b,c) 433,825 53,300 EPIX Medical, Inc.(c) 867,724 67,600 First Horizon Pharmaceutical Corporation(b,c) 757,120 17,600 Flamel Technologies SP ADR(b,c) 471,504 13,400 Galen Holdings plc(b) 696,787 48,300 Inspire Pharmaceuticals, Inc.(b,c) 683,928 29,300 Integra Life Sciences Holdings Corporation(c) 838,859 19,700 InterMune, Inc.(c) 456,252 24,800 IntraBiotics Pharmaceuticals, Inc.(b,c) 399,280 30,800 Inverness Medical Innovations, Inc.(b,c) 670,824 26,100 KOS Pharmaceuticals, Inc.(b,c) 1,123,344 37,200 Kyphon, Inc.(c) 923,676 81,100 Lexicon Genetics, Inc.(b,c) 477,679 29,700 LifePoint Hospitals, Inc.(b,c) 874,665 21,900 Martek Biosciences Corporation(b,c) 1,422,843 30,200 Medicines Company(b,c) 889,692 11,400 MGI PHARMA, Inc.(b,c) 469,110 58,600 MIM Corporation(b,c) 411,958 28,000 Nastech Pharmaceutical Company(b,c) 268,800 49,500 NeoPharm, Inc.(c) 906,840 25,500 Neurocrine Biosciences, Inc.(b,c) 1,390,770 31,200 Noven Pharmaceuticals, Inc.(b,c) 474,552 37,600 NPS Pharmaceuticals, Inc.(b,c) 1,155,824 21,537 Odyssey Healthcare, Inc.(b) 630,173 37,600 Onyx Pharmaceuticals, Inc.(b,c) 1,061,448 31,200 OSI Pharmaceuticals, Inc.(b,c) 1,004,952 24,300 Pharmaceutical Product Development, Inc.(c) 655,371 47,000 PolyMedica Corporation(b) 1,236,570 41,200 Priority Healthcare Corporation(c) 993,332 38,600 Protein Design Labs, Inc.(b,c) 690,940 62,825 Province Healthcare Company(c) 1,005,200 47,400 Regeneron Pharmaceuticals, Inc.(b,c) 697,254 80,500 Select Medical Corporation(b) 1,310,540 18,400 Sola International, Inc.(c) 345,920 21,300 Sunrise Senior Living, Inc.(b,c) 825,162 27,500 SurModics, Inc.(b,c) 657,250 12,800 Taro Pharmaceutical Industries, Ltd.(c) 825,600 18,200 Trimeris, Inc.(b,c) 381,836 15,800 VistaCare, Inc.(b,c) 555,370 18,200 VISX, Inc.(b,c) 421,330 26,900 Wilson Greatbatch Technologies, Inc.(c) 1,137,063 21,100 Zoll Medical Corporation(c) 748,628 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 53,476,882 ========================================================================================================================= Industrials (8.8%) - ------------------------------------------------------------------------------------------------------------------------- 18,600 Actuant Corporation(b) 673,320 18,200 American Woodmark Corporation 1,001,910 58,100 AMR Corporation(b,c) 752,395 48,800 Atlantic Coast Airlines Holdings, Inc.(b,c) 483,120 18,400 Bright Horizons Family Solutions, Inc.(c) 772,800 49,600 C.H. Robinson Worldwide, Inc. 1,880,336 10,300 Career Education Corporation 412,721 21,866 ChoicePoint, Inc.(b,c) 832,876 71,750 Copart, Inc.(c) 1,183,875 15,200 Corinthian Colleges, Inc.(c) 844,512 25,200 Corporate Executive Board Company(b,c) 1,176,084 40,100 CoStar Group, Inc.(b,c) 1,671,368 39,550 Engineered Support Systems, Inc. 2,177,622 62,800 Forward Air Corporation(c) 1,727,000 13,300 Genesee and Wyoming, Inc.(c) 418,950 10,500 ITT Educational Services, Inc.(b,c) 493,185 8,200 Jacobs Engineering Group, Inc.(b,c) 393,682 13,800 Mercury Computer Systems, Inc.(b,c) 343,620 19,300 Mueller Industries, Inc.(c) 663,148 41,700 Navigant Consulting, Inc.(c) 786,462 7,700 Old Dominion Freight Line, Inc.(c) 262,416 27,900 Roto-Rooter, Inc. 1,286,190 24,400 Stericycle, Inc.(b,c) 1,139,480 56,900 Stewart & Stevenson Services, Inc. 799,445 57,600 TeleTech Holdings, Inc.(c) 650,880 20,100 Wabash National Corporation(c) 588,930 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 23,416,327 ========================================================================================================================= Information Technology (34.5%) - ------------------------------------------------------------------------------------------------------------------------- 49,725 Activision, Inc.(b) 904,995 44,100 Acxiom Corporation(b,c) 818,937 25,600 ADTRAN, Inc. 793,600 31,900 Advanced Energy Industries, Inc.(b,c) 830,995 50,300 Advanced Fibre Communications, Inc.(c) 1,013,545 27,700 Advent Software, Inc.(b,c) 482,811 80,050 Aeroflex, Inc.(c) 935,784 70,000 Agile Software Corporation(b,c) 693,000 36,100 Akamai Technologies, Inc.(c) 388,075 116,700 Alliance Fiber Optic Products, Inc.(c) 197,223 32,700 Altiris, Inc.(b,c) 1,192,896 26,100 Applied Films Corporation(b,c) 861,822 126,400 Applied Micro Circuits Corporation(c) 755,872 20,400 Ask Jeeves, Inc.(c) 369,648 33,500 ASM International NV(b,c) 678,040 42,400 Asyst Technologies, Inc.(b,c) 735,640 22,500 ATMI, Inc.(b,c) 520,650 26,500 August Technology Corporation(c) 491,575 29,900 Avid Technology, Inc.(b,c) 1,435,200 34,300 Avocent Corporation(c) 1,252,636 50,500 Brooks Automation, Inc.(b,c) 1,220,585 39,500 Business Objects SA ADR(b,c) 1,369,465 90,000 Cable Design Technologies Corporation(b,c) 809,100 21,200 CACI International, Inc.(c) 1,030,744 26,900 Carrier Access Corporation(c) 336,788 42,000 CheckFree Corporation(b,c) 1,161,300 23,600 Cognex Corporation 666,464 32,800 Cognizant Technology Solutions Corporation 1,496,992 17,300 Cognos, Inc.(b,c) 529,726 26,800 Coherent, Inc.(b,c) 637,840 416,400 Corvis Corporation(b,c) 707,880 38,700 Cree, Inc.(b,c) 684,603 28,000 Cymer, Inc.(c) 1,293,320 44,200 Digital River, Inc.(c) 976,820 30,400 DSP Group, Inc.(c) 757,264 17,700 DuPont Photomasks, Inc.(b,c) 427,278 27,200 eCollege.com, Inc.(b,c) 502,112 23,250 Electro Scientific Industries, Inc.(b,c) 553,350 49,500 Embarcadero Technologies, Inc.(b,c) 789,525 29,400 Emulex Corporation(b,c) 784,392 39,600 Exar Corporation(c) 676,368 28,900 Faro Technologies, Inc.(b,c) 721,922 27,200 FEI Company(b,c) 612,000 14,700 FileNET Corporation(b,c) 398,076 23,000 FLIR Systems, Inc.(b) 839,500 44,300 Foundry Networks, Inc.(c) 1,212,048 12,300 Global Imaging Systems, Inc.(c) 390,525 28,700 Global Payments, Inc. 1,352,344 73,400 Globecomm Systems, Inc.(b,c) 348,650 30,900 Helix Technology Corporation 635,922 31,700 Hutchinson Technology, Inc.(c) 974,458 17,900 Hyperion Solutions Corporation(b,c) 539,506 73,100 Informatica Corporation(c) 752,930 22,200 Integrated Circuit Systems, Inc.(c) 632,478 11,100 Iron Mountain, Inc.(c) 438,894 21,600 Itron, Inc.(b,c) 396,576 35,400 J2 Global Communication, Inc.(b) 876,858 37,400 JDA Software Group, Inc.(c) 617,474 15,750 Kronos, Inc.(b) 623,858 43,500 Lam Research Corporation(c) 1,405,050 53,400 Lexar Media, Inc.(b,c) 930,762 24,800 Logitech International ADR(c) 1,054,744 24,100 Macrovision Corporation(b,c) 544,419 30,200 Magma Design Automation, Inc.(c) 704,868 30,300 Manhattan Associates, Inc.(b,c) 837,492 34,100 Mantech International Corporation(b,c) 850,795 37,300 Mattson Technology, Inc.(c) 455,806 22,600 MAXIMUS, Inc.(c) 884,338 40,400 Metrologic Instruments, Inc.(b) 1,090,800 20,700 Microsemi Corporation(c) 508,806 30,000 MicroStrategy, Inc.(b,c) 1,574,400 51,600 MKS Instruments, Inc.(c) 1,496,400 236,400 MRV Communications, Inc.(c) 888,864 18,500 Nam Tai Electronics, Inc.(b) 519,480 16,200 Netease.Com, Inc.(c) 597,780 62,744 NetIQ Corporation(c) 831,358 38,300 NetScreen Technologies, Inc.(b,c) 947,925 56,200 O2Micro International, Ltd.(c) 1,258,880 25,100 OmniVision Technologies, Inc.(b,c) 1,386,775 42,400 Open Text Corporation(b) 812,808 44,600 Pacific Internet, Ltd.(c) 361,706 50,800 Packeteer, Inc.(b,c) 862,584 41,500 PEC Solutions, Inc.(b,c) 703,425 50,000 Pegasus Solutions, Inc.(b,c) 523,500 21,100 Photon Dynamics, Inc.(b,c) 849,064 39,200 Photronics, Inc.(b,c) 780,864 38,600 Pixelworks, Inc.(c) 426,144 22,400 Plantronics, Inc.(b,c) 731,360 59,300 Plato Learning, Inc.(b,c) 625,615 33,900 Plexus Corporation(c) 582,063 29,400 Polycom, Inc.(b,c) 573,888 19,500 Power Integrations, Inc.(b,c) 652,470 28,000 Quest Software, Inc.(c) 397,600 44,400 Radiant Systems, Inc.(c) 373,404 39,200 RadiSys Corporation(c) 660,912 19,000 Radware, Inc.(c) 517,750 55,700 REMEC, Inc.(c) 468,437 29,000 SafeNet, Inc.(b,c) 892,330 16,100 SanDisk Corporation(c) 984,354 41,100 Seachange International, Inc.(c) 632,940 25,900 SERENA Software, Inc.(b,c) 475,265 17,000 Sigmatel, Inc.(c) 419,560 297,300 Silicon Graphics, Inc.(c) 407,301 12,300 Silicon Laboratories, Inc.(b,c) 531,606 11,800 Sina Corporation(c) 398,250 54,500 Skyworks Solutions, Inc.(c) 474,150 22,300 Sohu.com, Inc.(b,c) 669,223 149,700 Sycamore Networks, Inc.(c) 784,428 16,200 Take-Two Interactive Software, Inc.(b,c) 466,722 37,400 Tekelec, Inc.(c) 581,570 15,750 Tessera Technologies, Inc.(c) 296,258 39,800 THQ, Inc.(c) 673,018 118,600 Tibco Software, Inc.(c) 802,922 38,900 Trident Microsystems, Inc. 677,638 115,000 Trikon Technologies, Inc.(b,c) 645,150 39,300 United Online, Inc.(b) 659,847 24,800 Varian Semiconductor Equipment Associates, Inc.(b,c) 1,083,512 24,400 Varian, Inc.(b,c) 1,018,212 40,200 Verisity, Ltd.(b,c) 512,550 42,300 Verity, Inc.(c) 705,987 155,100 Vignette Corporation(c) 352,077 47,400 WebEx Communications, Inc.(c) 952,740 32,200 Websense, Inc.(c) 941,528 28,500 Zoran Corporation(c) 495,615 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 92,336,968 ========================================================================================================================= Materials (1.1%) - ------------------------------------------------------------------------------------------------------------------------- 18,200 Cabot Corporation 579,488 10,100 Florida Rock Industries, Inc.(b) 553,985 44,900 Louisiana-Pacific Corporation(b,c) 802,812 1,487 Rayonier, Inc. 61,725 24,700 Silgan Holdings, Inc.(c) 1,051,973 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 3,049,983 ========================================================================================================================= Utilities (0.7%) - ------------------------------------------------------------------------------------------------------------------------- 211,300 Dynegy, Inc.(b) 904,364 19,400 Piedmont Natural Gas Company, Inc. 843,124 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 1,747,488 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $209,911,165) 258,599,229 ========================================================================================================================= Principal Amount Long-Term Fixed Income(d) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $2,391 Timco Aviation Services, Inc., Payment-in-Kind Bond(e) 8.00% 1/2/2007 $120 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $0) 120 ========================================================================================================================= Principal Amount Short-Term Investments (3.3%) Interest Rate(f) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $5,000,000 New Center Asset Trust 0.970% 1/5/2004 $4,999,461 3,700,000 Rabobank USA Finance Corporation 0.940 1/2/2004 3,699,903 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 8,699,364 ========================================================================================================================= Shares or Principal Amount Collateral Held for Securities Loaned Interest Rate(g) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 68,173,310 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $68,173,310 $3,977 U.S. Treasury Note 3.625 3/31/2004 4,040 25,185 U.S. Treasury Note 1.625 1/31/2005 25,460 2,519 U.S. Treasury Note 9.375 2/15/2006 3,000 663 U.S. Treasury Note 6.500 10/15/2006 748 56,812 U.S. Treasury Note 3.375 1/15/2007 72,914 512,318 U.S. Treasury Note 4.875 2/15/2012 552,396 4,374 U.S. Treasury Note 13.250 5/15/2014 6,584 7,423 U.S. Treasury Note 9.000 11/15/2018 10,792 6,673 U.S. Treasury Note 8.500 2/15/2020 9,540 2,390 U.S. Treasury Note 6.250 8/15/2023 2,783 1,263 U.S. Treasury Note 5.500 8/15/2028 1,342 1,263 U.S. Treasury Note 5.250 2/15/2029 1,299 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 68,864,208 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $287,474,737) $336,162,921 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (c) Non-income producing security. (d) The value of the denoted categories of investments represents less than 0.1% of the total investments of the Opportunity Growth Portfolio. (e) Non-income producing and trading flat (without interest). (f) The interest rate shown reflects the discount rate at the date of purchase. (g) The interest rate shown reflects the coupon rate or yield. The accompanying notes to the financial statements are an integral part of this schedule. Mid Cap Select Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (97.1%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (6.8%) - ------------------------------------------------------------------------------------------------------------------------- 50,510 American Tower Corporation(b) $546,518 36,150 Crown Castle International Corporation(b) 398,734 13,833 NTL, Inc.(b) 964,853 5,380 Spectrasite, Inc.(b) 186,955 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 2,097,060 ========================================================================================================================= Consumer Discretionary (22.1%) - ------------------------------------------------------------------------------------------------------------------------- 6,970 Cheesecake Factory, Inc.(b) 306,889 14,990 Citadel Broadcasting Company(b,c) 335,326 3,900 Coach, Inc. 147,225 4,260 E.W. Scripps Company(c) 401,036 13,860 EchoStar Communications Corporation(b) 471,240 7,960 Entercom Communications Corporation(b) 421,562 2,950 Four Seasons Hotels, Inc. 150,892 9,850 Getty Images, Inc.(b) 493,780 2,500 Hot Topic, Inc. 73,650 7,818 InterActiveCorp(b,c) 265,265 5,600 Lin TV Corporation(b,c) 144,536 9,110 Meredith Corporation 444,659 12,900 Office Depot, Inc.(b,c) 215,559 400 Orbitz, Inc.(b,c) 9,280 5,060 Outback Steakhouse, Inc. 223,703 3,900 Pacific Sunwear of California, Inc.(c) 82,368 15,670 PETsMART, Inc.(c) 372,946 3,460 Reebok International, Ltd. 136,047 12,440 Ross Stores, Inc. 328,789 9,770 Royal Caribbean Cruises, Ltd.(c) 339,898 4,220 Starwood Hotels & Resorts Worldwide, Inc. 151,793 7,100 Talbots, Inc. 218,538 10,730 Tiffany & Company 484,996 15,850 Westwood One, Inc.(b) 542,228 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 6,762,205 ========================================================================================================================= Consumer Staples (0.7%) - ------------------------------------------------------------------------------------------------------------------------- 2,820 Hershey Foods Corporation 217,112 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 217,112 ========================================================================================================================= Energy (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 13,690 BJ Services Company(b) 491,471 3,920 Cooper Cameron Corporation(b,c) 182,672 6,470 Smith International, Inc.(b) 268,634 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 942,777 ========================================================================================================================= Financials (4.4%) - ------------------------------------------------------------------------------------------------------------------------- 2,040 Affiliated Managers Group, Inc.(b) 141,964 22,360 Ameritrade Holding Corporation(b) 314,605 12,100 Investors Financial Services Corporation(c) 464,761 5,330 Legg Mason, Inc. 411,369 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 1,332,699 ========================================================================================================================= Health Care (20.7%) - ------------------------------------------------------------------------------------------------------------------------- 3,060 AmerisourceBergen Corporation 171,819 9,420 Apogent Technologies, Inc.(b,c) 217,037 18,280 Applera Corporation (Applied Biosystems Group) 378,579 6,950 Biogen Idec, Inc.(b,c) 255,621 4,870 C.R. Bard, Inc.(c) 395,688 2,330 Celgene Corporation(b) 104,897 52,500 Cytyc Corporation(b) 722,400 9,360 Dentsply International, Inc. 422,791 7,200 Fisher Scientific International, Inc.(b) 297,864 4,530 Genzyme Corporation(b) 223,510 6,850 Gilead Sciences, Inc.(b) 398,259 5,540 Guidant Corporation 333,508 2,200 ICOS Corporation(b,c) 90,816 9,190 Invitrogen Corporation(b,c) 643,300 5,150 Medicis Pharmaceutical Corporation 367,195 10,100 Millennium Pharmaceuticals, Inc.(b) 188,567 14,910 Millipore Corporation(b,c) 641,876 2,020 Neurocrine Biosciences, Inc.(b,c) 110,171 16,600 Tenet Healthcare Corporation(b,c) 266,430 8,000 Thoratec Corporation(b,c) 104,080 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 6,334,408 ========================================================================================================================= Industrials (12.5%) - ------------------------------------------------------------------------------------------------------------------------- 2,850 American Standard Companies, Inc.(b) 286,995 12,400 Career Education Corporation 496,868 8,300 Corinthian Colleges, Inc.(b) 461,148 6,850 Corporate Executive Board Company(b) 319,690 2,800 Embraer Aircraft Corporation ADR(c) 98,084 7,270 Expeditors International of Washington, Inc.(c) 273,788 9,635 JetBlue Airways Corporation(c) 255,520 7,600 Manpower, Inc. 357,808 17,730 Monster Worldwide, Inc.(b) 389,351 5,800 Robert Half International, Inc.(b,c) 135,372 11,170 Rockwell Automation, Inc. 397,652 9,990 Swift Transportation Company, Inc.(b,c) 209,990 3,200 W.W. Grainger, Inc. 151,648 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 3,833,914 ========================================================================================================================= Information Technology (26.6%) - ------------------------------------------------------------------------------------------------------------------------- 4,580 ADTRAN, Inc.(c) 141,980 121,600 Agere Systems, Inc.(b) 352,640 4,100 Akamai Technologies, Inc.(b) 44,075 3,100 Alliance Data Systems Corporation(b) 85,808 17,910 Amdocs, Ltd.(b) 402,617 2,900 Amphenol Corporation(b,c) 185,397 7,250 Analog Devices, Inc. 330,962 8,000 Andrew Corporation(b) 92,080 3,200 Ascential Software Corporation(b,c) 82,976 21,020 BEA Systems, Inc.(b) 258,546 22,500 CIENA Corporation(b,c) 149,400 32,300 Corning, Inc.(b) 336,889 6,670 Cymer, Inc.(b) 308,087 9,420 DST Systems, Inc.(b,c) 393,379 1,080 F5 Networks, Inc.(b,c) 27,108 19,770 Flextronics International, Ltd.(b) 293,387 14,970 Juniper Networks, Inc.(b) 279,640 8,300 Marvell Technology Group, Ltd.(b,c) 314,819 7,310 NetScreen Technologies, Inc.(b,c) 180,922 19,360 Network Associates, Inc.(b) 291,174 6,980 Novellus Systems, Inc.(b) 293,509 12,300 NVIDIA Corporation(b,c) 285,975 5,400 Paychex, Inc. 200,880 18,840 PMC-Sierra, Inc.(b,c) 379,626 5,360 SunGard Data Systems, Inc.(b) 148,526 11,340 Symantec Corporation(c) 392,931 15,780 Thermo Electron Corporation(b) 397,656 10,800 VERITAS Software Corporation(b) 401,328 14,170 Vishay Intertechnology, Inc.(b,c) 324,493 5,160 Waters Corporation(b) 171,106 15,000 Xilinx, Inc.(b) 581,100 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 8,129,016 ========================================================================================================================= Materials (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 4,200 Lyondell Chemical Company 71,190 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 71,190 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $25,214,273) 29,720,381 ========================================================================================================================= Principal Amount Short-Term Investments (2.9%) Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $877,000 State Street Bank Repurchase Agreement(e) 0.750% 1/2/2004 $877,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 877,000 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 6,953,460 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $6,953,460 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 6,953,460 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $33,044,733) $37,550,841 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Non-income producing security. (c) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (d) The interest rate shown reflects the yield. (e) Repurchase agreement dated December 31, 2003, $877,037 maturing January 2, 2004, collateralized by $896,579 of Federal Home Loan Bank Medium Term Notes, 2.125% due December 12, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Mid Cap Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (96.1%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (1.5%) - ------------------------------------------------------------------------------------------------------------------------- 80,400 Nextel Communications, Inc.(b,c) $2,256,024 163,500 Nextel Partners, Inc.(b,c) 2,199,075 137,400 Time Warner Telecom, Inc.(c) 1,391,862 37,800 United States Cellular Corporation(b,c) 1,341,900 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 7,188,861 ========================================================================================================================= Consumer Discretionary (20.2%) - ------------------------------------------------------------------------------------------------------------------------- 14,300 99 CENTS Only Stores(b,c) 389,389 100,300 Abercrombie & Fitch Company(c) 2,478,413 18,600 Advance Auto Parts, Inc.(c) 1,514,040 65,600 Alliance Gaming Corporation(c) 1,617,040 19,000 Amazon.com, Inc.(c) 1,000,160 82,600 American Eagle Outfitters, Inc.(c) 1,354,640 19,300 Applebee's International, Inc.(b) 757,911 8,600 AutoZone, Inc.(c) 732,806 72,800 Bed Bath & Beyond, Inc.(c) 3,155,880 25,800 Best Buy Company, Inc. 1,347,792 88,800 Boyd Gaming Corporation 1,433,232 35,050 Brinker International, Inc.(c) 1,162,258 18,000 CarMax, Inc.(b,c) 556,740 62,950 Cheesecake Factory, Inc.(b,c) 2,771,688 61,300 Chico's FAS, Inc.(c) 2,265,035 100,100 Coach, Inc. 3,778,775 12,700 Cost Plus, Inc.(c) 520,700 36,500 Cox Radio, Inc.(b,c) 920,895 19,200 D.R. Horton, Inc. 830,592 60,000 Dollar Tree Stores, Inc.(c) 1,803,600 10,900 E.W. Scripps Company 1,026,126 16,900 eBay, Inc. 1,091,571 31,900 EchoStar Communications Corporation(c) 1,084,600 23,100 Entercom Communications Corporation(c) 1,223,376 28,600 Family Dollar Stores, Inc. 1,026,168 11,500 Garmin, Ltd.(b) 626,520 83,500 Gentex Corporation 3,687,360 24,800 Getty Images, Inc.(c) 1,243,224 25,800 GTECH Holdings Corporation 1,276,842 78,800 Gymboree Corporation(c) 1,357,724 40,720 Harley-Davidson, Inc. 1,935,422 41,600 Harman International Industries, Inc. 3,077,568 13,500 Harrah's Entertainment, Inc. 671,895 48,226 InterActiveCorp(b,c) 1,636,308 82,400 International Game Technology(b) 2,941,680 36,600 Lamar Advertising Company(c) 1,365,912 19,500 Leapfrog Enterprises, Inc.(b,c) 517,335 10,500 Lennar Corporation 1,008,000 24,400 Linens 'n Things, Inc.(c) 733,952 38,700 Mandalay Resort Group(b) 1,730,664 36,400 Mattel, Inc. 701,428 48,700 May Department Stores Company 1,415,709 21,800 Michaels Stores, Inc.(b) 963,560 18,000 Outback Steakhouse, Inc. 795,780 38,400 Overstock.com, Inc.(b,c) 762,624 10,800 P.F. Chang's China Bistro, Inc.(b,c) 549,504 43,550 Pacific Sunwear of California, Inc.(b) 919,776 44,500 PETsMART, Inc. 1,059,100 12,500 Pixar, Inc.(c) 866,125 104,700 Radio One, Inc.(b,c) 2,020,710 24,750 Rent-A-Center, Inc. 739,530 38,200 Ross Stores, Inc. 1,009,626 31,100 Royal Caribbean Cruises, Ltd.(b) 1,081,969 59,200 Sonic Corporation(b,c) 1,812,704 113,300 Staples, Inc.(c) 3,093,090 56,700 Starbucks Corporation(c) 1,874,502 19,200 Starwood Hotels & Resorts Worldwide, Inc. 690,624 30,300 Superior Industries International, Inc.(b) 1,318,656 29,500 Tiffany & Company 1,333,400 157,200 TiVo, Inc.(b,c) 1,163,280 33,200 TJX Companies, Inc. 732,060 18,700 Tractor Supply Company 727,243 107,220 Univision Communications, Inc.(c) 4,255,562 22,500 Weight Watchers International, Inc.(b,c) 863,325 15,400 Wendy's International, Inc. 604,296 53,700 Westwood One, Inc.(c) 1,837,077 88,500 Williams-Sonoma, Inc.(b,c) 3,077,145 35,700 XM Satellite Radio Holdings, Inc.(b,c) 941,052 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 96,863,290 ========================================================================================================================= Consumer Staples (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 33,200 Dean Foods Company 1,091,284 17,200 Estee Lauder Companies(b) 675,272 29,200 Performance Food Group Company(c) 1,056,164 15,550 Whole Foods Market, Inc.(b,c) 1,043,872 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 3,866,592 ========================================================================================================================= Energy (4.8%) - ------------------------------------------------------------------------------------------------------------------------- 31,103 Apache Corporation 2,522,453 46,220 BJ Services Company(c) 1,659,298 37,000 Chesapeake Energy Corporation(b) 502,460 11,300 Cooper Cameron Corporation(c) 526,580 18,500 ENSCO International, Inc. 502,645 47,100 EOG Resources, Inc. 2,174,607 17,300 FMC Technologies, Inc.(c) 403,090 102,400 Lone Star Technologies, Inc.(b,c) 1,636,352 10,200 Murphy Oil Corporation 666,162 35,400 Nabors Industries, Ltd.(c) 1,469,100 13,500 National-Oilwell, Inc.(c) 301,860 41,300 Newfield Exploration Company(c) 1,839,502 34,600 Noble Corporation(c) 1,237,988 36,700 Patterson-UTI Energy, Inc.(c) 1,208,164 23,900 Pioneer Natural Resources Company(c) 763,127 7,800 Pogo Producing Company 376,740 24,600 Pride International, Inc.(c) 458,544 20,300 Rowan Companies, Inc.(c) 470,351 43,680 Smith International, Inc.(c) 1,813,594 18,500 Varco International, Inc.(c) 381,655 17,740 Weatherford International, Ltd.(c) 638,640 61,833 XTO Energy, Inc. 1,749,874 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 23,302,786 ========================================================================================================================= Financials (7.9%) - ------------------------------------------------------------------------------------------------------------------------- 40,400 A.G. Edwards, Inc. 1,463,692 28,800 Affiliated Managers Group, Inc.(b,c) 2,004,192 17,900 Ambac Financial Group, Inc. 1,242,081 60,300 Arthur J. Gallagher & Company(b) 1,959,147 38,700 Bank of Hawaii Corporation 1,633,140 22,665 Charter One Financial, Inc. 783,076 23,467 Countrywide Financial Corporation 1,779,947 59,550 Doral Financial Corporation 1,922,274 68,000 E*TRADE Group, Inc.(b,c) 860,200 29,800 East West Bancorp, Inc.(b) 1,599,664 50,300 Eaton Vance Corporation 1,842,992 8,400 Everest Re Group, Ltd. 710,640 36,100 First Tennessee National Corporation(b) 1,592,010 21,500 HCC Insurance Holdings, Inc.(b) 683,700 81,700 Investors Financial Services Corporation(b) 3,138,097 24,400 Legg Mason, Inc. 1,883,192 25,300 Moody's Corporation 1,531,915 40,000 New York Community Bancorp, Inc. 1,522,000 14,300 PartnerRe, Ltd. 830,115 58,000 Providian Financial Corporation(c) 675,120 20,000 Radian Group, Inc. 975,000 15,400 RenaissanceRe Holdings, Ltd.(b) 755,370 32,300 SWS Group, Inc. 574,940 16,200 T. Rowe Price Group, Inc.(b) 768,042 42,200 TCF Financial Corporation 2,166,970 38,200 Union Planters Corporation 1,202,918 18,750 W.R. Berkley Corporation 655,312 30,000 Willis Group Holdings, Ltd. 1,022,100 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 37,777,846 ========================================================================================================================= Health Care (19.0%) - ------------------------------------------------------------------------------------------------------------------------- 41,700 AdvancePCS, Inc.(c) 2,195,922 13,400 Aetna, Inc. 905,572 21,000 Allergan, Inc. 1,613,010 27,400 AmerisourceBergen Corporation 1,538,510 28,002 Anthem, Inc.(c) 2,100,150 53,100 Applera Corporation (Celera Genomics Group)(c) 738,621 10,400 Applied Biosystems Group 215,384 26,350 Barr Pharmaceuticals, Inc.(b) 2,027,632 63,220 Biogen Idec, Inc.(c) 2,325,232 84,567 Biomet, Inc. 3,079,084 48,300 Biovail Corporation(b,c) 1,037,967 26,200 Boston Scientific Corporation 963,112 10,100 C.R. Bard, Inc.(b) 820,625 113,600 Caremark Rx, Inc.(c) 2,877,488 34,900 Celgene Corporation(c) 1,571,198 12,200 Cephalon, Inc.(b,c) 590,602 19,100 Charles River Laboratories International, Inc.(b,c) 655,703 30,600 Chiron Corporation(c) 1,743,894 32,600 Community Health Systems, Inc.(c) 866,508 27,700 Coventry Health Care, Inc.(b,c) 1,786,373 42,200 Cytyc Corporation(c) 580,672 51,800 Dentsply International, Inc. 2,339,806 246,800 Elan Corporation plc ADR(b,c) 1,700,452 25,300 Express Scripts, Inc.(c) 1,680,679 29,500 First Health Group Corporation(c) 574,070 26,400 Fisher Scientific International, Inc.(c) 1,092,168 22,860 Forest Laboratories, Inc. 1,412,748 22,900 Gen-Probe, Inc. 835,163 27,300 Genzyme Corporation(c) 1,346,982 65,800 Gilead Sciences, Inc.(c) 3,825,612 59,075 Health Management Associates, Inc. 1,417,800 13,000 Henry Schein, Inc.(b,c) 878,540 100,700 Human Genome Sciences, Inc.(b,c) 1,334,275 14,600 Invitrogen Corporation(c) 1,022,000 20,800 IVAX Corporation(c) 496,704 63,700 Laboratory Corporation of America Holdings(c) 2,353,715 40,200 Lincare Holdings, Inc.(b,c) 1,207,206 54,600 Manor Care, Inc. 1,887,522 30,000 Medicis Pharmaceutical Corporation 2,139,000 64,800 MedImmune, Inc.(c) 1,645,920 16,500 Mid Atlantic Medical Services, Inc.(c) 1,069,200 41,000 Millennium Pharmaceuticals, Inc.(c) 765,470 51,900 Mylan Laboratories, Inc. 1,310,994 116,100 Nektar Therapeutics(b,c) 1,580,121 11,900 Neurocrine Biosciences, Inc.(c) 649,026 78,900 Omnicare, Inc.(b) 3,186,771 12,400 Patterson Dental Company(b,c) 795,584 15,000 Pharmaceutical Resources, Inc.(c) 977,250 81,200 Protein Design Labs, Inc.(c) 1,453,480 11,100 Quest Diagnostics, Inc.(c) 811,521 13,200 ResMed, Inc.(c) 548,328 69,400 Shire Pharmaceuticals Group plc(b,c) 2,016,070 49,600 St. Jude Medical, Inc.(c) 3,042,960 11,800 Stryker Corporation 1,003,118 22,000 TECHNE Corporation(c) 831,160 35,200 Teva Pharmaceutical Industries, Ltd. 1,996,192 36,000 Varian Medical Systems, Inc.(c) 2,487,600 70,900 VISX, Inc.(c) 1,641,335 26,500 Watson Pharmaceuticals, Inc.(c) 1,219,000 20,400 WellPoint Health Networks, Inc.(c) 1,978,596 33,500 Zimmer Holdings, Inc.(c) 2,358,400 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 91,145,797 ========================================================================================================================= Industrials (9.5%) - ------------------------------------------------------------------------------------------------------------------------- 42,750 Alliant Techsystems, Inc.(c) 2,469,240 31,000 American Power Conversion Corporation 757,950 22,600 American Standard Companies, Inc.(c) 2,275,820 8,900 Apollo Group, Inc. (University of Phoenix Online)(c) 613,477 35,250 Apollo Group, Inc.(c) 2,397,000 24,500 Aramark Corporation(b) 671,790 62,900 C.H. Robinson Worldwide, Inc. 2,384,539 49,900 Career Education Corporation 1,999,493 29,700 ChoicePoint, Inc.(b,c) 1,131,273 15,300 Cintas Corporation 766,989 18,800 Corinthian Colleges, Inc.(c) 1,044,528 39,300 Corporate Executive Board Company(b,c) 1,834,131 20,700 Danaher Corporation 1,899,225 30,000 DeVry, Inc.(b,c) 753,900 28,200 Education Management Corporation 875,328 78,300 EGL, Inc.(c) 1,374,948 53,860 Expeditors International of Washington, Inc.(b) 2,028,368 60,500 Fastenal Company 3,021,370 38,700 Fluor Corporation(b) 1,534,068 10,900 ITT Educational Services, Inc.(b,c) 511,973 8,200 ITT Industries, Inc.(b) 608,522 22,700 J.B. Hunt Transport Services, Inc. 613,127 24,400 Jacobs Engineering Group, Inc.(c) 1,171,444 50,300 L-3 Communications Holdings, Inc.(b,c) 2,583,408 57,700 Manpower, Inc. 2,716,516 12,800 Navistar International Corporation(c) 612,992 6,600 PACCAR, Inc. 561,792 55,900 Pall Corporation 1,499,797 52,900 Robert Half International, Inc.(b,c) 1,234,686 17,300 Rockwell Automation, Inc. 615,880 18,600 SPX Corporation(c) 1,093,866 23,300 Stericycle, Inc.(c) 1,088,110 27,100 Swift Transportation Company, Inc.(b,c) 569,642 10,300 W.W. Grainger, Inc. 488,117 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 45,803,309 ========================================================================================================================= Information Technology (29.3%) - ------------------------------------------------------------------------------------------------------------------------- 202,100 3Com Corporation(b,c) 1,651,157 66,600 Adobe Systems, Inc. 2,617,380 22,400 ADTRAN, Inc.(b) 694,400 25,400 Advanced Fibre Communications, Inc.(c) 511,810 42,400 Affiliated Computer Services, Inc.(b,c) 2,309,104 69,600 Altera Corporation(c) 1,579,920 134,900 Amdocs, Ltd.(c) 3,032,552 36,100 Amkor Technology, Inc.(c) 657,381 14,700 Amphenol Corporation(c) 939,771 21,700 Analog Devices, Inc. 990,605 197,400 Ariba, Inc.(c) 592,200 224,100 Arris Group, Inc.(b,c) 1,622,484 50,400 ASML Holding NV ADR(c) 1,010,520 112,800 BEA Systems, Inc.(c) 1,387,440 51,200 BISYS Group, Inc.(b,c) 761,856 106,900 BMC Software, Inc.(c) 1,993,685 46,000 Broadcom Corporation(c) 1,568,140 55,700 Business Objects SA ADR(c) 1,931,119 33,600 CACI International, Inc.(c) 1,633,632 107,300 Cadence Design Systems, Inc.(c) 1,929,254 28,500 CDW Corporation 1,646,160 34,600 Ceridian Corporation(b,c) 724,524 90,100 Check Point Software Technologies, Ltd.(c) 1,515,482 75,900 CheckFree Corporation(b,c) 2,098,635 211,900 CIENA Corporation(c) 1,407,016 33,000 Citrix Systems, Inc.(b,c) 699,930 50,225 Cognizant Technology Solutions Corporation 2,292,269 23,900 Cognos, Inc.(b,c) 731,818 28,600 Comverse Technology, Inc.(b,c) 503,074 91,500 Corning, Inc.(b,c) 954,345 19,200 Cymer, Inc.(c) 886,848 39,100 Cypress Semiconductor Corporation(c) 835,176 97,200 Dot Hill Systems Corporation(c) 1,472,580 66,200 DST Systems, Inc.(b,c) 2,764,512 53,300 DuPont Photomasks, Inc.(b,c) 1,286,662 59,400 Electronic Arts, Inc. 2,838,132 50,025 EMC Corporation(b,c) 646,323 32,000 Emulex Corporation(b,c) 853,760 76,700 Exar Corporation(c) 1,310,036 11,300 Fair Isaac Corporation 555,508 53,165 Fiserv, Inc.(c) 2,100,549 62,300 Flextronics International, Ltd.(c) 924,532 32,000 Foundry Networks, Inc.(c) 875,520 55,800 Hewitt Associates, Inc.(c) 1,668,420 135,700 Informatica Corporation(c) 1,397,710 46,800 Integrated Circuit Systems, Inc.(b,c) 1,333,332 19,700 International Rectifier Corporation(c) 973,377 86,100 Internet Security Systems, Inc.(c) 1,621,263 62,900 Intersil Corporation 1,563,065 30,200 Intuit, Inc.(c) 1,597,882 19,800 Iron Mountain, Inc.(c) 782,892 62,000 Jabil Circuit, Inc.(c) 1,754,600 75,100 Juniper Networks, Inc.(b,c) 1,402,868 38,340 KLA-Tencor Corporation(c) 2,249,408 94,900 Lam Research Corporation(c) 3,065,270 11,000 Lexmark International, Inc.(c) 865,040 26,300 Linear Technology Corporation 1,106,441 450,700 Lucent Technologies, Inc.(c) 1,279,988 43,400 Marvell Technology Group, Ltd.(b,c) 1,646,162 47,340 Maxim Integrated Products, Inc. 2,357,532 52,500 Mercury Interactive Corporation(c) 2,553,600 96,700 Micrel, Inc.(c) 1,506,586 98,490 Microchip Technology, Inc. 3,285,626 117,500 Micron Technology, Inc.(c) 1,582,725 41,000 National Instruments Corporation(b) 1,864,270 33,900 National Semiconductor Corporation(c) 1,335,999 40,100 NetScreen Technologies, Inc.(c) 992,475 82,500 Network Appliance, Inc.(b,c) 1,693,725 39,400 Network Associates, Inc.(c) 592,576 59,370 Novellus Systems, Inc.(c) 2,496,508 57,500 Paychex, Inc. 2,139,000 28,700 PeopleSoft, Inc.(c) 654,360 35,600 PMC-Sierra, Inc.(c) 717,340 23,500 Polycom, Inc.(c) 458,720 39,400 QLogic Corporation(c) 2,033,040 94,000 RealNetworks, Inc.(b,c) 536,740 13,500 SanDisk Corporation(c) 825,390 175,200 Siebel Systems, Inc.(c) 2,430,024 24,300 Storage Technology Corporation(c) 625,725 67,860 SunGard Data Systems, Inc.(c) 1,880,401 78,400 Symantec Corporation 2,716,560 128,200 Symbol Technologies, Inc. 2,165,298 34,900 Synopsys, Inc. 1,178,224 62,600 Tektronix, Inc. 1,978,160 186,300 Tellabs, Inc.(c) 1,570,509 46,100 Teradyne, Inc.(c) 1,173,245 84,100 UTStarcom, Inc.(b,c) 3,117,587 140,600 VeriSign, Inc.(c) 2,291,780 62,000 VERITAS Software Corporation(c) 2,303,920 269,200 Vignette Corporation(c) 611,084 40,400 Vishay Intertechnology, Inc.(b,c) 925,160 19,740 Waters Corporation(b,c) 654,578 40,120 Xilinx, Inc.(c) 1,554,249 36,800 Yahoo!, Inc.(c) 1,662,256 11,350 Zebra Technologies Corporation 753,300 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 140,863,791 ========================================================================================================================= Materials (2.3%) - ------------------------------------------------------------------------------------------------------------------------- 60,000 Arch Coal, Inc.(b) 1,870,200 35,500 Cytec Industries, Inc.(b,c) 1,362,845 60,500 Ecolab, Inc.(b) 1,655,885 119,600 Hercules, Inc.(c) 1,459,120 33,400 Packaging Corporation of America(b) 730,124 28,400 Pactiv Corporation(c) 678,760 23,900 Phelps Dodge Corporation(c) 1,818,551 42,400 Praxair, Inc. 1,619,680 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 11,195,165 ========================================================================================================================= Utilities (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 166,500 AES Corporation(c) 1,571,760 34,000 Equitable Resources, Inc. 1,459,280 14,600 Kinder Morgan, Inc. 862,860 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 3,893,900 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $381,266,669) 461,901,337 ========================================================================================================================= Principal Interest Maturity Amount Short-Term Investments (3.9%) Rate(d) Date Value - ------------------------------------------------------------------------------------------------------------------------- $4,000,000 Amsterdam Funding Corporation 1.090% 1/14/2004 $3,998,426 1,250,000 Delaware Funding Corporation 1.080 1/6/2004 1,249,812 10,550,000 New Center Asset Trust 0.970 1/5/2004 10,548,863 3,050,000 Rabobank USA Finance Corporation 0.940 1/2/2004 3,049,920 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 18,847,021 ========================================================================================================================= Shares or Principal Amount Collateral Held for Securities Loaned Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 61,292,183 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $61,292,183 $532 U.S. Treasury Note 3.625 3/31/2004 540 3,369 U.S. Treasury Note 1.625 1/31/2005 3,406 337 U.S. Treasury Note 9.375 2/15/2006 401 89 U.S. Treasury Note 6.500 10/15/2006 100 7,600 U.S. Treasury Note 3.375 1/15/2007 9,754 68,537 U.S. Treasury Note 4.875 2/15/2012 73,898 585 U.S. Treasury Note 13.250 5/15/2014 881 993 U.S. Treasury Note 9.000 11/15/2018 1,444 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 61,382,607 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $461,496,297) $542,130,965 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (c) Non-income producing security. (d) The interest rate shown reflects the coupon rate, yield or, 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. World Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (97.5%) Value - ------------------------------------------------------------------------------------------------------------------------- Australia (1.5%) - ------------------------------------------------------------------------------------------------------------------------- 307,442 BHP Billiton, Ltd.(b) $2,798,482 145,000 Coles Myer, Ltd.(b) 825,665 327,895 News Corporation, Ltd.(b) 2,479,224 - ------------------------------------------------------------------------------------------------------------------------- Total Australia 6,103,371 ========================================================================================================================= Belgium (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 96,780 Dexia SA(b) 1,673,801 32,090 Fortis (Amsterdam Exchange)(b) 648,110 19,899 Fortis(b) 401,411 12,008 UCB SA 452,723 - ------------------------------------------------------------------------------------------------------------------------- Total Belgium 3,176,045 ========================================================================================================================= Brazil (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 15,500 Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR(c) 389,825 36,200 Companhia de Bebidas ADR 923,462 74,490 Petroleo Brasileiro SA (Petrobras) ADR(c) 1,985,903 - ------------------------------------------------------------------------------------------------------------------------- Total Brazil 3,299,190 ========================================================================================================================= Canada (0.3%) - ------------------------------------------------------------------------------------------------------------------------- 13,580 Alcan, Inc. 636,494 10,760 Royal Bank of Canada 514,562 - ------------------------------------------------------------------------------------------------------------------------- Total Canada 1,151,056 ========================================================================================================================= Denmark (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 59,483 Novo Nordisk A/S 2,423,374 - ------------------------------------------------------------------------------------------------------------------------- Total Denmark 2,423,374 ========================================================================================================================= Finland (1.3%) - ------------------------------------------------------------------------------------------------------------------------- 308,132 Nokia Oyj(b) 5,264,634 - ------------------------------------------------------------------------------------------------------------------------- Total Finland 5,264,634 ========================================================================================================================= France (15.5%) - ------------------------------------------------------------------------------------------------------------------------- 49,273 Aventis SA(b) 3,266,574 124,972 Axa(b) 2,686,078 121,208 Banque Nationale de Paris(b) 7,658,930 51,504 Compagnie de Saint-Gobain(b) 2,528,003 128,410 Credit Agricole SA(b) 3,067,226 138,900 France Telecom SA(b) 3,968,321 3,670 Groupe Danone 599,014 15,794 Hermes International(b) 3,063,524 27,017 L'Oreal SA(b) 2,219,122 5,055 Lafarge SA(b) 451,983 41,747 LVMH Moet Hennessy Louis Vuitton SA(b,c) 3,049,537 7,265 Pinault-Printemps-Redoute SA(b) 704,229 8,903 Renault SA(b) 615,412 76,935 Sanofi-Synthelabo SA(b) 5,817,239 40,255 Schneider Electric SA(b) 2,638,952 12,484 Societe Generale(b) 1,105,587 134,915 Societe Television Francaise 1(b) 4,723,931 72,831 Sodexho Alliance SA(b) 2,206,197 48,400 Thomson Multimedia SA(b) 1,036,235 68,104 Total SA(b) 12,635,843 30,553 Vivendi Universal SA(b) 743,554 - ------------------------------------------------------------------------------------------------------------------------- Total France 64,785,491 ========================================================================================================================= Germany (2.4%) - ------------------------------------------------------------------------------------------------------------------------- 10,861 Allianz AG(b) 1,378,821 19,672 Bayer AG(b) 577,716 32,726 Bayerische Hypo-Und Vereinsbank AG(b) 761,759 16,357 Celesia AG(c) 793,298 31,447 Deutsche Bank AG(b) 2,589,868 14,895 E.ON AG(b) 972,817 8,181 Hypo Real Estate Holding AG(d) 204,215 14,849 Rhoen-Klinikum AG 833,477 6,900 SAP AG(b) 1,142,481 10,090 Siemens AG(b) 805,071 - ------------------------------------------------------------------------------------------------------------------------- Total Germany 10,059,523 ========================================================================================================================= Hong Kong (1.5%) - ------------------------------------------------------------------------------------------------------------------------- 138,000 Cheung Kong Holdings, Ltd.(b) 1,099,018 1,034,000 China Life Insurance Company(d) 845,729 571,500 China Mobile (Hong Kong), Ltd.(b) 1,758,808 541,000 Hong Kong & China Gas Company, Ltd.(b) 827,416 196,000 Sun Hung Kai Properties, Ltd.(b) 1,625,460 - ------------------------------------------------------------------------------------------------------------------------- Total Hong Kong 6,156,431 ========================================================================================================================= Israel (0.1%) - ------------------------------------------------------------------------------------------------------------------------- 19,515 Check Point Software Technologies, Ltd.(d) 328,242 - ------------------------------------------------------------------------------------------------------------------------- Total Israel 328,242 ========================================================================================================================= Italy (5.1%) - ------------------------------------------------------------------------------------------------------------------------- 211,310 Alleanza Assicurazioni SPA(b) 2,317,960 228,087 Banca Intesa SPA(b) 894,281 49,700 Banco Popolare di Verona e Novara Scrl(b) 842,361 274,955 Eni SPA(b) 5,210,689 74,626 Mediaset SPA(b) 888,753 106,625 Mediolanum SPA(b,c) 841,259 470,560 Telecom Italia Mobile SPA 2,558,165 585,754 Telecom Italia SPA 1,736,279 745,666 Telecom Italia SPA(d) 1,518,984 864,632 UniCredito Italiano SPA(b) 4,674,117 - ------------------------------------------------------------------------------------------------------------------------- Total Italy 21,482,848 ========================================================================================================================= Japan (18.5%) - ------------------------------------------------------------------------------------------------------------------------- 46,000 Canon, Inc.(b) 2,187,494 61,000 Credit Saison Company, Ltd.(b) 1,383,231 72,000 Dai Nippon Printing Company, Ltd.(b) 1,016,911 48,500 Daito Trust Construction Company, Ltd.(b) 1,444,980 147,000 Daiwa House Industry Company, Ltd.(b) 1,576,285 311,000 Daiwa Securities Group, Inc.(b) 2,141,586 57,600 Denso Corporation(b) 1,139,371 14,200 Fanuc, Ltd.(b) 856,304 185 Fuji Television Network, Inc.(b) 1,010,825 65,000 Fujisawa Pharmaceutical Company, Ltd. 1,385,882 10,300 Funai Electric Company, Ltd.(b) 1,417,957 57,200 Honda Motor Company(b) 2,569,457 9,500 Hoya Corporation(b) 873,510 4,500 Keyence Corporation(b) 950,582 117,000 Kirin Brewery Company, Ltd.(b,c) 1,000,436 11,700 Kyocera Corporation(b) 782,259 101,700 MARUI Company, Ltd.(b) 1,290,356 129,000 Mitsubishi Corporation(b) 1,375,114 189,000 Mitsubishi Estate Company, Ltd.(b) 1,804,226 203,000 Mitsubishi Heavy Industries, Ltd.(b) 565,835 370,000 Mitsui Fudosan Company, Ltd.(b) 3,358,939 202,000 Mitsui Trust Holdings, Inc.(b,d) 1,141,069 50,000 NEC Corporation(b) 370,981 254 Nippon Telegraph & Telephone Corporation(b) 1,238,907 86,900 Nissan Motor Company, Ltd.(b) 980,049 283,000 Nomura Holdings, Inc.(b) 4,802,363 1,459 NTT DoCoMo, Inc.(b) 3,336,305 173,000 OJI Paper Company, Ltd.(b) 1,119,281 149,000 Oki Electric Industry Company, Ltd.(b,d) 586,726 6,600 ORIX Corporation(b) 547,395 18,600 Rohm Company, Ltd.(b) 2,190,398 102,000 Secom Company, Ltd.(b) 3,828,018 129,000 Sekisui House, Ltd.(b) 1,341,504 101,000 Seven-Eleven Japan Company, Ltd.(b) 3,087,467 25,700 Shin-Etsu Chemical Company, Ltd.(b) 1,055,109 10,600 SMC Corporation(b) 1,320,599 26,800 Sony Corporation(b) 928,799 66,000 Sumitomo Corporation(b) 494,376 1,035,000 Sumitomo Metal Industries, Ltd.(b) 1,028,246 474 Sumitomo Mitsui Financial Group, Inc.(b,c) 2,562,547 96,000 Suzuki Motor Corporation(b) 1,424,806 15,100 Takeda Chemical Industries, Ltd.(b) 600,615 270,000 Teijin, Ltd.(b) 795,704 26,700 Toyoda Gosei Company, Ltd.(b) 774,412 61,000 Toyota Motor Corporation(b) 2,086,422 594 UFJ Holdings, Inc.(b,d) 2,898,298 61,000 Uniden Corporation(b) 1,123,905 992 Vodafone Holdings K.K.(b) 2,685,130 70,100 Yamanouchi Pharmaceutical Company, Ltd.(b) 2,186,239 71,000 Yamato Transport Company, Ltd.(b) 840,029 - ------------------------------------------------------------------------------------------------------------------------- Total Japan 77,507,239 ========================================================================================================================= Malaysia (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 615,000 Narra Industries Bhd(d) 715,342 - ------------------------------------------------------------------------------------------------------------------------- Total Malaysia 715,342 ========================================================================================================================= Mexico (1.4%) - ------------------------------------------------------------------------------------------------------------------------- 62,300 America Movil SA de CV ADR(c) 1,703,282 293,000 Fomento Economico Mexicano SA de CV 1,081,544 1,693,700 Grupo Financiero BBVA Bancomer SA de CV(d) 1,446,924 575,138 Wal-Mart de Mexico SA de CV 1,639,332 - ------------------------------------------------------------------------------------------------------------------------- Total Mexico 5,871,082 ========================================================================================================================= Netherlands (4.9%) - ------------------------------------------------------------------------------------------------------------------------- 5,080 Akzo Nobel NV(b) 194,612 121,970 ASML Holding NV(b,d) 2,441,646 185,934 ING Groep NV(b) 4,351,531 62,200 Koninklijke (Royal) KPN NV 481,281 253,800 Koninklijke (Royal) KPN NV(b,d) 1,963,813 132,262 Koninklijke (Royal) Philips Electronics NV(b) 3,869,297 73,050 Koninklijke Numico NV 2,018,826 103,250 Reed Elsevier NV(b) 1,280,376 26,858 Royal Dutch Petroleum Company(b) 1,406,454 44,864 VNU NV 1,417,562 68,110 Wolters Kluwer NV 1,065,293 - ------------------------------------------------------------------------------------------------------------------------- Total Netherlands 20,490,691 ========================================================================================================================= Norway (0.3%) - ------------------------------------------------------------------------------------------------------------------------- 54,430 Orkla ASA(b) 1,220,487 - ------------------------------------------------------------------------------------------------------------------------- Total Norway 1,220,487 ========================================================================================================================= Russia (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 10,930 LUKOIL ADR 1,016,490 3,300 Mobile Telesystems ADR(d) 273,240 2,300 Oao Gazprom ADR(b) 60,033 31,450 YUKOS Oil Company ADR(c) 1,339,770 - ------------------------------------------------------------------------------------------------------------------------- Total Russia 2,689,533 ========================================================================================================================= Singapore (0.9%) - ------------------------------------------------------------------------------------------------------------------------- 990,000 MobileOne (Asia), Ltd. 874,404 385,112 United Overseas Bank, Ltd.(b) 2,998,218 - ------------------------------------------------------------------------------------------------------------------------- Total Singapore 3,872,622 ========================================================================================================================= South Korea (1.7%) - ------------------------------------------------------------------------------------------------------------------------- 28,694 Posco ADR 974,735 10,890 Samsung Electronics Company, Ltd.(b) 4,121,734 11,310 SK Telecom Company, Ltd.(b) 1,896,718 - ------------------------------------------------------------------------------------------------------------------------- Total South Korea 6,993,187 ========================================================================================================================= Spain (3.8%) - ------------------------------------------------------------------------------------------------------------------------- 537 Antena 3 Television(d) 23,666 253,694 Banco Bilbao Vizcaya Argentaria SA(b,c) 3,518,148 271,574 Banco Santander Central Hispano SA(b,c) 3,236,006 84,936 Endesa SA(b,c) 1,635,061 71,580 Gas Natural SDG SA 1,674,835 85,300 Industria de Diseno Textil SA 1,732,253 41,200 Repsol YPF SA(b) 803,982 151,685 Telefonica SA(b) 2,234,407 27,733 Telefonica SA ADR 1,225,521 - ------------------------------------------------------------------------------------------------------------------------- Total Spain 16,083,879 ========================================================================================================================= Sweden (2.8%) - ------------------------------------------------------------------------------------------------------------------------- 59,415 Electrolux AB(b) 1,308,437 122,730 Hennes & Mauritz AB(b) 2,925,229 168,536 Nordea AB(b) 1,266,260 13,120 Sandvik AB(b) 452,524 372,160 Securitas AB(b) 5,024,499 414,274 Telefonaktiebolaget LM Ericsson(b,d) 731,234 - ------------------------------------------------------------------------------------------------------------------------- Total Sweden 11,708,183 ========================================================================================================================= Switzerland (6.7%) - ------------------------------------------------------------------------------------------------------------------------- 97,770 Adecco SA(b) 6,313,208 87,720 Credit Suisse Group(b) 3,200,333 35,824 Nestle SA(b) 8,945,952 23,600 Roche Holding AG(b) 2,385,646 55,149 STMicroelectronics(b) 1,497,544 85,428 UBS AG(b) 5,846,575 - ------------------------------------------------------------------------------------------------------------------------- Total Switzerland 28,189,258 ========================================================================================================================= Taiwan (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 482,850 Chinatrust Financial Holdings Company(b) 485,429 76,550 MediaTek Incorporation 719,277 799,394 Taiwan Semiconductor Manufacturing Company, Ltd.(b,d) 1,490,059 - ------------------------------------------------------------------------------------------------------------------------- Total Taiwan 2,694,765 ========================================================================================================================= Thailand (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 825,000 Bangkok Bank Public Company, Ltd.(b,d) 2,275,143 - ------------------------------------------------------------------------------------------------------------------------- Total Thailand 2,275,143 ========================================================================================================================= United Kingdom (24.7%) - ------------------------------------------------------------------------------------------------------------------------- 83,933 Abbey National plc(b) 798,460 92,385 AstraZeneca plc(b) 4,439,094 41,168 Autonomy Corporation plc(b,d) 176,139 163,211 BG Group plc(b) 838,114 277,342 BP Amoco plc(b) 2,255,179 66,174 British Sky Broadcasting Group plc(b,d) 834,212 147,810 Cadbury Schweppes plc(b) 1,086,665 92,300 Capita Group plc(b) 403,271 19,076 Carnival plc(b) 769,785 118,018 Celltech Group plc(b,d) 796,843 385,600 Centrica plc 1,456,527 978,150 Compass Group plc(b) 6,670,192 208,429 Diageo plc(b) 2,741,256 113,010 DS Smith plc 328,753 304,740 Electrocomponents plc(b) 1,775,795 154,230 Friends Provident plc(b) 366,165 18,000 GKN plc(b) 86,117 635,104 GlaxoSmithKline plc(b) 14,659,127 116,328 Granada plc(b) 255,397 659,665 Hays plc(b) 1,419,354 135,000 Hilton Group plc(b) 543,190 68,800 HSBC Holdings plc(b) 1,084,326 122,774 Kesa Electricals plc 565,408 1,041,238 Kingfisher plc(b) 5,211,596 58,551 Reckitt Benckiser plc(b) 1,325,175 472,093 Reed Elsevier plc(b) 3,946,363 221,779 Rio Tinto plc(b) 6,104,124 345,550 Royal Bank of Scotland Group plc(b) 10,202,447 630,507 Shell Transport & Trading Company plc(b) 4,697,650 76,500 Standard Chartered plc(b) 1,266,550 885,240 Tesco plc 4,084,687 386,568 Tomkins plc(b) 1,851,111 310,532 Unilever plc(b) 2,899,299 63,529 United Busines Media plc(b) 557,488 5,115,235 Vodafone Group plc(b) 12,709,335 290,000 Woolworths Group plc 229,726 414,890 WPP Group plc(b) 4,071,433 - ------------------------------------------------------------------------------------------------------------------------- Total United Kingdom 103,506,353 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $389,363,246) 408,047,969 ========================================================================================================================= Principal Amount Short-Term Investments (2.5%) Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- e7,000,000 Euro Time Deposit 1.750% 1/2/2004 $8,829,465 $1,650,000 Paradigm Funding, LLC 0.980 1/2/2004 1,649,955 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $10,420,786) 10,479,420 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 15,627,225 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $15,627,225 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 15,627,225 - ------------------------------------------------------------------------------------------------------------------------- Total Investments(cost $415,411,257) $434,154,614 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Security is fair valued as discussed in the notes to the financial statements. (c) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (d) Non-income producing security. (e) The interest rate shown reflects the yield or, 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 December 31, 2003(a) Shares Common Stock (97.3%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (3.4%) - ------------------------------------------------------------------------------------------------------------------------- 26,400 BellSouth Corporation $747,120 32,200 Nextel Communications, Inc.(b) 903,532 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 1,650,652 ========================================================================================================================= Consumer Discretionary (10.6%) - ------------------------------------------------------------------------------------------------------------------------- 16,100 American Axle & Manufacturing Holdings, Inc.(b) 650,762 10,400 Best Buy Company, Inc. 543,296 4,600 E.W. Scripps Company(c) 433,044 36,000 Fox Entertainment Group, Inc.(b) 1,049,400 24,200 Gap, Inc. 561,682 12,500 Hollywood Entertainment Corporation(b,c) 171,875 6,900 Hovnanian Enterprises, Inc.(b) 600,714 25,300 InterActiveCorp(b,c) 858,429 11,600 Station Casinos, Inc. 355,308 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 5,224,510 ========================================================================================================================= Consumer Staples (10.1%) - ------------------------------------------------------------------------------------------------------------------------- 26,500 Bunge Limited Finance Corporation(c) 872,380 29,000 Estee Lauder Companies(c) 1,138,540 16,600 Gillette Company 609,718 4,200 Hershey Foods Corporation 323,358 14,900 SYSCO Corporation 554,727 9,200 Wal-Mart Stores, Inc. 488,060 7,900 Whole Foods Market, Inc.(b,c) 530,327 8,000 William Wrigley Jr. Company(c) 449,680 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 4,966,790 ========================================================================================================================= Energy (6.0%) - ------------------------------------------------------------------------------------------------------------------------- 3,100 Burlington Resources, Inc. 171,678 13,800 Exxon Mobil Corporation 565,800 27,200 Occidental Petroleum Corporation 1,148,928 22,600 Pogo Producing Company 1,091,580 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 2,977,986 ========================================================================================================================= Financials (19.6%) - ------------------------------------------------------------------------------------------------------------------------- 1,500 American International Group, Inc. 99,420 12,700 Bank of America Corporation 1,021,461 10,500 Citigroup, Inc. 509,670 15,867 Countrywide Financial Corporation 1,203,487 63,100 E*TRADE Group, Inc.(b,c) 798,215 31,275 Fidelity National Financial, Inc. 1,212,844 23,600 First American Corporation(c) 702,572 11,800 Golden West Financial Corporation(c) 1,217,642 8,400 Lehman Brothers Holdings, Inc. 648,648 400 Markel Corporation(b) 101,404 11,900 PartnerRe, Ltd. 690,795 5,300 Torchmark Corporation 241,362 7,300 W.R. Berkley Corporation 255,135 16,200 Wells Fargo & Company 954,018 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 9,656,673 ========================================================================================================================= Health Care (13.7%) - ------------------------------------------------------------------------------------------------------------------------- 4,000 Allergan, Inc. 307,240 20,300 Apria Healthcare Group, Inc.(b,c) 577,941 10,200 Coventry Health Care, Inc.(b) 657,798 38,800 ENDO Pharmaceutical Holdings, Inc.(b,c) 747,288 18,300 Eon Labs, Inc.(b,c) 932,385 5,700 Fisher Scientific International, Inc.(b) 235,809 14,700 Forest Laboratories, Inc. 908,460 16,700 MedImmune, Inc.(b) 424,180 4,300 Medtronic, Inc. 209,023 20,000 Merck & Company, Inc. 924,000 3,700 PacifiCare Health Systems, Inc.(b) 250,120 16,700 Pfizer, Inc. 590,011 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 6,764,255 ========================================================================================================================= Industrials (11.1%) - ------------------------------------------------------------------------------------------------------------------------- 12,900 3M Company 1,096,887 2,300 Caterpillar, Inc. 190,946 4,500 Corinthian Colleges, Inc.(b) 250,020 16,600 CSX Corporation 596,604 18,000 Cummins, Inc.(c) 880,920 59,700 General Electric Company 1,849,507 12,200 Masco Corporation 334,402 7,800 United Defense Industries, Inc.(b) 248,664 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 5,447,950 ========================================================================================================================= Information Technology (17.1%) - ------------------------------------------------------------------------------------------------------------------------- 8,600 Amdocs, Ltd.(b) 193,328 18,600 Analog Devices, Inc. 849,090 19,500 Avocent Corporation(b,c) 712,140 3,500 Cisco Systems, Inc.(b) 85,015 20,500 Comverse Technology, Inc.(b,c) 360,595 33,800 Earthlink, Inc.(b) 338,000 38,200 Foundry Networks, Inc.(b) 1,045,152 31,200 Integrated Circuit Systems, Inc.(b) 888,888 8,700 Intel Corporation 280,140 500 International Business Machines Corporation 46,340 4,100 Marvell Technology Group, Ltd.(b,c) 155,513 97,200 Maxtor Corporation(b,c) 1,078,920 5,000 MEMC Electronic Materials, Inc.(b,c) 48,100 25,500 Microsoft Corporation 702,270 28,350 United Online, Inc.(c) 475,996 96,300 Western Digital Corporation(b,c) 1,135,376 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 8,394,863 ========================================================================================================================= Materials (3.0%) - ------------------------------------------------------------------------------------------------------------------------- 19,900 Cytec Industries, Inc.(b) 763,961 11,300 Georgia-Pacific Corporation 346,571 8,000 Newmont Mining Corporation(c) 388,880 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 1,499,412 ========================================================================================================================= Utilities (2.7%) - ------------------------------------------------------------------------------------------------------------------------- 22,400 Constellation Energy Group, Inc. 877,184 9,900 PPL Corporation 433,125 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 1,310,309 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $43,240,397) 47,893,400 ========================================================================================================================= Principal Amount Short-Term Investments (2.7%) Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,348,000 State Street Bank Repurchase Agreement(e) 0.750% 1/2/2004 $1,348,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 1,348,000 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 9,433,051 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $9,433,051 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 9,433,051 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $54,021,448) $58,674,451 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Non-income producing security. (c) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (d) The interest rate shown reflects the yield. (e) Repurchase agreement dated December 31, 2003, $1,348,056 maturing January 2, 2004, collateralized by $1,377,426 of Federal Home Loan Bank Medium Term Notes, 2.125% due December 12, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (98.9%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (1.3%) - ------------------------------------------------------------------------------------------------------------------------- 495,300 Nextel Communications, Inc.(b,c) $13,898,118 591,400 Sprint Corporation (PCS Group)(b,c) 3,323,668 186,200 Verizon Communications, Inc. 6,531,896 286,950 Vodafone Group plc ADR 7,185,228 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 30,938,910 ========================================================================================================================= Consumer Discretionary (15.7%) - ------------------------------------------------------------------------------------------------------------------------- 240,350 Amazon.com, Inc.(c) 12,652,024 56,400 AutoZone, Inc.(c) 4,805,844 259,800 Bed Bath & Beyond, Inc.(b,c) 11,262,330 291,200 Best Buy Company, Inc. 15,212,288 26,800 Centex Corporation(b) 2,885,020 423,700 Clear Channel Communications, Inc. 19,841,871 428,895 Comcast Corporation(c) 13,415,836 121,385 Cox Communications, Inc.(c) 4,181,713 410,000 eBay, Inc. 26,481,900 171,600 EchoStar Communications Corporation(c) 5,834,400 99,100 Fox Entertainment Group, Inc.(c) 2,888,765 48,050 Gannett Company, Inc. 4,284,138 296,650 Gap, Inc. 6,885,246 123,400 Harley-Davidson, Inc.(b) 5,865,202 790,995 Home Depot, Inc. 28,072,413 310,450 InterActiveCorp(b,c) 10,533,568 327,900 International Game Technology 11,706,030 41,300 Johnson Controls, Inc.(b) 4,795,756 287,400 Kohl's Corporation(c) 12,915,756 27,000 Lamar Advertising Company(b,c) 1,007,640 58,500 Lennar Corporation(b) 5,616,000 745,443 Liberty Media Corporation(c) 8,863,317 324,100 Lowe's Companies, Inc. 17,951,899 71,400 Marriott International, Inc.(b) 3,298,680 158,900 McDonald's Corporation 3,945,487 109,700 NIKE, Inc. 7,510,062 166,200 Omnicom Group, Inc. 14,514,246 378,900 Staples, Inc.(c) 10,343,970 265,400 Starbucks Corporation(b,c) 8,774,124 349,600 Target Corporation 13,424,640 101,000 Tiffany & Company 4,565,200 830,305 Time Warner, Inc.(b,c) 14,937,187 242,300 TJX Companies, Inc.(b) 5,342,715 75,900 Toll Brothers, Inc.(b,c) 3,017,784 131,800 Tribune Company 6,800,880 255,850 Univision Communications, Inc.(b,c) 10,154,686 726,545 Viacom, Inc. 32,244,067 368,100 Walt Disney Company 8,587,773 105,800 Yum! Brands, Inc.(c) 3,639,520 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 389,059,977 ========================================================================================================================= Consumer Staples (7.7%) - ------------------------------------------------------------------------------------------------------------------------- 181,000 Altria Group, Inc. 9,850,020 251,500 Anheuser-Busch Companies, Inc.(b) 13,249,020 398,150 Coca-Cola Company 20,206,112 200,900 Colgate-Palmolive Company 10,055,045 155,300 Costco Wholesale Corporation(b,c) 5,774,054 215,900 Gillette Company 7,930,007 526,950 PepsiCo, Inc.(b) 24,566,409 313,000 Procter & Gamble Company 31,262,440 170,000 SYSCO Corporation 6,329,100 877,000 Wal-Mart Stores, Inc. 46,524,850 405,800 Walgreen Company 14,763,004 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 190,510,061 ========================================================================================================================= Energy (2.9%) - ------------------------------------------------------------------------------------------------------------------------- 101,597 Apache Corporation 8,239,517 174,600 Baker Hughes, Inc. 5,615,136 163,150 BJ Services Company(c) 5,857,085 83,900 Burlington Resources, Inc. 4,646,382 390,200 Chesapeake Energy Corporation(b) 5,298,916 52,900 Devon Energy Corporation 3,029,054 196,350 ENSCO International, Inc. 5,334,830 93,500 Exxon Mobil Corporation 3,833,500 224,400 Halliburton Company 5,834,400 181,800 Nabors Industries, Ltd.(c) 7,544,700 109,900 Schlumberger, Ltd. 6,013,728 261,765 Smith International, Inc.(b,c) 10,868,483 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 72,115,731 ========================================================================================================================= Financials (11.5%) - ------------------------------------------------------------------------------------------------------------------------- 175,100 ACE, Ltd. 7,252,642 73,480 AFLAC, Inc. 2,658,506 295,650 American Express Company 14,259,200 518,700 American International Group, Inc. 34,379,436 190,700 Bank of New York Company, Inc.(b) 6,315,984 149,000 Capital One Financial Corporation 9,132,210 331,750 Charles Schwab Corporation 3,927,920 964,900 Citigroup, Inc. 46,836,246 82,600 Eaton Vance Corporation(b) 3,026,464 293,915 Federal National Mortgage Corporation(b) 22,061,260 136,600 FleetBoston Financial Corporation 5,962,590 130,600 Friedman, Billings, Ramsey Group, Inc.(b) 3,014,248 217,900 Goldman Sachs Group, Inc. 21,513,267 187,250 J.P. Morgan Chase & Company 6,877,692 134,800 Lehman Brothers Holdings, Inc. 10,409,256 144,950 Marsh & McLennan Companies, Inc. 6,941,656 501,700 MBNA Corporation(b) 12,467,245 102,600 Mellon Financial Corporation 3,294,486 212,700 Merrill Lynch & Company, Inc.(b) 12,474,855 241,300 Morgan Stanley and Company 13,964,031 382,700 SLM Corporation 14,420,136 155,000 State Street Corporation 8,072,400 150,500 Wachovia Corporation 7,011,795 115,050 Wells Fargo & Company 6,775,294 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 283,048,819 ========================================================================================================================= Health Care (18.6%) - ------------------------------------------------------------------------------------------------------------------------- 364,750 Abbott Laboratories 16,997,350 61,100 AdvancePCS, Inc.(c) 3,217,526 69,950 Aetna, Inc. 4,727,221 64,300 Allergan, Inc. 4,938,883 772,200 Amgen, Inc.(b,c) 47,721,960 51,700 Anthem, Inc.(b,c) 3,877,500 79,400 Biogen Idec, Inc.(c) 2,920,332 80,000 Biomet, Inc.(b) 2,912,800 583,700 Boston Scientific Corporation 21,456,812 176,630 Cardinal Health, Inc. 10,802,691 100,600 Cephalon, Inc.(b,c) 4,870,046 104,700 Chiron Corporation(c) 5,966,853 223,100 Eli Lilly and Company 15,690,623 204,710 Forest Laboratories, Inc. 12,651,078 250,100 Genentech, Inc.(b,c) 23,401,857 61,300 Genzyme Corporation(b,c) 3,024,542 251,250 Gilead Sciences, Inc.(b,c) 14,607,675 662,100 Johnson & Johnson 34,204,086 89,700 MedImmune, Inc.(c) 2,278,380 738,900 Medtronic, Inc. 35,917,929 195,150 Merck & Company, Inc. 9,015,930 61,200 Omnicare, Inc. 2,471,868 2,375,255 Pfizer, Inc. 83,917,759 124,300 St. Jude Medical, Inc.(c) 7,625,805 75,200 Stryker Corporation(b) 6,392,752 259,500 Teva Pharmaceutical Industries, Ltd.(b) 14,716,245 437,700 UnitedHealth Group, Inc.(b) 25,465,386 100,500 WellPoint Health Networks, Inc.(c) 9,747,495 442,200 Wyeth Corporation 18,771,390 120,300 Zimmer Holdings, Inc.(c) 8,469,120 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 458,779,894 ========================================================================================================================= Industrials (7.9%) - ------------------------------------------------------------------------------------------------------------------------- 255,800 3M Company 21,750,674 256,700 Allied Waste Industries, Inc.(c) 3,562,996 104,500 Apollo Group, Inc.(b,c) 7,106,000 77,300 Boeing Company 3,257,422 108,750 Caterpillar, Inc.(b) 9,028,425 364,800 Cendant Corporation(b,c) 8,124,096 147,600 Continental Airlines, Inc.(b,c) 2,401,452 82,800 Corinthian Colleges, Inc.(c) 4,600,368 60,400 Deere & Company 3,929,020 88,800 Dover Corporation 3,529,800 63,000 Emerson Electric Company 4,079,250 81,900 FedEx Corporation 5,528,250 56,100 General Dynamics Corporation 5,070,879 2,033,700 General Electric Company 63,004,026 35,050 Illinois Tool Works, Inc.(b) 2,941,046 52,300 Ingersoll-Rand Company 3,550,124 107,900 Lockheed Martin Corporation 5,546,060 101,300 Monster Worldwide, Inc.(b,c) 2,224,548 261,100 Northwest Airlines Corporation(b,c) 3,295,082 337,500 Tyco International, Ltd. 8,943,750 165,600 United Parcel Service, Inc. 12,345,480 132,950 United Technologies Corporation 12,599,672 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 196,418,420 ========================================================================================================================= Information Technology (32.5%) - ------------------------------------------------------------------------------------------------------------------------- 170,900 Accenture, Ltd.(c) 4,498,088 1,000,400 ADC Telecommunications, Inc.(c) 2,971,188 134,100 Adobe Systems, Inc. 5,270,130 100,000 Advanced Fibre Communications, Inc.(c) 2,015,000 191,300 Advanced Micro Devices, Inc.(c) 2,850,370 334,100 Analog Devices, Inc.(b) 15,251,665 138,200 Apple Computer, Inc.(c) 2,953,334 1,155,950 Applied Materials, Inc.(c) 25,951,078 151,500 ASML Holding NV ADR(c) 3,037,575 138,150 BEA Systems, Inc.(c) 1,699,245 363,800 BMC Software, Inc.(b,c) 6,784,870 111,500 Broadcom Corporation(c) 3,801,035 515,900 Brocade Communications Systems, Inc.(c) 2,981,902 30,500 Cabot Microelectronics Corporation(b,c) 1,494,500 290,000 Check Point Software Technologies, Ltd.(c) 4,877,800 3,375,200 Cisco Systems, Inc.(c) 81,983,608 77,800 Cognos, Inc.(b,c) 2,382,236 115,400 Computer Sciences Corporation(b,c) 5,104,142 63,200 Cypress Semiconductor Corporation(c) 1,349,952 1,426,350 Dell, Inc.(c) 48,438,846 99,400 DST Systems, Inc.(b,c) 4,150,944 276,470 Electronic Arts, Inc. 13,209,737 77,800 Electronics for Imaging, Inc.(c) 2,024,356 1,296,100 EMC Corporation(c) 16,745,612 180,400 Emulex Corporation(b,c) 4,813,072 541,850 First Data Corporation(b) 22,264,616 163,525 Fiserv, Inc.(c) 6,460,873 340,200 Flextronics International, Ltd.(c) 5,048,568 451,805 Hewlett-Packard Company 10,377,961 154,300 Ingram Micro, Inc.(c) 2,453,370 2,447,850 Intel Corporation 78,820,770 265,600 International Business Machines Corporation 24,615,808 127,300 Internet Security Systems, Inc.(b,c) 2,397,059 99,500 Intuit, Inc.(b,c) 5,264,545 153,600 Jabil Circuit, Inc.(c) 4,346,880 496,600 JDS Uniphase Corporation(c) 1,812,590 61,650 KLA-Tencor Corporation(c) 3,617,006 80,800 Lexmark International, Inc.(c) 6,354,112 305,600 Linear Technology Corporation 12,856,592 1,543,500 Lucent Technologies, Inc.(b,c) 4,383,540 278,150 Maxim Integrated Products, Inc.(b) 13,851,870 179,000 Microchip Technology, Inc.(b) 5,971,440 3,270,400 Microsoft Corporation 90,066,816 257,600 Motorola, Inc.(b) 3,624,432 766,650 Nasdaq (100) Trust 27,921,393 181,200 Network Appliance, Inc.(b,c) 3,720,036 748,320 Nokia Corporation ADR 12,721,440 1,326,300 Nortel Networks Corporation(c) 5,610,249 174,450 Novellus Systems, Inc.(b,c) 7,335,622 1,799,700 Oracle Corporation(c) 23,756,040 217,700 Paychex, Inc. 8,098,440 263,000 PeopleSoft, Inc.(c) 5,996,400 314,250 QUALCOMM, Inc.(b) 16,947,502 63,600 Research in Motion, Ltd.(b,c) 4,250,388 227,100 SAP AG(b) 9,438,276 25,000 Semtech Corporation(c) 568,250 519,000 Siebel Systems, Inc.(b,c) 7,198,530 148,100 Skyworks Solutions, Inc.(c) 1,288,470 247,400 Symantec Corporation(b) 8,572,410 450,892 Taiwan Semiconductor Manufacturing Company, Ltd. ADR(b,c) 4,617,134 741,400 Texas Instruments, Inc.(b) 21,782,332 395,200 Tibco Software, Inc.(c) 2,675,504 253,000 United Microelectronics Corporation ADR(b,c) 1,252,350 94,100 UTStarcom, Inc.(b,c) 3,488,287 231,400 VeriSign, Inc.(c) 3,771,820 534,900 VERITAS Software Corporation(b,c) 19,876,884 296,700 Xilinx, Inc.(c) 11,494,158 431,200 Yahoo!, Inc.(b,c) 19,477,304 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 803,088,352 ========================================================================================================================= Materials (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 87,800 Alcoa, Inc. 3,336,400 18,200 International Steel Group, Inc.(b,c) 708,890 129,800 Peabody Energy Corporation(b) 5,413,958 41,800 Weyerhaeuser Company(b) 2,675,200 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 12,134,448 ========================================================================================================================= Miscellaneous (0.3%) - ------------------------------------------------------------------------------------------------------------------------- 67,000 S&P 400 Mid-Cap Depository Receipts 7,073,860 - ------------------------------------------------------------------------------------------------------------------------- Total Miscellaneous 7,073,860 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $2,208,979,602) 2,443,168,472 ========================================================================================================================= Principal Amount Short-Term Investments (1.1%) Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $5,350,000 Falcon Asset Securitization Corporation 1.080% 1/9/2004 $5,348,716 2,300,000 Paradigm Funding, LLC 0.980 1/2/2004 2,299,937 20,000,000 UBS Finance Corporation 0.980 1/5/2004 19,997,822 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 27,646,475 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 139,440,458 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $139,440,458 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 139,440,458 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $2,376,066,535) $2,610,255,405 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (c) Non-income producing security. (d) The interest rate shown reflects the discount rate at the date of purchase. (e) The interest rate shown reflects the yield. The accompanying notes to the financial statements are an integral part of this schedule. Investors Growth Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (96.4%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (2.0%) - ------------------------------------------------------------------------------------------------------------------------- 18,750 AT&T Wireless Services, Inc.(b) $149,812 10,000 Nextel Communications, Inc.(b) 280,600 2,300 NTL, Inc.(b) 160,425 79,900 Vodafone Group plc(b,c) 198,520 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 789,357 ========================================================================================================================= Consumer Discretionary (20.6%) - ------------------------------------------------------------------------------------------------------------------------- 2,100 Bayerische Motoren Werke AG(b) 97,345 3,800 Best Buy Company, Inc. 198,512 2,200 CarMax, Inc.(b,d) 68,046 10,470 Carnival Corporation(d) 415,973 10,640 Clear Channel Communications, Inc.(d) 498,271 5,500 Coach, Inc. 207,625 14,223 Comcast Corporation(b,d) 467,510 7,600 eBay, Inc. 490,884 15,700 EchoStar Communications Corporation(b) 533,800 4,900 Harley-Davidson, Inc. 232,897 2,300 Hilton Hotels Corporation 39,399 7,100 Home Depot, Inc. 251,979 13,970 InterActiveCorp(b,d) 474,002 3,900 International Game Technology(d) 139,230 10,590 Kohl's Corporation(b) 475,915 19,800 Liberty Media Corporation(b) 235,422 2,370 Lowe's Companies, Inc. 131,274 2,210 McDonald's Corporation 54,874 6,600 News Corporation Limited ADR(b,d) 238,260 6,840 NIKE, Inc. 468,266 2,200 Outback Steakhouse, Inc. 97,262 6,800 Staples, Inc.(b) 185,640 17,720 Target Corporation 680,448 37,780 Time Warner, Inc.(b) 679,662 8,990 TJX Companies, Inc. 198,230 9,810 Viacom, Inc. 435,368 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 7,996,094 ========================================================================================================================= Consumer Staples (6.2%) - ------------------------------------------------------------------------------------------------------------------------- 3,500 Altria Group, Inc. 190,470 1,800 Anheuser-Busch Companies, Inc. 94,824 4,370 Avon Products, Inc. 294,931 3,200 Clorox Company(d) 155,392 6,400 Colgate-Palmolive Company 320,320 7,510 PepsiCo, Inc. 350,116 2,830 Procter & Gamble Company 282,660 900 SYSCO Corporation(d) 33,507 7,280 Wal-Mart Stores, Inc. 386,204 7,700 Walgreen Company 280,126 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 2,388,550 ========================================================================================================================= Energy (0.7%) - ------------------------------------------------------------------------------------------------------------------------- 3,300 BJ Services Company(b) 118,470 3,200 Smith International, Inc.(b) 132,864 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 251,334 ========================================================================================================================= Financials (10.8%) - ------------------------------------------------------------------------------------------------------------------------- 11,370 American Express Company 548,375 12,160 American International Group, Inc. 805,965 8,900 Bank of New York Company, Inc. 294,768 10,000 Charles Schwab Corporation 118,400 13,960 Citigroup, Inc. 677,618 6,210 Federal National Mortgage Corporation 466,123 15,830 MBNA Corporation 393,376 1,670 Merrill Lynch & Company, Inc. 97,946 7,900 Morgan Stanley and Company 457,173 8,810 SLM Corporation(d) 331,961 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 4,191,705 ========================================================================================================================= Health Care (19.0%) - ------------------------------------------------------------------------------------------------------------------------- 7,810 Abbott Laboratories 363,946 2,600 Alcon, Inc. 157,404 1,700 Allergan, Inc.(d) 130,577 800 AmerisourceBergen Corporation 44,920 5,220 Amgen, Inc.(b) 322,596 6,200 Baxter International, Inc. 189,224 7,700 Biomet, Inc.(d) 280,357 2,800 C.R. Bard, Inc.(d) 227,500 6,800 Cardinal Health, Inc.(d) 415,888 11,400 Caremark Rx, Inc.(b) 288,762 2,100 Eli Lilly and Company 147,693 3,500 Forest Laboratories, Inc. 216,300 660 Genentech, Inc.(b) 61,756 6,900 Genzyme Corporation(b) 340,446 7,940 Gilead Sciences, Inc.(b) 461,632 6,610 Guidant Corporation 397,922 3,500 HCA, Inc.(d) 150,360 1,430 Invitrogen Corporation(b,d) 100,100 16,770 Johnson & Johnson 866,338 6,110 Medtronic, Inc. 297,007 30,950 Pfizer, Inc. 1,093,464 1,100 Roche Holding AG(b,c) 111,195 2,000 Watson Pharmaceuticals, Inc.(b,d) 92,000 7,010 Wyeth Corporation 297,574 4,100 Zimmer Holdings, Inc.(b) 288,640 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 7,343,601 ========================================================================================================================= Industrials (10.5%) - ------------------------------------------------------------------------------------------------------------------------- 5,580 3M Company 474,467 2,800 Apollo Group, Inc.(b) 190,400 4,190 Career Education Corporation 167,893 3,100 Danaher Corporation(d) 284,425 900 Eaton Corporation 97,182 3,440 FedEx Corporation 232,200 27,750 General Electric Company 859,695 2,300 Illinois Tool Works, Inc.(d) 192,993 2,760 JetBlue Airways Corporation(d) 73,195 2,700 Rockwell Automation, Inc. 96,120 22,300 Southwest Airlines Company 359,922 35,690 Tyco International, Ltd.(d) 945,785 2,000 W.W. Grainger, Inc. 94,780 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 4,069,057 ========================================================================================================================= Information Technology (25.8%) - ------------------------------------------------------------------------------------------------------------------------- 7,300 Accenture, Ltd.(b) 192,136 4,400 Affiliated Computer Services, Inc.(b,d) 239,624 5,800 Amdocs, Ltd.(b,d) 130,384 9,450 Analog Devices, Inc. 431,392 4,600 Apple Computer, Inc.(b) 98,302 11,200 Cadence Design Systems, Inc.(b,d) 201,376 51,250 Cisco Systems, Inc.(b) 1,244,862 15,100 Corning, Inc.(b) 157,493 24,000 Dell, Inc.(b) 815,040 7,400 EMC Corporation(b) 95,608 2,400 First Data Corporation 98,616 7,300 Fiserv, Inc.(b) 288,423 32,140 Intel Corporation 1,034,908 4,280 International Business Machines Corporation 396,670 3,800 Intuit, Inc.(b) 201,058 3,900 Marvell Technology Group, Ltd.(b,d) 147,927 3,200 Mercury Interactive Corporation(b,d) 155,648 5,800 Microchip Technology, Inc.(d) 193,488 53,990 Microsoft Corporation 1,486,888 3,230 Novellus Systems, Inc.(b) 135,822 29,820 Oracle Corporation(b) 393,624 3,000 QUALCOMM, Inc. 161,790 14,560 Symantec Corporation(d) 504,504 19,142 Taiwan Semiconductor Manufacturing Company, Ltd. ADR(b) 196,014 13,400 Texas Instruments, Inc. 393,692 8,000 VERITAS Software Corporation(b) 297,280 5,100 Xilinx, Inc.(b) 197,574 2,200 Yahoo!, Inc.(b) 99,374 300 Zebra Technologies Corporation 19,911 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 10,009,428 ========================================================================================================================= Materials (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 3,200 Air Products and Chemicals, Inc. 169,056 6,600 Broken Hill Proprietary, Ltd.(b) 120,516 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 289,572 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $35,063,112) 37,328,698 ========================================================================================================================= Principal Amount Short-Term Investments (3.6%) Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $1,397,000 State Street Bank Repurchase Agreement(f) 0.750% 1/2/2004 $1,397,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 1,397,000 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 6,454,320 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $6,454,320 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 6,454,320 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $42,914,432) $45,180,018 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Non-income producing security. (c) Security is fair valued as discussed in the notes to the financial statements. (d) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (e) The interest rate shown reflects the yield. (f) Repurchase agreement dated December 31, 2003, $1,397,058 maturing January 2, 2004, collateralized by $1,427,514 of Federal Home Loan Bank Medium Term Notes, 2.125% due December 12, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Growth Stock Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (96.9%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (3.9%) - ------------------------------------------------------------------------------------------------------------------------- 25,300 Crown Castle International Corporation(b) $279,059 29,900 Nextel Communications, Inc.(b) 838,994 28 NTT DoCoMo, Inc.(b,c) 64,028 414,500 Vodafone Group plc(b,c) 1,029,869 20,400 Vodafone Group plc ADR(d) 510,816 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 2,722,766 ========================================================================================================================= Consumer Discretionary (21.4%) - ------------------------------------------------------------------------------------------------------------------------- 10,450 Best Buy Company, Inc. 545,908 28,000 British Sky Broadcasting Group plc(b,c) 352,977 14,700 Carnival Corporation 584,031 19,900 Clear Channel Communications, Inc.(d) 931,917 33,300 Comcast Corporation(b) 1,041,624 77,000 Compass Group plc(b,c) 525,078 5,100 E.W. Scripps Company(d) 480,114 8,700 eBay, Inc. 561,933 22,600 EchoStar Communications Corporation(b) 768,400 7,100 Family Dollar Stores, Inc. 254,748 13,900 Harley-Davidson, Inc. 660,667 1,683 Hermes International(b,c) 326,447 23,000 Home Depot, Inc. 816,270 9,700 Industria de Diseno Textil SA(b) 196,985 14,200 InterActiveCorp(b,d) 481,806 19,600 International Game Technology(d) 699,720 69,700 Kingfisher plc(b,c) 348,862 6,000 Kohl's Corporation(b) 269,640 59,032 Liberty Media Corporation(b) 701,890 6,500 MGM Mirage, Inc.(d) 244,465 2,600 Omnicom Group, Inc.(d) 227,058 10,000 Starbucks Corporation(b) 330,600 26,400 Target Corporation 1,013,760 28,700 Time Warner, Inc.(b) 516,313 20,300 Univision Communications, Inc.(b,d) 805,707 21,800 Viacom, Inc. 967,484 7,300 Wal-Mart de Mexico SA de CV(b) 208,075 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 14,862,479 ========================================================================================================================= Consumer Staples (5.8%) - ------------------------------------------------------------------------------------------------------------------------- 10,400 Altria Group, Inc. 565,968 13,000 Coca-Cola Company 659,750 4,900 General Mills, Inc. 221,970 7,400 Gillette Company 271,802 5,100 PepsiCo, Inc. 237,762 13,600 SYSCO Corporation(d) 506,328 26,500 Unilever plc(b,c) 247,419 39,000 Wal-Mart de Mexico SA de CV(b) 111,163 14,200 Wal-Mart Stores, Inc. 753,310 12,800 Walgreen Company 465,664 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 4,041,136 ========================================================================================================================= Energy (3.7%) - ------------------------------------------------------------------------------------------------------------------------- 20,000 Baker Hughes, Inc. 643,200 7,100 ChevronTexaco Corporation 613,369 16,600 Exxon Mobil Corporation 680,600 12,000 Schlumberger, Ltd. 656,640 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 2,593,809 ========================================================================================================================= Financials (20.2%) - ------------------------------------------------------------------------------------------------------------------------- 12,800 ACE, Ltd.(d) 530,176 7,500 American Express Company 361,725 25,800 American International Group, Inc. 1,710,024 19,500 Charles Schwab Corporation 230,880 2,900 China Life Insurance Company ADR(b,d) 95,613 52,700 Citigroup, Inc. 2,558,058 13,800 Credit Suisse Group(b,c) 503,472 5,800 Federal Home Loan Mortgage Corporation 338,256 12,600 Federal National Mortgage Corporation 945,756 2,500 Goldman Sachs Group, Inc. 246,825 10,100 Hartford Financial Services Group, Inc. 596,203 8,400 Marsh & McLennan Companies, Inc. 402,276 9,300 MBNA Corporation 231,105 20,100 Mellon Financial Corporation 645,411 14,800 Merrill Lynch & Company, Inc. 868,020 8,500 Morgan Stanley and Company 491,895 11,800 Northern Trust Corporation 547,756 16,900 SLM Corporation(d) 636,792 17,400 State Street Corporation(d) 906,192 26,181 Travelers Property Casualty Company, Class A 439,317 24,200 U.S. Bancorp(d) 720,676 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 14,006,428 ========================================================================================================================= Health Care (15.4%) - ------------------------------------------------------------------------------------------------------------------------- 9,600 Abbott Laboratories 447,360 14,900 Amgen, Inc.(b) 920,820 8,300 Biomet, Inc. 302,203 4,000 Boston Scientific Corporation 147,040 4,500 Cardinal Health, Inc.(d) 275,220 1,800 Eli Lilly and Company 126,594 10,700 Forest Laboratories, Inc. 661,260 2,300 Genentech, Inc.(b) 215,211 7,200 Gilead Sciences, Inc.(b) 418,608 12,500 Johnson & Johnson 645,750 9,100 Medco Health Solutions, Inc.(b) 309,309 9,500 MedImmune, Inc.(b) 241,300 7,600 Medtronic, Inc. 369,436 51,740 Pfizer, Inc. 1,827,974 2,600 Sanofi-Synthelabo SA(b,c) 196,592 37,800 UnitedHealth Group, Inc. 2,199,203 9,900 WellPoint Health Networks, Inc.(b) 960,201 10,400 Wyeth Corporation 441,480 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 10,705,561 ========================================================================================================================= Industrials (6.7%) - ------------------------------------------------------------------------------------------------------------------------- 7,600 Adecco SA(b,c) 490,748 10,800 Apollo Group, Inc.(b) 734,400 27,200 Cendant Corporation(b) 605,744 7,100 Danaher Corporation 651,425 31,000 General Electric Company 960,380 36,700 Tyco International, Ltd.(d) 972,550 2,700 United Parcel Service, Inc. 201,285 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 4,616,532 ========================================================================================================================= Information Technology (18.4%) - ------------------------------------------------------------------------------------------------------------------------- 19,000 Accenture, Ltd.(b) 500,080 9,000 Adobe Systems, Inc. 353,700 17,300 Affiliated Computer Services, Inc.(b,d) 942,158 7,400 Analog Devices, Inc. 337,810 23,300 Applied Materials, Inc.(b) 523,085 45,400 Cisco Systems, Inc.(b) 1,102,766 27,600 Dell, Inc.(b) 937,296 27,800 First Data Corporation 1,142,302 17,800 Fiserv, Inc.(b) 703,278 17,000 Intel Corporation 547,400 12,800 Intuit, Inc.(b) 677,248 4,900 Maxim Integrated Products, Inc. 244,020 2,500 Mercury Interactive Corporation(b,d) 121,600 78,900 Microsoft Corporation 2,172,906 1,200 Samsung Electronics Company, Ltd.(b,c) 454,186 21,000 Siebel Systems, Inc.(b) 291,270 11,400 SunGard Data Systems, Inc.(b) 315,894 6,200 Symantec Corporation(d) 214,830 8,900 Synopsys, Inc. 300,464 8,900 Xilinx, Inc.(b) 344,830 11,800 Yahoo!, Inc.(b) 533,006 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 12,760,129 ========================================================================================================================= Materials (1.4%) - ------------------------------------------------------------------------------------------------------------------------- 10,800 Nucor Corporation(d) 604,800 13,300 Rio Tinto plc(b,c) 366,062 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 970,862 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $57,111,918) 67,279,702 ========================================================================================================================= Principal Amount Short-Term Investments (3.1%) Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $2,135,000 State Street Bank Repurchase Agreement(f) 0.750% 1/2/2004 $2,135,000 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 2,135,000 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 10,291,717 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $10,291,717 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 10,291,717 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $69,538,635) $79,706,419 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Non-income producing security. (c) Security is fair valued as discussed in the notes to the financial statements. (d) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (e) The interest rate shown reflects the yield. (f) Repurchase agreement dated December 31, 2003, $2,135,089 maturing January 2, 2004, collateralized by $2,178,837 of Federal Home Loan Bank Medium Term Notes, 2.125% due December 12, 2005. The accompanying notes to the financial statements are an integral part of this schedule. Value Portfolio Schedule of Investments as of December 31, 2003(a) Shares Common Stock (96.4%) Value - ------------------------------------------------------------------------------------------------------------------------- Communications Services (4.5%) - ------------------------------------------------------------------------------------------------------------------------- 18,600 ALLTEL Corporation $866,388 127,400 AT&T Wireless Services, Inc.(b) 1,017,926 53,900 BellSouth Corporation 1,525,370 19,700 Nextel Communications, Inc.(b) 552,782 73,140 SBC Communications, Inc. 1,906,760 77,175 Verizon Communications, Inc. 2,707,299 51,800 Vodafone Group plc ADR(c) 1,297,072 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 9,873,597 ========================================================================================================================= Consumer Discretionary (11.0%) - ------------------------------------------------------------------------------------------------------------------------- 6,300 AutoZone, Inc.(b) 536,823 13,200 Best Buy Company, Inc. 689,568 35,600 Clear Channel Communications, Inc. 1,667,148 30,078 Comcast Corporation(b) 988,664 37,690 Fox Entertainment Group, Inc.(b) 1,098,664 36,300 Home Depot, Inc. 1,288,287 11,800 Johnson Controls, Inc. 1,370,216 8,000 Lennar Corporation 768,000 127,500 Liberty Media Corporation(b) 1,515,975 21,195 Lowe's Companies, Inc. 1,173,991 79,200 McDonald's Corporation 1,966,536 15,500 Sears, Roebuck and Company 705,095 51,500 Staples, Inc.(b) 1,405,950 55,655 Target Corporation 2,137,152 37,500 Time Warner, Inc.(b) 674,625 26,100 Toyota Motor Corporation ADR(c) 1,794,375 21,200 Tribune Company 1,093,920 36,200 Viacom, Inc. 1,606,556 68,100 Walt Disney Company 1,588,773 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Discretionary 24,070,318 ========================================================================================================================= Consumer Staples (6.2%) - ------------------------------------------------------------------------------------------------------------------------- 49,200 Altria Group, Inc. 2,677,464 48,600 Archer-Daniels-Midland Company 739,692 73,310 CVS Corporation 2,647,957 31,450 General Mills, Inc. 1,424,685 18,745 Kimberly-Clark Corporation 1,107,642 36,800 Kraft Foods, Inc.(c) 1,185,696 41,450 Kroger Company(b) 767,240 17,300 Procter & Gamble Company 1,727,924 10,300 R.J. Reynolds Tobacco Holdings, Inc.(c) 598,945 23,600 SUPERVALU, Inc. 674,724 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Staples 13,551,969 ========================================================================================================================= Energy (10.5%) - ------------------------------------------------------------------------------------------------------------------------- 18,720 Apache Corporation 1,518,192 37,700 Baker Hughes, Inc. 1,212,432 15,900 BJ Services Company(b) 570,810 34,900 BP plc 1,722,315 10,600 Burlington Resources, Inc. 587,028 33,983 ChevronTexaco Corporation 2,935,791 67,079 ConocoPhillips Company 4,398,370 17,810 EOG Resources, Inc. 822,288 138,400 Exxon Mobil Corporation 5,674,400 13,600 Nabors Industries, Ltd.(b) 564,400 32,800 Noble Corporation(b) 1,173,584 42,900 Valero Energy Corporation 1,987,986 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 23,167,596 ========================================================================================================================= Financials (28.8%) - ------------------------------------------------------------------------------------------------------------------------- 28,300 ACE, Ltd. 1,172,186 49,900 Allstate Corporation 2,146,698 40,300 American Express Company 1,943,669 48,700 American International Group, Inc. 3,227,836 66,375 Bank of America Corporation 5,338,541 40,300 Bank One Corporation 1,837,277 177,445 Citigroup, Inc. 8,613,179 25,600 Countrywide Financial Corporation 1,941,760 19,700 Equity Office Properties Trust 564,405 31,375 Federal Home Loan Mortgage Corporation 1,829,790 38,205 Federal National Mortgage Corporation 2,867,667 11,800 Goldman Sachs Group, Inc. 1,165,014 33,715 Hartford Financial Services Group, Inc. 1,990,196 94,000 J.P. Morgan Chase & Company 3,452,620 16,600 Lehman Brothers Holdings, Inc. 1,281,852 39,400 MBNA Corporation 979,090 34,600 Merrill Lynch & Company, Inc. 2,029,290 61,300 MetLife, Inc. 2,063,971 33,400 Morgan Stanley and Company 1,932,858 20,700 National City Corporation 702,558 29,800 Prudential Financial, Inc. 1,244,746 13,900 Simon Property Group, Inc. 644,126 35,100 SouthTrust Corporation 1,148,823 26,400 St. Paul Companies, Inc.(c) 1,046,760 99,700 U.S. Bancorp 2,969,066 53,500 Wachovia Corporation 2,492,565 26,910 Washington Mutual, Inc.(c) 1,079,629 70,695 Wells Fargo & Company 4,163,229 16,460 XL Capital, Ltd. 1,276,473 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 63,145,874 ========================================================================================================================= Health Care (6.6%) - ------------------------------------------------------------------------------------------------------------------------- 9,000 Abbott Laboratories 419,400 14,400 Aetna, Inc. 973,152 15,600 Anthem, Inc.(b,c) 1,170,000 41,400 Bristol-Myers Squibb Company 1,184,040 7,500 CIGNA Corporation 431,250 78,200 IVAX Corporation(b) 1,867,416 17,125 Johnson & Johnson 884,678 64,500 McKesson Corporation 2,074,320 3,044 Medco Health Solutions, Inc.(b) 103,466 25,000 Merck & Company, Inc. 1,155,000 77,300 Pfizer, Inc. 2,731,009 37,500 Wyeth Corporation 1,591,875 - ------------------------------------------------------------------------------------------------------------------------- Total Health Care 14,585,606 ========================================================================================================================= Industrials (10.8%) - ------------------------------------------------------------------------------------------------------------------------- 14,000 Boeing Company 589,960 36,800 Burlington Northern Santa Fe Corporation 1,190,480 27,800 Caterpillar, Inc. 2,307,956 59,800 Cendant Corporation(b) 1,331,746 16,100 Dover Corporation 639,975 7,100 Emerson Electric Company 459,725 17,300 FedEx Corporation 1,167,750 6,800 General Dynamics Corporation 614,652 39,000 General Electric Company 1,208,220 41,280 Honeywell International, Inc. 1,379,990 7,300 Illinois Tool Works, Inc. 612,543 19,500 Lockheed Martin Corporation 1,002,300 46,100 Masco Corporation 1,263,601 10,200 Northrop Grumman Corporation 975,120 27,930 Pitney Bowes, Inc. 1,134,517 15,400 Raytheon Company 462,616 43,300 Republic Services, Inc.(c) 1,109,779 72,175 Tyco International, Ltd. 1,912,638 22,200 Union Pacific Corporation 1,542,456 29,100 United Technologies Corporation 2,757,807 - ------------------------------------------------------------------------------------------------------------------------- Total Industrials 23,663,831 ========================================================================================================================= Information Technology (9.4%) - ------------------------------------------------------------------------------------------------------------------------- 38,240 Applied Materials, Inc.(b) 858,488 52,400 Cisco Systems, Inc.(b) 1,272,796 33,200 Computer Associates International, Inc. 907,688 14,200 Computer Sciences Corporation(b) 628,066 37,990 First Data Corporation 1,561,009 18,300 Fiserv, Inc.(b) 723,033 39,000 Harris Corporation 1,480,050 147,800 Hewlett-Packard Company 3,394,966 53,700 Intel Corporation 1,729,140 17,900 International Business Machines Corporation 1,658,972 56,200 Microsoft Corporation 1,547,748 108,700 Motorola, Inc. 1,529,409 24,700 Nokia Corporation ADR 419,900 52,180 Oracle Corporation(b) 688,776 19,000 Storage Technology Corporation(b) 489,250 57,900 Texas Instruments, Inc. 1,701,102 - ------------------------------------------------------------------------------------------------------------------------- Total Information Technology 20,590,393 ========================================================================================================================= Materials (5.1%) - ------------------------------------------------------------------------------------------------------------------------- 60,595 Alcoa, Inc. 2,302,610 24,400 BASF AG 1,360,300 20,900 E.I. du Pont de Nemours and Company 959,101 50,140 International Paper Company 2,161,535 32,700 Praxair, Inc. 1,249,140 34,700 United States Steel Corporation(c) 1,215,194 31,500 Weyerhaeuser Company(c) 2,016,000 - ------------------------------------------------------------------------------------------------------------------------- Total Materials 11,263,880 ========================================================================================================================= Utilities (3.5%) - ------------------------------------------------------------------------------------------------------------------------- 33,785 Dominion Resources, Inc. 2,156,497 17,800 Entergy Corporation 1,016,914 26,900 Exelon Corporation 1,785,084 31,400 FirstEnergy Corporation 1,105,280 23,600 FPL Group, Inc. 1,543,912 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 7,607,687 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $180,128,253) 211,520,751 ========================================================================================================================= Principal Amount Short-Term Investments (3.6%) Interest Rate(d) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $7,850,000 New Center Asset Trust 0.970% 1/5/2004 $7,849,154 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 7,849,154 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(e) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 9,587,205 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $9,587,205 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 9,587,205 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $197,564,612) $228,957,110 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Non-income producing security. (c) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (d) The interest rate shown reflects the discount rate at the date of purchase. (e) The interest rate shown reflects the yield. The accompanying notes to the financial statements are an integral part of this schedule. High Yield Portfolio Schedule of Investments as of December 31, 2003(a) Principal Amount Long-Term Fixed Income (92.2%) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Basic Materials (8.6%) - ------------------------------------------------------------------------------------------------------------------------- $2,850,000 Blue Ridge Paper Company 9.500% 12/15/2008 $2,850,000 1,400,000 Boise Cascade Corporation(b) 6.500 11/1/2010 1,460,423 2,000,000 Boise Cascade Corporation(b) 7.000 11/1/2013 2,079,086 2,250,000 Buckeye Technologies, Inc. 8.000 10/15/2010 2,205,000 1,400,000 Buckeye Technologies, Inc. 8.500 10/1/2013 1,498,000 2,300,000 Corporation Durango SA de CV(c) 13.125 8/1/2006 1,380,000 5,000,000 Doman Industries, Ltd.(d) 8.750 3/15/2004 850,000 2,000,000 Equistar Chemicals, LP(b) 10.125 9/1/2008 2,190,000 4,000,000 Euramax International plc 8.500 8/15/2011 4,270,000 3,400,000 Georgia-Pacific Corporation 8.125 5/15/2011 3,740,000 3,250,000 Georgia-Pacific Corporation 9.375 2/1/2013 3,737,500 2,250,000 Huntsman International, LLC 9.875 3/1/2009 2,463,750 3,400,000 IMC Global, Inc. 10.875 8/1/2013 3,723,000 1,800,000 ISP Chemco, Inc.(b) 10.250 7/1/2011 2,025,000 3,900,000 ISP Holdings, Inc. 10.625 12/15/2009 4,290,000 1,400,000 Lyondell Chemical Company(b) 9.875 5/1/2007 1,477,000 2,300,000 Lyondell Chemical Company 9.500 12/15/2008 2,403,500 4,200,000 MacDermid, Inc. 9.125 7/15/2011 4,704,000 4,000,000 MDP Acquisitions plc 9.625 10/1/2012 4,480,000 3,000,000 Methanex Corporation(b) 8.750 8/15/2012 3,345,000 1,150,000 Millar Western Forest Products, Ltd. 7.750 11/15/2013 1,193,125 4,300,000 Nalco Company 7.750 11/15/2011 4,601,000 2,850,000 Rockwood Specialties Corporation 10.625 5/15/2011 3,177,750 3,400,000 Steel Dynamics, Inc.(b) 9.500 3/15/2009 3,774,000 4,000,000 USEC, Inc. 6.625 1/20/2006 3,820,000 - ------------------------------------------------------------------------------------------------------------------------- Total Basic Materials 71,737,134 ========================================================================================================================= Capital Goods (10.4%) - ------------------------------------------------------------------------------------------------------------------------- 1,300,000 AGCO Corporation 8.500 3/15/2006 1,300,000 570,000 AGCO Corporation, Convertible 1.750 12/31/2033 634,838 11,000,000 Allied Waste North America, Inc. 10.000 8/1/2009 11,880,004 2,850,000 Allied Waste North America, Inc. 7.875 4/15/2013 3,085,125 4,550,000 Amsted Industries, Inc. 10.250 10/15/2011 5,027,750 825,000 BE Aerospace, Inc. 8.500 10/1/2010 884,812 1,650,000 Berry Plastics Corporation 10.750 7/15/2012 1,899,562 1,700,000 Bombardier Capital, Inc. 6.125 6/29/2006 1,808,375 5,150,000 Case New Holland, Inc. 9.250 8/1/2011 5,768,000 4,000,000 Crown Cork & Seal Finance plc 7.000 12/15/2006 4,090,000 2,300,000 Crown Euro Holdings SA(b) 10.875 3/1/2013 2,705,375 2,550,000 Eircom Funding(b) 8.250 8/15/2013 2,824,125 2,850,000 Fastentech, Inc. 11.500 5/1/2011 3,081,562 2,000,000 Graphic Package International 9.500 8/15/2013 2,210,000 1,150,000 Great Lakes Dredge & Dock Corporation 7.750 12/15/2013 1,183,062 2,295,000 Hexcel Corporation 9.750 1/15/2009 2,404,012 2,850,000 Imco Recycling, Inc.(b) 10.375 10/15/2010 2,928,375 2,200,000 K&F Industries, Inc.(b) 9.625 12/15/2010 2,466,750 2,000,000 L-3 Communication Holdings, Inc., Convertible(e) 4.000 9/15/2011 2,187,500 1,150,000 Legrand SA 8.500 2/15/2025 1,214,688 1,150,000 Manitowoc Company, Inc.(b) 7.125 11/1/2013 1,188,812 4,900,000 Owens-Brockway Glass Container, Inc. 8.875 2/15/2009 5,371,625 1,400,000 Owens-Brockway Glass Container, Inc.(b) 8.250 5/15/2013 1,503,250 1,800,000 Owens-Illinois, Inc.(b) 7.500 5/15/2010 1,847,250 3,700,000 Plastipak Holdings, Inc. 10.750 9/1/2011 4,116,250 1,600,000 Rexnord Corporation 10.125 12/15/2012 1,752,000 1,700,000 TD Funding Corporation 8.375 7/15/2011 1,808,375 3,400,000 Texas Industries, Inc. 10.250 6/15/2011 3,842,000 2,250,000 Tyco International Group SA, Convertible 2.750 1/15/2018 2,871,562 3,000,000 United Rentals North America, Inc.(b) 10.750 4/15/2008 3,375,000 - ------------------------------------------------------------------------------------------------------------------------- Total Capital Goods 87,260,039 ========================================================================================================================= Communications Services (22.3%) - ------------------------------------------------------------------------------------------------------------------------- 2,835,000 ACC Escrow Corporation(b) 10.000 8/1/2011 3,161,025 5,000,000 Adelphia Communications Corporation(d) 10.875 10/1/2010 4,675,000 3,500,000 Alliance Atlantis Communications, Inc 13.000 12/15/2009 3,990,000 2,250,000 American Color Graphics, Inc. 10.000 6/15/2010 2,306,250 1,700,000 American Tower Corporation, Convertible 3.250 8/1/2010 2,014,500 2,300,000 American Tower Corporation, Convertible 7.250 12/1/2011 2,340,250 4,150,000 American Tower Escrow Corporation Zero Coupon 8/1/2008 2,863,500 4,852,617 Avalon Cable Holding Finance, Inc.(e) 11.875 12/1/2008 5,119,511 6,000,000 Block Communications, Inc. 9.250 4/15/2009 6,450,000 1,700,000 Canwest Media, Inc.(b) 7.625 4/15/2013 1,861,500 2,300,000 Centennial Cellular Operating Company 10.125 6/15/2013 2,524,250 5,600,000 Charter Communications Holdings, LLC(b) 8.625 4/1/2009 4,886,000 4,850,000 Charter Communications Holdings, LLC 8.750 11/15/2013 4,934,875 3,400,000 Comcast UK Cable Partners, Ltd.(e) 11.200 11/15/2007 3,434,000 4,000,000 Crown Castle International Corporation(b) 9.375 8/1/2011 4,440,000 2,300,000 CSC Holdings, Inc. 7.625 4/1/2011 2,420,750 1,700,000 Dex Media West, LLC 9.875 8/15/2013 1,976,250 3,400,000 Dex Media, Inc. 8.000 11/15/2013 3,570,000 2,850,000 Dex Media, Inc.(e) 9.000 11/15/2013 2,009,250 2,200,000 Dexter Media East, LLC 12.125 11/15/2012 2,706,000 2,300,000 DirecTV Holdings, LLC(b) 8.375 3/15/2013 2,668,000 2,300,000 Dobson Communications Corporation 8.875 10/1/2013 2,328,750 5,700,000 EchoStar DBS Corporation 6.375 10/1/2011 5,842,500 2,300,000 Gaylord Entertainment Company 8.000 11/15/2013 2,426,500 1,200,000 General Cable Corporation 9.500 11/15/2010 1,284,000 2,850,000 Granite Broadcasting Corporation 9.750 12/1/2010 2,842,875 2,750,000 Gray Television, Inc. 9.250 12/15/2011 3,066,250 2,092,578 Hollinger International Publishing, Inc. 12.125 11/15/2010 2,484,936 2,750,000 Hollinger International Publishing, Inc. 9.000 12/15/2010 2,921,875 2,000,000 Houghton Mifflin Company 8.250 2/1/2011 2,140,000 2,850,000 Intermedia Communications, Inc.(d) 12.250 3/1/2009 1,054,500 4,850,000 Iridium Capital Corporation(d) 14.000 7/15/2005 436,500 4,200,000 Iridium, LLC(d) 13.000 7/15/2005 378,000 2,850,000 MetroPCS, Inc. 10.750 10/1/2011 2,835,750 3,400,000 Millicom International Cellular SA 10.000 12/1/2013 3,587,000 2,750,000 Nexstar Finance, Inc. 7.000 1/15/2014 2,763,750 4,000,000 Nextel Communications, Inc.(b) 6.875 10/31/2013 4,230,000 5,700,000 Nextel Communications, Inc. 7.375 8/1/2015 6,127,500 4,000,000 Nextel Partners, Inc.(b) 8.125 7/1/2011 4,260,000 4,800,000 Panamsat Corporation(b) 8.500 2/1/2012 5,328,000 6,550,000 Paxson Communications Corporation(e) Zero Coupon 1/15/2009 5,747,625 1,400,000 Pegasus Communications Corporation 9.625 10/15/2005 1,288,000 1,400,000 Pegasus Communications Corporation(b) 12.500 8/1/2007 1,323,000 2,600,000 Quebecor Media, Inc.(b) 11.125 7/15/2011 3,009,500 4,500,000 Qwest Capital Funding, Inc. 7.750 8/15/2006 4,657,500 7,330,000 Qwest Services Corporation 13.500 12/15/2010 8,905,950 2,000,000 Renaissance Media Group, LLC(e) 10.000 4/15/2008 2,067,500 2,750,000 RH Donnelley, Inc. 10.875 12/15/2012 3,262,188 2,600,000 Shaw Communications, Inc. 7.250 4/6/2011 2,811,250 4,200,000 Sinclair Broadcast Group, Inc. 8.000 3/15/2012 4,536,000 3,150,000 Spectrasite, Inc.(b) 8.250 5/15/2010 3,362,625 1,700,000 Sun Media Corporation 7.625 2/15/2013 1,819,000 4,550,000 Telenet Group Holding NV(e) Zero Coupon 6/15/2014 2,866,500 3,600,000 TELUS Corporation 8.000 6/1/2011 4,209,433 1,400,000 Vertis, Inc. 9.750 4/1/2009 1,520,750 2,000,000 Vertis, Inc. 10.875 6/15/2009 2,125,000 2,800,000 Western Wireless Corporation(b) 9.250 7/15/2013 2,954,000 2,850,000 WorldCom, Inc.(d) 7.550 4/1/2004 954,750 5,700,000 WorldCom, Inc.(d) 7.500 5/15/2011 1,909,500 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 186,019,668 ========================================================================================================================= Consumer Cyclical (16.4%) - ------------------------------------------------------------------------------------------------------------------------- 4,750,000 Beazer Homes USA, Inc. 8.625 5/15/2011 5,225,000 550,000 Bombardier Recreational 8.375 12/15/2013 574,750 3,450,000 Boyd Gaming Corporation 8.750 4/15/2012 3,786,375 3,450,000 Buffets, Inc. 11.250 7/15/2010 3,700,125 2,850,000 Coast Hotels & Casinos, Inc. 9.500 4/1/2009 3,013,875 1,100,000 Costco Wholesale Corporation, Convertible Zero Coupon 8/19/2017 930,875 7,400,000 Group 1 Automotive, Inc. 8.250 8/15/2013 7,918,000 2,850,000 Hollywood Park, Inc. 9.250 2/15/2007 2,949,750 3,300,000 Jafra Cosmetics International, Inc. 10.750 5/15/2011 3,621,750 4,700,000 John Q. Hammons Hotels, LP(b) 8.875 5/15/2012 5,181,750 3,300,000 Kindercare Learning Centers 9.500 2/15/2009 3,349,500 2,800,000 La Quinta Properties, Inc. 8.875 3/15/2011 3,097,500 2,200,000 Liberty Media Corporation, Convertible 0.750 3/30/2023 2,596,000 1,650,000 Liberty Media Corporation, Convertible 3.250 3/15/2031 1,716,000 2,850,000 MGM Mirage, Inc.(b) 8.375 2/1/2011 3,227,625 4,550,000 Mohegan Tribal Gaming Authority 6.375 7/15/2009 4,697,875 2,300,000 NationsRent, Inc. 9.500 10/15/2010 2,472,500 2,800,000 Norcraft Finance Corporation 9.000 11/1/2011 3,024,000 3,000,000 Office Depot, Inc. 10.000 7/15/2008 3,570,000 2,850,000 Park Place Entertainment Corporation 8.125 5/15/2011 3,195,562 1,700,000 Park Place Entertainment Corporation 7.000 4/15/2013 1,814,750 5,700,000 Payless Shoesource, Inc.(b) 8.250 8/1/2013 5,486,250 4,200,000 PCA, LLC/PCA Finance Corporation 11.875 8/1/2009 4,599,000 4,600,000 Penn National Gaming, Inc. 6.875 12/1/2011 4,554,000 2,800,000 Perry Ellis International, Inc. 8.875 9/15/2013 2,947,000 3,400,000 Rent-Way, Inc. 11.875 6/15/2010 3,791,000 3,650,000 Rite Aid Corporation 9.500 2/15/2011 4,115,375 1,150,000 River Rock Entertainment Authority 9.750 11/1/2011 1,236,250 2,000,000 RJ Tower Corporation 12.000 6/1/2013 1,970,000 2,850,000 Royal Caribbean Cruises, Ltd. 8.750 2/2/2011 3,220,500 2,300,000 Royal Caribbean Cruises, Ltd. 6.875 12/1/2013 2,317,250 1,700,000 Saks, Inc. 9.875 10/1/2011 2,023,000 2,630,000 Saks, Inc. 7.000 12/1/2013 2,682,600 3,000,000 Schuler Homes, Inc. 9.375 7/15/2009 3,375,000 2,300,000 Stewart Enterprises, Inc. 10.750 7/1/2008 2,599,000 5,500,000 Tenneco Automotive, Inc. 10.250 7/15/2013 6,256,250 1,100,000 TJX Companies, Inc., Convertible Zero Coupon 2/13/2021 921,250 2,500,000 Travelcenters of America, Inc. 12.750 5/1/2009 2,875,000 3,150,000 TRW Automotive, Inc.(b) 11.000 2/15/2013 3,709,125 3,000,000 Vicar Operating, Inc. 9.875 12/1/2009 3,330,000 2,800,000 Warnaco, Inc. 8.875 6/15/2013 2,884,000 2,243,000 William Carter Company 10.875 8/15/2011 2,590,665 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 137,146,077 ========================================================================================================================= Consumer Non-Cyclical (7.3%) - ------------------------------------------------------------------------------------------------------------------------- 2,750,000 AdvancePCS, Inc. 8.500 4/1/2008 2,983,750 4,850,000 Ardent Health Services, Inc. 10.000 8/15/2013 5,286,500 2,700,000 Armkel Finance, Inc. 9.500 8/15/2009 2,963,250 1,150,000 Del Monte Corporation 9.250 5/15/2011 1,270,750 6,300,000 Fisher Scientific International, Inc. 8.000 9/1/2013 6,756,750 4,100,000 HMP Equity Holdings Corporation Zero Coupon 5/15/2008 2,501,000 2,800,000 IASIS Healthcare Corporation(b) 8.500 10/15/2009 2,919,000 1,000,000 Jostens Holdings Corporation.(e) 10.250 12/1/2013 627,500 3,950,000 Michael Foods, Inc. 8.000 11/15/2013 4,117,875 5,890,000 New World Pasta Company 9.250 2/15/2009 1,531,400 4,300,000 Omnicare, Inc. 8.125 3/15/2011 4,697,750 4,700,000 Roundy's, Inc. 8.875 6/15/2012 5,017,250 2,550,000 Seminis, Inc. 10.250 10/1/2013 2,741,250 1,400,000 Simmons Company(b) 7.875 1/15/2014 1,407,000 3,000,000 Smithfield Foods, Inc. 8.000 10/15/2009 3,165,000 4,750,000 Stater Brothers Holdings, Inc.(b) 10.750 8/15/2006 5,005,312 2,900,000 Team Health, Inc. 12.000 3/15/2009 3,132,000 2,750,000 Triad Hospitals, Inc. 8.750 5/1/2009 2,980,312 1,950,000 United Agri Products 8.250 12/15/2011 2,003,625 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 61,107,274 ========================================================================================================================= Energy (5.9%) - ------------------------------------------------------------------------------------------------------------------------- 5,200,000 BRL Universal Equipment Corporation 8.875 2/15/2008 5,577,000 5,400,000 Chesapeake Energy Corporation 9.000 8/15/2012 6,210,000 4,550,000 Citgo Petroleum Corporation 11.375 2/1/2011 5,278,000 3,000,000 Compton Petroleum Corporation 9.900 5/15/2009 3,270,000 3,950,000 Comstock Resources, Inc. 11.250 5/1/2007 4,246,250 1,650,000 Encore Acquisition Company 8.375 6/15/2012 1,786,125 2,700,000 Magnum Hunter Resources, Inc. 9.600 3/15/2012 3,064,500 3,500,000 Pogo Producing Company 8.250 4/15/2011 3,902,500 5,494,500 Port Arthur Finance Corporation 12.500 1/15/2009 6,524,719 3,800,000 Western Oil Sands, Inc. 8.375 5/1/2012 4,327,250 5,200,000 Windsor Petroleum Transport Corporation(e,f) 7.840 1/15/2021 5,005,000 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 49,191,344 ========================================================================================================================= Financials (3.2%) - ------------------------------------------------------------------------------------------------------------------------- 3,550,000 Chevy Chase Savings Bank 9.250 12/1/2005 3,643,188 1,450,000 Couche-Tard Finance Corporation 7.500 12/15/2013 1,518,875 3,600,000 CSAM Funding Corporation(f) 12.780 10/15/2016 3,600,000 1,740,000 Dollar Financial Group, Inc. 9.750 11/15/2011 1,800,900 2,750,000 Gemstone Investor, Ltd. 7.710 10/31/2004 2,777,500 2,550,000 Katonah, Ltd.(f) 12.015 2/20/2015 2,550,000 4,000,000 Riggs Capital Trust II 8.875 3/15/2027 4,160,000 9,000,000 SIG Capital Trust I(c) 9.500 8/15/2027 450,000 3,000,000 Sovereign Bancorp, Inc. 10.500 11/15/2006 3,547,788 10,060,000 United Companies Financial Corporation(d) 8.375 7/1/2005 75,450 3,000,000 Venture CDO 2002, Ltd.(f) 13.060 3/15/2015 2,940,000 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 27,063,701 ========================================================================================================================= Foreign (0.2%) - ------------------------------------------------------------------------------------------------------------------------- 1,650,000 Federal Republic of Brazil 11.000 1/11/2012 1,914,000 - ------------------------------------------------------------------------------------------------------------------------- Total Foreign 1,914,000 ========================================================================================================================= Technology (3.0%) - ------------------------------------------------------------------------------------------------------------------------- 2,210,000 AMI Semiconductor, Inc. 10.750 2/1/2013 2,635,425 4,500,000 Amkor Technology, Inc.(b) 7.750 5/15/2013 4,826,250 7,900,000 DIVA Systems Corporation(d) 12.625 3/1/2008 474,000 2,920,000 Northern Telecom Capital 7.875 6/15/2026 2,920,000 2,750,000 Sanmina-SCI Corporation 10.375 1/15/2010 3,217,500 1,700,000 Thomas & Betts Corporation 7.250 6/1/2013 1,751,000 2,200,000 Unisys Corporation 8.125 6/1/2006 2,376,000 1,400,000 Viasystems, Inc. 10.500 1/15/2011 1,494,500 4,550,000 Xerox Corporation(b) 7.625 6/15/2013 4,914,000 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 24,608,675 ========================================================================================================================= Transportation (2.1%) - ------------------------------------------------------------------------------------------------------------------------- 3,800,000 Hornbeck Offshore Services 10.625 8/1/2008 4,199,000 2,900,000 Northwest Airlines, Inc. 8.520 4/7/2004 2,914,500 4,400,000 OMI Corporation 7.625 12/1/2013 4,438,500 3,130,000 Overseas Shipholding Group, Inc. 8.250 3/15/2013 3,353,012 3,000,000 United Air Lines, Inc.(g) 7.730 7/1/2010 2,482,143 - ------------------------------------------------------------------------------------------------------------------------- Total Transportation 17,387,155 ========================================================================================================================= Utilities (12.8%) - ------------------------------------------------------------------------------------------------------------------------- 1,700,000 AES Corporation(b) 8.875 2/15/2011 1,853,000 3,900,000 AES Corporation 8.750 5/15/2013 4,358,250 2,850,000 Aquila, Inc. 7.000 7/15/2004 2,850,000 2,850,000 Aquila, Inc. 6.875 10/1/2004 2,850,000 4,800,000 Calpine Corporation(b) 8.250 8/15/2005 4,644,000 1,700,000 Calpine Corporation 8.500 7/15/2010 1,657,500 4,000,000 Calpine Corporation 8.750 7/15/2013 3,900,000 6,133,500 CE Generation, LLC 7.416 12/15/2018 6,440,175 3,100,000 CMS Energy Corporation 7.500 1/15/2009 3,193,000 4,000,000 Dynegy Holdings, Inc. 9.875 7/15/2010 4,500,000 4,000,000 Dynegy Holdings, Inc. 6.875 4/1/2011 3,685,000 9,400,000 Edison Mission Energy 9.875 4/15/2011 9,776,000 7,000,000 El Paso Corporation(b) 7.000 5/15/2011 6,457,500 5,700,000 El Paso Production Holding Company 7.750 6/1/2013 5,614,500 1,700,000 Ferrellgas Partners, LP 8.750 6/15/2012 1,870,000 2,850,000 FIMEP SA 10.500 2/15/2013 3,363,000 3,253,369 Midland Funding Corporation II 11.750 7/23/2005 3,513,638 4,450,000 Midland Funding Corporation II 13.250 7/23/2006 5,206,500 2,850,000 NRG Energy, Inc. 8.000 12/15/2013 2,996,062 3,400,000 Orion Power Holdings, Inc. 12.000 5/1/2010 4,131,000 2,900,000 Reliant Resources, Inc. 9.500 7/15/2013 3,103,000 2,000,000 Southern Natural Gas Company 8.875 3/15/2010 2,250,000 2,850,000 Southern Star Cent Corporation 8.500 8/1/2010 3,149,250 3,400,000 TNP Enterprises, Inc. 10.250 4/1/2010 3,706,000 2,300,000 Williams Companies, Inc.(b) 8.625 6/1/2010 2,581,750 8,500,000 Williams Companies, Inc.(b) 8.125 3/15/2012 9,435,000 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 107,084,125 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $742,154,388) 770,519,192 ========================================================================================================================= Shares Preferred Stock (4.2%) Value - ------------------------------------------------------------------------------------------------------------------------- 66,251 Cablevision Systems Corporation $6,890,104 105,000 Chevy Chase Preferred Capital Corporation(b) 6,300,000 4,647 Dobson Communications Corporation(h) 4,995,178 11,500 Goldman Sachs Group, Inc.(h) 1,253,523 64,278 Neon Communications, Inc.(f,h,i) 723,128 23,000 Omnicare, Inc. 1,466,250 18,500 PRIMEDIA, Inc., Series D 1,813,000 23,000 PRIMEDIA, Inc., Series H 2,093,000 5,000 Sovereign REIT(h) 7,475,000 15,000 Xerox Corporation 1,946,250 - ------------------------------------------------------------------------------------------------------------------------- Total Preferred Stock (cost $27,727,908) 34,955,433 ========================================================================================================================= Shares Common Stock (0.9%) Value - ------------------------------------------------------------------------------------------------------------------------- 5,000 Aavid Thermal Technology, Inc., Stock Warrants(h) 50,000 17,000 ALLTEL Corporation(b) 847,875 1,429 Arch Wireless, Inc.(h) 28,294 4,600 ASAT Finance, LLC, Stock Warrants(h) 4,600 18,783 Birch Telecom, Inc. (h,i) 301 52,837 Completel Europe NV(h) 1,874,087 47,700 Diva Systems, Stock Warrants(g) 477 108,324 Minorplanet Systems USA, Inc., Stock Warrants(b,d) 205,816 589,844 Neon Communications, Inc. (h) 1,622,071 589,844 Neon Communications, Preferred Stock Warrants (h,i) 0 385,784 Neon Communications, Preferred Stock Warrants (f,h,i) 0 321,506 Neon Communications, Stock Warrants, Class A (f,h,i) 0 31,000 NTL, Inc.(b,h) 2,162,250 6,000 Pliant Corporation, Stock Warrants(h) 60 23,840 Protection One, Inc., Stock Warrants (h,i) 238 121,520 TVMAX Holdings, Inc.(h) 303,800 5,000 XM Satellite Radio, Stock Warrants(h) 103,750 27,227 XO Communications, Inc., Stock Warrants, Series A(h) 53,093 20,420 XO Communications, Inc., Stock Warrants, Series B(h) 34,714 20,420 XO Communications, Inc., Stock Warrants, Series C(h) 22,462 80,000 ZSC Specialty Chemical plc, Preferred Stock Warrants (f,h,i) 800 80,000 ZSC Specialty Chemical plc, Stock Warrants (f,h,i) 800 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $24,392,651) 7,315,488 ========================================================================================================================= Principal Amount Short-Term Investments (2.7%) Interest Rate(j) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $20,000,000 New Center Asset Trust 0.970% 1/5/2004 $19,997,844 2,500,000 Paradigm Funding, LLC 0.980 1/2/2004 2,499,932 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 22,497,776 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(j) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 66,810,720 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $66,810,720 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 66,810,720 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $883,583,443) $902,098,609 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (c) Non-income producing and in default. (d) Non-income producing and in bankruptcy. (e) Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown. (f) Denotes restricted securities. Restricted securities are investment securities which cannot be offered for public sale without first being registered under the Securities Act of 1933. These securities have been valued from the date of acquisition through December 31, 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 December 31, 2003. Acquisition Security Date Cost - ------------------------------------------------------------------------------ CSAM Funding Corporation 5/10/2002 $3,590,880 Katonah, Ltd. 2/7/2003 2,437,736 Neon Communications, Inc., Preferred Stock 4/21/2003 723,127 Neon Communications, Preferred Stock Warrants 4/21/2003 0 Neon Communications, Stock Warrants, Class A 4/21/2003 0 Venture CDO 2002, Ltd. 3/13/2002 3,000,000 Windsor Petroleum Transport Corporation 4/15/1998 4,254,872 ZSC Specialty Chemical plc, Preferred Stock Warrants 6/24/1999 47,568 ZSC Specialty Chemical plc, Stock Warrants 6/24/1999 111,712 (g) In bankruptcy. (h) Non-income producing security. (i) Security is fair valued as discussed in the notes to the financial statements. (j) The interest rate shown reflects the yield. The accompanying notes to the financial statements are an integral part of this schedule. Income Portfolio Schedule of Investments as of December 31, 2003(a) Principal Amount Long-Term Fixed Income (90.4%) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities (5.9%) - ------------------------------------------------------------------------------------------------------------------------- $13,000,000 Chase Credit Card Master Trust 5.500% 11/17/2008 $13,967,551 9,000,000 CPL Transition Funding, LLC 5.010 1/15/2010 9,506,196 4,000,000 Daimler Chrysler Motor Company(b) 1.212 1/15/2004 4,001,776 5,000,000 First National Master Note Trust(b) 1.263 1/15/2004 5,007,810 4,500,000 GMAC Mortgage Corporation Loan Trust(b) 1.271 1/25/2004 4,501,017 5,000,000 Honda Auto Receivables Owner Trust(c) 2.960 4/18/2009 5,012,500 8,000,000 MBNA Credit Card Master Note Trust(b) 1.273 1/15/2004 8,015,440 9,000,000 MBNA Credit Card Master Note Trust 4.950 6/15/2009 9,591,678 6,500,000 Toyota Auto Receivables Owner Trust 4.390 5/15/2009 6,739,714 - ------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities 66,343,682 ========================================================================================================================= Basic Materials (2.9%) - ------------------------------------------------------------------------------------------------------------------------- 3,500,000 Codelco, Inc. 5.500 10/15/2013 3,551,758 3,000,000 Dow Chemical Company 5.000 11/15/2007 3,161,109 4,000,000 Georgia-Pacific Corporation(c) 8.875 2/1/2010 4,560,000 1,750,000 ICI Wilmington, Inc. 4.375 12/1/2008 1,743,422 2,500,000 ICI Wilmington, Inc. 5.625 12/1/2013 2,512,038 4,000,000 Inco, Ltd. 5.700 10/15/2015 4,040,456 8,500,000 Noranda, Inc. 6.000 10/15/2015 8,669,609 1,125,000 Peabody Energy Corporation 6.875 3/15/2013 1,186,875 3,500,000 Precision Castparts Corporation 5.600 12/15/2013 3,520,990 - ------------------------------------------------------------------------------------------------------------------------- Total Basic Materials 32,946,257 ========================================================================================================================= Capital Goods (5.6%) - ------------------------------------------------------------------------------------------------------------------------- 215,000 AGCO Corporation, Convertible 1.750 12/31/2033 239,456 4,250,000 Allied Waste North America, Inc.(c) 8.875 4/1/2008 4,760,000 5,150,000 Allied Waste North America, Inc.(c) 10.000 8/1/2009 5,562,000 900,000 Ball Corporation 6.875 12/15/2012 940,500 9,000,000 Boeing Capital Corporation(c) 5.750 2/15/2007 9,720,009 6,000,000 Bombardier Capital, Inc. 6.125 6/29/2006 6,382,500 600,000 Hutchison Whampoa International, Ltd. 5.450 11/24/2010 608,584 7,500,000 Hutchison Whampoa International, Ltd. 6.250 1/24/2014 7,615,365 2,350,000 L-3 Communication Holdings, Inc., Convertible(d,e) 4.000 9/15/2011 2,570,312 3,000,000 Raytheon Company 4.500 11/15/2007 3,041,706 6,000,000 Raytheon Company 5.375 4/1/2013 6,010,290 5,322,810 Systems 2001 Asset Trust, LLC 6.664 9/15/2013 5,882,770 6,000,000 Tyco International Group SA 6.000 11/15/2013 6,180,000 2,350,000 Tyco International Group SA, Convertible 2.750 1/15/2018 2,999,188 - ------------------------------------------------------------------------------------------------------------------------- Total Capital Goods 62,512,680 ========================================================================================================================= Commercial Mortgage-Backed Securities (2.4%) - ------------------------------------------------------------------------------------------------------------------------- 2,087,478 Banc of America Commercial Mortgage, Inc. 3.366 7/11/2043 2,121,450 3,000,000 Banc of America Commercial Mortgage, Inc. 5.118 7/11/2043 3,100,122 6,000,000 J.P. Morgan Chase Commercial Mortgage Securities Corporation(b) 1.482 1/14/2004 6,000,114 10,250,000 LB-UBS Commercial Mortgage Trust 3.323 3/15/2027 10,189,874 5,882,032 Lehman Brothers "CALSTRS" Mortgage Trust 3.988 11/20/2012 6,017,219 - ------------------------------------------------------------------------------------------------------------------------- Total Commercial Mortgage-Backed Securities 27,428,779 ========================================================================================================================= Communications Services (9.5%) - ------------------------------------------------------------------------------------------------------------------------- 7,000,000 AT&T Corporation(b,c) 7.800 11/15/2011 8,056,860 2,000,000 AT&T Wireless Services, Inc.(c) 7.500 5/1/2007 2,242,046 3,500,000 AT&T Wireless Services, Inc.(c) 7.875 3/1/2011 4,050,011 1,500,000 British Sky Broadcasting Group plc 8.200 7/15/2009 1,785,764 5,000,000 Comcast Cable Communications, Inc.(c) 6.875 6/15/2009 5,636,685 5,000,000 Comcast Corporation(d) 6.500 1/15/2015 5,425,105 5,000,000 Cox Communications, Inc. 7.750 11/1/2010 5,956,300 2,600,000 CSC Holdings, Inc.(d) 7.625 4/1/2011 2,736,500 5,000,000 Deutsche Telekom International Finance BV(d) 5.250 7/22/2013 5,051,095 3,250,000 EchoStar DBS Corporation 5.750 10/1/2008 3,286,562 1,365,000 EchoStar DBS Corporation 9.125 1/15/2009 1,527,094 1,500,000 Intelsat, Ltd. 5.250 11/1/2008 1,543,593 6,000,000 Interpublic Group of Companies, Inc. 7.250 8/15/2011 6,540,000 3,000,000 Nextel Communications, Inc. 7.375 8/1/2015 3,225,000 4,500,000 Rogers Cable, Inc. 6.250 6/15/2013 4,533,750 7,500,000 Sprint Capital Corporation 7.625 1/30/2011 8,407,028 2,000,000 Telecom Italia Capital 4.000 11/15/2008 2,012,660 6,500,000 Telecom Italia Corporation 5.250 11/15/2013 6,512,942 5,000,000 Telefonos de Mexico SA 4.500 11/19/2008 5,007,600 8,500,000 TELUS Corporation 7.500 6/1/2007 9,512,724 3,500,000 U.S. Cellular Corporation 6.700 12/15/2033 3,498,901 9,000,000 Verizon Pennsylvania, Inc. 5.650 11/15/2011 9,439,452 750,000 Vivendi Universal SA 9.250 4/15/2010 888,750 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 106,876,422 ========================================================================================================================= Consumer Cyclical (6.5%) - ------------------------------------------------------------------------------------------------------------------------- 5,000,000 AOL Time Warner, Inc.(c) 6.875 5/1/2012 5,626,525 1,200,000 Best Buy Company, Inc., Convertible 2.250 1/15/2022 1,305,000 2,200,000 Costco Wholesale Corporation, Convertible Zero Coupon 8/19/2017 1,861,750 2,400,000 D.R. Horton, Inc. 5.875 7/1/2013 2,400,000 4,500,000 DaimlerChrysler North American Holdings 4.750 1/15/2008 4,604,116 5,000,000 DaimlerChrysler North American Holdings 6.500 11/15/2013 5,267,050 4,500,000 Ford Motor Credit Company 7.375 2/1/2011 4,904,730 4,500,000 General Motors Acceptance Corporation(d) 5.125 5/9/2008 4,666,388 6,000,000 General Motors Acceptance Corporation 6.875 9/15/2011 6,462,762 1,150,000 General Motors Corporation, Convertible(d) 6.250 7/15/2033 1,483,500 8,500,000 Harrahs Operating Company, Inc. 5.375 12/15/2013 8,438,273 2,500,000 Liberty Media Corporation(d) 5.700 5/15/2013 2,528,162 2,400,000 Liberty Media Corporation, Convertible 0.750 3/30/2023 2,832,000 1,700,000 Liberty Media Corporation, Convertible 3.250 3/15/2031 1,768,000 3,250,000 MGM Grand, Inc. 6.000 10/1/2009 3,339,375 3,300,000 Mohegan Tribal Gaming Authority 6.375 7/15/2009 3,407,250 2,700,000 Royal Caribbean Cruises, Ltd.(d) 8.000 5/15/2010 2,943,000 2,825,000 Ryland Group, Inc. 5.375 6/1/2008 2,909,750 1,400,000 TJX Companies, Inc., Convertible Zero Coupon 2/13/2021 1,172,500 4,000,000 Yum! Brands, Inc. 7.650 5/15/2008 4,540,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 72,460,131 ========================================================================================================================= Consumer Non-Cyclical (3.4%) - ------------------------------------------------------------------------------------------------------------------------- 1,250,000 AmerisourceBergen Corporation, Convertible 5.000 12/1/2007 1,500,000 1,350,000 Amgen, Inc., Convertible Zero Coupon 3/1/2032 1,017,562 7,000,000 Bunge Limited Finance Corporation 7.800 10/15/2012 8,085,959 1,520,000 Fisher Scientific International, Inc. 8.125 5/1/2012 1,630,200 5,000,000 HCA Healthcare Company 7.875 2/1/2011 5,702,555 6,000,000 Kellogg Company 7.450 4/1/2031 7,086,588 7,000,000 Kroger Company 5.500 2/1/2013 7,119,651 3,000,000 Medco Health Solutions, Inc. 7.250 8/15/2013 3,272,850 1,325,000 Omnicare, Inc.(d) 6.125 6/1/2013 1,328,312 1,000,000 Teva Pharmaceutical Financials, Convertible 0.750 8/15/2021 1,340,000 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 38,083,677 ========================================================================================================================= Energy (0.9%) - ------------------------------------------------------------------------------------------------------------------------- 3,500,000 Halliburton Company 5.500 10/15/2010 3,660,360 900,000 Key Energy Services, Inc. 6.375 5/1/2013 913,500 2,650,000 Premco Refining Group 9.250 2/1/2010 2,968,000 2,000,000 XTO Energy, Inc. 6.250 4/15/2013 2,105,000 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 9,646,860 ========================================================================================================================= Financials (16.1%) - ------------------------------------------------------------------------------------------------------------------------- 3,500,000 Australia & New Zealand Banking Group, Ltd. Capital Trust I 4.484 1/29/2049 3,527,951 9,000,000 Bank One Issuance Trust(b) 1.212 1/15/2004 9,003,996 5,000,000 BNP Paribas Capital Trust(c) 9.003 12/29/2049 6,258,430 5,000,000 Capital One Bank 4.250 12/1/2008 4,978,325 5,000,000 Capital One Financial Corporation 6.250 11/15/2013 5,125,955 8,000,000 CIT Group, Inc. 4.000 5/8/2008 8,090,904 5,000,000 Citigroup, Inc.(b) 1.240 2/9/2004 5,001,820 5,250,000 Credit Suisse First Boston Mortgage Securities Corporation 3.861 3/15/2036 5,277,174 9,000,000 Credit Suisse First Boston Mortgage Securities Corporation 2.843 5/15/2038 8,757,648 10,000,000 Equitable Life Assurance Society USA 6.950 12/1/2005 10,865,180 6,000,000 General Electric Capital Corporation 6.750 3/15/2032 6,642,726 7,500,000 Honda Auto Receivables Owner Trust 2.790 2/15/2007 7,499,542 3,500,000 Household Finance Corporation 5.750 1/30/2007 3,783,860 2,500,000 Household Finance Corporation 5.875 2/1/2009 2,714,910 2,500,000 Household Finance Corporation 6.375 11/27/2012 2,742,635 1,500,000 International Lease Finance Corporation 4.000 1/17/2006 1,546,432 4,250,000 International Lease Finance Corporation 5.625 6/1/2007 4,576,544 26,040,000 Lehman Brothers, Inc. 6.539 8/15/2008 28,226,058 7,000,000 Montpelier Reinsurance Holdings, Ltd. 6.125 8/15/2013 7,125,370 4,495,000 Morgan Stanley and Company 7.252 9/15/2011 5,134,324 5,000,000 Rabobank Capital Funding II 5.260 12/29/2049 5,006,920 9,000,000 RBS Capital Trust I 4.709 12/29/2049 8,605,404 6,000,000 Rouse Company 5.375 11/26/2013 5,968,566 3,250,000 Sovereign Bancorp, Inc. 10.500 11/15/2006 3,843,437 2,375,000 Travelers Property Casualty Company, Convertible(d) 4.500 4/15/2032 2,294,250 2,500,000 Wells Fargo Financial, Inc. 4.875 6/12/2007 2,653,578 6,000,000 Wells Fargo Financial, Inc. 7.730 12/1/2026 6,693,648 9,000,000 Westpac Capital Trust III 5.819 12/29/2049 9,288,630 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 181,234,217 ========================================================================================================================= Foreign (4.0%) - ------------------------------------------------------------------------------------------------------------------------- 9,250,000 Corporacion Andina de Fomento 6.875 3/15/2012 10,263,448 1,489,583 Pemex Finance, Ltd. 8.450 2/15/2007 1,632,434 6,000,000 Pemex Finance, Ltd. 9.030 2/15/2011 7,184,340 5,000,000 Province of Quebec 7.500 9/15/2029 6,227,845 9,500,000 Republic of Italy 5.375 6/15/2033 9,150,628 7,000,000 United Mexican States 9.875 2/1/2010 8,837,500 1,500,000 United Mexican States 6.375 1/16/2013 1,556,250 - ------------------------------------------------------------------------------------------------------------------------- Total Foreign 44,852,445 ========================================================================================================================= Mortgage-Backed Securities (5.9%) - ------------------------------------------------------------------------------------------------------------------------- 18,500,000 Federal National Mortgage Association 15-Yr. Conventional(f) 5.500 1/1/2019 19,164,853 45,000,000 Federal National Mortgage Association 30-Yr. Conventional(f) 6.000 1/1/2034 46,504,712 - ------------------------------------------------------------------------------------------------------------------------- Total Mortgage-Backed Securities 65,669,565 ========================================================================================================================= Technology (1.3%) - ------------------------------------------------------------------------------------------------------------------------- 7,000,000 Electronic Data Systems Corporation 6.000 8/1/2013 6,878,445 2,500,000 Flextronics International, Ltd. 6.500 5/15/2013 2,587,500 2,950,000 Seagate Technology HDD Holdings 8.000 5/15/2009 3,178,625 1,650,000 Unisys Corporation 6.875 3/15/2010 1,786,125 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 14,430,695 ========================================================================================================================= Transportation (3.5%) - ------------------------------------------------------------------------------------------------------------------------- 5,500,000 CNF, Inc. 8.875 5/1/2010 5,878,906 3,000,000 Delta Air Lines, Inc. 6.417 7/2/2012 3,215,559 4,438,202 Federal Express Corporation 6.845 1/15/2019 4,900,263 4,441,502 Federal Express Corporation 6.720 1/15/2022 4,956,272 4,250,000 Hertz Corporation 7.400 3/1/2011 4,625,606 6,500,000 Southwest Airlines Company 5.496 11/1/2006 6,928,285 3,500,000 Union Pacific Company(d) 3.625 6/1/2010 3,353,052 5,889,461 United Air Lines, Inc.(g) 7.186 4/1/2011 5,055,042 - ------------------------------------------------------------------------------------------------------------------------- Total Transportation 38,912,985 ========================================================================================================================= U.S. Government (14.3%) - ------------------------------------------------------------------------------------------------------------------------- 15,000,000 Federal Home Loan Mortgage Corporation(b) 1.145 3/9/2004 14,999,745 9,000,000 Federal Home Loan Mortgage Corporation(h) 4.500 8/15/2004 9,181,242 12,000,000 Student Loan Marketing Association(c,h) 2.000 3/15/2005 12,074,136 8,750,000 U.S. Treasury Bonds(c) 6.125 8/15/2029 9,915,526 33,761,700 U.S. Treasury Inflation Indexed Bonds(c,d,h) 3.875 4/15/2029 43,742,503 3,000,000 U.S. Treasury Notes(c,h) 3.250 5/31/2004 3,027,540 8,500,000 U.S. Treasury Notes(c,h) 2.250 7/31/2004 8,558,769 7,000,000 U.S. Treasury Notes(c,h) 2.125 10/31/2004 7,054,411 34,675,000 U.S. Treasury Notes(c,h) 1.250 5/31/2005 34,582,903 9,000,000 U.S. Treasury Notes(d) 1.500 7/31/2005 8,992,971 1,000,000 U.S. Treasury Notes(c,h) 2.375 8/15/2006 1,005,391 6,000,000 U.S. Treasury Notes(d) 3.250 8/15/2008 6,036,564 1,500,000 U.S. Treasury Notes(d) 3.875 2/15/2013 1,468,359 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Government 160,640,060 ========================================================================================================================= Utilities (8.2%) - ------------------------------------------------------------------------------------------------------------------------- 9,500,000 American Electric Power Company, Inc.(c) 5.250 6/1/2015 9,329,408 2,250,000 ANR Pipeline Company 8.875 3/15/2010 2,531,250 12,000,000 CalEnergy Company, Inc. 7.630 10/15/2007 13,553,808 2,650,000 Calpine Corporation 8.500 7/15/2010 2,583,750 1,000,000 Ferrellgas Partners, LP 8.750 6/15/2012 1,100,000 4,500,000 FirstEnergy Corporation 7.375 11/15/2031 4,603,396 6,973,348 FPL Energy Virginia Funding Corporation 7.520 6/30/2019 7,581,703 4,000,000 Kinder Morgan Energy Partners, LP 7.500 11/1/2010 4,686,296 3,000,000 Kinder Morgan Energy Partners, LP 7.750 3/15/2032 3,578,943 5,500,000 National Rural Utilities Cooperative Finance Corporation(b) 1.570 2/9/2004 5,521,890 2,500,000 Power Contract Financing, LLC 5.200 2/1/2006 2,537,325 3,000,000 Power Contract Financing, LLC 6.256 2/1/2010 3,163,020 4,722,682 Power Receivables Finance, LLC 6.290 1/1/2012 4,924,341 3,000,000 PSE&G Energy Holdings, Inc. 8.625 2/15/2008 3,273,750 2,750,000 Public Service Company of New Mexico 4.400 9/15/2008 2,784,749 2,250,000 Southern Natural Gas Company 8.875 3/15/2010 2,531,250 5,500,000 Texas-New Mexico Power Company 6.125 6/1/2008 5,534,798 3,000,000 Transcontinental Gas Pipe Corporation 8.875 7/15/2012 3,547,500 8,000,000 TXU Corporation 6.375 6/15/2006 8,460,000 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 91,827,177 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $973,008,606) $1,013,865,632 ========================================================================================================================= Shares Preferred Stock (0.6%) Value - ------------------------------------------------------------------------------------------------------------------------- 4,500,000 Australia & New Zealand Banking Group, Ltd. Capital Trust I(i) $4,491,950 12,500 Goldman Sachs Group, Inc.(i) 1,362,525 36,868 Morgan Stanley and Company(i) 1,246,876 - ------------------------------------------------------------------------------------------------------------------------- Total Preferred Stock (cost $6,999,807) 7,101,351 ========================================================================================================================= Shares Common Stock (0.1%) Value - ------------------------------------------------------------------------------------------------------------------------- 23,100 ALLTEL Corporation(d) $1,152,112 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $1,148,225) 1,152,112 ========================================================================================================================= Principal Amount Short-Term Investments (8.9%) Interest Rate(j) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $9,000,000 Amsterdam Funding Corporation 1.080% 1/14/2004 $8,996,490 19,810,000 Aspen Funding Corporation 0.980 1/2/2004 19,809,461 2,000,000 Federal National Mortgage Association 0.030 1/12/2004 1,999,371 6,000,000 Federal National Mortgage Association 1.041 1/13/2004 5,997,920 5,000,000 Federal National Mortgage Association 1.033 1/29/2004 4,995,988 12,500,000 Koch Industries, Inc. 1.040 1/5/2004 12,498,556 5,000,000 Sheffield Receivables Corporation 1.090 1/5/2004 4,999,394 5,000,000 Thunder Bay Funding, Inc. 1.080 1/14/2004 4,998,050 10,000,000 Triple A-1 Funding Corporation 1.000 1/2/2004 9,999,722 6,000,000 Tulip Funding Corporation 1.080 1/20/2004 5,996,580 20,000,000 Venture Business Trust 0.950 1/2/2004 19,999,472 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 100,291,004 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(k) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 45,692,144 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $45,692,144 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 45,692,144 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $1,127,139,786) $1,168,102,243 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments excluding collateral held for securities loaned. (b) Denotes variable rate obligations for which the current yield and next scheduled reset date are shown. (c) All or a portion of the security is earmarked as collateral for options, futures or longer settling trades as discussed in the notes to the financial statements. (d) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (e) Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown. (f) Denotes investments purchased on a when-issued basis. (g) In bankruptcy. (h) At December 31, 2003, all or a portion of the denoted U.S. Treasury Notes and other securities, valued at $103,090,588, 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 loss - ------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bond Futures 485 March 2004 Short $54,448,831 $54,255,406 $193,425 (i) Non-income producing security. (j) The interest rate shown reflects the discount rate at the date of purchase. (k) The interest rate shown reflects the yield. The accompanying notes to the financial statements are an integral part of this schedule. Limited Maturity Bond Portfolio Schedule of Investments as of December 31, 2003(a) Principal Amount Long-Term Fixed Income (90.1%) Interest Rate Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities (6.0%) - ------------------------------------------------------------------------------------------------------------------------- $1,500,000 American Express Credit Account Master Trust(b,c) 1.283% 1/15/2004 $1,503,075 2,000,000 Capital Auto Receivables Asset Trust(b) 1.252 1/15/2004 2,001,078 1,500,000 Citibank Credit Card Issuance Trust 4.100 12/7/2006 1,536,482 500,000 Citibank Credit Card Master Trust 6.100 5/15/2008 543,072 500,000 CPL Transition Funding, LLC 5.010 1/15/2010 528,122 1,500,000 Daimler Chrysler Motor Company(b,c) 1.212 1/15/2004 1,500,666 1,000,000 First National Master Note Trust(b) 1.263 1/15/2004 1,001,562 1,500,000 GMAC Mortgage Corporation Loan Trust(b) 1.271 1/25/2004 1,500,339 1,500,000 Honda Auto Receivables Owner Trust 2.960 4/18/2009 1,503,750 1,000,000 MBNA Credit Card Master Note Trust(b) 1.273 1/15/2004 1,001,930 500,000 MBNA Credit Card Master Note Trust 4.950 6/15/2009 532,871 342,773 Residential Asset Securities Corporation(b) 1.291 1/25/2004 342,793 750,000 Toyota Auto Receivables Owner Trust 4.390 5/15/2009 777,659 - ------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities 14,273,399 ========================================================================================================================= Basic Materials (0.7%) - ------------------------------------------------------------------------------------------------------------------------- 900,000 ICI Wilmington, Inc. 4.375 12/1/2008 896,617 125,000 Peabody Energy Corporation 6.875 3/15/2013 131,875 750,000 Precision Castparts Corporation 5.600 12/15/2013 754,498 - ------------------------------------------------------------------------------------------------------------------------- Total Basic Materials 1,782,990 ========================================================================================================================= Capital Goods (2.2%) - ------------------------------------------------------------------------------------------------------------------------- 500,000 Allied Waste North America, Inc. 8.875 4/1/2008 560,000 300,000 Ball Corporation 6.875 12/15/2012 313,500 900,000 Boeing Capital Corporation(c) 5.750 2/15/2007 972,001 600,000 Bombardier Capital, Inc.(c) 6.125 6/29/2006 638,250 900,000 Hutchison Whampoa International, Ltd. 5.450 11/24/2010 912,876 150,000 L-3 Communication Holdings, Inc., Convertible(d) 4.000 9/15/2011 164,062 750,000 Raytheon Company 4.500 11/15/2007 760,426 700,000 Textron Financial Corporation(e) 2.750 6/1/2006 698,554 150,000 Tyco International Group SA, Convertible 2.750 1/15/2018 191,438 - ------------------------------------------------------------------------------------------------------------------------- Total Capital Goods 5,211,107 ========================================================================================================================= Commercial Mortgage-Backed Securities (1.9%) - ------------------------------------------------------------------------------------------------------------------------- 500,995 Banc of America Commercial Mortgage, Inc. 3.366 7/11/2043 509,148 1,500,000 J.P. Morgan Chase Commercial Mortgage Securities Corporation(b) 1.482 1/14/2004 1,500,028 1,500,000 LB-UBS Commercial Mortgage Trust 3.323 3/15/2027 1,491,201 882,305 Lehman Brothers "CALSTRS" Mortgage Trust 3.988 11/20/2012 902,583 - ------------------------------------------------------------------------------------------------------------------------- Total Commercial Mortgage-Backed Securities 4,402,960 ========================================================================================================================= Communications Services (4.8%) - ------------------------------------------------------------------------------------------------------------------------- 250,000 AT&T Wireless Services, Inc. 7.875 3/1/2011 289,286 275,000 British Sky Broadcasting Group plc 8.200 7/15/2009 327,390 900,000 Comcast Cable Communications, Inc.(c) 6.875 6/15/2009 1,014,603 900,000 Cox Enterprises, Inc.(c) 8.000 2/15/2007 1,029,943 750,000 Deutsche Telekom AG 8.250 6/15/2005 813,566 500,000 EchoStar DBS Corporation 5.750 10/1/2008 505,625 900,000 Intelsat, Ltd. 5.250 11/1/2008 926,156 600,000 News America, Inc.(e) 4.750 3/15/2010 615,377 1,250,000 Sprint Capital Corporation 7.625 1/30/2011 1,401,171 1,500,000 Telecom Italia Capital 4.000 11/15/2008 1,509,495 900,000 Telefonos de Mexico SA 4.500 11/19/2008 901,368 600,000 TELUS Corporation 7.500 6/1/2007 671,486 675,000 Verizon Pennsylvania, Inc. 5.650 11/15/2011 707,959 500,000 Vivendi Universal SA 9.250 4/15/2010 592,500 - ------------------------------------------------------------------------------------------------------------------------- Total Communications Services 11,305,925 ========================================================================================================================= Consumer Cyclical (4.4%) - ------------------------------------------------------------------------------------------------------------------------- 900,000 American Honda Finance Corporation(c) 3.850 11/6/2008 906,232 750,000 AOL Time Warner, Inc.(c) 6.125 4/15/2006 807,395 1,250,000 Carnival Corporation(c) 3.750 11/15/2007 1,252,234 250,000 Costco Wholesale Corporation, Convertible Zero Coupon 8/19/2017 211,562 300,000 DaimlerChrysler North American Holdings 4.750 1/15/2008 306,941 1,500,000 Ford Credit Floorplan Master Owner Trust(b) 1.303 1/15/2004 1,503,837 250,000 Ford Motor Credit Company 7.375 2/1/2011 272,485 1,000,000 General Motors Acceptance Corporation 4.500 7/15/2006 1,028,763 87,500 General Motors Corporation, Convertible(e) 6.250 7/15/2033 112,875 700,000 Harrahs Operating Company, Inc(c) 5.375 12/15/2013 694,917 150,000 Liberty Media Corporation, Convertible 3.250 3/15/2031 156,000 500,000 MGM Grand, Inc. 6.000 10/1/2009 513,750 350,000 Mohegan Tribal Gaming Authority 6.375 7/15/2009 361,375 250,000 Royal Caribbean Cruises, Ltd. 8.000 5/15/2010 272,500 250,000 Ryland Group, Inc. 5.375 6/1/2008 257,500 107,000 TJX Companies, Inc., Convertible Zero Coupon 2/13/2021 89,612 1,250,000 Toyota Motor Credit Corporation 2.875 8/1/2008 1,226,636 500,000 Yum! Brands, Inc. 7.650 5/15/2008 567,500 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 10,542,114 ========================================================================================================================= Consumer Non-Cyclical (3.2%) - ------------------------------------------------------------------------------------------------------------------------- 200,000 Amgen, Inc., Convertible Zero Coupon 3/1/2032 150,750 1,250,000 Bottling Group, LLC(e) 2.450 10/16/2006 1,244,460 600,000 Bunge Limited Finance Corporation 7.800 10/15/2012 693,082 1,250,000 Coca-Cola Enterprises, Inc.(c) 2.500 9/15/2006 1,246,604 304,000 Fisher Scientific International, Inc. 8.125 5/1/2012 326,040 1,000,000 General Mills, Inc.(e) 2.625 10/24/2006 994,513 750,000 Gillette Company(c) 3.500 10/15/2007 755,642 500,000 Kellogg Company 6.000 4/1/2006 535,770 225,000 Omnicare, Inc. 6.125 6/1/2013 225,562 1,400,000 UnitedHealth Group, Inc.(c) 3.300 1/30/2008 1,393,563 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 7,565,986 ========================================================================================================================= Energy (0.5%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 Occidental Petroleum Corporation(c) 4.000 11/30/2007 760,813 375,000 XTO Energy, Inc. 6.250 4/15/2013 394,688 - ------------------------------------------------------------------------------------------------------------------------- Total Energy 1,155,501 ========================================================================================================================= Financials (17.7%) - ------------------------------------------------------------------------------------------------------------------------- 1,250,000 Australia & New Zealand Banking Group, Ltd. Capital Trust I 4.484 1/29/2049 1,259,982 1,500,000 Bank One Issuance Trust(b) 1.212 1/15/2004 1,500,666 750,000 Bear Stearns Company, Inc. 3.000 3/30/2006 761,292 1,000,000 Capital One Bank 4.250 12/1/2008 995,665 750,000 Capital One Financial Corporation 7.250 5/1/2006 811,578 600,000 CIT Group, Inc. 4.000 5/8/2008 606,818 900,000 Citigroup, Inc.(b,c) 1.240 2/9/2004 900,328 900,000 Credit Suisse First Boston Mortgage Securities Corporation 3.861 3/15/2036 904,658 1,400,000 Credit Suisse First Boston USA, Inc. 3.875 1/15/2009 1,398,330 1,000,000 General Electric Capital Corporation 2.750 9/25/2006 1,003,675 2,000,000 Honda Auto Receivables Owner Trust 2.790 2/15/2007 1,999,878 750,000 Honda Auto Receivables Owner Trust 2.480 7/18/2008 751,414 250,000 Household Finance Corporation 5.750 1/30/2007 270,276 350,000 Household Finance Corporation 5.875 2/1/2009 380,087 500,000 International Lease Finance Corporation 4.000 1/17/2006 515,478 900,000 John Hancock Global Funding II 3.750 9/30/2008 898,696 1,680,000 Lehman Brothers, Inc.(c) 6.539 8/15/2008 1,821,036 1,000,000 Monumental Global Funding II 3.850 3/3/2008 1,008,940 15,544,000 Morgan Stanley and Company 5.878 3/1/2007 16,711,199 1,500,000 National City Credit Card Master Trust(b,c) 1.313 1/15/2004 1,502,472 1,250,000 SLM Corporation 4.000 1/15/2009 1,258,586 500,000 Sovereign Bancorp, Inc. 10.500 11/15/2006 591,298 750,000 TIAA Global Markets 4.125 11/15/2007 772,036 500,000 Travelers Property Casualty Company, Convertible 4.500 4/15/2032 483,000 750,000 Union Planters Bank 5.125 6/15/2007 798,904 750,000 US Bancorp 2.750 3/30/2006 759,237 750,000 Washington Mutual, Inc.(e) 4.375 1/15/2008 771,026 750,000 Wells Fargo Financial, Inc. 4.875 6/12/2007 796,073 - ------------------------------------------------------------------------------------------------------------------------- Total Financials 42,232,628 ========================================================================================================================= Foreign (2.0%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 Corporacion Andina de Fomento 6.875 3/15/2012 832,172 750,000 Export Development Canada 2.750 12/12/2005 758,599 750,000 Nordic Investment Bank 2.750 1/11/2006 757,474 270,833 Pemex Finance, Ltd. 8.450 2/15/2007 296,806 1,500,000 Republic of Italy 2.750 12/15/2006 1,499,775 500,000 United Mexican States 9.875 2/1/2010 631,250 - ------------------------------------------------------------------------------------------------------------------------- Total Foreign 4,776,076 ========================================================================================================================= Mortgage-Backed Securities (8.9%) - ------------------------------------------------------------------------------------------------------------------------- 16,500,000 Federal National Mortgage Association 15-Yr. Conventional(f) 5.500 1/1/2019 17,092,977 4,000,000 Federal National Mortgage Association 30-Yr. Conventional(f) 6.000 1/1/2034 4,133,752 - ------------------------------------------------------------------------------------------------------------------------- Total Mortgage-Backed Securities 21,226,729 ========================================================================================================================= Municipal Bonds (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 500,000 Minneapolis & St. Paul Metropolitan Airports Commission 4.850 1/1/2006 520,850 600,000 Oregon School Boards Association Taxable Pension Bonds Zero Coupon 6/30/2005 578,970 750,000 Washington State Office of the State Treasurer 4.500 7/1/2007 781,920 - ------------------------------------------------------------------------------------------------------------------------- Total Municipal Bonds 1,881,740 ========================================================================================================================= Other (0.4%) - ------------------------------------------------------------------------------------------------------------------------- 750,000 Harvard University(c) 8.125 4/15/2007 871,538 - ------------------------------------------------------------------------------------------------------------------------- Total Other 871,538 ========================================================================================================================= Technology (0.7%) - ------------------------------------------------------------------------------------------------------------------------- 250,000 Flextronics International, Ltd. 6.500 5/15/2013 258,750 1,200,000 International Business Machines Corporation(e) 2.375 11/1/2006 1,197,583 150,000 Unisys Corporation 6.875 3/15/2010 162,375 - ------------------------------------------------------------------------------------------------------------------------- Total Technology 1,618,708 ========================================================================================================================= Transportation (1.6%) - ------------------------------------------------------------------------------------------------------------------------- 1,250,000 CSX Corporation(c) 2.750 2/15/2006 1,253,299 750,000 Delta Air Lines, Inc.(c) 6.417 7/2/2012 803,890 250,000 Hertz Corporation 7.400 3/1/2011 272,094 1,000,000 Union Pacific Company 3.625 6/1/2010 958,015 736,183 United Air Lines, Inc.(g) 7.186 4/1/2011 631,880 - ------------------------------------------------------------------------------------------------------------------------- Total Transportation 3,919,178 ========================================================================================================================= U.S. Government (31.2%) - ------------------------------------------------------------------------------------------------------------------------- 5,000,000 Federal Home Loan Mortgage Corporation 1.500 8/15/2005 4,981,940 1,500,000 Federal Home Loan Mortgage Corporation 2.750 8/15/2006 1,513,762 1,000,000 Federal Home Loan Mortgage Corporation 3.158 12/27/2029 1,012,056 2,000,000 Federal National Mortgage Association(b) 1.040 1/17/2004 1,999,944 658,837 Federal National Mortgage Association(b) 1.241 1/25/2004 658,922 1,200,000 Federal National Mortgage Association 4.000 9/2/2008 1,215,247 1,250,000 Student Loan Marketing Association(c) 2.000 3/15/2005 1,257,722 1,000,000 U.S. Department of Housing and Urban Development 3.450 8/1/2006 1,025,624 5,000,000 U.S. Treasury Notes 3.250 5/31/2004 5,045,900 750,000 U.S. Treasury Notes 2.125 10/31/2004 755,830 1,050,000 U.S. Treasury Notes 1.625 1/31/2005 1,054,060 5,000,000 U.S. Treasury Notes(c,e) 1.625 3/31/2005 5,017,190 7,750,000 U.S. Treasury Notes(c,e) 1.250 5/31/2005 7,729,416 9,500,000 U.S. Treasury Notes(e) 1.500 7/31/2005 9,492,580 9,341,680 U.S. Treasury Notes(c,e) 3.375 1/15/2007 10,119,664 750,000 U.S. Treasury Notes(e) 4.375 5/15/2007 794,209 20,450,000 U.S. Treasury Notes(e) 3.250 8/15/2008 20,574,628 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Government 74,248,694 ========================================================================================================================= Utilities (3.1%) - ------------------------------------------------------------------------------------------------------------------------- 225,000 Ferrellgas Partners, LP 8.750 6/15/2012 247,500 600,000 FirstEnergy Corporation(c) 5.500 11/15/2006 621,505 500,000 Indiana Michigan Power Company 6.125 12/15/2006 541,579 750,000 Kinder Morgan Energy Partners, LP(c) 7.500 11/1/2010 878,680 1,250,000 Midamerican Energy Holdings Company(c) 3.500 5/15/2008 1,228,906 900,000 National Rural Utilities Cooperative Finance Corporation(b) 1.570 2/9/2004 903,582 600,000 Pinnacle West Capital Corporation 6.400 4/1/2006 643,628 800,000 Power Contract Financing, LLC 5.200 2/1/2006 811,944 745,687 Power Receivables Finance, LLC 6.290 1/1/2012 777,527 600,000 Texas-New Mexico Power Company 6.125 6/1/2008 603,796 - ------------------------------------------------------------------------------------------------------------------------- Total Utilities 7,258,647 - ------------------------------------------------------------------------------------------------------------------------- Total Long-Term Fixed Income (cost $211,671,220) 214,273,920 ========================================================================================================================= Shares Common Stock(h) Value - ------------------------------------------------------------------------------------------------------------------------- 1,800 ALLTEL Corporation(e) $89,775 - ------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $89,472) 89,775 ========================================================================================================================= Principal Amount Short-Term Investments (9.9%) Interest Rate(i) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- $2,900,000 Amsterdam Funding Corporation 1.050% 1/7/2004 $2,899,492 8,000,000 Corporate Asset Finance Company, LLC 1.080 1/7/2004 7,998,560 3,000,000 Federal National Mortgage Association 1.050 1/5/2004 2,999,650 9,700,000 Paradigm Funding, LLC 0.980 1/2/2004 9,699,736 - ------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (at amortized cost) 23,597,438 ========================================================================================================================= Shares Collateral Held for Securities Loaned Interest Rate(i) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 40,693,294 State Street Navigator Securities Lending Prime Portfolio 1.060% N/A $40,693,294 - ------------------------------------------------------------------------------------------------------------------------- Total Collateral Held for Securities Loaned 40,693,294 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $276,051,424) $278,654,427 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments, excluding collateral held for securities loaned. (b) Denotes variable rate obligations for which the current yield and next scheduled reset date are shown. (c) All or a portion of the security is earmarked as collateral for options, futures or longer settling trades as discussed in the notes to the financial statements. (d) Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown. (e) All or a portion of the security is on loan as discussed in item 2(L) of the Notes to Financial Statements. (f) Denotes investments purchased on a when-issued basis. (g) In bankruptcy. (h) The value of the denoted categories of investments represents less than 0.1% of the total investments of the Limited Maturity Bond Portfolio. (i) The interest rate shown reflects the yield or, 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. Money Market Portfolio Schedule of Investments as of December 31, 2003(a) Principal Amount Certificates of Deposit (4.6%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Banking - Foreign $7,000,000 Deutsche Bank NY 1.400% 9/3/2004 $7,000,000 6,250,000 Royal Bank of Canada 1.480 11/19/2004 6,249,327 - ------------------------------------------------------------------------------------------------------------------------- Total Banking-Foreign 13,249,327 - ------------------------------------------------------------------------------------------------------------------------- Total Certificates of Deposit 13,249,327 ========================================================================================================================= Principal Amount Commercial Paper (82.9%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities (38.4%) - ------------------------------------------------------------------------------------------------------------------------- $7,250,000 Asset Securitization Cooperative Corporation 1.093% 2/3/2004 $7,242,756 7,200,000 Barton Capital Corporation 1.071 1/8/2004 7,198,503 6,175,000 Corporate Asset Finance Company, LLC 1.102 1/15/2004 6,172,358 7,200,000 Corporate Receivables Corporation 1.102 1/14/2004 7,197,140 7,200,000 Corporate Receivables Corporation 1.092 1/28/2004 7,194,114 1,600,000 CXC, LLC 1.102 1/14/2004 1,599,364 2,400,000 CXC, LLC 1.102 1/22/2004 2,398,460 7,200,000 CXC, LLC 1.082 1/27/2004 7,194,384 7,000,000 GOVCO, Inc. 1.082 2/3/2004 6,993,070 7,000,000 GOVCO, Inc. 1.103 2/17/2004 6,989,947 4,800,000 Nieuw Amsterdam Receivables Corporation 1.102 1/23/2004 4,796,773 7,200,000 Old Line Funding Corporation 1.102 1/5/2004 7,199,120 7,200,000 Sheffield Receivables Corporation 1.101 1/7/2004 7,198,680 7,200,000 Starfish Global Funding, LLC 1.102 1/14/2004 7,197,140 7,200,000 Starfish Global Funding, LLC 1.092 1/23/2004 7,195,204 6,885,000 Triple A-1 Funding Corporation 1.040 1/7/2004 6,883,807 1,800,000 Triple A-1 Funding Corporation 1.102 1/7/2004 1,799,670 2,960,000 Triple A-1 Funding Corporation 1.151 1/12/2004 2,958,960 6,000,000 Windmill Funding Corporation 1.092 2/2/2004 5,994,187 - ------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities 111,403,637 ========================================================================================================================= Banking - Domestic (5.4%) - ------------------------------------------------------------------------------------------------------------------------- 6,960,000 Citigroup, Inc. 1.071 1/26/2004 6,954,828 1,680,000 River Fuel Company No. 2, Inc. 1.102 1/12/2004 1,679,435 2,140,000 River Fuel Trust No. 1 1.103 1/27/2004 2,138,300 4,800,000 Society of New York Hospital Fund 1.132 1/12/2004 4,798,343 - ------------------------------------------------------------------------------------------------------------------------- Total Banking-Domestic 15,570,906 ========================================================================================================================= Banking - Foreign (7.1%) - ------------------------------------------------------------------------------------------------------------------------- 4,835,000 Aspen Funding Corporation 0.980 1/2/2004 4,834,868 2,642,000 JMG Funding, LP 1.101 1/7/2004 2,641,516 7,200,000 Svenska Handelsbanke Notes 1.082 2/11/2004 7,191,144 6,000,000 UBS Finance Corporation 0.950 1/2/2004 5,999,842 - ------------------------------------------------------------------------------------------------------------------------- Total Banking-Foreign 20,667,370 ========================================================================================================================= Communications (2.8%) - ------------------------------------------------------------------------------------------------------------------------- 2,400,000 SBC International, Inc. 1.080 1/8/2004 2,399,496 5,670,000 SBC International, Inc. 1.051 1/23/2004 5,666,362 - ------------------------------------------------------------------------------------------------------------------------- Total Communications 8,065,858 ========================================================================================================================= Consumer Cyclical (4.1%) - ------------------------------------------------------------------------------------------------------------------------- 5,405,000 Toyota Credit Puerto Rico 1.081 1/28/2004 5,400,622 5,071,000 Toyota Credit Puerto Rico 1.092 2/13/2004 5,064,398 1,440,000 United Healthcare Corporation 1.131 1/21/2004 1,439,096 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 11,904,116 ========================================================================================================================= Consumer Non-Cyclical (9.0%) - ------------------------------------------------------------------------------------------------------------------------- 3,853,000 Alcon Capital Corporation 1.101 2/3/2004 3,849,115 3,600,000 Alcon Capital Corporation 1.062 2/9/2004 3,595,866 6,000,000 Alcon Capital Corporation 1.062 2/18/2004 5,991,520 5,460,000 Cargill Asia Pacific Treasury 0.940 1/2/2004 5,459,857 7,200,000 Cargill Global Funding plc 1.082 2/13/2004 7,190,712 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 26,087,070 ========================================================================================================================= Education (2.2%) - ------------------------------------------------------------------------------------------------------------------------- 3,880,000 Duke University 1.102 1/8/2004 3,879,170 1,250,000 Northwestern University 1.102 1/6/2004 1,249,809 1,200,000 Northwestern University 1.102 3/8/2004 1,197,543 - ------------------------------------------------------------------------------------------------------------------------- Total Education 6,326,522 ========================================================================================================================= Finance (5.3%) - ------------------------------------------------------------------------------------------------------------------------- 6,960,000 GE Financial Assurance Holdings, Inc. 1.092 2/9/2004 6,951,781 7,200,000 General Electric Capital Corporation 1.092 1/21/2004 7,195,640 1,200,000 Rabobank USA Finance Corporation 1.040 1/14/2004 1,199,549 - ------------------------------------------------------------------------------------------------------------------------- Total Finance 15,346,970 ========================================================================================================================= Insurance (4.7%) - ------------------------------------------------------------------------------------------------------------------------- 3,670,000 American Family Financial Services, Inc. 1.125 2/6/2004 3,665,890 2,500,000 American Family Financial Services, Inc. 1.120 3/25/2004 2,493,494 7,500,000 Swiss Reinsurance Company 1.104 2/17/2004 7,489,230 - ------------------------------------------------------------------------------------------------------------------------- Total Insurance 13,648,614 ========================================================================================================================= Natural Gas (3.9%) - ------------------------------------------------------------------------------------------------------------------------- 7,000,000 Northern Illinois Gas Company 1.125 3/2/2004 6,986,716 4,520,000 Northern Illinois Gas Company 1.155 3/2/2004 4,511,192 - ------------------------------------------------------------------------------------------------------------------------- Total Natural Gas 11,497,908 - ------------------------------------------------------------------------------------------------------------------------- Total Commercial Paper 240,518,971 ========================================================================================================================= Principal Amount Medium Term Notes (1.8%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Brokerage (0.8%) - ------------------------------------------------------------------------------------------------------------------------- $2,400,000 Merrill Lynch & Company, Inc. 1.472% 1/14/2005 $2,408,559 - ------------------------------------------------------------------------------------------------------------------------- Total Brokerage 2,408,559 ========================================================================================================================= Finance (1.0%) - ------------------------------------------------------------------------------------------------------------------------- 2,750,000 J.P. Morgan Chase & Company 5.370 2/27/2004 2,767,418 - ------------------------------------------------------------------------------------------------------------------------- Total Finance 2,767,418 - ------------------------------------------------------------------------------------------------------------------------- Total Medium Term Notes 5,175,977 ========================================================================================================================= Principal Amount U.S. Government (2.5%) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- 4,920,000 Federal Home Loan Mortgage Corporation 1.051% 1/28/2004 $4,916,126 2,400,000 Federal Home Loan Mortgage Corporation 3.250 11/15/2004 2,435,748 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Government 7,351,874 ========================================================================================================================= Principal Amount Variable Rate Notes (8.2%)(c) Interest Rate(b) Maturity Date Value - ------------------------------------------------------------------------------------------------------------------------- Banking - Foreign (1.7%) - ------------------------------------------------------------------------------------------------------------------------- 5,000,000 Royal Bank of Canada NY 1.100% 10/1/2004 $4,998,428 - ------------------------------------------------------------------------------------------------------------------------- Total Banking-Foreign 4,998,428 ========================================================================================================================= Brokerage (0.8%) - ------------------------------------------------------------------------------------------------------------------------- 2,400,000 Merrill Lynch & Company, Inc. 1.101 1/28/2004 2,399,991 - ------------------------------------------------------------------------------------------------------------------------- Total Brokerage 2,399,991 ========================================================================================================================= Consumer Cyclical (3.4%) - ------------------------------------------------------------------------------------------------------------------------- 3,600,000 American Honda Finance Corporation 1.300 1/15/2004 3,603,842 6,250,000 American Honda Finance Corporation 1.370 1/22/2004 6,250,876 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Cyclical 9,854,718 ========================================================================================================================= Consumer Non-Cyclical (0.6%) - ------------------------------------------------------------------------------------------------------------------------- 1,680,000 United Health Group, Inc. 1.770 2/9/2004 1,687,988 - ------------------------------------------------------------------------------------------------------------------------- Total Consumer Non-Cyclical 1,687,988 ========================================================================================================================= U.S. Municipal (1.7%) - ------------------------------------------------------------------------------------------------------------------------- 2,500,000 Alaska State Housing Finance Corporation 1.400 9/1/2004 2,500,000 2,300,000 Illinois Student Assistance Commission 1.120 10/15/2020 2,300,000 - ------------------------------------------------------------------------------------------------------------------------- Total U.S. Municipal 4,800,000 - ------------------------------------------------------------------------------------------------------------------------- Total Variable Rate Notes 23,741,125 - ------------------------------------------------------------------------------------------------------------------------- Total Investments (at amortized cost) $290,037,274 ========================================================================================================================= (a) The categories of investments are shown as apercentage of total investments. (b) The interest rate shown reflects the coupon rate, yield, or, 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 Growth Growth Growth Growth As of December 31, 2003 Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Assets Investments at cost $40,908,560 $287,474,737 $33,044,733 $461,496,297 Investments at value 47,235,433 336,162,921 37,550,841 542,130,965 Cash 291 18,695 475 6,814 Dividends and interest receivable 8,175 98,615 8,365 135,398 Prepaid expenses 3,478 5,518 3,445 7,293 Receivable for investments sold -- 4,848,329 43,638 1,012,448 Receivable for fund shares sold 163,591 125,612 35,136 193,383 Receivable from affiliate 7,687 22,633 9,736 21,500 Total Assets 47,418,655 341,282,323 37,651,636 543,507,801 Liabilities Accrued expenses 11,165 22,477 13,181 21,244 Payable for investments purchased -- 3,519,808 219,168 3,049,472 Payable upon return of collateral for securities loaned 7,307,268 68,864,208 6,953,460 61,382,607 Payable for fund shares redeemed 44,494 28,486 8,555 212,223 Total Liabilities 7,362,927 72,434,979 7,194,364 64,665,546 Net Assets Capital stock (beneficial interest) 36,297,301 361,554,726 32,584,411 568,934,033 Accumulated undistributed net investment income/(loss) -- -- -- -- Accumulated undistributed net realized loss on investments and foreign currency transactions (2,568,446) (141,395,566) (6,633,290) (170,726,446) Net unrealized appreciation/ (depreciation) on: Investments 6,326,873 48,688,184 4,506,108 80,634,668 Foreign currency transactions -- -- 43 -- Total Net Assets $40,055,728 $268,847,344 $30,457,272 $478,842,255 Capital shares outstanding 3,617,118 27,180,130 3,720,869 36,600,498 Net asset value per share $11.07 $9.89 $8.19 $13.08 a) Includes foreign currency holdings of $1,492,011 (cost $1,470,281). Statement of Assets and Liabilities - continued World Growth All Cap Growth As of December 31, 2003 Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Assets Investments at cost $415,411,257 $54,021,448 $2,376,066,535 Investments at value 434,154,614 58,674,451 2,610,255,405 Cash 1,494,789 a 296 51,195 Dividends and interest receivable 765,691 50,227 1,700,314 Prepaid expenses 6,639 3,621 25,661 Receivable for investments sold -- 972,005 15,933,490 Receivable for fund shares sold 182,492 10,839 294,914 Receivable from affiliate 37,450 6,298 65,361 Total Assets 436,641,675 59,717,737 2,628,326,340 Liabilities Accrued expenses 37,230 9,919 64,117 Payable for investments purchased 64,330 1,615,399 8,909,763 Payable upon return of collateral for securities loaned 15,627,225 9,433,051 139,440,458 Payable for fund shares redeemed 200,713 11,531 1,155,211 Total Liabilities 15,929,498 11,069,900 149,569,549 Net Assets Capital stock (beneficial interest) 495,006,651 56,954,892 3,775,340,862 Accumulated undistributed net investment income/(loss) 6,011,110 36,778 12,302,586 Accumulated undistributed net realized loss on investments and foreign currency transactions (99,117,088) (12,996,836) (1,543,075,527) Net unrealized appreciation/ (depreciation) on: Investments 18,743,357 4,653,003 234,188,870 Foreign currency transactions 68,147 -- -- Total Net Assets $420,712,177 $48,647,837 $2,478,756,791 Capital shares outstanding 39,601,942 6,212,972 179,933,948 Net asset value per share $10.62 $7.83 $13.78 a) Includes foreign currency holdings of $1,492,011 (cost $1,470,281). Statement of Assets and Liabilities - continued Investors Growth Growth Stock Value As of December 31, 2003 Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Assets Investments at cost $42,914,432 $69,538,635 $197,564,612 Investments at value 45,180,018 79,706,419 228,957,110 Cash 465 995 13,886 Dividends and interest receivable 23,942 61,174 256,891 Prepaid expenses 3,524 3,697 4,775 Receivable for investments sold 1,226,294 213,357 526,383 Receivable for fund shares sold 40,475 49,378 293,723 Receivable from affiliate 12,696 6,854 12,868 Total Assets 46,487,414 80,041,874 230,065,636 Liabilities Accrued expenses 16,221 10,551 12,746 Payable for investments purchased 892,128 74,356 -- Payable upon return of collateral for securities loaned 6,454,320 10,291,717 9,587,205 Payable for fund shares redeemed 3,574 33 34,066 Total Liabilities 7,366,243 10,376,657 9,634,017 Net Assets Capital stock (beneficial interest) 39,406,427 63,841,671 209,201,506 Accumulated undistributed net investment income/(loss) 45 757 232 Accumulated undistributed net realized loss on investments and foreign currency transactions (2,550,976) (4,344,956) (20,162,617) Net unrealized appreciation/ (depreciation) on: Investments 2,265,586 10,167,784 31,392,498 Foreign currency transactions 89 (39) -- Total Net Assets $39,121,171 $69,665,217 $220,431,619 Capital shares outstanding 4,307,556 6,834,857 22,592,192 Net asset value per share $9.08 $10.19 $9.76 a) Includes foreign currency holdings of $1,492,011 (cost $1,470,281). LB Series Fund, Inc. Statement of Assets and Liabilities - continued Limited Money High Yield Income Maturity Market As of December 31, 2003 Portfolio Portfolio Bond Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Assets Investments at cost $883,583,443 $1,127,139,786 $276,051,424 $290,037,274 Investments at value 902,098,609 1,168,102,243 278,654,427 290,037,274 Cash 30,299 18,677 12,313 15,042 Dividends and interest receivable 16,234,909 10,492,942 1,586,352 119,680 Prepaid expenses 10,767 14,220 4,866 6,416 Receivable for investments sold 135,406 27,318 4,313 -- Receivable for fund shares sold 110,638 149,514 353,942 124,967 Receivable from affiliate 32,160 22,013 11,108 15,800 Total Assets 918,652,788 1,178,826,927 280,627,321 290,319,179 Liabilities Accrued expenses 31,715 21,442 10,979 15,624 Payable for investments purchased -- 65,099,648 21,075,039 -- Payable upon return of collateral for securities loaned 66,810,720 45,692,144 40,693,294 -- Payable for fund shares redeemed 273,960 723,472 52,762 1,021,634 Payable for variation margin -- 75,781 -- -- Deferred revenue -- 79,009 21,579 -- Total Liabilities 67,116,395 111,691,496 61,853,653 1,037,258 Net Assets Capital stock (beneficial interest) 1,729,629,537 1,045,306,972 215,752,996 289,281,921 Accumulated undistributed net investment income/(loss) 1,535,881 -- 39,569 -- Accumulated undistributed net realized gain/(loss) on investments and foreign currency transactions (898,144,191) (18,940,573) 378,100 -- Net unrealized appreciation/ (depreciation) on: Investments 18,515,166 40,962,457 2,603,003 -- Futures contracts -- (193,425) -- -- Total Net Assets $851,536,393 $1,067,135,431 $218,773,668 $289,281,921 Capital shares outstanding 165,662,233 104,621,818 21,431,730 289,281,921 Net asset value per share $5.14 $10.20 $10.21 $1.00 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 Growth Growth Growth Growth For the year ended December 31, 2003 Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------- Investment Income Dividends $100,353 $723,532 $84,744 $1,254,278 Taxable interest 14,975 100,921 10,992 197,808 Income from securities loaned 1,434 17,690 965 16,770 Foreign dividend tax withholding (1,151) (4,435) (875) (4,375) Total Investment Income 115,611 837,708 95,826 1,464,481 Expenses Adviser fees 106,427 889,490 95,352 1,589,011 Subadviser fees 159,641 -- 106,570 -- Accounting and pricing fees 13,991 39,464 13,802 39,285 Custody fees 24,106 58,900 49,764 55,759 Printing and postage expenses 3,021 47,207 3,616 41,460 Audit and legal fees 23,027 20,633 23,011 23,200 Directors' fees and insurance expenses 6,328 10,235 6,264 13,830 Other expenses 3,593 2,852 2,217 3,325 Total Expenses Before Reimbursement 340,134 1,068,781 300,596 1,765,870 Less: Reimbursement from advisor (74,061) (179,153) (98,669) (176,567) Fees paid indirectly (5) (138) (5) (292) Total Net Expenses 266,068 889,490 201,922 1,589,011 Net Investment Loss (150,457) (51,782) (106,096) (124,530) Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/ (losses) on: Investments (146,164) 8,165,043 2,431,414 (12,880,636) Foreign currency transactions -- -- (134) -- Change in net unrealized appreciation/ (depreciation) on: Investments 10,301,755 71,209,179 4,799,413 134,389,619 Foreign currency forward contracts -- -- 35 -- Foreign currency transactions -- -- 8 -- Net Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions 10,155,591 79,374,222 7,230,736 121,508,983 Net Increase in Net Assets Resulting From Operations $10,005,134 $79,322,440 $7,124,640 $121,384,453 Statement of Operations - continued World Investors Growth All Cap Growth Growth For the year ended December 31, 2003 Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------- Investment Income Dividends $8,246,986 $470,579 $20,994,346 $261,523 Taxable interest 126,318 10,982 314,356 14,384 Tax exempt interest -- -- -- -- Income from mortgage dollar rolls -- -- -- -- Income from securities loaned 2,424 1,383 55,348 382 Foreign dividend tax withholding (1,043,693) (32) (82,447) (1,799) Total Investment Income 7,332,035 482,912 21,281,603 274,490 Expenses Adviser fees 1,204,354 139,197 8,904,944 114,629 Subadviser fees 1,720,511 238,580 -- 129,913 Accounting and pricing fees 64,183 13,663 110,379 14,060 Custody fees 232,301 18,830 167,986 92,162 Printing and postage expenses 44,614 3,616 122,235 2,246 Audit and legal fees 22,628 23,120 82,888 23,055 Directors' fees and insurance expenses 12,844 6,612 52,689 6,441 Other expenses 2,586 2,016 8,805 2,105 Total Expenses Before Reimbursement 3,304,021 445,634 9,449,926 384,611 Less: Reimbursement from advisor (378,981) (67,854) (544,304) (140,067) Fees paid indirectly (175) (3) (678) (3) Total Net Expenses 2,924,865 377,777 8,904,944 244,541 Net Investment Income 4,407,170 105,135 12,376,659 29,949 Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/(losses) on: Investments (28,678,627) 2,171,327 (148,836,870) 3,643,618 Written option contracts -- -- 193,823 -- Futures contracts -- (40,531) -- -- Foreign currency transactions 1,603,182 -- -- 59 Change in net unrealized appreciation/(depreciation) on: Investments 121,385,043 6,480,963 724,198,418 2,661,247 Futures contracts -- -- -- -- Foreign currency forward contracts (1,475) -- -- -- Foreign currency transactions (17,140) -- -- 94 Net Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions 94,290,983 8,611,759 575,555,371 6,305,018 Net Increase in Net Assets Resulting From Operations $98,698,153 $8,716,894 $587,932,030 $6,334,967 Statement of Operations - continued Growth Stock Value High Yield For the year ended December 31, 2003 Portfolio Portfolio Portfolio - ----------------------------------------------------------------------------------------------- Investment Income Dividends $503,262 $2,917,276 $2,357,371 Taxable interest 14,270 60,805 72,603,464 Tax exempt interest -- -- -- Income from mortgage dollar rolls -- -- -- Income from securities loaned 581 2,489 10,584 Foreign dividend tax withholding (6,695) (8,839) -- Total Investment Income 511,418 2,971,731 74,971,419 Expenses Adviser fees 171,087 888,066 3,118,763 Subadviser fees 216,011 -- -- Accounting and pricing fees 15,178 14,495 61,629 Custody fees 25,334 37,983 79,266 Printing and postage expenses 4,357 35,678 68,605 Audit and legal fees 23,132 23,881 33,630 Directors' fees and insurance expenses 6,751 8,807 22,563 Other expenses 2,048 2,514 3,397 Total Expenses Before Reimbursement 463,898 1,011,424 3,387,853 Less: Reimbursement from advisor (76,798) (123,265) (267,894) Fees paid indirectly (2) (93) (1,196) Total Net Expenses 387,098 888,066 3,118,763 Net Investment Income 124,320 2,083,665 71,852,656 Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/(losses) on: Investments (1,423,158) (3,138,642) (106,685,639) Written option contracts -- -- -- Futures contracts -- -- (20,501) Foreign currency transactions (7,708) -- 542 Change in net unrealized appreciation/ (depreciation) on: Investments 14,994,582 41,595,758 225,131,120 Futures contracts -- -- -- Foreign currency forward contracts -- -- -- Foreign currency transactions (224) -- -- Net Realized and Unrealized Gains/(Losses) on Investments and Foreign Currency Transactions 13,563,492 38,457,116 118,425,522 Net Increase in Net Assets Resulting From Operations $13,687,812 $40,540,781 $190,278,178 Statement of Operations - continued Limited Money Income Maturity Market For the year ended December 31, 2003 Portfolio Bond Portfolio Portfolio - -------------------------------------------------------------------------------------------------------- Investment Income Dividends $62,344 $4,238 $-- Taxable interest 51,214,656 5,762,069 3,882,460 Tax exempt interest 69,300 50,106 27,515 Income from mortgage dollar rolls 2,989,082 411,734 -- Income from securities loaned 3,603 2,607 -- Foreign dividend tax withholding -- -- -- Total Investment Income 54,338,985 6,230,754 3,909,975 Expenses Adviser fees 4,464,521 766,012 1,266,807 Subadviser fees -- -- -- Accounting and pricing fees 61,093 24,078 39,134 Custody fees 98,784 37,896 41,639 Printing and postage expenses 21,135 15,677 47,839 Audit and legal fees 44,510 23,905 22,322 Directors' fees and insurance expenses 30,468 9,825 13,390 Other expenses 4,741 929 1,692 Total Expenses Before Reimbursement 4,725,252 878,322 1,432,823 Less: Reimbursement from advisor (260,483) (112,149) (165,696) Fees paid indirectly (248) (161) (320) Total Net Expenses 4,464,521 766,012 1,266,807 Net Investment Income 49,874,464 5,464,742 2,643,168 Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions Net realized gains/(losses) on: Investments 27,797,304 2,234,694 -- Written option contracts 307,329 -- -- Futures contracts (3,967,856) -- -- Foreign currency transactions -- -- -- Change in net unrealized appreciation/ (depreciation) on: Investments 16,063,263 493,492 -- Futures contracts 976,198 -- -- Foreign currency forward contracts -- -- -- Foreign currency transactions -- -- -- Net Realized and Unrealized Gains/ (Losses) on Investments and Foreign Currency Transactions 41,176,238 2,728,186 -- Net Increase in Net Assets Resulting From Operations $91,050,702 $8,192,928 $2,643,168 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 years ended 12/31/2003 12/31/2002 12/31/2003 12/31/2002 - ---------------------------------------------------------------------------------------- Operations Net investment income/(loss) $(150,457) $(94,476) $(51,782) $(126,658) Net realized gains/ (losses) on: Investments (146,164) (2,423,983) 8,165,043 (68,380,714) Foreign currency transactions -- -- -- -- Change in net unrealized appreciation/(depreciation) on: Investments 10,301,755 (4,253,424) 71,209,179 (38,061,798) Foreign currency forward contracts -- -- -- -- Foreign currency transactions -- -- -- -- Net Change in Net Assets Resulting From Operations 10,005,134 (6,771,883) 79,322,440 (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 9,726,317 21,401,917 (7,233,407) (57,085,942) Net Increase/(Decrease) in Net Assets 19,731,451 14,630,034 72,089,033 (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 $40,055,728 $20,324,277 $268,847,344 $196,758,311 Statement of Changes in Net Assets - continued All Cap Growth Portfolio Portfolio ------------------------ -------------------------- For the years ended 12/31/2003 12/31/2002 12/31/2003 12/31/2002 - -------------------------------------------------------------------------------------------- Operations Net investment income/(loss) $105,135 $(57,625) $12,376,659 $12,880,280 Net realized gains/ (losses) on: Investments 2,171,327 (15,116,290) (148,836,870) (823,595,023) Written option contracts -- -- 193,823 1,397,256 Futures contracts (40,531) -- -- -- Foreign currency transactions -- -- -- -- Change in net unrealized appreciation/(depreciation) on: Investments 6,480,963 (1,950,891) 724,198,418 (211,172,120) Foreign currency transactions -- -- -- -- Net Change in Net Assets Resulting From Operations 8,716,894 (17,124,806) 587,932,030 (1,020,489,607) Distributions to Shareholders From net investment income (68,357) -- (11,996,303) (16,584,638) From net realized gains -- (36,709) -- -- Total Distributions to Shareholders (68,357) (36,709) (11,996,303) (16,584,638) Capital Stock Transactions 4,449,620 46,326,642 (101,909,709) (565,909,289) Net Increase/(Decrease) in Net Assets 13,098,157 29,165,127 474,026,018 (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 $48,647,837 $35,549,680 $2,478,756,791 $2,004,730,773 Statement of Changes in Net Assets - continued Mid Cap Select Mid Cap World Growth Portfolio Growth Portfolio Growth Portfolio ------------------------ ------------------------- ------------------------ For the years ended 12/31/2003 12/31/2002 12/31/2003 12/31/2002 12/31/2003 12/31/2002 - ------------------------------------------------------------------------------------------------------------------- Operations Net investment income/(loss) $(106,096) $(56,976) $(124,530) $(268,380) $4,407,170 $4,122,507 Net realized gains/ (losses) on: Investments 2,431,414 (9,061,647) (12,880,636) (84,008,385) (28,678,627) (52,074,616) Foreign currency transactions (134) 23 -- -- 1,603,182 1,122,824 Change in net unrealized appreciation/(depreciation) on: Investments 4,799,413 (568,058) 134,389,619 (55,318,739) 121,385,043 (27,334,153) Foreign currency forward contracts 35 -- -- -- (1,475) 1,475 Foreign currency transactions 8 -- -- -- (17,140) 139,066 Net Change in Net Assets Resulting From Operations 7,124,640 (9,686,658) 121,384,453 (139,595,504) 98,698,153 (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 5,770,697 21,221,130 8,664,711 (48,896,090) 3,726,676 (40,763,905) Net Increase/(Decrease) in Net Assets 12,895,337 11,508,757 130,049,164 (189,136,289) 97,417,286 (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 $30,457,272 $17,561,935 $478,842,255 $348,793,091 $420,712,177 $323,294,891 Statement of Changes in Net Assets - continued Investors Growth Value Growth Portfolio Stock Portfolio Portfolio ------------------------ -------------------------- ------------------------ For the years ended 12/31/2003 12/31/2002 12/31/2003 12/31/2002 12/31/2003 12/31/2002 - -------------------------------------------------------------------------------------------------------------------- Operations Net investment income/(loss) $29,949 $24,052 $124,320 $74,364 $2,083,665 $932,577 Net realized gains/ (losses) on: Investments 3,643,618 (6,179,611) (1,423,158) (2,922,049) (3,138,642) (13,731,050) Written option contracts -- -- -- -- -- -- Futures contracts -- -- -- -- -- -- Foreign currency transactions 59 220 (7,708) (11,362) -- -- Change in net unrealized appreciation/(depreciation) on: Investments 2,661,247 (448,695) 14,994,582 (4,899,694) 41,595,758 (7,696,328) Foreign currency transactions 94 (5) (224) 331 -- -- Net Change in Net Assets Resulting From Operations 6,334,967 (6,604,039) 13,687,812 (7,758,410) 40,540,781 (20,494,801) Distributions to Shareholders From net investment income (29,963) (24,426) (113,741) (62,130) (2,015,737) (936,442) From net realized gains -- -- -- (3,134) -- -- Total Distributions to Shareholders (29,963) (24,426) (113,741) (65,264) (2,015,737) (936,442) Capital Stock Transactions 8,364,226 25,158,952 19,242,302 38,424,543 86,800,750 109,612,508 Net Increase/(Decrease) in Net Assets 14,669,230 18,530,487 32,816,373 30,600,869 125,325,794 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 $39,121,171 $24,451,941 $69,665,217 $36,848,844 $220,431,619 $95,105,825 Statement of Changes in Net Assets - continued High Yield Income Portfolio Portfolio ------------------------- -------------------------- For the years ended 12/31/2003 12/31/2002 12/31/2003 12/31/2002 - ------------------------------------------------------------------------------------------ Operations Net investment income $71,852,656 $100,718,674 $49,874,464 $63,207,158 Net realized gains/(losses) on: Investments (106,685,639) (295,106,939) 27,797,304 (15,722,315) Written option contracts -- -- 307,329 105,339 Futures contracts (20,501) (148,031) (3,967,856) (13,089,045) Foreign currency transactions 542 -- -- -- Change in net unrealized appreciation/(depreciation) on: Investments 225,131,120 110,515,394 16,063,263 33,208,958 Written option contracts -- -- -- (7,409) Futures contracts -- -- 976,198 (1,850,951) Net Change in Net Assets Resulting From Operations 190,278,178 (84,020,902) 91,050,702 65,851,735 Distributions to Shareholders From net investment income (70,324,837) (100,481,777) (49,881,065) (63,207,158) Total Distributions to Shareholders (70,324,837) (100,481,777) (49,881,065) (63,207,158) Capital Stock Transactions 11,637,580 (103,253,756) (120,326,205) (80,537,817) Net Increase/(Decrease) in Net Assets 131,590,921 (287,756,435) (79,156,568) (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 $851,536,393 $719,945,472 $1,067,135,431 $1,146,291,999 - --------------------------------------------------------------------------------------------- Statement of Changes in Net Assets - continued Limited Maturity Money Market Bond Portfolio Portfolio ------------------------- -------------------------- For the years ended 12/31/2003 12/31/2002 12/31/2003 12/31/2002 Operations Net investment income $5,464,742 $3,058,092 $2,643,168 $5,398,258 Net realized gains/(losses) on: Investments 2,234,694 374,338 -- -- Written option contracts -- -- -- -- Change in net unrealized appreciation/(depreciation) on: 493,492 2,234,287 -- -- Net Change in Net Assets Resulting From Operations 8,192,928 5,666,717 2,643,168 5,398,258 Distributions to Shareholders From net investment income (5,473,053) (3,058,092) (2,643,168) (5,398,258) From net realized gains (2,138,512) -- -- -- Total Distributions to Shareholders (7,611,565) (3,058,092) (2,643,168) (5,398,258) Capital Stock Transactions 58,914,755 135,192,859 (29,609,877) (88,801,945) Net Increase/(Decrease) in Net Assets 59,496,118 137,801,484 (29,609,877) (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 $218,773,668 $159,277,550 $289,281,921 $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 December 31, 2003 (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 Fund currently consists of ten equity portfolios, three fixed-income portfolios and one money market portfolio. 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 through a tax-free exchange 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 aggregate net assets of the Growth, Value and Money Market Portfolios, immediately before the acquisition were $2,073,084,136, $99,300,593, and $277,944,305, respectively. 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. The Money Market Portfolio also serves as an investment vehicle for some affiliated investment companies. (2) SIGNIFICANT ACCOUNTING POLICIES (A) 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 at that time. Security prices are 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. For all Portfolios other than the Money Market Portfolio, short-term securities with maturities of 60 days or less remaining are valued at amortized cost. 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. All other securities for which market values are not readily available are appraised at fair value as determined in good faith under the direction of the Board of Directors. As of December 31, 2003, eight 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 net assets of the High Yield Portfolio. Fair valuation of international securities -- As many foreign markets close before the U.S. markets, events may occur between the close of the foreign market and the close of the U.S. markets that could have a material impact on the valuation of foreign securities. The Fund, under the supervision of the Board of Directors, evaluates the impacts of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the U.S. markets. (B) 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 rates 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. (C) 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 Portfolios 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. (D) 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. (E) Federal Income Taxes -- No provision has been made for income taxes because the Portfolios' policy is to qualify as regulated investment companies under the Internal Revenue Code and distribute substantially all taxable income on a timely basis. It is also the intention of the Portfolios to distribute an amount sufficient to avoid imposition of any federal excise tax. The Portfolios, accordingly, anticipate paying no federal taxes and no federal tax provision was required. Each Portfolio is treated as a separate taxable entity for federal income tax purposes. (F) 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 all debt securities, including accretion of market discount and original issue discount and amortization of 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. (G) 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. (H) 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 paid at least annually for all Portfolios at the close of the Fund's fiscal year. Any Portfolio subject to excise taxes would require an additional distribution at or 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 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 from the Money Market Portfolio also include any short-term net realized gains or losses on the sale of securities. (I) Options -- Each Portfolio, with the exception of the Money Market Portfolio, may buy put and call options and write covered call options. The Portfolios intend to 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. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. 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 upon 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 year ended December 31, 2003, the Growth Portfolio, Income Portfolio and Limited Maturity Bond Portfolio engaged in this type of investment. (J) Financial Futures Contracts -- 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 futures 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 is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. During the year ended December 31, 2003, the All Cap Portfolio, High Yield Portfolio and Income Portfolio engaged in this type of investment. (K) Mortgage Dollar Roll Transactions -- Certain of the Portfolios enter into dollar roll transactions, 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 $2,989,082 and $411,734 respectively, from such fees for the year ended December 31, 2003. (L) Securities Lending -- Effective October 31, 2003, the Fund entered into a Securities Lending Agreement (the "Agreement") with State Street Bank and Trust Company ("State Street Bank"). The Agreement authorizes State Street Bank to lend securities to authorized borrowers on behalf of the Portfolios, except the Money Market Portfolio. Pursuant to the Agreement, all loaned securities are collateralized by cash equal to at least 102% of the value of the loaned securities, plus any accrued interest. All cash collateral received is invested in a State Street Bank Money Market fund. As of December 31, 2003, all Portfolios except the Money Market Portfolio had securities on loan. The value of securities loaned is as follows: Securities Portfolio on Loan - ------------------------------------------------------------- Small Cap Growth Portfolio $ 7,036,126 Opportunity Growth Portfolio 66,589,171 Mid Cap Select Growth Portfolio 6,794,438 Mid Cap Growth Portfolio 59,602,344 World Growth Portfolio 15,099,040 All Cap Portfolio 9,184,292 Growth Portfolio 136,066,187 Investors Growth Portfolio 6,309,044 Growth Stock Portfolio 10,069,648 Value Portfolio 9,375,236 High Yield Portfolio 64,035,241 Income Portfolio 43,918,500 Limited Maturity Bond Portfolio 38,691,120 (M) 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 oversubscribed IPO. Because the IPO is oversubscribed, this presents a Portfolio with the opportunity to "flip" or trade the security at higher prices resulting in a profit for the Portfolio. Investments in IPO's may have a magnified performance impact on a Portfolio with a small asset base. A Portfolio with enhanced performance from "flipping" IPOs may not experience similar performance as its assets grow. However, participation in an IPO may result in a loss for that Portfolio. (N) When-Issued and Delayed Delivery Transactions -- The Portfolios may engage in when-issued or delayed delivery transactions. To the extent that 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. To ensure there is no investment leveraging, assets of the Portfolio are earmarked on the trade date 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. (O) Repurchase Agreements -- It is the policy of each Portfolio to require 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. (P) 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 receivables on defaulted securities are monitored for the ability to collect payments in default and adjusted accordingly. (Q) 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. (R) 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 (A) 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 of average daily net assets, 0.52% for the next $300 million of average daily net assets, and 0.50% of 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 of average daily net assets, 0.42% for the next $400 million of average daily net assets, and 0.35% of 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 of average daily net assets, 0.55% for the next $400 million of average daily net assets, 0.50% for the next $250 million of average daily net assets, and 0.45% of 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 of average daily net assets, 0.40% for the next $400 million of average daily net assets, and 0.35% of 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 of average daily net assets, 0.40% for the next $450 million of average daily net assets, and 0.35% of average daily net assets over $500 million. (B) Other Expenses -- All expenses in excess of each Portfolio's advisory fees were paid or reimbursed to the Fund by Thrivent Financial 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 expense reimbursement agreement was terminated effective on January 1, 2004. Expense reimbursements after December 31, 2003, are voluntary and can be terminated at any time. The Adviser also received fees pursuant to an agreement to provide accounting personnel and services to the Portfolios. For the year ended December 31, 2003, Thrivent Financial received aggregate fees for accounting personnel and services of $463,125 from the Fund. 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. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications. On the Statement of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows [Increase (Decrease)]: Accumulated Accumulated Net Net Investment Realized Capital Portfolio Income/(Loss) Gain/(Loss) Stock - ------------------------------------------------------------------------------ Small Cap Growth $ 150,457 $ 1,701 $ (152,158) Opportunity Growth 51,782 -- (51,782) Mid Cap Select Growth 106,096 133 (106,229) Mid Cap Growth 124,530 -- (124,530) World Growth 1,603,940 (1,603,940) -- Growth (32) 1,374,093 (1,374,061) Investors Growth 59 (59) -- Growth Stock (7,709) 7,709 -- Value (67,696) 87,914 (20,218) High Yield (39,157) 39,157 -- Income 6,601 7,430 (14,031) Limited Maturity Bond 47,880 (47,880) -- At December 31, 2003, the components of distributable earnings on a tax basis were as follows: Undistributed Undistributed Ordinary Long-Term Portfolio Income Capital Gain - -------------------------------------------------- World Growth $ 6,011,108 $ -- All Cap 36,778 -- Growth 12,368,748 -- Investors Growth 45 -- Growth Stock 757 -- Value 270 -- High Yield 3,790,532 -- Limited Maturity Bond 289,033 138,684 At December 31, 2003, 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 108,366 2011 -------------- $ 2,277,260 ============== Opportunity Growth $ 67,123,059 2009 60,021,339 2010 10,814,693 2011 -------------- $ 137,959,091 ============== Mid Cap Select Growth $ 6,470,693 2010 ============== Mid Cap Growth $ 62,696,503 2009 75,385,490 2010 30,065,596 2011 -------------- $ 168,147,589 ============== World Growth $ 10,531,972 2009 50,319,176 2010 35,532,330 2011 -------------- $ 96,383,478 ============== All Cap $ 11,053,085 2010 1,857,716 2011 -------------- $ 12,910,801 ============== Growth $ 304,615,661 2009 893,415,579 2010 198,439,143 2011 -------------- $1,396,470,383 ============== Investors Growth $ 1,918,073 2010 Growth Stock $ 1,542,471 2010 1,349,618 2011 -------------- $ 2,892,089 ============== Value $ 5,353,433 2010 9,825,531 2011 -------------- $ 15,178,964 ============== High Yield $ 4,536,501 2006 597,597 2007 14,056,111 2008 288,927,133 2009 184,350,285 2010 364,926,135 2011 -------------- $ 857,393,762 ============== Income $ 15,292,083 2010 ============== To the extent that these Portfolios realize future net capital gains, taxable distributions will be reduced by any unused capital loss carryovers. At December 31, 2003, Growth Portfolio and Value Portfolio, as the successors of the reorganizations with AAL Variable Product Series Fund, Inc. -- Aggressive Growth Portfolio and AAL Variable Product Series Fund, Inc. -- Equity Income Portfolio, respectively, had additional accumulated net realized capital loss carryovers subject to applicable limitations on availability, to offset future capital gains, if any, as follows: Capital Loss Expiration Portfolio Carryover Year - ------------------------------------------------------------ Growth $ 756,931 2008 1,886,777 2009 86,917 2010 -------------- $ 2,730,625 ============== Value $ 246,569 2008 1,970,622 2009 1,079,278 2010 -------------- $ 3,296,469 ============== The following Portfolios deferred, on a tax basis, the following post-October 2003 losses: Portfolio Post-October Loss - --------------------------------------------- Mid Cap Growth $ 409,891 World Growth 178,758 Growth 6,423,405 High Yield 15,973,483 These amounts are deferred for tax purposes and deemed to occur in the next fiscal year. The tax character of distributions paid during the years ended December 31, 2003 and 2002 was as follows: Ordinary Income Long-Term Capital Gain Portfolio 2003 2002 2003 2002 - ------------------------------------------------------------------------------ Opportunity Growth $-- $713,639 $-- $-- Mid Cap Select Growth -- 25,715 -- -- Mid Cap Growth -- 644,695 -- -- World Growth 5,007,543 1,948,069 -- -- All Cap 68,357 36,709 -- -- Growth 11,996,303 16,584,638 -- -- Investors Growth 29,963 24,426 -- -- Growth Stock 113,741 65,264 -- -- Value 2,015,737 936,442 -- -- High Yield 70,324,837 100,481,777 -- -- Income 49,881,065 63,207,158 -- -- Limited Maturity Bond 7,428,742 3,058,092 182,823 -- Money Market 2,643,168 5,398,258 -- -- At December 31, 2003, the gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows: Net Unrealized Federal Unrealized Unrealized Appreciation Portfolio Tax Cost Appreciation (Depreciation) (Depreciation) - ------------------------------------------------------------------------------ Small Cap Growth $41,199,746 $6,532,883 $(497,196) $6,035,687 Opportunity Growth 290,911,212 54,758,315 (9,506,606) 45,251,709 Mid Cap Select Growth 33,207,331 4,671,983 (328,473) 4,343,510 Mid Cap Growth 463,665,262 90,687,540 (12,221,837) 78,465,703 World Growth 417,966,109 55,766,215 (39,577,710) 16,188,505 All Cap 54,107,483 5,179,757 (612,789) 4,566,968 Growth 2,513,128,546 162,407,290 (65,280,431) 97,126,859 Investors Growth 43,547,336 1,986,965 (354,283) 1,632,682 Growth Stock 70,991,501 8,971,333 (256,415) 8,714,918 Value 199,251,798 30,934,615 (1,229,303) 29,705,312 High Yield 908,360,389 47,726,412 (53,988,192) (6,261,780) Income 1,127,196,821 43,316,900 (2,411,478) 40,905,422 Limited Maturity Bond 276,061,472 2,840,546 (247,591) 2,592,955 Money Market 290,037,274 -- -- -- The difference between the book and tax cost basis is attributable to the disallowed losses on wash sales and other temporary timing differences. (5) INVESTMENT TRANSACTIONS (A) Purchases and Sales of Investment Securities -- For the year ended December 31, 2003, 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 $20,953 $13,472 Opportunity Growth 175,941 181,617 Mid Cap Select Growth 28,210 22,591 Mid Cap Growth 322,293 312,836 World Growth 96,028 96,024 All Cap 68,149 63,059 Growth 2,317,102 2,380,953 Investors Growth 83,451 75,664 Growth Stock 37,938 20,019 Value 101,055 47,012 High Yield 687,222 677,752 Income 873,992 824,848 Limited Maturity Bond 142,300 80,723 Purchases and sales of U.S. Government securities were: In thousands ----------------------- Portfolio Purchases Sales - ------------------------------------------------- Income $1,752,209 $1,923,162 Limited Maturity Bond 393,439 375,586 (B) 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 $14,819,728 at December 31, 2003, which represented 1.74% of the net assets of the High Yield Portfolio. The Portfolios have no right to require registration of unregistered securities. (C) 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. (D) Investments in Options and Futures Contracts -- The movement in the price of the security 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. (E) Written Option Contracts -- The number of contracts and premium amounts associated with call option contracts written during the year ended December 31, 2003 were as follows: Growth Portfolio ----------------------- Number of Premium Contracts Amount - ----------------------------------------------------------- Balance at December 31, 2002 -- $-- Opened 15,718 2,030,229 Closed (12,394) (1,714,229 Expired (1,789) (104,120) Exercised (1,535) (211,880) ------------ ---------- Balance at December 31, 2003 -- $-- ============ ========== Income Portfolio ----------------------- Number of Premium Contracts Amount - ----------------------------------------------------------- Balance at December 31, 2002 -- $-- Opened 2,625 1,444,677 Closed (2,175) (1,280,239) Expired (450) (164,438) Exercised -- -- ------------ ---------- Balance at December 31, 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 Growth 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 =========== =========== =========== =========== =========== =========== Year Ended December 31, 2003 - ------------------------ Sold 1,845,852 $17,485,023 2,637,669 $21,320,215 1,779,774 $12,765,653 Redeemed (868,507) (7,758,706) (3,774,627) (28,553,622) (1,005,783) (6,994,956) ----------- ----------- ----------- ----------- ----------- ----------- Net change 977,345 $9,726,317 (1,136,958) $7,233,407) 773,991 $5,770,697 =========== =========== =========== =========== =========== =========== 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 $17,255,555 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) $(40,763,905) 4,980,463 $46,326,642 =========== =========== =========== =========== =========== =========== Year Ended December 31, 2003 - ------------------------ Sold 5,024,073 $57,232,893 6,187,136 $ 53,934,818 2,015,036 $13,798,255 Dividends and distributions reinvested -- -- 671,694 5,007,543 8,731 68,357 Redeemed (4,661,508) (48,568,182) (6,529,914) (55,215,685) (1,410,924) (9,416,992) ----------- ----------- ----------- ----------- ----------- ----------- Net change 362,565 $8,664,711 328,916 $3,726,676 612,843 $4,449,620 =========== =========== =========== =========== =========== =========== 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 Year Ended December 31, 2003 - ------------------------ Sold 18,663,152 $217,054,665 1,883,565 $15,628,090 3,131,519 $27,795,351 Issued in connection with acquisition of the AAL Aggressive Growth Portfolio 779,312 4,208,880 -- -- -- -- Dividends and distributions reinvested 1,168,217 11,996,303 3,299 29,963 11,159 113,741 Redeemed (29,426,316) (335,169,557) (882,097) (7,293,827) (1,037,698) (8,666,790) ----------- ----------- ----------- ----------- ----------- ----------- Net change (8,815,635) ($101,909,709) 1,004,767 $8,364,226 2,104,980 $19,242,302 =========== =========== =========== =========== =========== =========== 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) =========== =========== =========== =========== =========== =========== Year Ended December 31, 2003 - ------------------------ Sold 7,287,280 $87,640,742 8,712,487 $42,181,021 6,121,083 $61,591,408 Issued in connection with acquisition of the AAL Equity Income Portfolio 3,881,231 5,951,597 -- -- -- -- Dividends and distributions reinvested 206,594 2,015,737 14,684,952 70,324,837 4,956,115 49,881,065 Redeemed (1,063,796) (8,807,326) (21,403,217) (100,868,278) (23,057,585) (231,798,678) ----------- ----------- ----------- ----------- ----------- ----------- Net change 10,311,309 $86,800,750 1,994,222 $11,637,580 (11,980,387)$(120,326,205) =========== =========== =========== =========== =========== =========== 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) =========== =========== =========== =========== Year Ended December 31, 2003 - ------------------------ Sold 9,831,117 $100,608,578 171,924,976 $171,924,976 Issued in connection with acquisition of the AAL Money Market Portfolio -- -- 69,462,396 69,462,396 Dividends and distributions reinvested 743,874 7,611,565 2,643,168 2,643,168 Redeemed (4,827,404) (49,305,388) (273,640,417) (273,640,417) ----------- ----------- ----------- ----------- Net change 5,747,587 $58,914,755 (29,609,877) $(29,609,877) =========== =========== =========== =========== (7) 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, expiring on April 29, 2004. Borrowings under the agreement would bear interest at the Federal Funds rate plus 0.50%. The Portfolios are allowed to borrow money for temporary or emergency purposes to fund shareholder redemptions. The Portfolios did not borrow against the line during the year ended December 31, 2003. LB Series Fund, Inc. Financial Highlights Small Cap Growth Portfolio - ------------------------------------------------------------------------------------------------------------------------ Year Year Period Ended Ended Ended For a share outstanding throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(f) - ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $7.70 $10.55 $10.00 Income from Investment Operations Net investment income/(loss) (0.04) (0.04) (0.01) Net realized and unrealized gain/(loss) on investments (b) 3.41 (2.81) 0.56 Total from Investment Operations 3.37 (2.85) 0.55 Less Distributions from Net investment income -- -- -- Net realized gain on investments -- -- -- Total Distributions -- -- -- Net Asset Value, End of period $11.07 $7.70 $10.55 Total return (c) 43.83% (27.02)% 5.50% Net assets, end of period (in millions) $40.1 $20.3 $5.7 Ratio of expenses to average net assets (d) 1.00% 1.00% 1.00% Ratio of net investment income/(loss) to average net assets (d) (0.57)% (0.52)% (0.74)% Portfolio turnover rate 52% 29% 0% 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 (e) 1.28% 1.11% Ratio of net investment loss to average net assets (e) (0.85)% (0.63)% Financial Highlights - continued Opportunity Growth Portfolio - ------------------------------------------------------------------------------------------------------------------------------ Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $6.95 $10.21 $13.25 $14.10 $11.06 Income from Investment Operations Net investment income/(loss) -- -- 0.02 0.04 (0.01) Net realized and unrealized gain/(loss) on investments (b) 2.94 (3.24) (2.36) (0.89) 3.05 Total from Investment Operations 2.94 (3.24) (2.34) (0.85) 3.04 Less Distributions from Net investment income -- (0.02) (0.04) -- -- Net realized gain on investments -- -- (0.66) -- -- Total Distributions -- (0.02) (0.70) -- -- Net Asset Value, End of period $9.89 $6.95 $10.21 $13.25 $14.10 Total return (c) 42.35% (31.77)% (18.01)% (6.05)% 27.55% Net assets, end of period (in millions) $268.8 $196.8 $361.1 $457.4 $436.9 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income/(loss) to average net assets (d) (0.02)% (0.05)% 0.19% 0.26% (0.09)% Portfolio turnover rate 82% 130% 138% 147% 60% 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 (e) 0.48% 0.47% Ratio of net investment loss to average net assets (e) (0.10)% (0.12)% Financial Highlights - continued Mid Cap Select Growth Portfolio - ------------------------------------------------------------------------------------------------------------------------------ Year Year Period Ended Ended Ended For a share outstanding throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(f) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $5.96 $10.60 $10.00 Income from Investment Operations Net investment income/(loss) (0.03) (0.02) -- Net realized and unrealized gain/(loss) on investments (b) 2.26 (4.60) 0.60 Total from Investment Operations 2.23 (4.62) 0.60 Less Distributions from Net investment income -- -- -- Net realized gain on investments -- (0.02) -- Total Distributions -- (0.02) -- Net Asset Value, End of period $8.19 $5.96 $10.60 Total return (c) 37.34% (43.66)% 5.99% Net assets, end of period (in millions) $30.5 $17.6 $6.1 Ratio of expenses to average net assets (d) 0.90% 0.90% 0.90% Ratio of net investment income/(loss) to average net assets (d) (0.47)% (0.36)% (0.53)% Portfolio turnover rate 105% 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 (e) 1.34% 1.02% Ratio of net investment loss to average net assets (e) (0.91)% (0.48)% Financial Highlights - continued Mid Cap Growth Portfolio - ------------------------------------------------------------------------------------------------------------------------------- Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $9.63 $13.04 $17.59 $16.62 $11.13 Income from Investment Operations Net investment income/(loss) -- -- 0.01 0.07 0.02 Net realized and unrealized gain/(loss) on investments (b) 3.45 (3.39) (3.39) 2.24 5.49 Total from Investment Operations 3.45 (3.39) (3.38) 2.31 5.51 Less Distributions from Net investment income -- (0.02) (0.07) -- (0.02) Net realized gain on investments -- -- (1.10) (1.34) -- Total Distributions -- (0.02) (1.17) (1.34) (0.02) Net Asset Value, End of period $13.08 $9.63 $13.04 $17.59 $16.62 Total return (c) 35.92% (26.09)% (19.74)% 13.37% 49.64% Net assets, end of period (in millions) $478.8 $348.8 $537.9 $588.6 $271.7 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income/(loss) to average net assets (d) (0.03)% (0.06)% 0.12% 0.49% 0.26% Portfolio turnover rate 79% 51% 121% 117% 148% 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 (e) 0.44% 0.45% Ratio of net investment income/(loss) to average net assets (e) (0.07)% (0.11)% Financial Highlights - continued World Growth Portfolio - ------------------------------------------------------------------------------------------------------------------------------- Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $8.23 $10.02 $13.83 $16.93 $12.67 Income from Investment Operations Net investment income/(loss) 0.11 0.10 0.07 0.06 0.11 Net realized and unrealized gain/(loss) on investments (b) 2.41 (1.85) (2.81) (2.73) 4.21 Total from Investment Operations 2.52 (1.75) (2.74) (2.67) 4.32 Less Distributions from Net investment income (0.13) (0.04) (0.05) -- (0.06) Net realized gain on investments -- -- (1.02) (0.43) -- Total Distributions (0.13) (0.04) (1.07) (0.43) (0.06) Net Asset Value, End of period $10.62 $8.23 $10.02 $13.83 $16.93 Total return (c) 31.27% (17.43)% (21.03)% (16.12)% 34.13% Net assets, end of period (in millions) $420.7 $323.3 $440.0 $561.3 $550.1 Ratio of expenses to average net assets (d) 0.85% 0.85% 0.85% 0.85% 0.85% Ratio of net investment income/(loss) to average net assets (d) 1.28% 1.08% 0.68% 0.44% 0.89% Portfolio turnover rate 26% 20% 30% 38% 23% 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 (e) 0.96% 0.95% Ratio of net investment income/(loss) to average net assets (e) 1.17% 0.98% Financial Highlights - continued All Cap Portfolio - ------------------------------------------------------------------------------------------------------------------------ Year Year Period For a share outstanding Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(f) - ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $6.35 $10.30 $10.00 Income from Investment Operations Net investment income/(loss) 0.02 (0.01) -- Net realized and unrealized gain/(loss) on investments (b) 1.47 (3.93) 0.30 Total from Investment Operations 1.49 (3.94) 0.30 Less Distributions from Net investment income (0.01) -- -- Net realized gain on investments -- (0.01) -- Total Distributions (0.01) (0.01) -- Net Asset Value, End of period $7.83 $6.35 $10.30 Total return (c) 23.52% (38.33)% 3.10% Net assets, end of period (in millions) $48.6 $35.5 $6.4 Ratio of expenses to average net assets (d) 0.95% 0.95% 0.95% Ratio of net investment income/(loss) to average net assets (d) 0.26% (0.18)% (0.36)% Portfolio turnover rate 163% 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 (e) 1.12% 1.03% Ratio of net investment income/(loss) to average net assets (e) 0.09% (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 Adviser 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. LB Series Fund, Inc. Financial Highlights - continued Growth Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $10.62 $15.25 $24.06 $30.24 $23.51 Income from Investment Operations Net investment income 0.07 0.07 0.07 0.13 0.11 Net realized and unrealized gain/(loss) on investments (b) 3.15 (4.63) (4.13) (1.18) 9.14 Total from Investment Operations 3.22 (4.56) (4.06) (1.05) 9.25 Less Distributions from Net investment income (0.06) (0.07) (0.05) (0.08) (0.11) Net realized gain on investments -- -- (4.70) (5.05) (2.41) Total Distributions (0.06) (0.07) (4.75) (5.13) (2.52) Net Asset Value, End of period $13.78 $10.62 $15.25 $24.06 $30.24 Total return (c) 30.49% (29.99)% (19.13)% (4.95)% 43.61% Net assets, end of period (in millions) $2,478.8 $2,004.7 $3,607.7 $4,695.7 $4,913.3 Ratio of expenses to average net assets (d) 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets (d) 0.56% 0.48% 0.43% 0.48% 0.45% Portfolio turnover rate 101% 83% 94% 108% 124% 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 (e) 0.42% 0.42% Ratio of net investment income/(loss) to average net assets (e) 0.54% 0.46% Financial Highlights - continued Investors Growth Portfolio - ------------------------------------------------------------------------------------------------------------------------ Year Year Period Ended Ended Ended For a share outstanding throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(g) - ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $7.40 $10.08 $10.00 Income from Investment Operations Net investment income 0.01 0.01 -- Net realized and unrealized gain/(loss) on investments (b) 1.68 (2.68) 0.08 Total from Investment Operations 1.69 (2.67) 0.08 Less Distributions from Net investment income (0.01) (0.01) -- Net realized gain on investments -- -- -- Total Distributions (0.01) (0.01) -- Net Asset Value, End of period $9.08 $7.40 $10.08 Total return (c) 22.75% (26.53)% 0.89% Net assets, end of period (in millions) $39.1 $24.5 $5.9 Ratio of expenses to average net assets (d) 0.80% 0.80% 0.80% Ratio of net investment income to average net assets (d) 0.10% 0.12% 0.05% Portfolio turnover rate 261% 214% 13% 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 (e) 1.26% 0.90% Ratio of net investment income/(loss) to average net assets (e) (0.36)% 0.02% Financial Highlights - continued Growth Stock Portfolio - ------------------------------------------------------------------------------------------------------------------------ Year Year Period Ended Ended Ended For a share outstanding throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(g) - ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $7.79 $10.16 $10.00 Income from Investment Operations Net investment income 0.02 0.01 -- Net realized and unrealized gain/(loss) on investments (b) 2.40 (2.37) 0.16 Total from Investment Operations 2.42 (2.36) 0.16 Less Distributions from Net investment income (0.02) (0.01) -- Net realized gain on investments -- -- -- Total Distributions (0.02) (0.01) -- Net Asset Value, End of period $10.19 $7.79 $10.16 Total return (c) 31.05% (23.20)% 1.63% Net assets, end of period (in millions) $69.7 $36.8 $6.2 Ratio of expenses to average net assets (d) 0.80% 0.80% 0.80% Ratio of net investment income to average net assets (d) 0.26% 0.26% 0.37% Portfolio turnover rate 41% 37% 3% 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 (e) 0.96% 0.89% Ratio of net investment income/(loss) to average net assets (e) 0.10% 0.17% Financial Highlights - continued Value Portfolio - ------------------------------------------------------------------------------------------------------------------------ Year Year Period Ended Ended Ended For a share outstanding throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(g) - ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $7.74 $10.14 $10.00 Income from Investment Operations Net investment income 0.09 0.07 0.01 Net realized and unrealized gain/(loss) on investments (b) 2.02 (2.39) 0.13 Total from Investment Operations 2.11 (2.32) 0.14 Less Distributions from Net investment income (0.09) (0.08) -- Net realized gain on investments -- -- -- Total Distributions (0.09) (0.08) -- Net Asset Value, End of period $9.76 $7.74 $10.14 Total return (c) 27.08% (22.85)% 1.44% Net assets, end of period (in millions) $220.4 $95.1 $6.9 Ratio of expenses to average net assets (d) 0.60% 0.60% 0.60% Ratio of net investment income to average net assets (d) 1.41% 1.39% 0.87% Portfolio turnover rate 32% 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 (e) 0.68% 0.66% Ratio of net investment income/(loss) to average net assets (e) 1.33% 1.33% Financial Highlights - continued High Yield Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $4.40 $5.41 $6.39 $9.09 $9.16 Income from Investment Operations Net investment income 0.44 0.56 0.78 0.99 0.99 Net realized and unrealized gain/(loss) on investments (b) 0.73 (1.01) (0.98) (2.70) (0.07) Total from Investment Operations 1.17 (0.45) (0.20) (1.71) 0.92 Less Distributions from Net investment income (0.43) (0.56) (0.78) (0.99) (0.99) Net realized gain on investments -- -- -- -- -- Total Distributions (0.43) (0.56) (0.78) (0.99) (0.99) Net Asset Value, End of period $5.14 $4.40 $5.41 $6.39 $9.09 Total return (c) 28.00% (8.65)% (3.60)% (20.56)% 10.52% Net assets, end of period (in millions) $851.5 $719.9 $1,007.7 $1,150.3 $1,525.7 Ratio of expenses to average net assets 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets 9.22% 11.64% 12.95% 12.16% 10.71% Portfolio turnover rate (f) 86% 79% 80% 62% 59% 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 (e) 0.43% 0.43% Ratio of net investment income to average net assets (e) 9.19% 11.61% Financial Highlights - continued Income Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $9.83 $9.80 $9.71 $9.41 $10.21 Income from Investment Operations Net investment income 0.45 0.51 0.61 0.64 0.59 Net realized and unrealized gain/(loss) on investments (b) 0.37 0.03 0.09 0.30 (0.80) Total from Investment Operations 0.82 0.54 0.70 0.94 (0.21) Less Distributions from Net investment income (0.45) (0.51) (0.61) (0.64) (0.59) Net realized gain on investments -- -- -- -- -- Total Distributions (0.45) (0.51) (0.61) (0.64) (0.59) Net Asset Value, End of period $10.20 $9.83 $9.80 $9.71 $9.41 Total return (c) 8.51% 5.75% 7.38% 10.36% (2.01)% Net assets, end of period (in millions) $1,067.1 $1,146.3 $1,224.2 $1,095.0 $1,066.0 Ratio of expenses to average net assets 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets 4.47% 5.29% 6.12% 6.83% 6.09% Portfolio turnover rate (f) 251% 151% 190% 136% 91% 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 (e) 0.42% 0.43% Ratio of net investment income to average net assets (e) 4.45% 5.26% Financial Highlights - continued Limited Maturity Bond Portfolio - ------------------------------------------------------------------------------------------------------------------------ Year Year Period Ended Ended Ended For a share outstanding throughout each period (a) 12/31/2003 12/31/2002 12/31/2001(g) - ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $10.16 $9.91 $10.00 Income from Investment Operations Net investment income 0.29 0.32 0.03 Net realized and unrealized gain/(loss) on investments (b) 0.15 0.25 (0.09) Total from Investment Operations 0.44 0.57 (0.06) Less Distributions from Net investment income (0.29) (0.32) (0.03) Net realized gain on investments (0.10) -- -- Total Distributions (0.39) (0.32) (0.03) Net Asset Value, End of period $10.21 $10.16 $9.91 Total return (c) 4.48% 5.78% (0.61)% Net assets, end of period (in millions) $218.8 $159.3 $21.5 Ratio of expenses to average net assets 0.40% 0.40% 0.40% Ratio of net investment income to average net assets 2.85% 3.11% 3.24% Portfolio turnover rate (f) 255% 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 (e) 0.46% 0.46% Ratio of net investment income to average net assets (e) 2.79% 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 calculated due to a contractual arrangement between the Portfolios and the Adviser to reimburse all expenses in excess of Advisory fees. (f) Portfolio turnover rates prior to the year ended December 31, 2003, excluded the effect of participation in mortgage dollar roll transactions. (g) Since Portfolio inception, November 30, 2001. The accompanying notes to the financial statements are an integral part of this schedule. LB Series Fund, Inc. Financial Highlights - continued Money Market Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Year Year Year Year Year For a share outstanding Ended Ended Ended Ended Ended throughout each period (a) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 Income from Investment Operations Net investment income 0.01 0.01 0.04 0.06 0.05 Less Distributions from Net investment income (0.01) (0.01) (0.04) (0.06) (0.05) Net Asset Value, End of period $1.00 $1.00 $1.00 $1.00 $1.00 Total return (b) 0.84% 1.50% 3.96% 6.21% 4.94% Net assets, end of period (in millions) $289.3 $318.9 $407.7 $291.7 $294.9 Ratio of expenses to average net assets 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets 0.84% 1.49% 3.76% 6.03% 4.86% Portfolio turnover rate 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 (c) 0.45% 0.44% Ratio of net investment income to average net assets (c) 0.79% 1.45% (a) All per share amounts have been rounded to the nearest cent. (b) Total investment return assumes dividend reinvestment. (c) Prior to the year ended December 31, 2002 ratios, were not calculated due to a contractual arrangement between the Portfolios and the Adviser to reimburse all expenses in excess of Advisory fees. The accompanying notes to the financial statements are an integral part of this schedule. This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. Board of Trustees and Executive Officers The following table provides information about the Directors and officers of the Fund. Unless otherwise indicated, the business address of each Director and officer is 625 Fourth Avenue South, Minneapolis, Minnesota 55415. Additional information about the Fund's Directors is available in the Statement of Additional Information. You may obtain a copy of that document without charge by calling (800) Thrivent. Interested Directors /1/ Position with the Fund, Principal Number of Portfolios Term of Office and Occupation(s) During in Fund Complex Other Directorships Name, Address and Age Length of Time Served /2/ Past 5 Years Overseen by Director /3/ Held by Trustee - -------------------------------------------------------------------------------------------------------------------------------- John O. Gilbert Chairman and Director Chairman, Thrivent 20 of The AAL Mutual Life Office Management Age 61 since 2003 Financial for Lutherans Funds, 11 of The Association (LOMA) Lutheran Brotherhood board of directors; Family of Funds, 14 member of the board of of the AAL Variable regents for Luther Product Series Fund, College in Decorah, Inc., 14 of the LB Iowa; Trustee, Luther Series Fund, Inc. Seminary Foundation Independent Directors /4/ Position with the Fund, Principal Number of Portfolios Term of Office and Occupation(s) During in Fund Complex Other Directorships Name, Address and Age Length of Time Served /2/ Past 5 Years Overseen by Director /3/ Held by Trustee - -------------------------------------------------------------------------------------------------------------------------------- Herbert F. Director since 1990 Management 20 of The AAL Mutual None Eggerding, Jr. consultant to several Funds, 14 of the AAL Age 66 privately owned Variable Product Series companies Fund, Inc., 11 of The Lutheran Brotherhood Family of Funds, 14 of the LB Series Fund, Inc. Noel K. Estenson Director since 1997 Retired; previously 11 of The Lutheran None Age 65 President and Chief Brotherhood Family Executive Officer, of Funds, 14 of the CenexHarvestStates LB Series Fund, Inc. (farm supply and marketing and food business) Jodi L. Harpstead Director since 1998 Vice President & 11 of The Lutheran Director, Delta Dental Age 47 General Manager, Brotherhood Family of Plan of Minnesota Cardiac Surgery Funds, 14 of the LB Technologies for Series Fund Medtronic, Inc. (medical products and technologies business) Connie M. Levi Director since 1993 Retired 11 of The Lutheran Director, Norstan, Inc. Age 64 Brotherhood Family of Funds, 14 of the LB Series Fund, Inc. Officers Position with the Fund, Term of Office and Name, Address and Age Length of Time Served /2/ Principal Occupation(s) During Past 5 Years - ------------------------------------------------------------------------------------------------------------------ Pamela J. Moret President since 2002 Executive Vice President, Marketing and Products, Thrivent Age 47 Financial for Lutherans since 2002; previously, Senior Vice President, Products, American Express Financial Advisors from 2001 to 2002; Vice President, Variable Assets, American Express Financial Advisors from 1996 to 2000 Charles D. Gariboldi Treasurer and Principal Vice President of Investment Accounting, Thrivent Financial Age 44 Accounting Officer for Lutherans since 2002; Vice President of Investment since 2002 Accounting, Aid Association for Lutherans from 1999 to 2001; Treasurer, The AAL Mutual Funds since 1997 John C. Bjork Secretary since 2000 Senior Counsel, Thrivent Financial for Lutherans since 2002; Age 50 Counsel, Lutheran Brotherhood from 1987 to 2001 James H. Abitz Vice President Senior Vice President, Investments, Thrivent Financial Age 58 since 2002 for Lutherans Karl D. Anderson Vice President Vice President, Investment Product Solutions Management, Age 42 since 2003 Thrivent Financial for Lutherans since 2002; Vice President and Actuary, Aid Association for Lutherans from 1997 to 2002 Frederick P. Johnson Vice President Vice President, Investment Operations, Thrivent Financial for Age 41 since 1998 Lutherans since 2002; Vice President, Investment Operations, Lutheran Brotherhood in 2001; Assistant Vice President, Investment Operations, Lutheran Brotherhood from 1994 to 2001 Thomas R. Mischka Vice President and Vice President, Divisional Support Services, Thrivent Financial Age 44 Anti-Money Laundering for Lutherans since 2003; Vice President, Marketing, Aid Officer since 2003 Association for Lutherans from 1997 to 2003 Brenda J. Pederson Vice President since 1998 Vice President, Member Support and Mutual Fund Operations, Age 42 Thrivent Financial for Lutherans from 2002 to 2003; Vice President, Member Services, Lutheran Brotherhood from 2001 to 2002; Assistant Vice President, Member Services, Lutheran Brotherhood from 1997 to 2001 Brett L. Agnew Assistant Secretary Senior Counsel, Thrivent Financial for Lutherans since 2002; Age 32 since 2003 Counsel, Aid Association for Lutherans from 2001 to 2002; Consultant, Principal Financial Group from 1998 to 2001 James E. Nelson Assistant Secretary Vice President, Securities Law, Thrivent Financial for Age 43 since 2003 Lutherans since 2002; Head of Securities Law, Lutheran Brotherhood from 2001 to 2002; Counsel and head of Insurance Practice Group, Law Division of ING ReliaStar (formerly ReliaStar Financial Corp.) from 1998 to 2001 Marlene J. Nogle Assistant Secretary Senior Counsel, Thrivent Financial for Lutherans since 2002; Age 56 since 2000 Senior Counsel and Assistant Vice President, Lutheran Brotherhood from 1991 to 2002 Todd J. Kelly Assistant Treasurer Director, Fund Accounting Operations, Thrivent Financial for 222 West College Avenue since 2002 Lutherans since 2002; Manager, Mutual Fund Accounting, Aid Appleton, WI Association for Lutherans from 1996 to 2002 Age 34 Gerard V. Vaillancourt Assistant Treasurer Director, Fund Accounting Administration, Thrivent Financial Age 36 since 2002 for Lutherans since 2002; Manager-Portfolio Compliance, Lutheran Brotherhood from 2001 to 2002; Manager, Fund Accounting, Minnesota Life from 2000 to 2001; Supervisor, Securities Accounting, Lutheran Brotherhood from 1998 to 2000 /1/ "Interested person" of the Fund as defined in the Investment Company Act of 1940 by virtue of positions with Thrivent Financial. Mr. Gilbert is considered an interested person because of his principal occupation with Thrivent Financial, the adviser and an affiliate of the Fund. /2/ Each Director serves an indefinite term until his or her successor is duly elected and qualified. The bylaws of the Fund provide that each Director must retire at the end of the year in which the Director attains age 70. Officers serve at the discretion of the board until their successors are duly appointed and qualified. /3/ The "Fund Complex" includes the 11 series of The Lutheran Brotherhood Family of Funds, the 20 series of The AAL Mutual Funds, the 14 series of AAL Variable Product Series Fund, Inc., and the 14 series of LB Series Fund, Inc. /4/ The Directors other than Mr. Gilbert are not "interested persons" of the Fund and are referred to as "Independent Directors." LB Series Fund, Inc. AAL Variable Annuity Account I AAL Variable Annuity Account II LB Variable Annuity Account I LBVIP Variable Annuity Account I Thrivent Variable Annuity Account I Thrivent Variable Life Account I Supplement to Prospectuses dated April 30, 2003 Thrivent Variable Life Account I Supplement to Prospectus dated December 31, 2003 Small Cap Growth Portfolio Franklin Advisers, Inc. ("FAI") has given notice that it will terminate its Investment Subadvisory Agreement to serve as investment subadviser to the Small Cap Growth Portfolio, effective May 31, 2004. The Board of Directors of LB Series Fund, Inc. (the "Fund") has directed the Fund's investment adviser, Thrivent Financial for Lutherans ("Thrivent Financial"), to conduct a search for a new small cap growth investment subadviser to replace FAI. Thrivent Financial anticipates recommending a new investment subadviser to the Board of Directors at the Board's next regularly scheduled meeting on May 18, 2004. If the Board of Directors approves the recommendation, the new investment subadviser will begin serving as investment subadviser to the Portfolio on or before May 31, 2004. In the event a new investment subadviser is not in place by May 31, 2004, the Fund will either seek FAI's agreement to continue managing the Portfolio until a new investment subadviser is in place, or Thrivent Financial will assume direct investment management responsibilities for the Portfolio until a new subadviser assumes management of the Portfolio. Prior to May 31, 2004, the Fund will send notification to shareholders of the Portfolio advising them of who has been selected as new investment subadviser, when the change will take place, and if the change is expected to occur after May 31, 2004, who will be providing direct investment management to the Portfolio until the new subadviser assumes that responsibility. The Small Cap Growth Portfolio operates under a "manager-of-managers" structure. Under this structure, Thrivent Financial has the authority, with approval of the Board of Directors, to hire, fire and change subadvisers and amend subadvisory agreements without shareholder approval. The hiring of a new investment subadviser to replace FAI will be done under this authority. Mid Cap Select Growth Portfolio No later than April 30, 2004, Massachusetts Financial Services Company ("MFS") will no longer serve as investment subadviser to the Mid Cap Select Growth Portfolio and Thrivent Financial will provide all investment management services to the Portfolio. Brian L. Thorkelson and Andrea J. Thomas, CFA will serve as portfolio co-mangers of the Mid Cap Select Growth Portfolio. Mr. Thorkelson has served as portfolio manager of the Mid Cap Growth Portfolio since its inception in 1998. Mr. Thorkelson has been with Thrivent Financial since 1987. Ms. Thomas has served as portfolio manager of the Mid Cap Growth Portfolio since November 2003, and she served as an associate portfolio manager of the portfolio from 1997 to 2002. Ms. Thomas has been with Thrivent Financial since 1993 and has served as a portfolio manager since 2002. Investors Growth Portfolio No later than April 30, 2004, Massachusetts Financial Services Company ("MFS") will no longer serve as investment subadviser to the Investors Growth Portfolio and Thrivent Financial will provide all investment management services to the Portfolio. Scott A. Vergin will serve as portfolio manager of the Growth Portfolio. Mr. Vergin has been the portfolio manager of the Growth Portfolio since 1994. Mr. Vergin has been with Thrivent Financial since 1984 and has served as a portfolio manager since 1994. The date of this Supplement is February 20, 2004. Please include this Supplement with your Prospectus. AAL Variable Product Series Fund, Inc. LB Series Fund, Inc. AAL Variable Annuity Account I AAL Variable Annuity Account II LB Variable Annuity Account I LB Variable Insurance Account I LBVIP Variable Annuity Account I LBVIP Variable Insurance Account LBVIP Variable Insurance Account II Thrivent Variable Annuity Account I Thrivent Variable Life Account I Supplement to Prospectuses dated April 30, 2003 Thrivent Variable Life Account I Supplement to Prospectus dated December 31, 2003 Small Cap Stock Portfolio Christopher J. Serra, CFA will serve as portfolio manager of the Small Cap Stock Portfolio. Mr. Serra also serves as portfolio manager of the Thrivent Small Cap Stock Portfolio a series of an affiliated mutual fund group. Mr. Serra has served as the portfolio manager to the Small Cap Value Fund and Small Cap Value Portfolio from 2001 to 2004. From 1999 to 2001 Mr. Serra was the assistant portfolio manager of The AAL Small Cap Stock Fund. From 1998 to 1999 Mr. Serra served as senior equity analyst for Thrivent Financial. Mid Cap Stock Portfolio Brian J. Flanagan, CFA and John E. Hintz, CFA will serve as portfolio co-managers of the Mid Cap Stock Portfolio. Brian J. Flanagan, CFA will serve as portfolio co-manager of the Mid Cap Stock Portfolio. Mr. Flanagan has served as the portfolio co-manager of the Technology Stock Fund since 2000. Mr. Flanagan also serves as portfolio manager of the Thrivent Technology Stock Portfolio, Technology Stock Portfolio, and the Mid Cap Stock Fund each a series of an affiliated mutual fund group. Mr. Flanagan has been with Thrivent Financial since 1996. John E. Hintz, CFA will serve as portfolio co-manager of the Mid Cap Stock Portfolio. Mr. Hintz also co-manages the Mid Cap Stock Fund a series of an affiliated mutual fund group. Mr. Hintz has served as Director of Research with Thrivent Financial. since 2001. Mr. Hintz was an Equity Analyst from 1997 to 2001. The date of this Supplement is February 13, 2004. Please include this Supplement with your Prospectus. LB Series Fund, Inc. Supplement to Prospectuses dated April 30, 2003 Portfolio Management Change for Mid Cap Growth Portfolio -- LB Series Fund, Inc. Brian L. Thorkelson and Andrea J. Thomas, CFA serve as portfolio co-managers of the Mid Cap Growth Portfolio. Mr. Thorkelson has served as the portfolio manager of the Mid Cap Growth Portfolio since its inception in 1998. Mr. Thorkelson has been with Thrivent Financial since 1987. Ms. Thomas has served as the portfolio manager of the Mid Cap Growth Portfolio since November 2003, and she served as an associate portfolio manager of the Portfolio from 1997 to 2002. Ms. Thomas has been with Thrivent Financial since 1993 and has served as a portfolio manager since 2002. The date of this Supplement is December 15, 2003. Please include this Supplement with your Prospectus. We're Listening to You! In response to concerns regarding multiple mailings, we are sending one Annual 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 LOGO] 625 Fourth Ave. S., Minneapolis, MN 55415-1665 www.thrivent.com [Bullet] e-mail: mail@thrivent.com [Bullet] 800-THRIVENT (800-847-4836) [GRAPHIC OMITTED: THRIVENT INVESTMENT MANAGEMENT TRADEMARK LOGO] 625 Fourth Ave. S., Minneapolis, MN 55415-1665 www.thrivent.com [Bullet] e-mail: mail@thrivent.com [Bullet] 800-THRIVENT (800-847-4836) Item 2. Code of Ethics The Code of Ethics for the Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer is attached as an exhibit pursuant to Item 11(a). Item 3. Audit Committee Financial Expert Registrant's Board of Directors has determined that Herbert F. Eggerding, Jr., an independent trustee, is the Audit Committee Financial Expert. Item 4. Principal Accountant Fees and Services (a) Audit Fees The aggregate fees billed by registrant's independent public accountants, PricewaterhouseCoopers LLP ("PwC") for each of the last two fiscal years for professional services rendered in connection with the audit of registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $167,000 for the year ended December 31, 2002, and $159,000 for the year ended December 31, 2003. (b) Audit-Related Fees The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services which are reasonably related to the performance of registrant's audit and are not reported under Item 4(a) were $0 and $0 for the years ended December 31, 2002 and December 31, 2003, respectively. The aggregate fees PwC billed to Thrivent Financial and its affiliates for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2002, and $0 for the year ended December 31, 2003. (c) Tax Fees The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice, and tax planning services were $22,200 for the year ended December 31, 2002, and $50,400 for the year ended December 31, 2003. The aggregate tax fees PwC billed to Thrivent Financial and its affiliates for services directly related to the operations and financial reporting of registrant were $258,473 for the year ended December 31, 2002, and $313,083 for the year ended December 31, 2003. (d) All Other Fees For the fiscal years ended December 31, 2002 and 2003, the Fund paid PwC no other fees. Thrivent Financial and its affiliates paid PwC $73,717 in 2002 for AIMR compliance and training services [but only if directly related to the operations and financial reporting of registrant] and no additional fees in 2003. (e) Registrant's audit committee charter, adopted in August 2003, provides that the audit committee (comprised of the independent directors of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee reports to the Board of Directors ("Board") regarding its approval of the engagement of the auditor and the proposed fees for the engagement, and the majority of the Board (including the members of the Board who are independent directors) must approve the auditor at an in-person meeting. The audit committee also is responsible for pre-approval (subject to the de minimus exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934, as amended) of all non-auditing services performed for the registrant or for any service affiliate of registrant. Registrant's audit committee charter also permits a designated member of the audit committee to pre-approve, between meetings, one or more non-audit service projects, subject to ratification by the audit committee at the next meeting of the audit committee. Registrant's audit committee pre-approved all fees described above which PwC billed to registrant. The fees billed to Thrivent Financial and its affiliates were for periods prior to the adoption of registrant's charter, and registrant did not pre-approve those fees. (f) Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended December 31, 2003, were for work performed by persons other than full-time, permanent employees of PwC. (g) The aggregate non-audit fees billed by PwC to registrant and to Thrivent Financial and its affiliates for the fiscal years ending December 31, 2002, and December 31, 2003, were $332,190 and $313,083. (h) Registrant's audit committee has considered the non-audit services provided to the registrant and Thrivent Financial and its affiliates as described above and determined that these services do not compromise PwC's independence. 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. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 9. Submission of Matters to a Vote of Security Holders Item 10. 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 11. Exhibits (a) The Code of Ethics pursuant to Item 2 is attached hereto. (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: February 24, 2004 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: February 24, 2004 By: /s/ Pamela J. Moret ----------------------------------------- Pamela J. Moret President Date: February 24, 2004 By: /s/ Charles D. Gariboldi ----------------------------------------- Charles D. Gariboldi Treasurer CERTIFICATION BY PRESIDENT I, Pamela J. Moret, certify that: 1. I have reviewed this report on Form N-CSR of LB Series Fund, Inc.; 2. 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; 3. 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; 4. 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: a) 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; b) 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 c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date. 5. 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): a) 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 b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. 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: February 24, 2004 /s/ Pamela J. Moret ----------------------------------------- Pamela J. Moret President CERTIFICATION BY TREASURER I, Charles D. Gariboldi, certify that: 1. I have reviewed this report on Form N-CSR of LB Series Fund, Inc.; 2. 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; 3. 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; 4. 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: a) 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; b) 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 c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date. 5. 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): a) 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 b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. 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: February 24, 2004 /s/ Charles D. Gariboldi ----------------------------------------- Charles D. Gariboldi Treasurer CERTIFICATION UNDER SECTION 906 OF SARBANES-OXLEY ACT OF 2002 Name of Registrant: 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: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer. Date: February 24, 2004 /s/ Pamela J. Moret ------------------------------------------- Pamela J. Moret President Date: February 24, 2004 /s/ Charles D. Gariboldi --------------------------------------- Charles D. Gariboldi Treasurer
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N-CSR Filing
Thrivent Series Fund N-CSRCertified annual shareholder report (management investment company)
Filed: 24 Feb 04, 12:00am