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
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LB Series Fund, Inc.
Annual Report
December 31, 2003
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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.
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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
Thrivent Series Fund
Filed: 24 Feb 04, 12:00am