UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4603
Thrivent 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: June 30, 2004
Item 1. Report to Stockholders
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Thrivent Series Fund, Inc.
Semiannual Report
June 30, 2004
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Table of Contents
President's Letter 1
Economic and Market Overview 2
Portfolio Perspectives
Thrivent Technology Portfolio 4
Thrivent Partner Small Cap Growth Portfolio 6
Thrivent Partner Small Cap Value Portfolio 8
Thrivent Small Cap Stock Portfolio 10
Thrivent Small Cap Index Portfolio 12
Thrivent Mid Cap Growth Portfolio 14
Thrivent Mid Cap Growth Portfolio II 16
Thrivent Mid Cap Stock Portfolio 18
Thrivent Mid Cap Index Portfolio 20
Thrivent Partner International Stock Portfolio 22
Thrivent Partner All Cap Portfolio 24
Thrivent Large Cap Growth Portfolio 26
Thrivent Large Cap Growth Portfolio II 28
Thrivent Partner Growth Stock Portfolio 30
Thrivent Large Cap Value Portfolio 32
Thrivent Large Cap Stock Portfolio 34
Thrivent Large Cap Index Portfolio 36
Thrivent Real Estate Securities Portfolio 38
Thrivent Balanced Portfolio 40
Thrivent High Yield Portfolio 42
Thrivent Partner High Yield Portfolio 44
Thrivent Income Portfolio 46
Thrivent Bond Index Portfolio 48
Thrivent Limited Maturity Bond Portfolio 50
Thrivent Mortgage Securities Portfolio 52
Thrivent Money Market Portfolio 54
Schedules of Investments
Thrivent Technology Portfolio 56
Thrivent Partner Small Cap Growth Portfolio 59
Thrivent Partner Small Cap Value Portfolio 63
Thrivent Small Cap Stock Portfolio 66
Thrivent Small Cap Index Portfolio 70
Thrivent Mid Cap Growth Portfolio 79
Thrivent Mid Cap Growth Portfolio II 85
Thrivent Mid Cap Stock Portfolio 90
Thrivent Mid Cap Index Portfolio 94
Thrivent Partner International Stock Portfolio 100
Thrivent Partner All Cap Portfolio 105
Thrivent Large Cap Growth Portfolio 108
Thrivent Large Cap Growth Portfolio II 112
Thrivent Partner Growth Stock Portfolio 116
Thrivent Large Cap Value Portfolio 119
Thrivent Large Cap Stock Portfolio 122
Thrivent Large Cap Index Portfolio 125
Thrivent Real Estate Securities Portfolio 132
Thrivent Balanced Portfolio 135
Thrivent High Yield Portfolio 155
Thrivent Partner High Yield Portfolio 163
Thrivent Income Portfolio 171
Thrivent Bond Index Portfolio 177
Thrivent Limited Maturity Bond Portfolio 189
Thrivent Mortgage Securities Portfolio 195
Thrivent Money Market Portfolio 197
Statement of Assets and Liabilities 200
Statement of Operations 205
Statement of Changes in Net Assets 210
Notes to Financial Statements 215
Financial Highlights
Thrivent Technology Portfolio 230
Thrivent Partner Small Cap Growth Portfolio 231
Thrivent Partner Small Cap Value Portfolio 231
Thrivent Small Cap Stock Portfolio 231
Thrivent Small Cap Index Portfolio 230
Thrivent Mid Cap Growth Portfolio 231
Thrivent Mid Cap Growth Portfolio II 231
Thrivent Mid Cap Stock Portfolio 232
Thrivent Mid Cap Index Portfolio 233
Thrivent Partner International Stock Portfolio 233
Thrivent Partner All Cap Portfolio 232
Thrivent Large Cap Growth Portfolio 233
Thrivent Large Cap Growth Portfolio II 233
Thrivent Partner Growth Stock Portfolio 234
Thrivent Large Cap Value Portfolio 235
Thrivent Large Cap Stock Portfolio 235
Thrivent Large Cap Index Portfolio 234
Thrivent Real Estate Securities Portfolio 235
Thrivent Balanced Portfolio 235
Thrivent High Yield Portfolio 236
Thrivent Partner High Yield Portfolio 237
Thrivent Income Portfolio 237
Thrivent Bond Index Portfolio 236
Thrivent Limited Maturity Bond Portfolio 237
Thrivent Mortgage Securities Portfolio 237
Thrivent Money Market Portfolio 237
Results of Special Shareholder Meetings
AAL Variable Products Series Fund, Inc. 240
LB Series Fund, Inc. 241
Opportunity Growth Portfolio 244
Supplement to the Prospectus 245
[PHOTO OMITTED: PAMELA J. MORET]
Dear Member:
We are pleased to provide you with the semiannual report for the six
months ended June 30, 2004, for the Thrivent Series Fund, Inc. In this
report, you will find detailed information about each portfolio in the
Thrivent Series Fund, Inc., including summaries prepared by each
portfolio manager highlighting performance, market conditions and
management strategies during the six-month period. In addition, Russ
Swansen, Thrivent Financial's chief investment officer, reviews the
larger economic environment in his Economic and Market Overview.
The six months provided a glimpse of our ever-changing financial
markets as robust gains at the end of 2003 were tempered by interest
rates and softer economic data late in the period, ending in mixed
returns for investors. Changes in our asset management business have
been occurring as well, led by the recent naming of Russ Swansen as
our new chief investment officer. We are tremendously excited about
the opportunity to bring Russ on board. His broad experience, talent
and past successes will greatly benefit our shareholders. Russ takes
over for Jim Abitz who retired at the end of 2003 after a career of
more than 30 years in investment management and shareholder service.
We salute Jim's leadership, recognize his significant contributions
and wish him well in all his future endeavors while at the same time
welcoming Russ and his vision for our asset management capabilities on
the road ahead.
In addition to naming a new chief investment officer, Thrivent
Financial coordinated the merger of its two variable contract mutual
funds into a single fund -- Thrivent Series Fund, Inc. -- at the end
of April. Thrivent Series Fund, Inc. offers:
(bullet) more investment options,
(bullet) greater asset class diversification potential
(bullet) multiple Partner Portfolios to complement our internally-run
Portfolios
Within the Thrivent Series Fund, Inc., product improvements continue:
(bullet) Matt Finn, an experienced and successful large-cap value
portfolio manager, joined the equities area this past spring.
(bullet) Enhancements to our international stock option that combine
top-shelf growth and value style managers into a unique investment
offering.
(bullet) A small-cap growth stock portfolio that combines the
expertise of two proven money management firms into an attractive
long-term growth offering.
These changes are designed with you -- the member -- in mind, enabling
the Thrivent Series Fund, Inc., to serve ever more of your investment
needs.
On a final note, the past year was marked by revelations of ethical
lapses and improper activities at a surprising number of asset
management companies. This has been disappointing and alarming for the
rest of us in the industry. As a member-owned fraternal benefit
society, we've been in the integrity "business" for over a century and
have remained committed to earning the trust of one very key group --
our investors. In fact, we are always looking for new opportunities to
further bolster the trust our members put in us. To this end, we have
been among the industry leaders in recently introducing leading-edge
mutual fund board governance where seven of eight directors are
independent of Thrivent's management and dedicated solely to our
members' best interests.
Thank you for continuing to turn to us for your financial solutions.
We very much value your business.
Sincerely,
/S/ PAMELA J. MORET
Pamela J. Moret
Director and President
Thrivent Series Fund, Inc.
[PHOTO OMITTED: RUSSELL W. SWANSEN]
Russell W. Swansen June 30, 2004
Senior Vice President and
Chief Investment Officer
Economic and Market Overview
Tempered market conditions prevailed over the six-month period ended
June 30, 2004, as the nation's economy continued to rebound strongly
but investors increasingly focused on events overseas, the
sustainability of corporate profits and the threat of rising interest
rates. Most asset classes registered gains over the period with the
exception of higher-quality bond funds, which were hampered by rising
rates. The period started strong as surging corporate profits teamed
with robust economic growth but slowed in the spring months despite
continued good economic news. Investors grappled first with the notion
of higher interest rates and then with the extent and timing of the
increases. Events overseas dominated news headlines and shrouded wave
after wave of strong company earnings reports. Equities finished the
period with solid gains stemming from strong corporate profitability
and continued economic growth. High-quality bonds finished the period
flat as higher interest rates loomed close on the horizon and
inflation reappeared after a long hibernation. High-yield bonds
registered positive returns but slowed near the end of the period over
liquidity and interest rate concerns.
U.S. Economy
The nation's economic growth was vigorous over the period with solid
year-over-year gross domestic product (GDP) increases of greater than
4% in both the first and second quarters. The magnitude of economic
expansion convinced even skeptics that a broad economic recovery was
continuing to build from 2001 lows. The improvement was largely
attributable to the combination of companies rebuilding depleted
inventories, high worker productivity rates and a marked increase in
capital spending and business investment. Recently, businesses appear
to have finally ramped up hiring as a sharp upturn in corporate
profitability and output growth have built confidence that economic
expansion will continue. Improved business capital spending should
provide more balance to consumer spending in economic growth.
Inflation and Monetary Policy
The period began with only the slightest whiff of inflation but more
obvious signs have recently surfaced in the form of a spike in energy
and commodity prices. Inflationary pressures are likely to increase as
business' pricing power improves and interest rates remain low.
Attractive interest rates and cheap debt capital were key themes early
in the reporting period, but interest rates began to rise as the
economy showed improvement and the long missing job creation piece of
the economic puzzle began to fall into place in March and April.
Fiscal and monetary policy in the form of heavy government spending,
tax cuts and very low interest rates fueled the U.S. economy over the
six-month period.
Equity Performance
The six-month period ended June 30, 2004, provided good returns for
equity investors as stocks of nearly all capitalization ranges and
investment styles performed well. The rally, which began more than a
year ago in March 2003, slowed over the six months as investors reaped
gains and worried about international tensions and interest rates.
While the early part of the reporting period was characterized by a
decidedly "lower-quality" bias that favored small and out-of-favor
firms over larger, better-established companies, the second half
witnessed a shift in favor of more conservative mid- and large-cap
stocks, which had risen less in 2003. Nevertheless, smaller company
stocks still performed best over the period as measured by the Russell
2000 Index's 6.79% return, while the mid-cap dominated S&P 400
provided a 6.08% return. The broad large-cap S&P 500 Index ended the
six months with a 3.44% return.
In terms of investment styles, value-oriented stocks outpaced their
more growth-oriented counterparts, but the gap narrowed substantially
during the final months of the period as the important financials
sector slipped on interest rate concerns.
A global economic recovery and low priced equities overseas provided a
rewarding environment for international investors as well. Morgan
Stanley's EAFE Index -- a commonly used barometer for international
stocks -- rose 4.86% over the six-month period.
Fixed Income Performance
A several year long stretch of high-quality bonds outperforming stocks
came to an end over the period as the threat of higher interest rates
and a much improved corporate profit environment made equity investing
attractive again. Corporate bonds, especially those below investment
grade, performed best amid a backdrop of low default rates and
improved credit access. The specter of higher interest rates
threatened the highest-quality U.S. Treasury offerings and investors
shied away, driving prices lower. For the period, the Lehman Brothers
Aggregate Bond Index -- a proxy for the high-quality U.S. fixed income
market -- produced a tepid 0.15% total return.
Bolstered by higher coupon payments, low default rates and strength in
the equity markets, high-yield bonds as measured by the Lehman
Brothers High Yield Bond Index produced a 1.36% total return. Toward
the end of the period, gains slowed as the high-yield market appeared
somewhat extended in value and larger market participants such as
pension funds redirected assets.
Outlook
The U.S. economy is on solid ground with the recovery of 2003
transitioning into job creation mode, albeit haltingly, in the spring
months of 2004. High productivity, low interest rates, and an
improving employment climate point to continued economic growth in the
4% range through the year. In short, the state of the economy is as
sound as it has been in years and is broad based. Every major sector,
and most industries, participated in the expansion over the past year.
As the stimulative effects of tax cuts and strong spending growth
begin to taper off, we expect job and personal income growth as well
as business spending to accelerate and keep the economy firmly on
track. Some weaker economic reports are bound to surface as the
economic recovery cycle ebbs and flows, but longer-term conditions
appear favorable for solid growth.
With upward pressure on historically low interest rates, fixed-income
investors will likely see tempered returns. The greatest impact will
likely be on the longer-dated Treasury market, where interest rate
risk is the greatest. Bonds that offer attractive yield spread over
Treasuries, including corporate investment grade, high yield, and some
foreign bonds, may perform better over the next year or two. That
said, we believe the Federal Reserve will act thoughtfully in the
timing and pace of any future interest rate increases in an attempt to
moderate uncertainty for market participants.
The stock market rarely moves upward in a steady way. The current
"sideways market" should not necessarily be viewed negatively. Such
consolidation periods are a healthy and necessary part of longer-term
market rallies as they help prepare for future gains and allow
investors on the sideline to re-enter the market. Additional demand by
investors was one reason the stock market performed so well in the
fall and winter months last year. We expect more periodic pullbacks as
investors reap profits and geopolitical events create uncertainty, but
believe that the market is well positioned for a rewarding remainder
of 2004 and beyond.
[PHOTOS OMITTED: BRIAN J. FLANAGAN AND JAMES A. GROSSMAN]
Thrivent Technology Portfolio
Brian J. Flanagan (left) and James A. Grossman (right), Portfolio
Co-Managers
The Thrivent Technology Portfolio seeks long-term capital appreciation
by investing primarily in a diversified portfolio of common stocks and
securities convertible into common stocks.*
Technology stocks etched out modest returns during the six months
ending June 30, 2004. For the period, the Thrivent Technology
Portfolio posted a 0.76% net return, compared to a median return of
1.51% for the Portfolio's Lipper Inc. peer group of specialty funds.
The Portfolio's benchmark, the Goldman Sachs Technology Industry
Composite Index, posted a 0.74% return.
Stocks Give Back Early Gains
Most of the U.S. stock market's gains during the first half of 2004
occurred early in the year. From late January through June, however,
the market lost much of its gains and remained stuck on concerns about
higher inflation and oil prices, rising interest rates, the Iraq war,
terrorism, and uncertainty about the upcoming U.S. presidential
election. Also weighing down stocks were investor worries that
companies would not be able to sustain their robust profit growth into
the future.
Hardware, Software Stocks Helped Performance
The Portfolio performed in line with its benchmark index. However, it
trailed its assigned Lipper peer group of specialty funds, which is
not limited to portfolios of technology stocks but includes
concentrated or sector portfolios in the energy, financial and other
specialized segments of the equity market.
The Portfolio's performance benefited from its overweighting of
computer hardware and software companies, which enjoyed strong
performance. Detracting from the Portfolio's performance was its
overweighting of semiconductor equipment makers and its underweighting
of semiconductor manufacturers and communications equipment companies.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 78.8%
Consumer Discretionary 4.5%
Health Care 3.4%
Communications Services 1.5%
Industrials 1.1%
Top 10 Holdings
(% of Portfolio)
Microsoft Corporation 5.4%
Cisco Systems, Inc. 4.5%
Dell, Inc. 4.4%
Intel Corporation 3.5%
International Business Machines Corporation 2.5%
eBay, Inc. 2.4%
QUALCOMM, Inc. 2.3%
Apple Computer, Inc. 2.0%
Yahoo!, Inc. 2.0%
Texas Instruments, Inc. 1.7%
Footnote reads:
These holdings represent 30.7% of the total investment portfolio.
Footnotes read:
* The Portfolio primarily invests in technology-related industries; as
a consequence, the Portfolio may be subject to greater price
volatility than a portfolio investing in a broad range of industries.
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $52,220,088 NAV $7.00
NAV -- High+ 1/20/2004 -- $7.59
NAV -- Low+ 5/17/2004 -- $6.42
Number of Holdings: 124 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 3/1/2001
- -----------------------------------------------------------
24.55% -10.16%
Outlook
Looking forward, we expect technology stocks to deliver modest
positive returns for the second half of 2004, driven by corporations'
slow, steady spending on information technology. For this to occur,
however, corporate earnings estimates will have to remain reassuring.
There likely will be plenty of market volatility as well, as investors
fret about inflation and rising interest rates, the Iraq situation,
terrorism, and election uncertainty.
An improving economy will no longer benefit all technology stocks,
only those whose companies deliver solid results. Therefore, stock
selection will be key in the second half. Areas of opportunity that
interest us include select semiconductor and computer hardware
companies, as investors have over-discounted potential slowing growth.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Goldman
Sachs
Technology
Industry Consumer
Technology Composite Price
Date Portfolio Index*** Index**
- ------------------------------------------------------------------------
March 1, 2001 10,000 10,000 10,000
2001 8,110 8,358 10,023
2001 10,020 9,953 10,063
2001 9,570 9,556 10,108
2001 9,680 9,582 10,125
2001 8,750 8,900 10,097
2001 7,580 7,741 10,097
2001 5,920 6,176 10,142
2001 6,850 7,168 10,108
2001 7,940 8,389 10,091
2001 7,870 8,241 10,051
2002 7,740 8,232 10,074
2002 6,620 7,132 10,114
2002 7,130 7,640 10,171
2002 6,280 6,704 10,228
2002 5,956 6,431 10,228
2002 5,142 5,522 10,233
2002 4,620 4,963 10,245
2002 4,520 4,899 10,279
2002 3,776 4,025 10,296
2002 4,556 4,904 10,321
2002 5,353 5,762 10,321
2002 4,588 4,923 10,299
2003 4,601 4,879 10,344
2003 4,671 4,953 10,424
2003 4,626 4,898 10,487
2003 5,085 5,409 10,464
2003 5,609 6,012 10,447
2003 5,618 5,997 10,458
2003 5,940 6,342 10,470
2003 6,271 6,780 10,509
2003 6,103 6,681 10,544
2003 6,679 7,333 10,532
2003 6,792 7,474 10,504
2003 6,944 7,590 10,492
2004 7,226 7,946 10,544
2004 7,110 7,721 10,600
2004 6,936 7,508 10,669
2004 6,494 7,071 10,703
2004 6,815 7,463 10,766
June 30, 2004 $6,997 $7,646 $10,800
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 Goldman Sachs Technology Industry Composite Index is
a modified capitalization-weighted index of selected
technology 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.
/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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[GRAPHIC OMITTED: TURNER INVESTMENT PARTNERS, INC. AND WESTCAP INVESTORS LLC]
Thrivent Partner
Small Cap Growth Portfolio
Subadvised by Turner Investment Partners, Inc.
and Westcap Investors LLC
The Thrivent Partner 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.
During this reporting period, subadvisers Turner Investment Partners
and Westcap Investors began serving as subadvisers for Thrivent
Partner Small Cap Growth Portfolio, replacing subadviser Franklin
Advisers, Inc.
Both high- and low-quality segments of the small-cap market enjoyed
periods of growth to the overall benefit of investors during the
six-month period ended June 30, 2004. For the period, the Thrivent
Partner Small Cap Growth Portfolio produced a 4.02% total return,
slightly outperforming the 3.98% median return of its Lipper Inc. peer
group of similar small-cap growth portfolios. The Portfolio's market
benchmark, the Russell 2000 Growth Index, produced a total return of
5.68%.
High Volatility, Steady Returns
The first six months of 2004 were characterized by high volatility in
both the stock market and the economy. Interest rates declined sharply
in the first quarter, reflecting concerns around the sustainability of
the economic recovery. Oil prices exceeded $40 a barrel, and political
uncertainty was a constant.
Despite the unsettling fundamental backdrop, small capitalization
growth stocks continued to perform well in the first quarter, riding
the very strong advance that began in 2003. Lower-quality segments of
the markets also continued to produce strong returns in the first
three months of 2004.
In the second quarter, economic activity accelerated, and investors
accepted the changing monetary policy that resulted from the robust
creation of jobs. As a result, the higher-quality segment of small-cap
growth stocks experienced a renaissance while the more risky segments
of the market underwent a period of correction and consolidation.
Small-capitalization stocks, over the entire period, achieved good
levels of absolute returns.
Factors Impacting Performance
Overweights in the more economically sensitive segments of the market
and good stock selection within those segments, particularly the
energy and industrial sectors, aided the Portfolio's returns relative
to its peers and benchmark during the period.
Offsetting those positive factors was an overweighted position in the
weak-performing technology segment and sub-par stock selection within
that group. In addition, poor stock selection in the broad consumer
segments, both staples and cyclical, also detracted from the
Portfolio's returns versus its market benchmark.
In June, the Portfolio's sub-advisory relationship transitioned from
Franklin Templeton to Turner Investment Partners and Westcap
Investors. These two investment advisory organizations feature
complementary approaches and substantial investment management
expertise in small-cap growth stocks. We believe this dual-manager
approach will result in diminished levels of volatility while still
garnering competitive returns for investors.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 27.6%
Health Care 14.4%
Consumer Discretionary 12.7%
Financials 8.5%
Industrials 6.8%
Energy 4.0%
Materials 1.9%
Consumer Staples 1.0%
Communications Services 0.7%
Top 10 Holdings
(% of Portfolio)
Inamed Corporation 1.5%
Avocent Corporation 1.4%
Hyperion Solutions Corporation 1.3%
ValueVision Media, Inc. 1.3%
Benchmark Electronics, Inc. 1.3%
Rogers Corporation 1.2%
Affiliated Managers Group, Inc. 1.2%
Fair Isaac Corporation 1.1%
Semtech Corporation 1.1%
Andrew Corporation 1.1%
Footnote reads:
These holdings represent 12.5% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $48,864,712 NAV $11.52
NAV -- High+ 1/20/2004 -- $11.88
NAV -- Low+ 5/17/2004 -- $10.58
Number of Holdings: 199 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- -----------------------------------------------------------
30.58% 5.63%
Outlook
Westcap Investors continually seeks attractively priced, high-quality
companies in all parts of the economy. The strong fundamentals
inherent in such companies should provide superior returns over a full
cycle.
Our portfolio emphasis is focused on growth areas such as the
technology, financial services, and consumer discretionary sectors. In
addition, we continue to increase our weightings in the key growth
sectors of health care and business services.
Westcap Investors is cognizant of the external threats to the economy,
such as inflation, increased oil prices and the war on terror.
However, despite these reservations, we feel that corporate earnings
will continue to post strong results, and we remain committed to
investing in high-quality companies with appropriate valuation levels.
Turner Investment Partners shares this optimistic corporate-earnings
outlook and, therefore, maintains a favorable outlook for the stock
market. In the first quarter, the rate of positive earnings surprises
for the S&P 500 Index companies was 75%; a trend -- notably above the
long-term average -- that we anticipate will continue.
Despite a rise in energy prices and an increase in interest rates by
the Federal Reserve Board during the second quarter, many analysts are
forecasting that the overall economy, as measured by the gross
domestic product, will grow by 4.6% or better this year. With interest
rates still at relatively low levels, job growth better than expected,
and businesses beginning to invest in capital improvements, we are
optimistic that the U.S. economy will continue to improve.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Partner Russell
Small Cap 2000 Consumer
Growth Growth Price
Date Portfolio Index* Index**
- ------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000
2001 10,550 10,623 9,961
2002 10,413 10,245 9,983
2002 9,962 9,582 10,023
2002 10,851 10,414 10,079
2002 10,540 10,189 10,135
2002 10,079 9,593 10,135
2002 9,179 8,780 10,141
2002 7,684 7,430 10,152
2002 7,665 7,427 10,186
2002 6,786 6,891 10,203
2002 7,450 7,239 10,228
2002 8,220 7,957 10,228
2002 7,699 7,408 10,206
2003 7,633 7,207 10,251
2003 7,462 7,015 10,330
2003 7,308 7,121 10,392
2003 7,963 7,795 10,369
2003 8,735 8,673 10,353
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
2003 11,074 11,004 10,398
2004 11,413 11,582 10,448
2004 11,387 11,564 10,505
2004 11,326 11,618 10,573
2004 10,979 11,035 10,606
2004 11,304 11,255 10,668
June 30, 2004 $11,520 $11,629 $10,702
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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[LOGO OMITTED: T. ROWE PRICE]
Thrivent Partner
Small Cap Value Portfolio
Subadvised by T. Rowe Price Associates, Inc.
The Thrivent Partner Small Cap Value Portfolio seeks long-term growth
of capital by investing primarily in a diversified portfolio of
smaller capitalization common stocks.
During this reporting period, subadviser T. Rowe Price Associates,
Inc., began serving as subadviser for Thrivent Partner
Small Cap Value Portfolio.
Both low- and high-quality small-cap stocks enjoyed periods of growth
and produced solid returns during the six-month period ended June 30,
2004. For the period, the Thrivent Partner Small Cap Value Portfolio
produced a vigorous 9.23% total return. The Portfolio outperformed the
8.32% median return of its Lipper Inc. peer group of
small-capitalization value portfolios. The Portfolio's current
benchmark, the Russell 2000 Value Index, returned 7.83%, while its
previous benchmark, the S&P SmallCap 600/Barra Value Index, returned
9.79%. Because the Russell 2000 Value Index is more broad and
representative of the companies in which the Portfolio invests, it
will be used to compare performance of the Portfolio in the future.
This is the public benchmark most commonly used by advisors and
consultants in reviewing small-capitalization value portfolios.
Small caps continue their advance
The first six months of 2004 witnessed a continuation of the strong
advance in small-capitalization stocks that began in March 2003. In
particular, within the small-cap segment, those companies and
industries with a high degree of leverage to the economy, including
industrials and materials, performed particularly well. Energy stocks
also performed well in response to the systematically higher energy
prices that were driven by strong demand, supply disruptions and
instability in the Middle East.
Factors Impacting Performance
The Portfolio's holdings in the materials segment provided returns in
line with its peers. However, while performing well on an absolute
basis, the Portfolio's energy and industrial segment holdings did not
keep pace with the unusually high returns to the Index segments.
Mitigating those results were particularly good returns to our
holdings in the health-care, consumer and information-technology
segments. These holdings provided returns in excess of their
particular segments but also bettered the results of its market index.
In particular, our stocks in health-care equipment and providers, as
well as pharmaceuticals produced above-market returns. The Portfolio's
consumer discretionary and financials segments, both very large
segments in the Russell 2000 Value Index, achieved results in line
with the Index. For the full period, many of these countervailing
forces offset each other, resulting in returns for the full portfolio
that were broadly in line with the respective peer groups.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 20.0%
Industrials 19.7%
Consumer Discretionary 15.5%
Materials 10.1%
Information Technology 10.0%
Energy 6.5%
Health Care 6.2%
Utilities 2.9%
Consumer Staples 1.3%
Top 10 Holdings
(% of Portfolio)
Landstar System, Inc. 2.7%
Texas Regional Bancshares, Inc. 2.1%
Aaron Rents, Inc. 2.0%
Ruby Tuesday, Inc. 1.9%
Silicon Valley Bancshares 1.6%
East West Bancorp, Inc. 1.6%
Matthews International Corporation 1.5%
ProAssurance Corporation 1.5%
First Republic Bank 1.5%
Franklin Electric Company, Inc. 1.4%
Footnote reads:
These holdings represent 17.8% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $44,558,871 NAV $14.80
NAV -- High+ 6/29/2004 -- $14.72
NAV -- Low+ 5/17/2004 -- $13.38
Number of Holdings: 111 + For the six months ended June 30, 2004
Total Returns /1/
June 30, 2004
From
Inception
1 Year 4/30/2003
- -----------------------------------------------------------
38.67% 45.14%
Outlook
The U.S. economy is in the midst of a classic expansion that is
stimulating real volume-driven, top-line growth. Productivity
continues to be high, and expense control remains a priority for
well-run businesses. Combined, these factors provide an ideal backdrop
for earnings and cash flow growth and, subsequently, higher stock
prices.
Our economic outlook is a good complement to our strategy of
identifying those companies with exposure and leverage to an expanding
economy. We will maintain good exposure to the materials segment of
the market as these companies tend to be direct beneficiaries of
higher levels of economic activity, both domestically and abroad.
Dollar weakness over the last 18 months versus many foreign currencies
has enhanced the competitiveness of domestic manufacturers and
producers.
Capacity additions continue to be moderate in the face of sustained
demand, supporting the concept of a prolonged profit cycle. The
beneficiaries of these variables are those companies that package and
transport those materials-companies that are also integral to the
Portfolio's investment strategy.
Interest rates are likely to move higher, negatively impacting margins
in the banking industry, and we are underweighted in that sector. We
do find select companies offering good values in the insurance and
real estate industry. Energy continues to be an area that we believe
offers good long-term opportunity, particularly those industries that
benefit from increased exploration and production activity.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Partner S&P SmallCap
Small Cap 600/Barra Russell Consumer
Value Value 2000 Value Price
Date Portfolio Index* Index** Index***
- ------------------------------------------------------------------------------
April 30, 2003 10,000 10,000 10,000 10,000
2003 10,871 10,932 11,021 9,984
2003 11,150 11,256 11,208 9,995
2003 11,763 11,806 11,767 10,005
2003 12,379 12,376 12,214 10,044
2003 12,101 11,971 12,074 10,076
2003 13,048 13,036 13,058 10,065
2003 13,590 13,575 13,559 10,038
2003 14,155 13,954 14,050 10,027
2004 14,594 14,287 14,535 10,076
2004 14,958 14,626 14,817 10,131
2004 15,039 14,884 15,022 10,196
2004 14,539 14,337 14,245 10,229
2004 14,649 14,517 14,417 10,288
June 30, 2004 $15,462 $15,321 $15,149 $10,321
Footnotes read:
* The S&P SmallCap 600/Barra Value Index is a
capitalization-weighted index that comprises all of the
stocks in the S&P SmallCap 600 Index that have low
price-to-book ratios. 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 Value Index is an index comprised of
companies with a greater than average value orientation
within the Russell 2000 index. 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 2000 Value Index serves as a
better reflection of the Portfolio's current investment
strategy than does the S&P 600/Barra Value 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTO OMITTED: CHRISTOPHER J. SERRA]
Thrivent Small Cap Stock Portfolio
Christopher J. Serra, Portfolio Manager
The Thrivent Small Cap Stock Portfolio seeks long-term capital growth
by investing primarily in small company common stocks and securities
convertible into small company common stocks.
A growing palatability for risk and continued confidence about a
sustainable economic recovery helped small-cap stocks outpace their
large- and mid-cap counterparts to produce strong returns during the
six-month period ended June 30, 2004. During the period, the Thrivent
Small Cap Stock Portfolio produced an 8.18% total return,
outperforming the 6.58% median return of its Lipper Inc. peer group of
similar small-cap stock portfolios and the 6.79% return of its current
benchmark, the Russell 2000 Index. The Portfolio's previous market
benchmark, the S&P Small Cap 600 Index, returned 10.05%. Because the
Russell 2000 Index is more broad and representative of the companies
in which the Portfolio invests, it will be used to compare performance
of the Portfolio in the future. This is the public benchmark most
commonly used by advisors and consultants in reviewing
small-capitalization stock portfolios.
A Steady, Rational Environment
The outperformance of small-cap stocks during the period cannot be
tied to any single factor. Rather, the confluence of several
significant conditions created an environment amenable to positive
small-cap returns.
As we anticipated, stronger-than-expected corporate operating leverage
helped pace impressive earnings for many companies as sales remained
strong. These continued positive earnings reports helped win the
confidence of a growing percentage of investors who believe the
economic recovery is indeed sustainable. In addition, the combination
of small caps' four-year run of impressive returns and traditionally
high liquidity in January proved extremely attractive to many
investors. The result was greatly increased inflows of money in the
small-cap sector at the beginning of the period.
While the specter of potentially volatile geopolitical events and the
U.S. election will likely weigh heavily on investors in the second
half of 2004, their effect during the period was minimal, producing a
steady and rational environment that was amenable to growth.
Factors Impacting Performance
After an impressive run for lower-quality stocks in 2003,
higher-quality names reasserted their power during the period. In
addition to reaffirming the value of the Portfolio's emphasis on
higher-quality stocks, this reversal helped lead its outperformance of
the Russell 2000, a broader index, which traditionally carries a
higher percentage of lower-quality, more speculative names.
This high-quality bias is also responsible for a portion of the
Portfolio's outperformance versus its Lipper Inc. peer group. Other
significant factors were strong sector allocations and positive stock
selections within those sectors. The Portfolio's overweighted stance
in health care proved particularly fortuitous. Improving consumer
confidence and a strengthening economy also helped spur exceptional
performance in the Portfolio's consumer discretionary sector. In
addition, the Portfolio's positioning toward an increasing interest
rate environment also aided returns during the period.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 14.9%
Industrials 14.6%
Information Technology 13.9%
Consumer Discretionary 13.8%
Health Care 10.5%
Energy 5.5%
Materials 3.9%
Consumer Staples 2.5%
Utilities 1.3%
Top 10 Holdings
(% of Portfolio)
S&P SmallCap 600 Index Fund I Shares 1.7%
Investors Financial Services Corporation 0.7%
MacDermid, Inc. 0.7%
United Surgical Partners International, Inc. 0.7%
MSC Industrial Direct Company, Inc. 0.7%
Wind River Systems, Inc. 0.6%
Global Payments, Inc. 0.6%
Cooper Companies, Inc. 0.6%
IDEX Corporation 0.6%
HCC Insurance Holdings, Inc. 0.6%
Footnote reads:
These holdings represent 7.5% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $185,734,776 NAV $13.18
NAV -- High+ 4/5/2004 -- $13.30
NAV -- Low+ 5/17/2004 -- $12.03
Number of Holdings: 226 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 3/1/2001
- -----------------------------------------------------------
34.11% 9.20%
Outlook
Although negative market performance in June dampened what had been a
very strong six-month period for small caps, we believe there is still
reason for optimism for the next 18 months to two years. The economy
remains healthy. Although consumer spending continues to be strong,
the spending baton has clearly been passed from the consumer to
corporations. The combination of rising corporate profits and solid
balance sheets -- especially in the small cap area -- should help
maintain active spending.
In the short term, however, we anticipate what might be described as a
"sloppy" market, marked by significant volatility. Terrorism, oil
prices, rising interest rates and the deceleration of the Chinese
economy, could all contribute to uncertainty and unevenness in the
next six months.
In such an environment, stock picking, rather than sector allocation,
takes center stage. Fortunately, such an environment is also conducive
to our strategy of taking advantage of inefficiencies in the market by
identifying solid companies with good outlooks. Given the number of
good valuations currently available in the small-cap market, we are
optimistic about our ability to execute that strategy.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Small Cap Russell Consumer
Stock S&P SmallCap 2000 Price
Date Portfolio 600 Index* Index** Index***
- ------------------------------------------------------------------------------
March 1, 2001 10,000 10,000 10,000 10,000
2001 9,490 9,543 9,511 10,023
2001 10,240 10,270 10,255 10,063
2001 10,500 10,467 10,507 10,108
2001 10,790 10,850 10,870 10,125
2001 10,620 10,669 10,281 10,097
2001 10,350 10,426 9,949 10,097
2001 9,060 9,016 8,610 10,142
2001 9,750 9,497 9,114 10,108
2001 10,400 10,192 9,819 10,091
2001 11,110 10,882 10,425 10,051
2002 11,090 10,976 10,317 10,074
2002 10,689 10,788 10,034 10,114
2002 11,391 11,640 10,841 10,171
2002 11,381 11,969 10,939 10,228
2002 11,053 11,473 10,454 10,228
2002 10,394 10,880 9,935 10,233
2002 9,035 9,343 8,435 10,245
2002 9,064 9,432 8,414 10,279
2002 8,482 8,855 7,810 10,296
2002 8,722 9,138 8,061 10,321
2002 9,325 9,613 8,779 10,321
2002 8,842 9,290 8,292 10,299
2003 8,620 8,970 8,063 10,344
2003 8,413 8,683 7,820 10,424
2003 8,361 8,751 7,920 10,487
2003 9,006 9,461 8,671 10,464
2003 9,772 10,224 9,600 10,447
2003 9,999 10,490 9,775 10,458
2003 10,524 11,035 10,386 10,470
2003 11,165 11,572 10,862 10,509
2003 10,758 11,232 10,662 10,544
2003 11,634 12,205 11,557 10,532
2003 12,082 12,667 11,967 10,504
2003 12,396 12,891 12,211 10,492
2004 12,821 13,262 12,743 10,544
2004 13,112 13,517 12,857 10,600
2004 13,165 13,695 12,976 10,669
2004 12,784 13,240 12,315 10,703
2004 12,891 13,443 12,513 10,766
June 30, 2004 $13,410 $14,188 $13,041 $10,800
Footnotes read:
* The S&P SmallCap 600 Index is an index that represents
the average performance of a group of 600 small
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 2000 Index is an index comprised of the
2,000 smaller companies in the Russell 3000 index. 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 2000
index serves as a better reflection of the Portfolio's
current investment strategy than does the S&P SmallCap 600
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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTO OMITTED: KEVIN R. BRIMMER]
Thrivent Small Cap Index Portfolio
Kevin R. Brimmer, Portfolio Manager
The Thrivent Small Cap Index Portfolio strives for capital growth that
approximates the performance of the S&P SmallCap 600 Index* by
investing primarily in the common stocks of the Index.
The Thrivent Small Cap Index Portfolio gained 9.79% over the six-month
period ended June 30, 2004, while the Portfolio's industry benchmark,
the S&P SmallCap 600 Index, returned 10.05% over the same time frame.
The difference between the Portfolio and Index returns was primarily
the result of expenses charged to the Portfolio that are not
applicable to the Index. We achieved the Portfolio's objective of
providing returns that approximate those of the benchmark S&P SmallCap
600 Index.
Market Leadership Stayed with Small-Cap Stocks
Small-cap stocks again turned in strong results for the first half of
2004 after an outstanding year for the market segment in 2003.
Although stocks showed strength across the board due to positive news
for corporate earnings, smaller and medium-sized companies outpaced
larger ones during the reporting period. Based on history, smaller
companies typically do outperform larger ones in the first stages of
an economic recovery. Despite the solid performance, the markets
continued to experience a historically high level of volatility.
Investor concerns over a number of factors including energy prices,
the Iraq war, rising interest rates and a recent uptick in inflation
contributed to the market's uneasiness.
Value-oriented stocks outpaced more growth-oriented names during the
period. In addition, all sectors in the small-cap market had positive
six-month performance. The three top-performing sectors in the
small-cap arena were industrials, health care and energy. On the other
hand, the sectors showing the worst performance during the period were
telecommunication services, consumer staples and utilities.
Because we use an indexing approach to manage the Thrivent Small Cap
Index Portfolio, we have no active stock selection process. Our goal
is to maintain a fully invested portfolio that replicates the
composition and performance of the S&P SmallCap 600 Index, while
keeping transaction costs to a minimum. The Index, which is one of the
most widely used gauges of small-sized companies, represents
approximately 3% of the U.S. stock market and covers all major market
sectors. During the semiannual reporting period, the Portfolio owned
all 600 companies within the benchmark.
We carefully monitor the S&P SmallCap 600 Index for any daily company
changes and quarterly sector and market-capitalization rebalancing
and alter the Portfolio accordingly. Generally, variances in
performance relative to the Index are a result of expenses,
transaction costs and minor differences in Portfolio composition
relative to the Index. As the amount of assets in the Portfolio
grows, these variables will have less of an impact on performance.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Industrials 15.3%
Consumer Discretionary 13.8%
Information Technology 13.0%
Financials 11.3%
Health Care 10.3%
Energy 4.5%
Materials 4.5%
Utilities 2.9%
Consumer Staples 2.8%
Communications Services 0.3%
Top 10 Holdings
(% of Portfolio)
NVR, Inc. 0.5%
Urban Outfitters, Inc. 0.4%
Timken Company 0.4%
Medicis Pharmaceutical Corporation 0.4%
IDEXX Laboratories, Inc. 0.4%
Massey Energy Company 0.4%
Patina Oil & Gas Corporation 0.4%
Roper Industries, Inc. 0.4%
M.D.C. Holdings, Inc. 0.3%
Cooper Companies, Inc. 0.3%
Footnote reads:
These holdings represent 3.9% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $438,415,577 NAV $17.32
NAV -- High+ 6/29/2004 -- $17.20
NAV -- Low+ 5/17/2004 -- $15.49
Number of Holdings: 604 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 6/14/1995
- -----------------------------------------------------------
34.70% 10.29% 12.11%
Outlook
Going forward, we remain optimistic about the stock market based on
the improving U.S. economy and strong corporate profits. However,
these positive factors may be tempered by the many potential
uncertainties on the horizon such as high energy prices, Federal
Reserve interest rate moves, inflation expectations, the November
elections and the situation in Iraq to name a few. We believe these
factors will most likely lead to even more volatility than the
heightened levels we've seen over the past few years. We do anticipate
at some point that the market leadership will shift toward somewhat
larger-sized companies as the economic recovery continues. However, we
believe in uncertain market times, an indexed product is an ideal
place to invest your money. The Thrivent Small Cap Index Portfolio
offers you returns that are in line with the market while giving you
broad exposure to small-cap companies.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Small Cap S&P Consumer
Index SmallCap Price
Date Portfolio 600 Index* Index**
- ------------------------------------------------------------------------
June 14, 1995 10,000 10,000 10,000
1995 10,110 10,159 10,020
1995 10,695 10,936 10,020
1995 10,900 11,173 10,046
1995 10,980 11,458 10,066
1995 10,496 10,892 10,099
1995 10,892 11,323 10,092
1995 11,070 11,510 10,085
1996 11,035 11,535 10,145
1996 11,309 11,913 10,177
1996 11,654 12,168 10,230
1996 12,285 12,867 10,269
1996 12,613 13,324 10,289
1996 12,047 12,802 10,296
1996 11,091 11,921 10,315
1996 11,734 12,657 10,335
1996 12,243 13,213 10,368
1996 12,187 13,121 10,401
1996 12,832 13,803 10,421
1996 13,084 13,964 10,421
1997 13,506 14,196 10,453
1997 13,499 13,903 10,486
1997 12,968 13,189 10,512
1997 13,172 13,351 10,526
1997 14,307 14,919 10,519
1997 14,779 15,578 10,532
1997 16,041 16,557 10,545
1997 16,348 16,974 10,565
1997 17,325 18,097 10,591
1997 16,478 17,316 10,618
1997 16,313 17,189 10,611
1997 16,403 17,537 10,598
1998 16,373 17,195 10,618
1998 17,785 18,761 10,637
1998 18,457 19,477 10,657
1998 18,560 19,592 10,677
1998 17,585 18,555 10,696
1998 17,627 18,609 10,710
1998 16,282 17,185 10,723
1998 13,162 13,868 10,736
1998 13,966 14,718 10,749
1998 14,625 15,401 10,775
1998 15,442 16,268 10,775
1998 16,425 17,308 10,769
1999 16,227 17,090 10,795
1999 14,765 15,550 10,808
1999 14,946 15,751 10,841
1999 15,943 16,791 10,920
1999 16,324 17,200 10,920
1999 17,249 18,179 10,920
1999 17,091 18,019 10,953
1999 16,345 17,226 10,979
1999 16,403 17,299 11,032
1999 16,368 17,255 11,051
1999 17,043 17,977 11,058
1999 18,428 19,455 11,058
2000 17,856 18,852 11,084
2000 20,222 21,376 11,150
2000 19,475 20,586 11,242
2000 19,130 20,233 11,248
2000 18,552 19,634 11,255
2000 19,637 20,794 11,321
2000 19,151 20,284 11,340
2000 20,839 22,082 11,354
2000 20,270 21,481 11,413
2000 20,402 21,615 11,432
2000 18,297 19,365 11,439
2000 20,497 21,750 11,432
2001 21,370 22,683 11,505
2001 20,073 21,299 11,551
2001 19,178 20,322 11,577
2001 20,627 21,871 11,623
2001 21,010 22,289 11,675
2001 21,769 23,106 11,695
2001 21,411 22,720 11,662
2001 20,923 22,202 11,662
2001 18,097 19,201 11,715
2001 19,049 20,224 11,675
2001 20,430 21,704 11,656
2001 21,804 23,173 11,610
2002 21,965 23,375 11,636
2002 21,596 22,973 11,682
2002 23,296 24,787 11,748
2002 23,938 25,488 11,813
2002 22,939 24,433 11,813
2002 21,749 23,169 11,820
2002 18,699 19,896 11,833
2002 18,877 20,086 11,873
2002 17,718 18,857 11,892
2002 18,271 19,459 11,922
2002 19,213 20,472 11,922
2002 18,562 19,782 11,896
2003 17,920 19,102 11,948
2003 17,337 18,491 12,040
2003 17,465 18,636 12,113
2003 18,869 20,148 12,086
2003 20,381 21,771 12,067
2003 20,902 22,338 12,080
2003 21,984 23,499 12,093
2003 23,046 24,642 12,139
2003 22,367 23,918 12,178
2003 24,293 25,991 12,165
2003 25,201 26,975 12,132
2003 25,645 27,452 12,119
2004 26,384 28,241 12,178
2004 26,879 28,784 12,244
2004 27,215 29,163 12,323
2004 26,294 28,196 12,363
2004 26,692 28,627 12,435
June 30, 2004 $28,154 $30,213 $12,474
Footnotes read:
* The S&P SmallCap 600 Index is an index that represents
the average performance of a group of 600 small
capitalization stocks. "S&P SmallCap 600 Index" is a
trademark of The McGraw-Hill Companies, Inc. and has been
licensed for use by Thrivent Financial for Lutherans. The
product is not sponsored, endorsed or promoted by Standard &
Poor's and Standard & Poor's makes no representation
regarding the advisability of investing in the product. It
is not possible to invest directly in the Index. Index funds
are subject to the same market risks associated with the
stocks in their respective indexes. 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTOS OMITTED: BRIAN L. THORKELSON AND ANDREA J. THOMAS]
Thrivent Mid Cap
Growth Portfolio
Brian L. Thorkelson (left), and Andrea J. Thomas (right), Portfolio
Co-Managers
The Thrivent 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.
During this reporting period, Opportunity Growth Portfolio and Mid Cap
Growth Portfolio merged to become Thrivent Mid Cap Growth Portfolio.
Growing questions about the economy, interest rates and Iraq combined
to dampen returns for mid-size company growth investors during the
six-month period ended June 30, 2004. During the period, the Thrivent
Mid Cap Growth Portfolio realized a 3.16% total return, while its
market benchmark, the Russell Midcap Growth Index, returned 5.94%, and
its Lipper Inc. peer group of similar mid-cap growth portfolios
produced a 6.27% median return.
Small Caps Extend Rally
We began 2004 with a belief that the small cap rally -- which began
and was sustained throughout most of 2003 -- would moderate in 2004,
allowing mid- and large-cap stocks to reassert their value. While that
may indeed come to fruition, small-cap stocks continued to lead market
returns in the first quarter of 2004.
Higher than anticipated small-cap liquidity, paired with continued
optimism for the economy's prospects, unexpectedly extended the
already long-lived rally into 2004. In the first quarter, small-cap
stocks, which we classify as companies with market capitalizations of
$500 million to $2 billion, garnered a 6.5% return. Mid-cap stocks, on
the other hand, those which we classify as $2 billion to $10 billion
companies, realized a 3.5% gain.
Factors Impacting Performance
Mid cap stock portfolio managers sometimes reach into small caps in an
effort to identify stocks with exceptional earning potential. While
this strategy can prove rewarding over a short period of time, these
small or "micro cap" stocks are susceptible to dramatic price declines
and do not meet the Portfolio's investment objectives. Therefore, the
bulk of the Portfolio's underperformance can be traced to this first
quarter difference in performance between small- and mid-cap stocks.
During the period, the Portfolio maintained a 4.5% underweighting in
small-cap stocks and a 6% overweighting in mid-cap stocks.
Over a reasonable time horizon, we strongly believe that
higher-quality stocks can offer impressive growth prospects without
the substantial risk associated with lower-quality alternatives.
Indeed, in the second half of the period, mid-cap stocks enjoyed a
resurgence as more traditional fundamentals took center stage.
During this time, the Portfolio's performance was aided by the general
outperformance of mid caps relative to small caps. The portfolio's
holdings in the technology and consumer discretionary sectors also
provided solid earnings. Unfortunately, the poor performance of
the health-care sector, in which the Portfolio was overweighted,
negated many of these gains and was another major contributor
to the Portfolio's relative underperformance.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 25.9%
Consumer Discretionary 16.8%
Health Care 16.6%
Industrials 9.3%
Financials 6.8%
Energy 5.3%
Communications Services 1.6%
Materials 1.5%
Consumer Staples 1.1%
Utilities 0.3%
Top 10 Holdings
(% of Portfolio)
Caremark Rx, Inc. 0.8%
Gilead Sciences, Inc. 0.7%
Broadcom Corporation 0.7%
Staples, Inc. 0.7%
Royal Caribbean Cruises, Ltd. 0.7%
Coach, Inc. 0.7%
PETsMART, Inc. 0.7%
Mercury Interactive Corporation 0.7%
Symantec Corporation 0.7%
Investors Financial Services Corporation 0.6%
Footnote reads:
These holdings represent 7.0% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $769,887,006 NAV $13.50
NAV -- High+ 4/5/2004 -- $13.90
NAV -- Low+ 5/17/2004 -- $12.46
Number of Holdings: 340 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 1/30/1998
- -----------------------------------------------------------
19.68% 4.17% 7.33%
Outlook
Any assessment of the future must begin with the interest rate
environment. Uncertainty about rates will likely limit returns in the
near future. Beyond that, concerns about Iraq, the presidential
election and even foreign emerging growth economies threaten to
adversely affect investor confidence.
In that kind of environment, especially with regard to rising interest
rates, we will seek companies with a demonstrated ability to realize
continued growth. As price-to-earnings multiples compress, only
companies that can grow independent of the economy should offer
superior returns.
One of the positives in a rising interest rate environment is that
growth stocks should outperform their more interest-rate-sensitive
value counterparts. In addition, higher interest rates will likely
support the Portfolio's emphasis on higher-quality, mid-cap stocks.
The typically long duration of small-cap companies' growth strategies
leaves them much more vulnerable to rising interest rates.
Looking ahead, because the market appears to be moving into a sideways
trading environment, we will likely take a more neutral stance with
regard to sectors, although we anticipate that technology will remain
a mainstay of our Portfolio.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Russell
Mid Cap MidCap Consumer
Growth Growth Price
Date Portfolio Index* Index**
- ------------------------------------------------------------------------
January 30, 1998 10,000 10,000 10,000
1998 10,732 10,940 10,019
1998 11,132 11,399 10,037
1998 11,224 11,554 10,056
1998 10,650 11,078 10,074
1998 10,968 11,392 10,087
1998 10,457 10,904 10,099
1998 8,344 8,823 10,111
1998 8,868 9,490 10,124
1998 9,393 10,189 10,149
1998 10,084 10,876 10,149
1998 11,162 12,003 10,142
1999 11,588 12,362 10,167
1999 10,939 11,758 10,179
1999 11,624 12,413 10,210
1999 12,050 12,978 10,285
1999 11,920 12,811 10,285
1999 12,843 13,706 10,285
1999 12,704 13,269 10,316
1999 12,487 13,131 10,340
1999 12,453 13,020 10,390
1999 13,387 14,026 10,408
1999 14,357 15,479 10,415
1999 16,704 18,159 10,415
2000 16,493 18,155 10,439
2000 20,549 21,972 10,501
2000 20,047 21,995 10,588
2000 18,689 19,860 10,594
2000 17,859 18,412 10,600
2000 19,007 20,366 10,662
2000 18,586 19,076 10,681
2000 20,821 21,953 10,693
2000 20,590 20,880 10,749
2000 19,689 19,451 10,767
2000 17,733 15,224 10,774
2000 18,936 16,026 10,767
2001 19,025 16,941 10,835
2001 16,177 14,011 10,879
2001 14,383 12,006 10,903
2001 16,328 14,007 10,947
2001 16,313 13,941 10,996
2001 16,189 13,948 11,015
2001 15,554 13,008 10,984
2001 14,564 12,065 10,984
2001 12,616 10,071 11,033
2001 13,550 11,129 10,996
2001 14,654 12,328 10,978
2001 15,198 12,796 10,934
2002 14,733 12,381 10,959
2002 14,118 11,679 11,003
2002 14,925 12,570 11,064
2002 14,435 11,905 11,126
2002 14,065 11,549 11,126
2002 12,770 10,275 11,132
2002 11,481 9,277 11,145
2002 11,397 9,244 11,182
2002 10,574 8,510 11,201
2002 11,254 9,169 11,228
2002 12,062 9,887 11,228
2002 11,234 9,289 11,204
2003 11,076 9,198 11,253
2003 10,971 9,118 11,340
2003 11,108 9,288 11,408
2003 11,915 9,920 11,383
2003 12,958 10,875 11,365
2003 13,162 11,030 11,377
2003 13,162 11,030 11,377
2003 13,562 11,424 11,389
2003 14,284 12,053 11,433
2003 13,787 11,820 11,470
2003 14,888 12,772 11,458
2003 15,163 13,114 11,427
2003 15,270 13,257 11,414
2004 15,616 13,695 11,470
2004 15,742 13,925 11,532
2004 15,719 13,898 11,606
2004 15,103 13,506 11,643
2004 15,398 13,824 11,712
June 30, 2004 $15,752 $14,044 $11,749
Footnotes read:
* The Russell Midcap Growth Index is an index comprised of
companies with higher than average price-to-book ratios and
higher forecasted growth values within the Russell Midcap
Index. 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTOS OMITTED: BRIAN L. THORKELSON AND ANDREA J. THOMAS]
Thrivent Mid Cap
Growth Portfolio II
(Formerly Mid Cap Select Growth Portfolio)
Brian L. Thorkelson (left), and Andrea J. Thomas (right), Portfolio
Co-Managers
The Thrivent Mid Cap Growth Portfolio II seeks long-term capital
growth by investing primarily in a diversified portfolio of common
stocks of companies with medium market capitalizations.
During this reporting period, MFS Investment Management discontinued
serving as subadviser for Thrivent Mid Cap Growth Portfolio II, and
Thrivent Financial assumed the day-to-day investment management
responsibilities for the Portfolio.
Stocks tied to the economic cycle and lesser-quality stocks helped
produce continued strong returns for mid-cap investors for the
six-month period ended June 30, 2004. During the period, the Thrivent
Mid Cap Growth Portfolio II realized a 7.67% total return,
outperforming both its Lipper Inc. peer group of similar mid-cap
growth portfolios, which produced a 6.27% median return, and the 5.94%
return of its market benchmark, the Russell Midcap Growth Index.
Higher Rates Spur Higher Quality
Results were strong in the first two months of the period as the
powerful advance that had begun in first quarter of 2003 continued
into 2004. Within this rally, particularly good results were achieved
in the more cyclical and lower-quality segments of the mid-cap market.
This type of bias is typically sustained until concerns of less
accommodative liquidity, due to both higher interest rates and
improved levels of economic activity, are realized.
In the second quarter, evidence of sustained economic performance was
manifest in a more robust outlook for employment. This was the
remaining piece of fundamental evidence that monetary policymakers had
been anticipating to signal the beginning of the end of record-low
interest rates. As expected, investors responded with a decreased
appetite for risk and increased demand for higher-quality segments of
the markets.
In February, the Portfolio's sub-advisory relationship with MFS
Investments was terminated, and the portfolio was repositioned to the
mid-cap growth management team of Thrivent Financial. This team has
successfully managed other mid-cap growth equity assets for Thrivent
for several years. With a less concentrated, more measured approach to
risk management than the previous manager, we expect the team to
deliver a more consistent pattern of return versus both the peer
universe and the benchmark index. Under the new team, positive returns
were achieved in the more pro-cyclical segments of the Portfolio as
well as in the energy segment. Mitigating those results were sub-par
returns from the Portfolio's health-care segment.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 26.9%
Consumer Discretionary 17.5%
Health Care 17.2%
Industrials 9.6%
Financials 6.9%
Energy 5.5%
Communications Services 1.7%
Materials 1.6%
Consumer Staples 1.1%
Utilities 0.3%
Top 10 Holdings
(% of Portfolio)
Caremark Rx, Inc. 0.8%
Gilead Sciences, Inc. 0.8%
Staples, Inc. 0.7%
Broadcom Corporation 0.7%
Royal Caribbean Cruises, Ltd. 0.7%
Mercury Interactive Corporation 0.7%
Coach, Inc. 0.7%
PETsMART, Inc. 0.7%
Symantec Corporation 0.7%
Chico's FAS, Inc. 0.6%
Footnote reads:
These holdings represent 7.1% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $36,416,246 NAV $8.81
NAV -- High+ 4/5/2004 -- $9.06
NAV -- Low+ 5/17/2004 -- $8.13
Number of Holdings: 335 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- -----------------------------------------------------------
25.13% -4.70%
Outlook
Late in the second quarter, fears about a possible aggressive rise in
interest rates and the potential ramifications of the U.S. transfer of
power to the interim Iraqi government appeared to temporarily stall
corporate spending. Software companies, among others, were among those
who suffered as a result of this trepidation. However, we anticipate
that during the third quarter much of this lost ground could be made
up.
While several issues, including Iraq, the presidential election and
Russia's economy, have the potential to rise up and adversely affect
investor confidence, interest rates are sure to dominate the headlines
and have the biggest effect on returns.
One of the positives in a rising interest-rate environment is that
growth stocks should outperform their more rate-sensitive value
counterparts. In addition, higher interest rates should support the
Portfolio's emphasis on higher-quality, mid-cap stocks. The typically
long duration of small-cap companies' growth strategies leaves them
much more vulnerable to rising interest rates.
Looking ahead, because the market appears to be moving into a sideways
trading environment, we likely will take a more neutral stance with
regard to sectors, although we anticipate that the technology sector
will remain a mainstay of our Portfolio.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Russell
Mid Cap MidCap Consumer
Growth Growth Price
Date Portfolio II Index* Index**
- ------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000
2001 10,599 10,380 9,961
2002 9,735 10,043 9,983
2002 9,362 9,474 10,023
2002 9,981 10,197 10,079
2002 8,678 9,657 10,135
2002 8,161 9,369 10,135
2002 6,811 8,335 10,141
2002 6,129 7,525 10,152
2002 6,139 7,499 10,186
2002 5,568 6,903 10,203
2002 6,017 7,438 10,228
2002 6,349 8,020 10,228
2002 5,972 7,535 10,206
2003 5,988 7,461 10,251
2003 5,912 7,397 10,330
2003 5,972 7,534 10,392
2003 6,369 8,047 10,369
2003 6,987 8,822 10,353
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
2003 8,202 10,754 10,398
2004 8,620 11,109 10,448
2004 8,786 11,295 10,505
2004 8,803 11,274 10,573
2004 8,461 10,956 10,606
2004 8,633 11,214 10,668
June 30, 2004 $8,831 $11,392 $10,702
Footnotes read:
* The Russell Midcap Growth Index is an index comprised of
companies with higher than average price-to-book ratios and
higher forecasted growth values within the Russell Midcap
Index. 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTOS OMITTED: BRIAN J. FLANAGAN AND JOHN E. HINTZ]
Thrivent
Mid Cap Stock Portfolio
Brian J. Flanagan (left), and John E. Hintz (right), Portfolio
Co-Managers
The Thrivent Mid Cap Stock Portfolio seeks long-term capital growth by
investing primarily in common stocks and securities convertible into
common stocks of mid-sized companies.
Following very strong performance in 2003, the six months ended June
30, 2004 marked another period of solid returns for mid-cap stocks.
The Thrivent Mid Cap Stock Portfolio gained 6.26% for the semiannual
reporting period, slightly outperforming both its broad market
benchmark and its Lipper peer group. The benchmark S&P MidCap 400
Index returned 6.08% and the Lipper Inc. mid-cap core peer group
posted a median return of 5.85% over the same time frame.
Mid-Cap Stocks Turn in Solid Gains
Smaller and medium-sized companies in general outperformed their
larger-sized counterparts for the first half of 2004. During a period
characterized by continued market volatility, stock prices were driven
by strength in corporate earnings. Two areas that contributed the most
to the Portfolio's performance were the materials sector and the food
industry. Specifically in the materials sector, two coal companies
earned strong returns for the Portfolio during the period. These
holdings benefited from increased production and pricing, which
allowed them to generate earnings growth. Within the food industry,
the Portfolio's overweighting versus its benchmark as well as strong
security selection also aided performance. One of our largest
weightings, a producer of poultry and other meat products,
benefited from low inventories, accelerating pricing and increased
demand due to the current Atkins diet trend.
The industrial and energy sectors were the main detractors from the
Portfolio's results. Although they provided some of the best returns
during the six-month period, the Portfolio was more conservatively
positioned in these sectors and did not fully participate in the
strength of those stocks.
New Management Team Makes Changes
Midway through the period, the Portfolio was repositioned using a
combination of growth and value stocks to create a core portfolio.
Attractive growth companies exhibited strong fundamentals, upward
earnings revisions and stock purchases by the company's management
team. On the value side of the equation, we put the most emphasis on
the company's valuation using a number of different measures.
Since the management change, the number of holdings in the Portfolio
has been reduced from 235 stocks to around 200. The goal going forward
is to keep the Portfolio holdings in a range between 150 and 200
stocks. This somewhat more concentrated approach should allow the
Portfolio to generate additional performance from its selections while
still remaining appropriately diversified.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 16.7%
Information Technology 15.6%
Consumer Discretionary 13.0%
Health Care 11.3%
Industrials 10.8%
Energy 7.6%
Materials 5.4%
Consumer Staples 3.7%
Utilities 3.5%
Communications Services 0.9%
Top 10 Holdings
(% of Portfolio)
HCC Insurance Holdings, Inc. 1.2%
Countrywide Financial Corporation 1.2%
Tyson Foods, Inc. 1.2%
Hershey Foods Corporation 1.1%
Dean Foods Company 1.0%
XL Capital, Ltd. 0.9%
Nabors Industries, Ltd. 0.9%
Ultra Petroleum Corporation 0.8%
Waste Management, Inc. 0.8%
C.R. Bard, Inc. 0.8%
Footnote reads:
These holdings represent 9.9% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $90,869,509 NAV $10.57
NAV -- High+ 4/5/2004 -- $10.57
NAV -- Low+ 5/17/2004 -- $9.70
Number of Holdings: 196 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 3/1/2001
- -----------------------------------------------------------
26.51% 2.17%
Outlook
In contrast to 2003, when a rising tide lifted all boats, the second
half of 2004 is expected to be much more selective. However,
opportunities exist in both growth and value industries as investors
have begun to sell off entire sectors based on poor results reported
by a few companies. Specifically, we find value in both the oil field
services and semiconductor industries. Within oil field services,
strong performance should continue as the industry has high barriers
to entry, limited capacity and improved pricing working in its favor.
At the other end of the spectrum, many semiconductor stocks have been
discounted to extreme levels; however, delays in capacity additions,
low inventory levels and attractive valuations suggest these stocks
may outperform in the second half of the year. The largest underweight
in the Portfolio compared to the benchmark is in the consumer
discretionary sector. Although we do not expect a huge slowdown in
consumer spending, we do believe the home refinancing boom has run its
course and the benefits from last year's tax cuts have been realized.
Additionally, we see more opportunity from the pent-up demand on the
corporate side.
It is difficult to know how the market will react to a number of
factors during the rest of 2004. On the positive side, strong
corporate earnings and a strong economy bode well for the stock
market. However, many negative factors exist such as the uncertainty
surrounding the November elections, the Iraqi occupation, higher oil
prices, inflation, rising interest rates and the threat of terrorism.
No matter which ones prevail, we are confident we can find attractive
growth and value opportunities for the Portfolio.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Mid Cap Consumer
Stock S&P MidCap Price
Date Portfolio 400 Index* Index**
- ------------------------------------------------------------------------
March 1, 2001 10,000 10,000 10,000
2001 9,190 9,292 10,023
2001 10,300 10,317 10,063
2001 10,410 10,557 10,108
2001 10,280 10,515 10,125
2001 9,710 10,358 10,097
2001 9,150 10,019 10,097
2001 8,020 8,773 10,142
2001 8,350 9,161 10,108
2001 8,690 9,843 10,091
2001 9,039 10,351 10,051
2002 8,879 10,297 10,074
2002 8,849 10,310 10,114
2002 9,440 11,047 10,171
2002 9,390 10,995 10,228
2002 9,308 10,810 10,228
2002 8,594 10,019 10,233
2002 7,824 9,048 10,245
2002 7,803 9,094 10,279
2002 7,248 8,361 10,296
2002 7,581 8,723 10,321
2002 7,930 9,228 10,321
2002 7,642 8,849 10,299
2003 7,481 8,590 10,344
2003 7,364 8,386 10,424
2003 7,380 8,456 10,487
2003 7,796 9,070 10,464
2003 8,423 9,821 10,447
2003 8,491 9,946 10,458
2003 8,710 10,299 10,470
2003 9,002 10,765 10,509
2003 8,836 10,601 10,544
2003 9,553 11,402 10,532
2003 9,879 11,799 10,504
2003 10,108 11,998 10,492
2004 10,308 12,258 10,544
2004 10,539 12,552 10,600
2004 10,547 12,606 10,669
2004 10,196 12,192 10,703
2004 10,354 12,445 10,766
June 30, 2004 $10,741 $12,727 $10,800
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 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTO OMITTED: KEVIN R. BRIMMER]
Thrivent Mid Cap Index Portfolio
Kevin R. Brimmer, Portfolio Manager
The Thrivent Mid Cap Index Portfolio seeks total returns that track
the performance of the S&P MidCap 400 Index* by investing primarily in
the common stocks comprising the Index.
The Thrivent Mid Cap Index Portfolio posted a gain of 5.75% during the
six-month reporting period ended June 30, 2004. We achieved the
Portfolio's objective of providing returns that approximate those of
the benchmark S&P MidCap 400 Index. The Index returned 6.08% over the
same time frame with the difference being primarily the result of
expenses charged to the Portfolio that are not applicable to the
Index.
Small- and Medium-Sized Companies Continued to Lead
Mid-cap stocks again turned in solid returns for the first half of
2004 after a stellar year for the market segment in 2003. Although
stocks showed strength across the board due to positive news for
corporate earnings, smaller and medium-sized companies outpaced larger
ones during the reporting period. Based on history, smaller companies
typically do outperform larger ones in the first stages of an economic
recovery. Despite the solid performance, the markets continued to
experience a historically high level of volatility. Investor concerns
over a number of factors including energy prices, the Iraq war, rising
interest rates and a recent uptick in inflation contributed to the
market's uneasiness.
Value-oriented stocks outpaced more growth-oriented names during the
period. In addition, all sectors in the mid-cap market had positive
six-month performance except for technology, which fell slightly into
negative territory. The three top-performing sectors in the mid-cap
arena were industrials, energy and consumer staples. On the other
hand, the sectors showing the worst performance during the period
were technology, telecommunication services and utilities.
Because we use an indexing approach to manage the Thrivent Mid Cap
Index Portfolio, we have no active stock selection process. Our goal
is to maintain a fully invested portfolio that replicates the
composition and performance of the S&P MidCap 400 Index, while keeping
transaction costs to a minimum. The Index, which is the most widely
used gauge of mid-sized companies, represents approximately 7% of the
U.S. stock market and covers all major market sectors. During the
semiannual reporting period, the Portfolio owned all 400 companies
within the benchmark.
We carefully monitor the S&P MidCap 400 Index for any daily company
changes and quarterly sector and market-capitalization rebalancing and
alter the Portfolio accordingly. Generally, variances in performance
relative to the Index are a result of expenses, transaction costs and
minor differences in Portfolio composition relative to the Index. As
the amount of assets in the Portfolio grows, these variables will have
less of an impact on performance.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 15.7%
Consumer Discretionary 15.4%
Information Technology 13.5%
Industrials 11.4%
Health Care 9.0%
Energy 6.1%
Utilities 5.5%
Consumer Staples 4.2%
Materials 3.8%
Communications Services 0.4%
Top 10 Holdings
(% of Portfolio)
Washington Post Company 0.8%
Coach, Inc. 0.7%
XTO Energy, Inc. 0.7%
Tyson Foods, Inc. 0.6%
L-3 Communications Holdings, Inc. 0.6%
Lennar Corporation 0.6%
Murphy Oil Corporation 0.6%
National Commerce Financial Corporation 0.6%
D.R. Horton, Inc. 0.6%
Microchip Technology, Inc. 0.6%
Footnote reads:
These holdings represent 6.4% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $106,527,803 NAV $12.18
NAV -- High+ 4/5/2004 -- $12.35
NAV -- Low+ 5/17/2004 -- $11.25
Number of Holdings: 403 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 3/1/2001
- -----------------------------------------------------------
27.14% 7.04%
Outlook
Going forward, we remain optimistic about the stock market based on
the improving U.S. economy and strong corporate profits. However,
these positive factors may be tempered by the many potential
uncertainties on the horizon such as high energy prices, Federal
Reserve interest rate moves, inflation expectations, the November
elections and the situation in Iraq to name a few. We believe these
factors will most likely lead to even more volatility than the
heightened levels we've seen over the past few years. We do anticipate
at some point that market leadership will shift toward favoring
somewhat larger-sized companies as the economic recovery continues.
However, we believe in uncertain market times, an indexed product is
an ideal place to invest your money. The Thrivent Mid Cap Index
Portfolio offers you returns that are in line with the market while
giving you broad exposure to mid-cap companies.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Mid Cap S&P MidCap Consumer
Index 400 Price
Date Portfolio Index* Index**
- ------------------------------------------------------------------------
March 1, 2001 10,000 10,000 10,000
2001 9,300 9,292 10,023
2001 10,304 10,317 10,063
2001 10,543 10,557 10,108
2001 10,499 10,515 10,125
2001 10,341 10,358 10,097
2001 9,998 10,019 10,097
2001 8,779 8,773 10,142
2001 9,154 9,161 10,108
2001 9,815 9,843 10,091
2001 10,311 10,351 10,051
2002 10,250 10,297 10,074
2002 10,260 10,310 10,114
2002 10,976 11,047 10,171
2002 10,915 10,995 10,228
2002 10,734 10,810 10,228
2002 9,959 10,019 10,233
2002 9,009 9,048 10,245
2002 9,054 9,094 10,279
2002 8,331 8,361 10,296
2002 8,684 8,723 10,321
2002 9,176 9,228 10,321
2002 8,800 8,849 10,299
2003 8,541 8,590 10,344
2003 8,337 8,386 10,424
2003 8,406 8,456 10,487
2003 9,009 9,070 10,464
2003 9,750 9,821 10,447
2003 9,868 9,946 10,458
2003 10,213 10,299 10,470
2003 10,668 10,765 10,509
2003 10,500 10,601 10,544
2003 11,287 11,402 10,532
2003 11,674 11,799 10,504
2003 11,863 11,998 10,492
2004 12,113 12,258 10,544
2004 12,397 12,552 10,600
2004 12,443 12,606 10,669
2004 12,028 12,192 10,703
2004 12,272 12,445 10,766
June 30, 2004 $12,545 $12,727 $10,800
Footnotes read:
* The S&P Mid Cap 400 Index is an index that represents the
average performance of a group of 400 medium capitalization
stocks. "S&P Mid Cap 400 Index" is a trademark of The
McGraw-Hill Companies, Inc. and has been licensed for use by
Thrivent Financial for Lutherans. The product is not
sponsored, endorsed or promoted by Standard & Poor's and
Standard & Poor's makes no representation regarding the
advisability of investing in the product. Index funds are
subject to the same market risks associated with the stocks
in their respective indexes. 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[LOGO OMITTED: MERCATOR ASSET MANAGEMENT AND T. ROWE PRICE]
Thrivent Partner International
Stock Portfolio
Subadvised by Mercator Asset Management, L.P. and T. Rowe Price
International, Inc.
The Thrivent Partner International Stock seeks long-term growth of capital
by investing primarily in foreign stocks.*
During this reporting period, the LB World Growth Portfolio and AAL
International Portfolio merged to become Thrivent Partner International
Stock Portfolio. Upon the merger, the Portfolio implemented a multimanager
strategy with value manager Mercator Asset Management, L.P. and growth
manager T. Rowe Price International, Inc.*
International stocks delivered positive returns during the six months
ending June 30, 2004. The Thrivent Partner International Stock
Portfolio posted a net return of 2.41% for the period, while the
median return of the Portfolio's Lipper Inc. peer group was 3.37%. The
Portfolio's market benchmark, the MSCI EAFE Index, posted a return of
4.86%.
Caution Despite Strengthening Economy
The global economy continued to strengthen during the first half of
the 2004. Business investment accelerated and consumer spending
remained buoyant. Corporate earnings reports also were positive, as
pricing power returned for many companies, along with their ability to
pass on the impact of higher commodity prices.
Investors, on the other hand, became cautious. Their concerns included
an expected slowdown in the economies of China and the United States,
rising interest rates, inflation, high energy prices, and the
continued threats of terrorism and instability in Iraq.
Factors Affecting Performance
A main reason for the Portfolio's underperformance relative to its
benchmark and peer group was an underweight of the Japanese market for
much of the period. Providing a moderate offset was above-market
exposure to emerging markets. Below-average results from holdings in
the consumer discretionary, industrial and financial segments also
weighed on Portfolio performance, while exposure to the energy segment
and certain holdings in the information technology segment boosted
returns.
Results both on an absolute and relative basis were stronger in the
first three months of the period, as the strong advance in global
equity markets that began in October 2002 continued into the first
quarter. A period of consolidation began in the second quarter as
concerns about rising interest rates and higher energy prices dampened
investor optimism.
Portfolio Changes
In May 2004, with the merger of The AAL International Portfolio and
the LB World Growth Portfolio into the Thrivent Partner International
Stock Portfolio, the adviser implemented a multi-manager strategy. The
two subadvisers selected use different but complementary investment
styles; Mercator Asset Management is a value-oriented manager and T.
Rowe Price International, Inc. (the previous subadviser for the LB
World Growth Portfolio) is a growth-oriented manager. Each subadviser
was allocated approximately half of the Portfolio's assets to manage
independently.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 21.7%
Consumer Discretionary 11.7%
Consumer Staples 7.1%
Communications Services 6.8%
Industrials 6.8%
Health Care 6.3%
Information Technology 6.0%
Materials 5.5%
Energy 4.8%
Top 10 Countries
(% of Portfolio)
United Kingdom 16.0%
Japan 15.9%
France 8.8%
Switzerland 6.3%
Spain 4.6%
Netherlands 4.1%
Italy 3.4%
Germany 3.3%
Sweden 2.8%
Singapore 1.6%
Footnote reads:
These holdings represent 66.8% of the total investment portfolio.
Footnotes read:
* International investing has special risks including currency
fluctuation and political volatility.
Quoted Top Industries and Top 10 Countries are subject to change. The
lists of Top Industries and Top 10 Countries exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $599,077,580 NAV $10.73
NAV -- High+ 2/17/2004 -- $11.23
NAV -- Low+ 5/17/2004 -- $9.85
Number of Holdings: 211 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 1/18/1996
- --------------------------------------------
25.25% -1.06% 3.21%
We expect the combination of these investment styles will result in a
better alignment of the Portfolio with its underlying investment
objective: to achieve returns consistent with a core or blended
international investment benchmark, and to avoid a systematic bias
toward either a value- or growth-oriented management strategy. Oechsle
International Advisors, which previously was subadviser on The AAL
International Portfolio, will not be involved with the Portfolio.
Outlook
Both subadvisers believe the outlook for international stocks is
relatively positive. As the economic recovery continues to unfold
across the globe, foreign stocks have greater potential to improve
corporate earnings and generally are at more attractive valuations
than their U.S. counterparts. Additionally, large numbers of foreign
companies have the opportunity to benefit from the robust growth and
investment opportunities presented as China continues to emerge on the
global stage. Japan's long awaited recovery after over a decade of
moribund growth and false starts appears real and on track.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Partner
International Consumer
Stock MSCI 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
1996 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
1997 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
1998 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
1999 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
2000 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
2001 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
2002 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
2003 12,761 13,208 12,017
2004 12,884 13,396 12,075
2004 13,183 13,707 12,140
2004 13,214 13,790 12,219
2004 12,694 13,490 12,258
2004 12,805 13,548 12,330
June 30, 2004 $13,068 $13,850 $12,369
Footnotes read:
** 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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted.
Call 800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The
prospectus contains more complete information on the objectives, risks,
charges and expenses of the investment company which investors should
read and consider carefully before investing. Please read your
prospectus carefully.
[LOGO OMITTED: FIDELITY INVESTMENTS]
Thrivent Partner All Cap Portfolio
Subadvised by Fidelity Management & Research Company
The Thrivent Partner All Cap Portfolio seeks long-term growth of
capital.
During the semiannual reporting period ended June 30, 2004, stocks
achieved more modest gains than those realized in the powerful advance
of 2003. The Thrivent Partner All Cap Portfolio returned 4.03% over
the six months, slightly outpacing both its Lipper peer group and
industry benchmark. The Lipper Multi-Cap Core Funds Index posted a
median return of 3.56% while the Russell 3000 Index returned 3.60%
over the same time frame.
Stock Market Climb Continues, Led by
Small Companies
Stocks of smaller-sized companies led the pack again during the period
followed by mid- and then large-capitalization stocks. Historically,
this has been the case in the earlier stages of an economic recovery.
The solid results for stocks in general were accompanied by an
unusually high level of volatility in the market. Conflicting
information led to the market's uneasiness. On the one hand, some
positive factors favored market strength such as an improving economy,
stronger-than-expected corporate earnings and an increase in worldwide
demand for commodities. However, several negative factors dampened
investor enthusiasm including high oil prices, increasing interest
rates, inflation concerns and continued problems in Iraq.
The Portfolio experienced two very different periods of performance during
the six months. Poor relative returns in the first quarter were offset by
strong gains in the second quarter, leading to modestly above-average
results for the full reporting period. From January through the end of
March, equity market returns continued to be driven by low investment
quality and low price, the same factors that were so significant in 2003.
Also, value-oriented stocks outpaced more growth-oriented names. Because
the Portfolio was focused on higher-quality stocks and had a slight growth
bias, its performance was sub-par versus its peers. However, the tide
changed in the second half of the period as the Portfolio turned in
particularly good returns. Excellent stock selection was the key driver of
its positive results from April through the end of June. The Portfolio
benefited especially from its holdings within the energy,
telecommunications services, health care and consumer staples sectors of
the market. The worst performing areas for the Portfolio included the
consumer discretionary and industrials sectors.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 19.1%
Information Technology 15.7%
Health Care 12.6%
Industrials 10.5%
Consumer Staples 10.4%
Consumer Discretionary 10.0%
Energy 6.0%
Communications Services 3.3%
Materials 2.7%
Utilities 2.5%
Top 10 Holdings
(% of Portfolio)
General Electric Company 3.0%
Pfizer, Inc. 2.9%
Microsoft Corporation 2.9%
Bank of America Corporation 2.5%
Countrywide Financial Corporation 2.4%
Wal-Mart Stores, Inc. 1.8%
AES Corporation 1.7%
Estee Lauder Companies 1.7%
Aeropostale, Inc. 1.6%
J.P. Morgan Chase & Company 1.5%
Footnote reads:
These holdings represent 22.0% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $52,973,900 NAV $8.13
NAV -- High+ 3/5/2004 -- $8.13
NAV -- Low+ 5/17/2004 -- $7.50
Number of Holdings: 133 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- ------------------------------------
18.84% -7.53%
At the end of March, portfolio management responsibility was
reassigned by the sub-advisor and more resources dedicated to the
management of the Portfolio. The new team members repositioned the
Portfolio to a sector-neutral approach. This means their emphasis is
on adding value through individual stock selection rather than
significant adjustments or variances of sector weights relative to the
benchmark.
Outlook
The objective of the Portfolio is to provide returns in excess of its
peers and benchmark over a full market cycle through active management
of a group of stocks representing companies in all capitalization
groups. The Portfolio has been and continues to be positioned for a
sustained period of economic growth. The management team is focused on
identifying high-quality companies with stable earnings at reasonable
valuations.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Partner Consumer
All Cap Russell 3000 Price
Date Portfolio Index* Index**
- ------------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000
2001 10,310 10,141 9,961
2002 9,754 10,014 9,983
2002 9,579 9,809 10,023
2002 10,156 10,239 10,079
2002 9,647 9,702 10,135
2002 9,207 9,589 10,135
2002 7,882 8,899 10,141
2002 7,027 8,192 10,152
2002 6,879 8,230 10,186
2002 6,092 7,366 10,203
2002 6,433 7,952 10,228
2002 6,707 8,433 10,228
2002 6,358 7,957 10,206
2003 6,182 7,762 10,251
2003 6,131 7,634 10,330
2003 6,181 7,714 10,392
2003 6,430 8,344 10,369
2003 6,832 8,847 10,353
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
2003 7,853 10,426 10,398
2004 7,849 10,644 10,448
2004 8,036 10,787 10,505
2004 7,920 10,659 10,573
2004 7,681 10,439 10,606
2004 7,912 10,591 10,668
June 30, 2004 $8,169 $10,801 $10,702
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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The prospectus
contains more complete information on the objectives, risks, charges and
expenses of the investment company which investors should read and
consider carefully before investing. Please read your prospectus
carefully.
[PHOTO OMITTED: SCOTT A. VERGIN]
Thrivent Large Cap
Growth Portfolio
(Formerly Growth Portfolio)
Scott A. Vergin, Portfolio Manager
The Thrivent Large Cap 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.
Despite a reasonably positive start to the year, growth stocks treaded
water in the second quarter of 2004, and ended the first half of the
year largely flat. For the six-month period ended June 30, 2004, the
Large Cap Growth Portfolio delivered a return of 2.54%, in line with
its Lipper Inc. peer group of similar large-cap growth portfolios,
which posted a median return of 2.53%. The Portfolio marginally
underperformed its primary benchmark, the Russell 1000 Growth Index,
which generated a return of 2.74% for the same period.
Large Cap Issues Remain in Tight Trading Range
The beginning of the period was underscored by continued strong growth
in the U.S. economy supported by healthy consumer and capital
spending. This, in turn, helped trigger a rise in industrial
production, which led to improvements in corporate profits. Growth
stocks fared reasonably well, particularly those issued in the
financial services and auto/transportation sectors.
Throughout the remainder of the review period, however, stocks
remained locked within a tight trading range as competing forces
seemed to create a tug-of-war in the markets-at-large, keeping most
large-cap issues stuck in neutral. The good news in the economy, such
as continued economic strength, robust corporate earnings and vastly
improved employment data, seemed to compete with rising energy costs
and interest rates, as well as continued geopolitical concerns
surrounding the transition of authority in Iraq and the upcoming
presidential election.
Factors Impacting Performance
Stock selection, driven by our strict focus on bottom-up, individual
security analysis, was the most significant contributor to Portfolio
performance this period. Several of our technology stocks delivered
strong returns, thereby boosting overall Portfolio performance.
Holdings such as Research in Motion, the company that manufactures
Blackberry handsets, as well as Checkpoint Software, a security
software company, enjoyed good performance due to strong sales this
period. Another strong performer for the Portfolio was Nortel, which
we managed to buy at what we believed was good value, and then sell at
just the right time as the stock's value peaked, enabling us to
successfully harvest gains for the Portfolio. Finally, Apple Computer,
which enjoyed good demand for its IPOD product line, also proved to be
a winner for the Portfolio.
On the negative side, three factors detracted from our performance versus
our benchmark. The fact that we did not own AT&T Wireless -- which was
bought out by Cingular and consequently outperformed -- hurt us.
Similarly, our underweighted exposure to another outperformer, Apollo
Education, an online education stock that also enjoyed good performance
this period, detracted from our returns. In addition to these two factors,
we believe it is important to mention that the Portfolio's fees most
significantly impacted our relative performance vis--vis our benchmark,
whose performance reflects no costs or fees.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 29.7%
Health Care 18.7%
Consumer Discretionary 14.3%
Financials 10.3%
Industrials 9.1%
Consumer Staples 7.4%
Energy 2.9%
Materials 0.8%
Communications Services 0.7%
Miscellaneous 0.6%
Top 10 Holdings
(% of Portfolio)
Microsoft Corporation 3.4%
Pfizer, Inc. 3.1%
Cisco Systems, Inc. 3.0%
General Electric Company 2.8%
Intel Corporation 2.5%
Dell, Inc. 1.9%
Citigroup, Inc. 1.5%
eBay, Inc. 1.5%
Wal-Mart Stores, Inc. 1.5%
Johnson & Johnson 1.5%
Footnote reads:
These holdings represent 22.7% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $2,461,987,068 NAV $14.06
NAV -- High+ 1/26/2004 -- $14.46
NAV -- Low+ 5/17/2004 -- $13.26
Number of Holdings: 224 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
1 Year 5-Year 10-Year
- ---------------------------------------
17.87% -2.55% 11.62%
Outlook
We are cautiously optimistic that stronger-than-expected corporate
earnings will fuel reasonably good performance in the equity markets
in the coming months. This, coupled with moderating inflation and
relatively stable long-term interest rates, should set a sound
backdrop for the large-cap growth stock universe for the balance of
the year. However, we do remain cautious given the disappointing sales
many retail and auto companies reported in June, as well as some tepid
corporate earnings pre-announcements from many software and technology
companies, suggesting the economy may be cooling faster than investors
anticipated. In short, we believe that the "push-pull" nature of the
first half of the year could likely continue as the year progresses.
Overall, we believe prudent stock selection will continue to be the
most viable way to outperform the market in the months to come. Given
our outlook, we've shifted our emphasis away from more cyclical
growth-type names in favor of consistent growth-type companies, which
we believe will position the Portfolio wisely for the remainder of the
year.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Large Cap Consumer
Growth Russell 1000 Price
Date Portfolio Growth Index* Index**
- ------------------------------------------------------------------------------
June 30, 1994 10,000 10,000 10,000
1994 10,238 10,342 10,027
1994 10,704 10,917 10,068
1994 10,531 10,770 10,095
1994 10,679 11,023 10,101
1994 10,259 10,669 10,115
1994 10,338 10,848 10,115
1995 10,565 11,080 10,155
1995 10,982 11,544 10,196
1995 11,294 11,881 10,230
1995 11,621 12,141 10,264
1995 11,981 12,563 10,284
1995 12,505 13,048 10,304
1995 13,175 13,591 10,304
1995 13,215 13,605 10,331
1995 13,628 14,233 10,351
1995 13,666 14,242 10,385
1995 14,167 14,796 10,378
1995 14,190 14,881 10,372
1996 14,535 15,379 10,432
1996 14,838 15,660 10,466
1996 14,889 15,680 10,520
1996 15,422 16,092 10,561
1996 15,761 16,655 10,581
1996 15,556 16,677 10,588
1996 14,886 15,700 10,608
1996 15,471 16,105 10,628
1996 16,412 17,278 10,662
1996 16,693 17,382 10,696
1996 17,754 18,687 10,716
1996 17,414 18,322 10,716
1997 18,566 19,607 10,750
1997 18,331 19,474 10,784
1997 17,469 18,420 10,811
1997 18,281 19,643 10,824
1997 19,577 21,061 10,818
1997 20,410 21,904 10,831
1997 22,217 23,841 10,845
1997 21,333 22,445 10,865
1997 22,514 23,550 10,892
1997 21,765 22,679 10,919
1997 22,354 23,643 10,912
1997 22,669 23,908 10,899
1998 22,828 24,623 10,919
1998 24,438 26,475 10,939
1998 25,671 27,530 10,959
1998 26,112 27,911 10,980
1998 25,480 27,119 11,000
1998 26,456 28,780 11,014
1998 26,167 28,589 11,027
1998 21,745 24,299 11,041
1998 23,392 26,165 11,054
1998 25,219 28,268 11,081
1998 26,861 30,419 11,081
1998 29,102 33,162 11,074
1999 30,933 35,109 11,101
1999 29,644 33,505 11,115
1999 31,524 35,269 11,149
1999 32,595 35,314 11,230
1999 31,934 34,229 11,230
1999 34,238 36,627 11,230
1999 33,223 35,463 11,264
1999 33,167 36,042 11,291
1999 33,294 35,285 11,345
1999 35,622 37,950 11,365
1999 37,856 39,997 11,372
1999 41,793 44,157 11,372
2000 40,342 42,087 11,399
2000 43,513 44,144 11,466
2000 45,945 47,304 11,561
2000 43,552 45,053 11,568
2000 41,448 42,784 11,574
2000 44,264 46,027 11,642
2000 43,549 44,108 11,662
2000 47,575 48,102 11,676
2000 44,878 43,552 11,737
2000 43,520 41,491 11,757
2000 38,792 35,375 11,764
2000 39,724 34,255 11,757
2001 41,306 36,622 11,831
2001 36,245 30,405 11,878
2001 33,331 27,096 11,905
2001 36,773 30,523 11,953
2001 36,480 30,074 12,007
2001 35,469 29,377 12,027
2001 34,275 28,643 11,993
2001 31,300 26,301 11,993
2001 27,818 23,675 12,047
2001 29,144 24,917 12,007
2001 31,948 27,311 11,987
2001 32,125 27,259 11,939
2002 31,144 26,778 11,966
2002 29,532 25,667 12,014
2002 30,913 26,554 12,081
2002 28,361 24,387 12,149
2002 27,837 23,797 12,149
2002 25,387 21,596 12,155
2002 23,365 20,409 12,169
2002 23,543 20,470 12,210
2002 21,271 18,346 12,230
2002 23,110 20,029 12,260
2002 24,346 21,117 12,260
2002 22,490 19,659 12,233
2003 22,035 19,181 12,287
2003 21,876 19,093 12,382
2003 22,292 19,449 12,456
2003 24,031 20,887 12,429
2003 25,279 21,929 12,409
2003 25,529 22,231 12,423
2003 26,301 22,785 12,436
2003 27,013 23,351 12,483
2003 26,530 23,101 12,524
2003 28,172 24,399 12,511
2003 28,395 24,654 12,477
2003 29,347 25,507 12,463
2004 29,947 26,028 12,524
2004 30,140 26,193 12,592
2004 29,736 25,707 12,673
2004 28,938 25,408 12,713
2004 29,585 25,881 12,788
June 30, 2004 $30,093 $26,205 $12,828
Footnotes read:
* 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. 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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The prospectus
contains more complete information on the objectives, risks, charges and
expenses of the investment company which investors should read and
consider carefully before investing. Please read your prospectus
carefully.
[PHOTO OMITTED: SCOTT A. VERGIN]
Thrivent Large Cap Growth Portfolio II
(Formerly Investors Growth Portfolio)
Scott A. Vergin, Portfolio Manager
The Thrivent Large Cap Growth Portfolio II 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.
During this reporting period, MFS Investment Management discontinued
serving as subadviser for Thrivent Large Cap Growth Portfolio II, and
Thrivent Financial assumed day-to-day investment management
responsibility for the Portfolio.
Despite promising fundamentals in the markets and the economy,
large-cap growth stocks delivered lackluster performance for the first
half of 2004. For the six-month period ended June 30, 2004, the Large
Cap Growth Portfolio II delivered a return of 2.36%, slightly
underperforming its Lipper Inc. peer group of similar large-cap growth
portfolios, which posted a median return of 2.53%. The Portfolio also
marginally underperformed its primary benchmark, the Russell 1000
Growth Index, which generated a return of 2.74% for the same period.
Large Cap Stocks End Period Largely Flat
The year began with continued strong growth in the U.S. economy,
buoyed by healthy consumer and capital spending. This helped trigger a
rise in industrial production, which contributed to robust corporate
profits. Despite these positive trends, persistently weak employment
data and rising energy costs, surrounded by fears regarding U.S.
involvement in a war with Iraq, tugged on investors' minds. Overall,
however, growth stocks fared reasonably well through March,
particularly those issued in the financial services and
auto/transportation sectors.
For the full six-month period, however, competing forces seemed to
create a tug-of-war in the markets-at-large, keeping most large-cap
issues stuck in neutral. Positive economic news, robust corporate
earnings and vastly improved employment data, all seemed to compete
with rising energy costs, higher interest rates, and continued
geopolitical concerns surrounding the transition of authority in Iraq
and the upcoming presidential election.
Factors Impacting Performance
Individual stock selection, underscored by our strict focus on
bottom-up, individual security analysis, proved to be the most
significant impact to performance this period. Select technology
stocks within the Portfolio performed well, such as Research in
Motion, the company that manufactures Blackberry handsets, and
Checkpoint Software, a security software company. Another strong
performer for the Portfolio was Nortel, which we managed to buy at
what we believed to be good value and then sell at just the right time
as the stock's value peaked, enabling us to successfully harvest gains
for the Portfolio. Finally, Apple Computer, which enjoyed good demand
for its IPOD product line, also added to returns.
On the negative side, three primary factors caused the Portfolio's
underperformance versus both its peer group and its benchmark. The
fact that we did not own AT&T Wireless -- which was bought out by
Cingular and consequently outperformed -- hurt us. Similarly, our
underweighted exposure to another outperformer, Apollo Education, an
online education stock that also enjoyed good performance this period,
detracted from our returns. Finally, we believe it is important to
mention that the Portfolio's fees most significantly impacted our
relative performance vis--vis our benchmark, whose performance does
not reflect any fees or expenses.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 30.7%
Health Care 19.3%
Consumer Discretionary 14.8%
Financials 10.6%
Industrials 9.4%
Consumer Staples 7.7%
Energy 2.9%
Materials 0.8%
Communications Services 0.7%
Miscellaneous 0.7%
Top 10 Holdings
(% of Portfolio)
Microsoft Corporation 3.5%
Pfizer, Inc. 3.2%
Cisco Systems, Inc. 3.1%
General Electric Company 2.9%
Intel Corporation 2.5%
Dell, Inc. 2.0%
Wal-Mart Stores, Inc. 1.5%
eBay, Inc. 1.5%
Citigroup, Inc. 1.5%
Johnson & Johnson 1.5%
Footnote reads:
These holdings represent 23.2% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $42,289,880 NAV $9.30
NAV -- High+ 1/26/2004 -- $9.51
NAV -- Low+ 5/17/2004 -- $8.77
Number of Holdings: 221 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- ------------------------------------
11.33% -2.72%
Outlook
We believe that stronger-than-expected corporate earnings will help fuel
reasonably good performance in the equity markets over the coming months.
This, coupled with moderating inflation and relatively stable long-term
interest rates, should set a sound backdrop for the large-cap growth stock
universe for the balance of the year. However, given recent signs
suggesting that the economy may be cooling faster than investors
anticipated, we believe that the "push-pull" nature of the review period
could likely continue as the year progresses.
Overall, we believe prudent stock selection will continue to be the
most promising path to favorable relative performance in the months to
come. As such, we've shifted our emphasis away from more cyclical
growth-type names in favor of more consistent growth-type companies.
In general, we remain confident that the growth segment of the
large-cap market will continue to provide investors with superior
earnings growth over time, through exposure to the premier, bellwether
companies that dominate the growth industries in the U.S.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Large Cap Consumer
Growth Russell 1000 Price
Date Portfolio II Growth Index** Index*
- ------------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000
2001 10,089 9,981 9,961
2002 9,758 9,805 9,983
2002 9,456 9,398 10,023
2002 9,875 9,723 10,079
2002 9,258 8,929 10,135
2002 9,073 8,714 10,135
2002 8,367 7,907 10,141
2002 7,782 7,473 10,152
2002 7,839 7,495 10,186
2002 7,195 6,718 10,203
2002 7,687 7,334 10,228
2002 8,019 7,732 10,228
2002 7,412 7,198 10,206
2003 7,253 7,023 10,251
2003 7,220 6,991 10,330
2003 7,305 7,121 10,392
2003 7,854 7,648 10,369
2003 8,296 8,029 10,353
2003 8,366 8,140 10,364
2003 8,554 8,343 10,375
2003 8,708 8,550 10,415
2003 8,465 8,459 10,448
2003 8,876 8,934 10,437
2003 8,861 9,027 10,409
2003 9,098 9,339 10,398
2004 9,285 9,530 10,448
2004 9,332 9,591 10,505
2004 9,205 9,413 10,573
2004 8,956 9,303 10,606
2004 9,156 9,477 10,668
June 30, 2004 $9,313 $9,595 $10,702
Footnotes read:
* The Consumer Price Index is an inflationary indicator that measures the
change in the cost of a fixed basket of products and services, including
housing, electricity, food and transportation. It is not possible to
invest directly in the Index.
** The Russell 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. 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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The prospectus
contains more complete information on the objectives, risks, charges and
expenses of the investment company which investors should read and
consider carefully before investing. Please read your prospectus
carefully.
[LOGO OMITTED: T. ROWE PRICE]
Thrivent Partner Growth Stock Portfolio
Subadvised by T. Rowe Price Associates, Inc.
The Thrivent Partner 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.
Performance Summary
The Partner Growth Stock Portfolio delivered a return of 2.49% in the
first six months of 2004, in line with its Lipper Inc. peer group of
similar growth stock portfolios, which posted a median return of
2.53%. The Portfolio marginally underperformed its primary benchmark,
the S&P 500/Barra Growth Index, which generated a return of 2.72% for
the six-month period.
Strong Start, Lackluster End to Period
The period began with continued strong economic growth supported by
healthy consumer and capital spending. As industrial production
enjoyed a strong rise, improvements in corporate profits followed.
Despite these positive trends, persistently weak employment data and
rising energy costs, accompanied by fears regarding U.S. involvement
in a war with Iraq, weighed on investors' sentiments.
Stocks continued the advance that had begun in the first quarter of
2003, but the large-cap growth segment did not participate as fully as
it did in prior quarters. In particular, technology-related shares,
one of the leading groups of 2003, performed poorly in the first
quarter of 2004. Energy and financial stocks, which are typically
considered more value-oriented issues, provided the best returns,
reflecting both an unexpected decline in interest rates and a sharp
rise in energy prices in the first three months of 2004. Technology
shares, which dominate the growth segments of the markets, rebounded
nicely in the second quarter. Most energy stocks continued to perform
well, but financials fell off as interest rates increased on the heels
of vastly improved job growth, which gained momentum into the second
quarter.
Factors Impacting Performance
While energy stocks were not a significant component of the Portfolio
for the period, the stocks we did own performed quite well. Our
holdings in the materials sector also performed well, largely due to
increases in the prices of most commodities this period. Finally,
while the Portfolio's technology stocks generally performed poorly for
the first three months of the period, they rebounded strongly in the
latter part, with solid returns achieved from holdings such as Yahoo!
and Research In Motion.
On the negative side, health care-related stocks proved disappointing,
with weakness in holdings such as Forrest Labs and United Healthgroup
detracting from performance versus our market benchmark. Fortunately,
we held only a modest weighting in this area relative to our peers and
thus the impact on the Portfolio was limited. Clear Channel
Communications in the media segment also proved to be particularly
disappointing for the period.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Information Technology 21.9%
Consumer Discretionary 20.1%
Financials 18.5%
Health Care 12.7%
Industrials 8.1%
Consumer Staples 4.9%
Energy 3.9%
Communications Services 2.8%
Materials 1.5%
Top 10 Holdings
(% of Portfolio)
Citigroup, Inc. 3.5%
Microsoft Corporation 3.3%
General Electric Company 2.4%
UnitedHealth Group, Inc. 2.2%
Pfizer, Inc. 2.1%
American International Group, Inc. 2.0%
Dell, Inc. 1.6%
Target Corporation 1.6%
WellPoint Health Networks, Inc. 1.5%
State Street Corporation 1.4%
Footnote reads:
These holdings represent 21.6% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $91,435,341 NAV $10.45
NAV -- High+ 2/17/2004 -- $10.63
NAV -- Low+ 5/17/2004 -- $9.87
Number of Holdings: 116 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- ------------------------------------
17.41% 1.85%
Outlook
We expect the economic recovery to enjoy sustained, above-trend growth
for most of 2004 and perhaps well into 2005. No doubt, we have likely
seen interest rates bottom out for the cycle, and we believe the bias
in regard to interest rates will be higher. We also expect profits to
remain strong, but believe the peak rates of growth are behind us.
Continued sustained earnings growth will play an important role in
equity performance this year, as further expansion in price/earnings
ratios is unlikely in the face of higher interest rates.
In this type of environment, we continue to seek attractive
opportunities in areas such as information technology, particularly
software, as we believe the cyclical upturn in IT spending will
continue to improve. That being said, selectivity is critical and we
are modestly underweighted in our exposure to the entire sector. In
the consumer sector, we maintain a bias toward media stocks, as we
believe they currently offer reasonable valuations and good potential
for a cyclical recovery in earnings. Financial stocks, particularly
those exposed to a continued favorable economic and investment
environment, remain a significant weighting within the Portfolio.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Partner
Growth S&P 500/ Consumer
Stock Barra Growth Price
Date Portfolio Index** Index*
- ------------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000
2001 10,163 10,015 9,961
2002 9,805 9,999 9,983
2002 9,588 9,704 10,023
2002 10,008 9,936 10,079
2002 9,419 9,225 10,135
2002 9,286 9,046 10,135
2002 8,487 8,320 10,141
2002 7,876 7,921 10,152
2002 8,045 7,970 10,186
2002 7,212 7,146 10,203
2002 7,894 7,806 10,228
2002 8,290 8,185 10,228
2002 7,805 7,653 10,206
2003 7,677 7,462 10,251
2003 7,562 7,440 10,330
2003 7,684 7,590 10,392
2003 8,321 8,098 10,369
2003 8,785 8,362 10,353
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
2003 10,229 9,616 10,398
2004 10,413 9,799 10,448
2004 10,502 9,850 10,505
2004 10,382 9,619 10,573
2004 10,171 9,559 10,606
2004 10,334 9,711 10,668
June 30, 2004 $10,484 $9,877 $10,702
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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The prospectus
contains more complete information on the objectives, risks, charges and
expenses of the investment company which investors should read and
consider carefully before investing. Please read your prospectus
carefully.
[PHOTO OMITTED: MATTHEW D. FINN]
Thrivent Large Cap Value Portfolio
(Formerly Value Portfolio)
Matthew D. Finn, Portfolio Manager
The Thrivent Large Cap Value Portfolio seeks long-term growth of
capital.
Large-capitalization value stocks generated positive returns for the
six-month period ended June 30, 2004. The Thrivent Large Cap Value
Portfolio posted a net return of 3.83% for the period. During that
same time, the Portfolio's Lipper Inc. peer group of portfolios posted
a median return of 3.08%. The Portfolio's previous benchmark, the S&P
500/Barra Value Index, gained 4.17%, and the current benchmark, the
Russell 1000 Value Index returned 3.94%. Because the Russell 1000
Value Index is more broad and representative of the companies in which
the Portfolio invests, it will be used to compare performance of the
Portfolio in the future. This is the public benchmark most commonly
used by advisors and consultants in reviewing large-capitalization
value portfolios.
Energy, Financial Stocks Drive Performance
Stronger sectors for the period included energy, financials, consumer
staples and industrials. Energy companies did well as a recovering
world economy led to above-trend increases in consumption. Also, the
Iraq conflict and the terrorism wild card added a premium to the price
of oil.
A main cause of the Portfolio's underperformance relative to its
benchmark was its 3% allocation to cash investments, which did not
perform as well as stocks during the period. The cash is held mainly
for liquidity purposes. The index has no such need, and it
participated 100% in stocks' gains.
The Portfolio benefited from the strength in the energy sector, with
holdings that included a position in oil and gas refiner Valero
Energy, which appreciated more than 59% during the period. The
financial sector also contributed significantly to the Portfolio's
relative performance. Here, our stock selection benefited performance
as regional bank SouthTrust Corp. agreed to be acquired by Wachovia
Corp. The Portfolio's weaker area was the technology sector. Our
position in semiconductor manufacturer Texas Instruments hurt the
most, and it subsequently has been sold.
Uncertainty Limits Stock Market Moves
It appears that the U.S. economy is in the middle of a recovery.
Uncertainty about the length and strength of the recovery, as well as
the war and the presidential election -- and the digestion of 2003's
strong gains from the bear market lows -- have kept the market in a
narrow trading range for much of this year. Oftentimes, investors
anticipate earnings recoveries, and share prices peak prior to
earnings. The Portfolio's focus on valuation is designed to avoid the
shares of companies that already fully reflect the best case for
earnings.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 26.3%
Industrials 11.4%
Energy 10.6%
Information Technology 9.8%
Consumer Discretionary 9.3%
Health Care 7.8%
Consumer Staples 7.1%
Materials 6.2%
Communications Services 3.1%
Utilities 2.6%
Top 10 Holdings
(% of Portfolio)
Bank of America Corporation 3.6%
Citigroup, Inc. 3.3%
Exxon Mobil Corporation 2.6%
ConocoPhillips Company 2.2%
Tyco International, Ltd. 2.0%
Time Warner, Inc. 2.0%
Hewlett-Packard Company 1.7%
J.P. Morgan Chase & Company 1.5%
Johnson & Johnson 1.5%
Merck & Company, Inc. 1.5%
Footnote reads:
These holdings represent 21.9% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $280,024,106 NAV $10.13
NAV -- High+ 3/5/2004 -- $10.24
NAV -- Low+ 5/10/2004 -- $9.57
Number of Holdings: 129 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- ------------------------------------
19.81% 1.25%
Outlook
Going forward, earnings will drive the market and portfolio performance.
Valuations have become more compressed, and thus stock selection will be
more important in driving portfolio returns. The Portfolio remains focused
on investing in attractively priced, quality companies where investors'
expectations do not fully reflect the long-term normal earnings potential
of the company.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Large Cap S&P 500/ Consumer
Value Barra Value Russell 1000 Price
Date Portfolio Index** Value Index* Index***
- ------------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000 10,000
2001 10,144 10,152 10,236 9,961
2002 9,949 9,874 10,157 9,983
2002 9,927 9,785 10,173 10,023
2002 10,377 10,287 10,654 10,079
2002 10,070 9,771 10,289 10,135
2002 10,060 9,810 10,340 10,135
2002 9,412 9,192 9,747 10,141
2002 8,611 8,198 8,841 10,152
2002 8,644 8,255 8,908 10,186
2002 7,788 7,312 7,917 10,203
2002 7,859 7,919 8,504 10,228
2002 8,199 8,475 9,039 10,228
2002 7,826 8,034 8,647 10,206
2003 7,636 7,815 8,437 10,251
2003 7,468 7,602 8,212 10,330
2003 7,471 7,592 8,226 10,392
2003 8,036 8,342 8,950 10,369
2003 8,495 8,956 9,528 10,353
2003 8,618 9,021 9,647 10,364
2003 8,740 9,222 9,791 10,375
2003 8,921 9,421 9,943 10,415
2003 8,820 9,250 9,846 10,448
2003 9,293 9,882 10,449 10,437
2003 9,390 9,971 10,590 10,409
2003 9,946 10,586 11,243 10,398
2004 10,083 10,774 11,441 10,448
2004 10,289 11,017 11,686 10,505
2004 10,213 10,940 11,584 10,573
2004 10,002 10,671 11,301 10,606
2004 10,088 10,793 11,416 10,668
June 30, 2004 $10,326 $11,027 $11,686 $10,702
Footnotes read:
* The Russell 1000 Value Index is an index comprised of companies with
lower price-to-book ratios and lower forecasted growth rates within the
Russell 1000 Index. 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 Value
Index serves as a better reflection of the Portfolio's current
investment strategy than does the S&P 500/Barra Value Index.
** 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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted.
Call 800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The
prospectus contains more complete information on the objectives, risks,
charges and expenses of the investment company which investors should
read and consider carefully before investing. Please read your
prospectus carefully.
[PHOTO OMITTED: FREDERICK L. PLAUTZ]
Thrivent Large Cap
Stock Portfolio
(Formerly Capital Growth Portfolio)
Frederick L. Plautz, Portfolio Manager
The Thrivent Large Cap Stock Portfolio seeks long-term capital growth
by investing primarily in a diversified portfolio of common stocks and
securities convertible into common stocks.
Large-cap stocks delivered moderate performance in the first half of
2004, as competing forces in the market-at-large kept most large-cap
issues locked within a tight trading range. For the six-month period
ended June 30, 2004, the Large Cap Stock Portfolio returned 1.30%,
underperforming its benchmark, the S&P 500 Index, which returned
3.44%. The Portfolio also trailed its Lipper Inc. peer group of
similar large-cap stock portfolios, which returned a median of 2.30%
for the same period.
Large-Cap Stocks Stagnant for Period
The year opened with continued strong growth in the U.S. economy
bolstered by good consumer and capital spending, while an increase in
business productivity helped spur improvements in corporate profits.
Throughout the remainder of the period, however, stocks remained
locked within a tight trading range as competing forces seemed to
create a tug-of-war in the markets-at-large, keeping most large-cap
issues stuck in neutral. Favorable news on economic growth, robust
corporate earnings and vastly improved employment data all seemed to
compete with high energy costs, anticipated rising interest rates, and
continued geopolitical concerns surrounding the transition of
authority in Iraq and the upcoming presidential election.
Factors Impacting Performance
The majority of the Portfolio's underperformance occurred in the first
quarter of the year. Our exposure to the cable sector most
significantly detracted from performance versus the portfolio's
benchmark, with stocks such as Comcast responding negatively to the
strong subscriber growth of competitors.
Likewise, some of our retail holdings detracted from performance.
Tiffany, for example, experienced a significant earnings
disappointment due to a slowdown in sales in its Japanese locations,
exerting downward pressure on its stock. Both Target and Family Dollar
reported disappointing comparable-store sales this period, hurting
performance.
However, since the Portfolio did post positive performance, there were
a few factors that worked in our favor. Our biggest single performer
this period was Harley Davidson, which proved to be a relatively
cheaply valued stock that enjoyed a good earnings report in the first
quarter. Another positive influence to performance was our
overweighted exposure to the energy sector, which was the market's
best-performing sector for the period.
The fact that we avoided the materials sector, which experienced a
substantial correction in the first quarter, also helped support
performance. Finally, select stocks within the Portfolio posted strong
gains, such as Alberto-Culver, Wellpoint Health Networks (an HMO) and
AIG (a property casualty insurer), thereby adding to our returns.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 18.1%
Information Technology 16.3%
Consumer Discretionary 13.5%
Health Care 12.7%
Industrials 12.0%
Consumer Staples 8.4%
Energy 6.1%
Materials 2.6%
Communications Services 2.4%
Utilities 1.1%
Top 10 Holdings
(% of Portfolio)
Microsoft Corporation 3.3%
Pfizer, Inc. 2.9%
Citigroup, Inc. 2.7%
Exxon Mobil Corporation 2.6%
American International Group, Inc. 2.2%
3M Company 1.9%
Cisco Systems, Inc. 1.9%
Intel Corporation 1.9%
General Electric Company 1.9%
Johnson & Johnson 1.7%
Footnote reads:
These holdings represent 23.0% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $372,236,539 NAV $8.67
NAV -- High+ 1/26/2004 -- $8.88
NAV -- Low+ 5/17/2004 -- $8.26
Number of Holdings: 123 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 3/1/2001
- ------------------------------------
12.27% -3.81%
Outlook
While we recognize that performance for the period was disappointing,
we believe there is ample reason for an optimistic outlook. After a
disappointing first quarter, we restructured the Portfolio to bring
its composition more in line with that of its peer group of large-cap
core portfolios. We are encouraged by the recent performance of the
Portfolio in that it reflects the better diversification and improved
stock selection that the restructuring was designed to achieve. What's
more, stock selection is now assisted by the use of sophisticated
quantitative models that rank stocks according to expected
performance.
Going forward, we expect interest rates will trend upward. As such,
we've trimmed our exposure to the financials sector, a segment of the
market that typically responds negatively to a rising rate
environment. In light of our expectations for a sustained economic
expansion, we've maintained our overweighted position in consumer
discretionary as well as industrial stocks. Finally, as the prospects
for many technology companies have improved along with the economy,
we've moved from a large underweighting to a marginally underweighted
exposure to these issues.
Overall, we are confident that this strategy, along with our recent
portfolio restructuring and a favorable economic outlook, will bode
well for the Portfolio and our valued investors in the months to come.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Large Cap Consumer
Stock S&P 500 Price
Date Portfolio Index** Index*
- ------------------------------------------------------------------------------
March 1, 2001 10,000 10,000 10,000
2001 9,580 9,357 10,023
2001 10,090 10,084 10,063
2001 10,020 10,151 10,108
2001 9,673 9,904 10,125
2001 9,483 9,807 10,097
2001 8,882 9,193 10,097
2001 8,291 8,450 10,142
2001 8,531 8,612 10,108
2001 9,082 9,272 10,091
2001 9,222 9,353 10,051
2002 9,081 9,217 10,074
2002 8,911 9,039 10,114
2002 9,242 9,379 10,171
2002 8,740 8,811 10,228
2002 8,693 8,746 10,228
2002 8,034 8,123 10,233
2002 7,415 7,489 10,245
2002 7,447 7,539 10,279
2002 6,621 6,720 10,296
2002 7,233 7,311 10,321
2002 7,539 7,741 10,321
2002 7,147 7,287 10,299
2003 7,010 7,096 10,344
2003 6,937 6,989 10,424
2003 6,996 7,057 10,487
2003 7,479 7,638 10,464
2003 7,816 8,040 10,447
2003 7,826 8,143 10,458
2003 7,938 8,287 10,470
2003 8,056 8,448 10,509
2003 7,970 8,358 10,544
2003 8,330 8,831 10,532
2003 8,323 8,909 10,504
2003 8,674 9,375 10,492
2004 8,819 9,547 10,544
2004 8,880 9,680 10,600
2004 8,718 9,534 10,669
2004 8,639 9,385 10,703
2004 8,636 9,513 10,766
June 30, 2004 $8,787 $9,698 $10,800
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 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.
/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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The prospectus
contains more complete information on the objectives, risks, charges and
expenses of the investment company which investors should read and
consider carefully before investing. Please read your prospectus
carefully.
[PHOTO OMITTED: KEVIN R. BRIMMER]
Thrivent Large Cap
Index Portfolio
Kevin R. Brimmer, Portfolio Manager
The Thrivent Large Cap Index Portfolio strives for investment results
that approximate the performance of the S&P 500 Index(registered
trademark)* by investing primarily in common stocks comprising the
Index.
The Thrivent Large Cap Index Portfolio returned 3.25% over the
six-month period ended June 30, 2004, while the Portfolio's industry
benchmark, the S&P 500 Index, gained 3.44% over the same time frame.
The difference between the Portfolio and Index returns was primarily
the result of expenses charged to the Portfolio that are not
applicable to the Index. We achieved the Portfolio's objective of
providing returns that approximate those of the benchmark S&P 500
Index.
Large-Capitalization Companies Continued to Make Gains
Large-cap stocks again turned in positive returns for the first half of
2004 after a strong year for the market segment in 2003. Although stocks
showed strength across the board due to positive news for corporate
earnings, smaller and medium-sized companies outpaced larger ones during
the reporting period. Based on history, smaller companies typically do
outperform larger ones in the first stages of an economic recovery.
Despite the solid performance, the markets continued to experience a
historically high level of volatility. Investor concerns over a number of
factors including energy prices, the Iraq war, rising interest rates and a
recent uptick in inflation contributed to the market's uneasiness.
Value-oriented stocks outpaced more growth-oriented names during the
period. In addition, all sectors in the large-cap market had positive
six-month performance. The three top-performing sectors in the large-cap
arena were industrials, energy and consumer staples. On the other hand,
the areas showing the worst performance during the period were the
consumer discretionary, utilities and materials sectors.
Because we use an indexing approach to manage the Thrivent Large Cap
Index Portfolio, we have no active stock selection process. Our goal
is to maintain a fully invested portfolio that replicates the
composition and performance of the S&P 500 Index, while keeping
transaction costs to a minimum. The Index, which is widely regarded as
the best gauge of the U.S. large-cap equities market, represents
approximately 80% of the U.S. stock market and covers all major market
sectors. During the semiannual reporting period, the Portfolio owned
all 500 companies within the benchmark.
We carefully monitor the S&P 500 Index for any daily company changes and
quarterly sector and market-capitalization rebalancing and alter the
Portfolio accordingly. Generally, variances in performance relative to the
Index are a result of expenses, transaction costs and minor differences in
Portfolio composition relative to the Index. As the amount of assets in
the Portfolio grows, these variables will have less of an impact on
performance.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 19.3%
Information Technology 16.3%
Health Care 12.7%
Industrials 10.9%
Consumer Staples 10.5%
Consumer Discretionary 10.3%
Energy 6.2%
Communications Services 3.2%
Materials 2.8%
Utilities 2.5%
Top 10 Holdings
(% of Portfolio)
General Electric Company 3.0%
Microsoft Corporation 2.7%
Exxon Mobil Corporation 2.6%
Pfizer, Inc. 2.3%
Citigroup, Inc. 2.1%
Wal-Mart Stores, Inc. 2.0%
American International Group, Inc. 1.7%
Intel Corporation 1.6%
Bank of America Corporation 1.5%
Johnson & Johnson 1.5%
Footnote reads:
These holdings represent 21.0% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $778,412,165 NAV $20.20
NAV -- High+ 2/11/2004 -- $20.63
NAV -- Low+ 5/17/2004 -- $19.17
Number of Holdings: 506 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 6/14/1995
- ------------------------------------------
18.63% -2.45% 10.17%
Outlook
Going forward, we remain optimistic about the stock market based on
the improving U.S. economy and strong corporate profits. However,
these positive factors may be tempered by the many potential
uncertainties on the horizon such as high energy prices, Federal
Reserve interest rate moves, inflation expectations, the November
elections and the situation in Iraq to name a few. We believe these
factors will most likely lead to even more volatility than the
heightened levels we've seen over the past few years. We do anticipate
at some point that market leadership will shift toward favoring
somewhat larger-sized companies as the economic recovery continues.
However, we believe in uncertain market times, an indexed product is
an ideal place to invest your money. The Thrivent Large Cap Index
Portfolio offers you returns that are in line with the market while
giving you broad exposure to large-cap companies.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Large
Cap Consumer
Index S&P 500 Price
Date Portfolio Index* Index**
- ------------------------------------------------------------------------------
June 14, 1995 10,000 10,000 10,000
1995 10,190 10,163 10,020
1995 10,521 10,500 10,020
1995 10,544 10,526 10,046
1995 10,993 10,970 10,066
1995 10,948 10,931 10,099
1995 11,423 11,411 10,092
1995 11,639 11,631 10,085
1996 12,033 12,027 10,145
1996 12,144 12,138 10,177
1996 12,254 12,255 10,230
1996 12,438 12,436 10,269
1996 12,753 12,756 10,289
1996 12,793 12,805 10,296
1996 12,236 12,239 10,315
1996 12,484 12,497 10,335
1996 13,181 13,201 10,368
1996 13,543 13,565 10,401
1996 14,510 14,590 10,421
1996 14,254 14,301 10,421
1997 15,137 15,195 10,453
1997 15,254 15,314 10,486
1997 14,634 14,685 10,512
1997 15,497 15,561 10,526
1997 16,426 16,509 10,519
1997 17,150 17,248 10,532
1997 18,504 18,621 10,545
1997 17,469 17,578 10,565
1997 18,396 18,540 10,591
1997 17,785 17,921 10,618
1997 18,520 18,751 10,611
1997 18,900 19,073 10,598
1998 19,106 19,283 10,618
1998 20,462 20,674 10,637
1998 21,500 21,733 10,657
1998 21,702 21,952 10,677
1998 21,323 21,574 10,696
1998 22,183 22,451 10,710
1998 21,944 22,211 10,723
1998 18,822 19,000 10,736
1998 20,003 20,217 10,749
1998 21,634 21,862 10,775
1998 22,937 23,187 10,775
1998 24,260 24,523 10,769
1999 25,264 25,548 10,795
1999 24,483 24,754 10,808
1999 25,438 25,745 10,841
1999 26,407 26,742 10,920
1999 25,775 26,110 10,920
1999 27,189 27,560 10,920
1999 26,343 26,699 10,953
1999 26,222 26,567 10,979
1999 25,508 25,839 11,032
1999 27,093 27,474 11,051
1999 27,633 28,032 11,058
1999 29,237 29,684 11,058
2000 27,790 28,192 11,084
2000 27,234 27,659 11,150
2000 29,871 30,364 11,242
2000 28,997 29,451 11,248
2000 28,422 28,846 11,255
2000 29,101 29,557 11,321
2000 28,663 29,096 11,340
2000 30,423 30,903 11,354
2000 28,823 29,271 11,413
2000 28,688 29,147 11,432
2000 26,430 26,849 11,439
2000 26,553 26,981 11,432
2001 27,488 27,938 11,505
2001 24,978 25,391 11,551
2001 23,399 23,782 11,577
2001 25,200 25,630 11,623
2001 25,359 25,802 11,675
2001 24,735 25,174 11,695
2001 24,485 24,926 11,662
2001 22,951 23,366 11,662
2001 21,108 21,479 11,715
2001 21,500 21,889 11,675
2001 23,134 23,568 11,656
2001 23,327 23,774 11,610
2002 22,982 23,427 11,636
2002 22,533 22,976 11,682
2002 23,373 23,840 11,748
2002 21,946 22,394 11,813
2002 21,780 22,229 11,813
2002 20,218 20,646 11,820
2002 18,682 19,036 11,833
2002 18,803 19,162 11,873
2002 16,758 17,081 11,892
2002 18,221 18,583 11,922
2002 19,281 19,676 11,922
2002 18,146 18,521 11,896
2003 17,665 18,037 11,948
2003 17,394 17,766 12,040
2003 17,556 17,938 12,113
2003 19,004 19,414 12,086
2003 20,000 20,436 12,067
2003 20,248 20,697 12,080
2003 20,599 21,062 12,093
2003 20,993 21,472 12,139
2003 20,760 21,245 12,178
2003 21,928 22,446 12,165
2003 22,114 22,643 12,132
2003 23,265 23,830 12,119
2004 23,685 24,267 12,178
2004 24,008 24,605 12,244
2004 23,639 24,234 12,323
2004 23,260 23,854 12,363
2004 23,572 24,180 12,435
June 30, 2004 $24,021 $24,649 $12,474
Footnotes read:
* The S&P 500 Index is an index that represents the average performance
of a group of 500 large-capitalization stocks. "S&P 500(registered
trademark)" is a trademark of The McGraw-Hill Companies, Inc. and has
been licensed for use by Thrivent Financial for Lutherans. The product is
not sponsored, endorsed or promoted by Standard & Poor's and Standard &
Poor's makes no representation regarding the advisability of investing in
the product. It is not possible to invest directly in the Index. Index
funds are subject to the same market risks associated with the stocks in
their respective 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. Not annualized for periods less than one year.
Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance
results. 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. The prospectus
contains more complete information on the objectives, risks, charges and
expenses of the investment company which investors should read and
consider carefully before investing. Please read your prospectus
carefully.
[PHOTO OMITTED: REGINALD L. PFEIFER]
Thrivent Real Estate
Securities Portfolio
Reginald L. Pfeifer, Portfolio Manager
The Thrivent Real Estate Securities Portfolio seeks to provide
long-term capital appreciation and high current income by investing
primarily in the equity securities of companies in the real estate
industry.
For the first half of 2004, real estate securities (REIT stocks)
enjoyed a continuation of the solid performance they posted in 2003,
generally outperforming the overall equity markets. These conditions
provided a favorable backdrop for the Thrivent Real Estate Securities
Portfolio, which posted a 6.81% return for the six-month period ended
June 30, 2004. These results compare favorably to the Portfolio's
primary benchmark, the NAREIT Real Estate 50 Index, which posted a
return of 6.69%. The Portfolio outperformed its Lipper Inc. peer
group, which returned a median of 6.10% over this period.
REITS Fare Favorably Versus Broad
Equities Markets
For the six-month period under review, real estate equities performed
well, generally outperforming the core equity market indices. This is
especially notable given the approximate 18% price decline that the
REIT market experienced during April and May. The impressive rebound
in REIT stock prices after this correction allowed REIT indices to
finish the first half of 2004 as one of the best performing asset
classes.
The first half of 2004 was characterized by strength in retail REITs
(regional malls and shopping centers), which benefited from healthy consumer
spending and strong demand from retailers for rentable space. The lodging
sector also performed well as a result of an improving economy and a welcomed
increase in business travel. Conversely, the office sector remained weak,
with high vacancy rates persisting in most areas of the country. The
apartment market remained under pressure during the first half, as low
mortgage rates continued to make home ownership relatively attractive.
However, higher interest rates and strong employment gains helped apartment
REITs perform well during the second quarter.
Factors Impacting Performance
There were several reasons for the favorable performance of the Real Estate
Securities Portfolio over this period. Our exposure in regional mall and
shopping center REITs was a key performance driver during the first half. We
also maintained a meaningful level of exposure in the lodging sector, which
also benefited performance. Finally, our underweight exposure in the
apartment sector, particularly during the first quarter, was instrumental in
our Portfolio's performance.
The investment strategy of the Real Estate Securities Portfolio is to
maintain a well-diversified portfolio with exposure across the REIT market
capitalization spectrum. As a result, our portfolio is comprised of not only
large-cap REITs, but also mid- and small-cap REIT stocks as well. Smaller-cap
REITs underperformed their larger-cap counterparts during the last six
months, thereby modestly detracting from Portfolio performance.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 90.9%
Consumer Discretionary 4.4%
Industrials 0.1%
Top 10 Holdings
(% of Portfolio)
Simon Property Group 5.3%
Gereral Growth Properties, Inc. 4.3%
ProLogis Trust 4.1%
Vornado Realty Trust 3.3%
Equity Residential REIT 3.0%
Rouse Company 3.0%
Boston Properties, Inc. 2.9%
Equity Office Properties Trust 2.6%
Archstone-Smith Trust 2.5%
Developers Diversified Realty Corporation 2.4%
Footnote reads:
These holdings represent 33.4% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change. The
lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $98,875,753 NAV $13.46
NAV -- High+ 4/1/2004 -- $14.34
NAV -- Low+ 5/10/2004 -- $11.82
Number of Holdings: 118 + For the six months ended June 30, 2004
Total Returns /1/
June 30, 2004
From
Inception
1 Year 4/30/2003
- ------------------------------------
29.20% 32.41%
Outlook
We believe economic conditions provide a favorable environment in
which to own REIT stocks. A continued economic recovery in the U.S.,
in our opinion, will lead to sustainable and increasing demand for
rental space in the primary property types (i.e. office, industrial,
retail, and apartments). Likewise, the lodging sector should perform
well as an economic expansion leads to an increase in business travel
expenditures. If employment growth continues during the second half of
2004, the health of the office and apartment sectors should gradually
improve.
We remain mindful, however, of the risks inherent in our current
environment. While moderately rising interest rates should not pose a
serious problem to REITs, a more substantial increase in interest
rates than currently expected could adversely impact this segment of
the equity market. Given this potential concern, we have positioned
the Portfolio for what we expect to be a modest economic recovery,
placing a greater emphasis on retail property REITs, which we believe
have strong fundamental characteristics supporting their current
valuation levels. We remain cautious on the apartment sector; however,
given weak operating fundamentals in this property type that may not
improve significantly during the second half of 2004.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Real Estate NAREIT Real Consumer
Securities Estate 50 Price
Date Portfolio Index* Index**
- ------------------------------------------------------------------------------
April 30, 2003 10,000 10,000 10,000
2003 10,549 10,573 9,984
2003 10,748 10,790 9,995
2003 11,346 11,413 10,005
2003 11,440 11,525 10,044
2003 11,822 11,911 10,076
2003 12,042 12,086 10,065
2003 12,599 12,593 10,038
2003 13,002 13,005 10,027
2004 13,541 13,537 10,076
2004 13,842 13,834 10,131
2004 14,647 14,656 10,196
2004 12,625 12,587 10,229
2004 13,471 13,517 10,288
June 30, 2004 $13,887 $13,874 $10,321
Footnotes read:
* The NAREIT Real Estate 50 Index is comprised of the largest 50 companies
from the NAREIT Global Real Estate Index. It is not possible to invest
directly in this Index. The performance of this 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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may be
worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus contains more complete information on the
objectives, risks, charges and expenses of the investment company which
investors should read and consider carefully before investing. Please read
your prospectus carefully.
[PHOTOS OMITTED: KEVIN R. BRIMMER AND STEVEN H. C. LEE ]
Thrivent Balanced Portfolio
Kevin R. Brimmer, (left) and Steven H. C. Lee, (right), Portfolio
Co-Managers
The Thrivent Balanced Portfolio seeks capital growth and income by investing
in a mix of common stocks, bonds and money market instruments. Securities are
selected consistent with the policies of the Large Cap Index and Bond Index
Portfolios.
During the semiannual period ended June 30, 2004, stocks continued to
post positive returns while an increase in inflation caused
high-quality bonds to turn in barely positive results. The Thrivent
Balanced Portfolio gained 1.94% over the six months, in line with its
Lipper Inc. peer group of similarly managed balanced portfolios which
posted a median return of 1.98%. Over the same time frame, the S&P 500
Index gained 3.44% while the Lehman Brothers Aggregate Bond Index
returned 0.15%.
Stocks Gain, Led by Smaller Companies
For the first half of 2004, stocks showed strength across the board
due to positive news for corporate earnings. Smaller and medium-sized
companies outpaced larger ones, which is typical during the first
stages of an economic recovery. Despite the solid performance, the
markets continued to experience a historically high level of
volatility due to investor concerns over a number of factors including
energy prices, interest rates and inflation. Within the
large-capitalization segment, all sectors had positive six-month
performance with value-oriented stocks outpacing more growth-oriented
names.
We use an indexing approach to manage both the stock and bond
components of the Thrivent Balanced Portfolio. In the stock portion,
our goal is to replicate the composition and performance of the S&P
500 Index, while keeping transaction costs to a minimum. The Index is
widely regarded as the best gauge of the U.S. large-cap equities
market. During the semiannual reporting period, the stock portfolio
owned all 500 companies within the benchmark.
Bonds Falter over Inflation Worries
Bond investors spent the six-month period anxiously watching economic
data on inflation and job growth in anticipation of an interest rate
move by the Federal Reserve. On June 30, the Fed raised its target for
short-term interest rates a quarter of a percentage point. During the
reporting period, mortgage-backed securities were the best-performing
fixed income asset class followed by asset-backed, agency, Treasury
and corporate securities.
In the bond portion of the Thrivent Balanced Portfolio, our goal is to
match, as closely as possible, the composition and return of the
Lehman Brothers Aggregate Bond Index. As a result, we kept the
duration and the sector weights of the bond portfolio in line with the
index. The index duration at the end of the period was 4.77 years,
which we tracked as closely as possible. The bond portfolio's sector
weights as of June 30 included 36% mortgage-backed securities, 25%
corporate securities, 24% Treasuries, 11% agency securities, 3%
commercial mortgage-backed securities and 1.5% asset-backed
securities.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 12.5%
U.S. Government 10.2%
Mortgage-Backed Securities 9.0%
Information Technology 8.5%
Health Care 6.6%
Consumer Discretionary 6.1%
Consumer Staples 5.7%
Industrials 5.6%
Energy 3.4%
Communications Services 2.6%
Top 10 Holdings
(% of Portfolio)
Federal National Mortgage Association
(July 2034) 3.1%
General Electric Company 1.6%
Microsoft Corporation 1.4%
Exxon Mobil Corporation 1.3%
U.S. Treasury Notes (May 2007) 1.2%
Pfizer, Inc. 1.2%
Federal Home Loan Mortgage Corporation
(September 2004) 1.1%
Federal National Mortgage Association
(July 2019) 1.1%
Citigroup, Inc. 1.1%
Wal-Mart Stores, Inc. 1.0%
Footnote reads:
These holdings represent 14.1% of the total investment portfolio.
Footnote reads:
Quoted Top Industries and Top 10 Holdings are subject to change.
The lists of Top Industries and Top 10 Holdings exclude short-term
investments and collateral held for securities loaned.
Portfolio Facts
June 30, 2004
Net Assets $737,437,537 NAV $14.41
NAV -- High+ 2/11/2004 -- $14.88
NAV -- Low+ 5/10/2004 -- $13.93
Number of Holdings: 865 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 6/14/1995
- ------------------------------------
10.55% 1.70% 8.66%
Outlook
Going forward, we believe we will see a modest increase in inflation;
however, we don't expect it to rise dramatically. We remain optimistic
about the stock market based on the improving U.S. economy and strong
corporate profits. However, these positive factors may be tempered by
the many potential uncertainties such as energy prices, interest
rates, inflation, the November elections and the situation in Iraq. We
believe these uncertainties may lead to even more stock market
volatility than the heightened levels we've seen over the past few
years. We also anticipate that market leadership will shift at some
point toward favoring somewhat larger-sized companies.
With interest rates still at historically low levels, our outlook
calls for the Federal Reserve to slowly and steadily raise rates for
the remainder of the year. A rising rate environment will negatively
affect the performance of the bond market, especially the highest
quality securities. We expect 10-year Treasury rates to move up
modestly to around 5% by year-end. We also anticipate that the yield
curve will flatten significantly. Although corporate bonds appear to
be close to fair value, we believe they will modestly outperform
Treasuries for the rest of the fiscal year. On the other hand,
mortgage-backed securities are somewhat richly valued and will likely
fall short of Treasuries.
During uncertain times for the stock market, inflation and interest
rates, we believe a balanced approach is an especially prudent choice
for investors. The Thrivent Balanced Portfolio offers investors broad
exposure to both the U.S. stock and fixed income markets.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Lehman
Brothers Consumer
Balanced S&P 500 Aggregate Price
Date Portfolio Index* Bond Index** Index***
- -------------------------------------------------------------------------------
June 14, 1995 10,000 10,000 10,000 10,000
1995 10,107 10,163 9,988 10,020
1995 10,295 10,500 9,966 10,020
1995 10,351 10,526 10,086 10,046
1995 10,635 10,970 10,184 10,066
1995 10,678 10,931 10,316 10,099
1995 10,977 11,411 10,471 10,092
1995 11,146 11,631 10,618 10,085
1996 11,378 12,027 10,688 10,145
1996 11,372 12,138 10,503 10,177
1996 11,394 12,255 10,430 10,230
1996 11,466 12,436 10,371 10,269
1996 11,618 12,756 10,350 10,289
1996 11,695 12,805 10,489 10,296
1996 11,429 12,239 10,518 10,315
1996 11,550 12,497 10,500 10,335
1996 11,984 13,201 10,683 10,368
1996 12,262 13,565 10,920 10,401
1996 12,803 14,590 11,107 10,421
1996 12,666 14,301 11,003 10,421
1997 13,111 15,195 11,037 10,453
1997 13,183 15,314 11,064 10,486
1997 12,848 14,685 10,942 10,512
1997 13,337 15,561 11,106 10,526
1997 13,820 16,509 11,211 10,519
1997 14,225 17,248 11,344 10,532
1997 14,999 18,621 11,650 10,545
1997 14,480 17,578 11,550 10,565
1997 15,001 18,540 11,721 10,591
1997 14,804 17,921 11,891 10,618
1997 15,171 18,751 11,945 10,611
1997 15,416 19,073 12,066 10,598
1998 15,583 19,283 12,220 10,618
1998 16,189 20,674 12,211 10,637
1998 16,667 21,733 12,253 10,657
1998 16,799 21,952 12,317 10,677
1998 16,704 21,574 12,434 10,696
1998 17,131 22,451 12,540 10,710
1998 17,041 22,211 12,566 10,723
1998 15,800 19,000 12,771 10,736
1998 16,476 20,217 13,070 10,749
1998 17,194 21,862 13,001 10,775
1998 17,791 23,187 13,074 10,775
1998 18,387 24,523 13,114 10,769
1999 18,842 25,548 13,207 10,795
1999 18,405 24,754 12,977 10,808
1999 18,840 25,745 13,049 10,841
1999 19,256 26,742 13,090 10,920
1999 18,938 26,110 12,975 10,920
1999 19,495 27,560 12,934 10,920
1999 19,146 26,699 12,879 10,953
1999 19,108 26,567 12,872 10,979
1999 18,908 25,839 13,022 11,032
1999 19,586 27,474 13,070 11,051
1999 19,811 28,032 13,069 11,058
1999 20,409 29,684 13,006 11,058
2000 19,822 28,192 12,963 11,084
2000 19,713 27,659 13,120 11,150
2000 20,815 30,364 13,293 11,242
2000 20,522 29,451 13,255 11,248
2000 20,291 28,846 13,249 11,255
2000 20,710 29,557 13,524 11,321
2000 20,604 29,096 13,647 11,340
2000 21,416 30,903 13,845 11,354
2000 20,847 29,271 13,932 11,413
2000 20,844 29,147 14,024 11,432
2000 20,075 26,849 14,254 11,439
2000 20,273 26,981 14,518 11,432
2001 20,834 27,938 14,756 11,505
2001 19,850 25,391 14,884 11,551
2001 19,178 23,782 14,959 11,577
2001 19,978 25,630 14,897 11,623
2001 20,088 25,802 14,987 11,675
2001 19,829 25,174 15,043 11,695
2001 19,865 24,926 15,380 11,662
2001 19,236 23,366 15,556 11,662
2001 18,465 21,479 15,737 11,715
2001 18,807 21,889 16,066 11,675
2001 19,516 23,568 15,845 11,656
2001 19,566 23,774 15,744 11,610
2002 19,457 23,427 15,872 11,636
2002 19,321 22,976 16,025 11,682
2002 19,579 23,840 15,759 11,748
2002 19,035 22,394 16,064 11,813
2002 19,026 22,229 16,201 11,813
2002 18,323 20,646 16,341 11,820
2002 17,682 19,036 16,538 11,833
2002 17,881 19,162 16,817 11,873
2002 16,882 17,081 17,090 11,892
2002 17,678 18,583 17,011 11,922
2002 18,273 19,676 17,007 11,922
2002 17,756 18,521 17,358 11,896
2003 17,485 18,037 17,374 11,948
2003 17,413 17,766 17,613 12,040
2003 17,501 17,938 17,599 12,113
2003 18,385 19,414 17,745 12,086
2003 19,058 20,436 18,075 12,067
2003 19,185 20,697 18,039 12,080
2003 19,163 21,062 17,433 12,093
2003 19,417 21,472 17,549 12,139
2003 19,463 21,245 18,013 12,178
2003 20,018 22,446 17,845 12,165
2003 20,131 22,643 17,888 12,132
2003 20,804 23,830 18,070 12,119
2004 21,075 24,267 18,215 12,178
2004 21,311 24,605 18,413 12,244
2004 21,177 24,234 18,551 12,323
2004 20,810 23,854 18,068 12,363
2004 20,938 24,180 17,996 12,435
June 30, 2004 $21,209 $24,649 $18,099 $12,474
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 Lehman Brothers Aggregate Bond Index is an index that measures the
performance of U.S. 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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may
be worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or
visit www.thrivent.com for more current performance results. 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. The prospectus contains more complete
information on the objectives, risks, charges and expenses of the
investment company which investors should read and consider carefully
before investing. Please read your prospectus carefully.
[PHOTOS OMITTED: PAUL J. OCENASEK AND MARK L. SIMENSTAD]
Thrivent High Yield Portfolio
Paul J. Ocenasek, (left) and Mark L. Simenstad, (right), Portfolio
Co-Managers
The Thrivent 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, while also considering growth of capital as a secondary
objective.
The high-yield segment of the fixed-income markets was relatively
volatile during the first half of 2004, yet ended with the lower and
upper tiers of the quality spectrum delivering somewhat uniform
returns. For the six-month period ended June 30, 2004, the High Yield
Portfolio returned 1.46%, marginally outperforming its primary
benchmark, the Lehman Brothers High Yield Bond Index, which generated
a return of 1.36%. The Portfolio significantly outperformed its Lipper
Inc. peer group of similar high yield bond portfolios, which posted a
median return of 1.09%.
Intra-Period Volatility Results in Uniform Returns for High Yield
Market
The high-yield bond segment of the fixed-income markets was relatively
volatile over the course of the review period, as different tiers of
the quality spectrum competed for outperformance. During the first
quarter of the year, higher-quality bonds outperformed the riskier
credits in the high-yield market, reversing a year-long trend. The
catalyst for this shift was a statement by the Federal Reserve Board
that seemed to pave the way for a rate hike sooner than some investors
had expected. This, coupled with investors' mounting fears over a
growing U.S. involvement in a war with Iraq, generated some choppiness
as the review period began. For the remainder of the period, when
robust economic data emerged, particularly regarding a vastly improved
employment picture, yield spreads, or differences, tightened a bit.
The lower-quality segments of the high-yield market began to spring
back, and for the six-month period as a whole, B-rated, BB-rated and
CCC-rated credits delivered remarkably uniform performance.
Factors Impacting Performance
Our active management of the Portfolio's exposure to bonds of varying
credit quality within the high-yield universe proved to be the most
significant driver of our outperformance this period. Our overweighted
exposure to B-rated bonds, which modestly outperformed lower-quality
bonds this period, added to performance. Likewise, our decision to
underweight the Portfolio's exposure to BB- and CCC-rated credits
helped our relative performance for the six-month period.
Another positive impact to performance was the fact that early in the
period, we began taking profits from some of our holdings in the
utilities sector. After reducing our exposure to an underweighted
posture by harvesting gains for the Portfolio, this sector lagged the
market.
Our decision to increase the Portfolio's exposure to more cyclical industry
sectors, such as chemicals, manufacturing and metals/mining bonds, also
boosted returns, as these sectors in general outperformed many other sectors
this period.
On the negative side, the fact that we ran a fully invested portfolio
and maintained a lower cash position than did many of our peers
detracted from relative performance. While the Portfolio posted
positive returns, price movements for most of our holdings were
negative.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Communications Services 16.0%
Consumer Cyclical 14.2%
Capital Goods 11.0%
Utilities 10.0%
Basic Materials 9.7%
Consumer Non-Cyclical 7.7%
Energy 4.6%
Financials 4.0%
Technology 2.6%
Transportation 2.1%
Moody's Bond Quality
Ratings Distributions
Aaa 0.0%
Aa 0.0%
A 0.0%
Baa 1.1%
Ba 25.7%
B 65.6%
Caa 6.7%
Ca 0.0%
C 0.0%
D 0.2%
Not Rated 0.9%
Top 10 Holdings by Issuer
(% of Portfolio)
Williams Companies, Inc. 1.2%
Nextel Communications, Inc. 1.0%
Allied Waste North America, Inc. 0.9%
Quest Services Corporation 0.9%
Midland Funding Corporation II 0.9%
Edison Mission Energy 0.8%
Georgia-Pacific Corporation 0.8%
Sovereign Real Estate
Investment Corporation 0.8%
BCP Caylux Holdings Luxembourg SCA 0.7%
Group 1 Automotive, Inc. 0.7%
Footnote reads:
These holdings represent 8.7% of the total investment portfolio.
Footnotes read:
* High-yield bonds carry greater volatility and risk than investment
grade bonds.
Quoted Top Industries, Moody's Bond Quality Ratings Distributions and Top 10
Holdings by Issuer are subject to change. The lists of Top Industries and
Top 10 Holdings by Issuer exclude short-term investments and collateral held
for securities loaned. Moody's Bond Quality Ratings only reflect long-term
fixed income securities.
Portfolio Facts
June 30, 2004
Net Assets $844,013,551 NAV $5.01
NAV -- High+ 1/26/2004 -- $5.24
NAV -- Low+ 5/17/2004 -- $4.92
Number of Holdings: 257 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
1 Year 5-Year 10-Year
- ---------------------------------------
10.78% -1.24% 3.87%
Outlook
We anticipate that upward pressure on interest rates will continue for
the remainder of the year and as such, we intend to maintain our
emphasis on single B-rated credits while underweighting our exposure
to BB-rated and CCC-rated debt. While we are generally optimistic that
economic growth will continue in the U.S., given the risk/return
profile many of these securities offer we aren't convinced there will
be adequate payoff to compensate for the additional risk these
securities would introduce into the Portfolio.
We believe there is ample reason to maintain a positive outlook for
the remainder of the year. Corporate profits remain strong, and the
debt burden of many highly-leveraged companies continues to drop, as
many companies' efforts to pay down debt accelerated in the second
quarter. With default rates still decreasing, market fundamentals
still solid, and with many high-yield bonds now more fairly valued, in
our opinion, we believe the high-yield bond market currently offers
solid opportunity for favorable coupon yield plus potential price
appreciation over the months to come.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Lehman
Brothers Consumer
High Yield High Yield Price
Date Portfolio Bond Index** Index***
- ------------------------------------------------------------------------------
June 30, 1994 10,000 10,000 10,000
1994 9,927 10,085 10,027
1994 10,004 10,156 10,068
1994 9,952 10,157 10,095
1994 9,981 10,181 10,101
1994 9,767 10,053 10,115
1994 9,710 10,127 10,115
1995 9,742 10,264 10,155
1995 10,122 10,616 10,196
1995 10,223 10,730 10,230
1995 10,474 11,003 10,264
1995 10,697 11,312 10,284
1995 10,749 11,384 10,304
1995 11,090 11,527 10,304
1995 11,138 11,563 10,331
1995 11,243 11,705 10,351
1995 11,296 11,778 10,385
1995 11,428 11,882 10,378
1995 11,613 12,068 10,372
1996 11,884 12,281 10,432
1996 12,186 12,290 10,466
1996 12,069 12,282 10,520
1996 12,150 12,309 10,561
1996 12,286 12,383 10,581
1996 12,187 12,486 10,588
1996 12,101 12,544 10,608
1996 12,296 12,679 10,628
1996 12,716 12,985 10,662
1996 12,681 13,085 10,696
1996 12,813 13,343 10,716
1996 12,963 13,438 10,716
1997 13,119 13,569 10,750
1997 13,311 13,794 10,784
1997 12,886 13,588 10,811
1997 12,888 13,732 10,824
1997 13,382 14,025 10,818
1997 13,766 14,220 10,831
1997 14,239 14,611 10,845
1997 14,286 14,577 10,865
1997 14,730 14,866 10,892
1997 14,600 14,879 10,919
1997 14,647 15,022 10,912
1997 14,791 15,153 10,899
1998 15,105 15,426 10,919
1998 15,314 15,517 10,939
1998 15,515 15,662 10,959
1998 15,455 15,724 10,980
1998 15,401 15,779 11,000
1998 15,477 15,835 11,014
1998 15,572 15,925 11,027
1998 14,315 15,047 11,041
1998 14,103 15,115 11,054
1998 13,807 14,805 11,081
1998 14,492 15,419 11,081
1998 14,569 15,436 11,074
1999 14,889 15,665 11,101
1999 14,773 15,573 11,115
1999 15,045 15,722 11,149
1999 15,645 16,026 11,230
1999 15,400 15,809 11,230
1999 15,563 15,776 11,230
1999 15,606 15,839 11,264
1999 15,455 15,664 11,291
1999 15,340 15,551 11,345
1999 15,300 15,448 11,365
1999 15,644 15,630 11,372
1999 16,101 15,806 11,372
2000 16,191 15,737 11,399
2000 16,617 15,768 11,466
2000 16,287 15,436 11,561
2000 15,923 15,461 11,568
2000 15,492 15,303 11,574
2000 15,710 15,614 11,642
2000 15,582 15,733 11,662
2000 15,471 15,841 11,676
2000 15,057 15,702 11,737
2000 14,239 15,200 11,757
2000 12,739 14,598 11,764
2000 12,790 14,879 11,757
2001 13,948 15,994 11,831
2001 13,918 16,207 11,878
2001 13,172 15,825 11,905
2001 12,739 15,628 11,953
2001 12,858 15,910 12,007
2001 12,369 15,464 12,027
2001 12,391 15,691 11,993
2001 12,528 15,876 11,993
2001 11,613 14,809 12,047
2001 11,962 15,176 12,007
2001 12,327 15,729 11,987
2001 12,325 15,665 11,939
2002 12,520 15,774 11,966
2002 12,222 15,554 12,014
2002 12,438 15,928 12,081
2002 12,548 16,177 12,149
2002 12,331 16,093 12,149
2002 11,464 14,907 12,155
2002 10,952 14,255 12,169
2002 11,044 14,662 12,210
2002 10,835 14,469 12,230
2002 10,645 14,343 12,260
2002 11,290 15,232 12,260
2002 11,259 15,445 12,233
2003 11,572 15,959 12,287
2003 11,780 16,155 12,382
2003 12,113 16,620 12,456
2003 12,717 17,606 12,429
2003 12,808 17,787 12,409
2003 13,199 18,299 12,423
2003 13,073 18,098 12,436
2003 13,264 18,306 12,483
2003 13,615 18,806 12,524
2003 13,920 19,186 12,511
2003 14,071 19,477 12,477
2003 14,411 19,918 12,463
2004 14,626 20,298 12,524
2004 14,595 20,247 12,592
2004 14,683 20,385 12,673
2004 14,635 20,246 12,713
2004 14,431 19,903 12,788
June 30, 2004 $14,622 $20,188 $12,828
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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may
be worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or
visit www.thrivent.com for more current performance results. 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. The prospectus contains more complete
information on the objectives, risks, charges and expenses of the
investment company which investors should read and consider carefully
before investing. Please read your prospectus carefully.
[PHOTOS OMITTED: PAUL J. OCENASEK AND MARK L. SIMENSTAD]
Thrivent
Partner High Yield Portfolio
(Formerly High Yield Bond Portfolio)
Paul J. Ocenasek, (left), and Mark L. Simenstad, (right), Portfolio
Co-Managers
The Thrivent Partner High Yield Portfolio seeks high current income and,
secondarily, capital growth by investing primarily in high-risk, high-yield
bonds commonly referred to as "junk bonds." * During this reporting period,
PIMCO, LLC discontinued serving as subadvisor for Partner High Yield
Portfolio, and Thrivent Financial assumed day-to-day investment management
responsibility for the portfolio.
The high-yield segment of the fixed-income markets was relatively
volatile during the first half of 2004, yet ended with the lower and
upper tiers of the quality spectrum delivering somewhat uniform
returns. For the six-month period ended June 30, 2004, the Partner
High Yield Portfolio returned -0.35%, significantly underperforming
its primary benchmark, the Merrill Lynch High Yield Cash Pay Index,
which generated a return of 1.31%. The Portfolio also underperformed
its Lipper Inc. peer group of similar high yield portfolios, which
posted a median return of 1.09%.
High-Yield Sector Delivers Uniform Performance for Period
During the first quarter of the year, higher-quality bonds outperformed the
riskier credits in the high-yield market, reversing a year-long trend. The
catalyst for this shift was a statement by the Federal Reserve Board that
seemed to pave the way for a rate hike sooner than some investors had
expected. This, coupled with investors' mounting fears over a growing U.S.
involvement in a war with Iraq, generated some choppiness as the review
period began. For the remainder of the period, when robust economic data
emerged, particularly regarding a vastly improved employment picture, yield
spreads, or differences, tightened a bit. The lower-quality segments of the
high-yield market began to spring back, and for the six-month period as a
whole, B-rated, BB-rated and CCC-rated credits ended up delivering remarkably
uniform performance.
Factors Impacting Performance
There are several reasons for our underperformance versus both our
benchmark and our peer group. First, our exposure to sovereign bonds
issued in the emerging markets, which generally performed poorly for
the six-month period, substantially detracted from performance. This
segment of the high-yield bond market experienced a marked sell-off
during the first few months of the year, and consequently, suffered.
Similarly, the fact that we maintained a significantly overweighted
exposure to the utilities sector throughout the period also hurt us.
Despite strong performance in the beginning of the period, many of
these bonds lagged the market by the end of the review period.
Finally, the fact that the portfolio held large positions in
individual bonds also detracted from returns. Holdings such as El Paso
and Qwest, both of which performed poorly, hurt us more significantly
due to the large position we held in each of them. As a result, we've
worked to more thoroughly diversify the Portfolio's holdings as well
as increase the number of holdings within the Portfolio. Overall,
these factors detracted from performance vis-a-vis our benchmark and
our Lipper peer group.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Communications Services 17.3%
Consumer Cyclical 14.2%
Utilities 11.1%
Capital Goods 10.3%
Basic Materials 8.8%
Consumer Non-Cyclical 8.1%
Financials 5.6%
Energy 5.3%
Technology 1.8%
Transportation 0.9%
Moody's Bond Quality
Ratings Distributions
Aaa 0.0%
Aa 0.0%
A 0.3%
Baa 1.6%
Ba 32.5%
B 56.9%
Caa 6.8%
Ca 0.0%
C 0.0%
D 0.0%
Not Rated 1.9%
Top 10 Holdings by Issuer
(% of Portfolio)
Nextel Communications, Inc. 1.5%
Allied Waste North America, Inc. 1.4%
Williams Companies, Inc 1.4%
Quest Communications International, Inc. 1.2%
AES Corporation 1.2%
CMS Energy Corporation 1.2%
Charter Communications Holdings, LLC 0.9%
Nalco Company 0.9%
Edison Mission Energy 0.9%
Tenet Healthcare Corporation 0.9%
Footnote reads:
These holdings represent 11.5% of the total investment portfolio.
Footnotes read
* High-yield bonds carry greater volatility and risk than investment
grade bonds.
Quoted Top Industries, Moody's Bond Quality Ratings Distributions and Top 10
Holdings by Issuer are subject to change. The lists of Top Industries and
Top 10 Holdings by Issuer exclude short-term investments and collateral held
for securities loaned. Moody's Bond Quality Ratings only reflect long-term
fixed income securities.
Portfolio Facts
June 30, 2004
Net Assets $93,478,059 NAV $6.49
NAV -- High+ 1/22/2004 -- $6.87
NAV -- Low+ 5/14/2004 -- $6.38
Number of Holdings: 257 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 3/2/1998
- ------------------------------------
8.03% 3.78% 2.36%
Outlook
We acknowledge that many factors worked against our performance this
period. However, we believe there is ample reason to maintain a
positive outlook for the remainder of the year. From a macro
perspective, corporate profits remain strong, default rates continue
to decrease, market fundamentals remain solid, and many segments of
the high-yield bond appear more fairly valued, in our opinion. All of
these factors paint a favorable backdrop for the high-yield market
over the course of the year.
In terms of our active management of the Portfolio's holdings, we
believe we've taken several key steps to improve the Portfolio's
overall risk/return profile. First, we've significantly lessened our
exposure to the utilities sector, which we believe will help shield
the Portfolio from what is likely to continue to be a beleaguered
sector for the remainder of the year. Second, we believe our efforts
to emphasize B-rated credits and sell off some of our lower-quality
bonds will help mitigate the Portfolio's overall risk level with room
for favorable coupon income. Finally, our efforts to more fully
diversify the Portfolio will, by nature, help reduce and manage our
risk. We are convinced that the favorable macro environment, coupled
with our efforts to refocus the Portfolio's emphasis and composition,
will bode well for our returns and our valued investors.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Merrill Lynch
Partner High Yield Consumer
High Yield Cash Pay Price
Date Portfolio Index** Index***
- ------------------------------------------------------------------------------
March 2, 1998 10,000 10,000 10,000
1998 10,090 10,097 10,019
1998 10,139 10,145 10,037
1998 10,169 10,216 10,056
1998 10,219 10,266 10,068
1998 10,265 10,325 10,080
1998 9,539 9,879 10,093
1998 9,475 9,899 10,105
1998 9,224 9,736 10,130
1998 9,710 10,180 10,130
1998 9,675 10,183 10,124
1999 9,803 10,284 10,148
1999 9,646 10,205 10,161
1999 9,690 10,293 10,191
1999 9,828 10,454 10,266
1999 9,668 10,382 10,266
1999 9,628 10,362 10,266
1999 9,630 10,378 10,296
1999 9,488 10,272 10,321
1999 9,328 10,233 10,371
1999 9,079 10,173 10,389
1999 9,155 10,289 10,395
1999 9,245 10,343 10,395
2000 9,229 10,292 10,420
2000 9,284 10,301 10,482
2000 9,126 10,157 10,568
2000 9,147 10,160 10,574
2000 9,015 10,049 10,581
2000 9,171 10,221 10,642
2000 9,100 10,294 10,661
2000 9,247 10,420 10,673
2000 9,169 10,359 10,729
2000 9,005 10,055 10,747
2000 8,788 9,740 10,754
2000 9,109 9,951 10,747
2001 9,521 10,545 10,815
2001 9,563 10,711 10,859
2001 9,407 10,570 10,883
2001 9,301 10,454 10,927
2001 9,352 10,655 10,976
2001 9,088 10,436 10,994
2001 9,213 10,598 10,964
2001 9,282 10,700 10,964
2001 8,767 10,014 11,013
2001 9,053 10,309 10,976
2001 9,254 10,644 10,957
2001 9,238 10,569 10,914
2002 9,260 10,628 10,939
2002 9,152 10,526 10,982
2002 9,254 10,776 11,044
2002 9,326 10,947 11,106
2002 9,265 10,888 11,106
2002 8,776 10,111 11,112
2002 8,348 9,711 11,124
2002 8,694 9,954 11,161
2002 8,494 9,801 11,180
2002 8,560 9,719 11,208
2002 9,132 10,301 11,208
2002 9,274 10,458 11,183
2003 9,515 10,759 11,232
2003 9,651 10,897 11,319
2003 9,850 11,179 11,387
2003 10,353 11,807 11,362
2003 10,469 11,932 11,344
2003 10,729 12,260 11,356
2003 10,600 12,085 11,368
2003 10,773 12,237 11,412
2003 11,025 12,570 11,449
2003 11,238 12,827 11,436
2003 11,349 13,004 11,405
2003 11,631 13,305 11,393
2004 11,742 13,512 11,449
2004 11,653 13,503 11,511
2004 11,699 13,598 11,585
2004 11,614 13,500 11,622
2004 11,476 13,285 11,690
June 30, 2004 $11,591 $13,479 $11,727
Footnotes read:
** The Merrill Lynch High Yield Cash Pay Index is an index comprised of
approximately 1,200 "cash pay" high yield bonds representative of the
high-yield market as a whole. 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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may
be worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or
visit www.thrivent.com for more current performance results. 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. The prospectus contains more complete
information on the objectives, risks, charges and expenses of the
investment company which investors should read and consider carefully
before investing. Please read your prospectus carefully.
[PHOTOS OMITTED: MICHAEL G. LANDREVILLE AND ALAN D. ONSTAD]
Thrivent Income Portfolio
Michael G. Landreville, (left) and Alan D. Onstad, (right), Portfolio
Co-Managers
The Thrivent 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.
Rising interest rates during the six-month period ended June 30, 2004
stifled returns for bond investors. During the period, the Thrivent
Income Portfolio posted a -0.01% total return. During the same period,
the Portfolio's Lipper Inc. peer group of similar fixed-income
portfolios earned a 0.17% median return, while its market benchmark,
the Lehman Brothers Aggregate Bond Index, returned 0.15%.
Employment Figures Spark Rates
The first half of the period was marked by a significant drop in
interest rates, as concerns about a "jobless recovery" left many
observers to conclude that the Federal Reserve Board had no imminent
need to tighten its monetary policies. Then, in April, interest rates
did an about-face following the release of surprisingly strong
employment numbers. Therefore, while rates were up only modestly for
the period, there was tremendous movement throughout the first two
quarters.
While the Fed's actual tightening was miniscule -- from 1% to 1.25% --
the actual and anticipated rise in rates created negative price
returns for bond investors. However, those negative returns were
essentially offset by positive coupon returns. The result was
across-the-board returns that hovered near 0%. Consistent with such an
environment, there weren't many significant performances by asset
categories. Corporate bonds performed in line with the overall index,
as did the various rating categories from AAA down to BBB.
Factors Impacting Performance
One notable area of outperformance during the period was in Treasury
Inflation Protected Securities (TIPS). The Portfolio's overweighted
position in TIPS aided returns until June, when we eliminated those
holdings on a belief that the end of the long-running TIPS rally was
imminent.
However, while we were able to capture the opportunity presented by
TIPS, the Portfolio did not participate in the strong returns produced
by mortgage-backed securities during the period. Due to concerns about
the effects of a rising interest-rate environment, which typically
curtails returns for mortgage-backed securities, we maintained an
underweighted stance for the period. However, diminished fears of
extension risk helped propel mortgage-backed securities to positive
returns. This underweighting was the primary reason for the
Portfolio's underperformance versus its Lipper peer group and its
market benchmark.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 14.7%
U.S. Government 13.1%
Communications Services 6.1%
Utilities 5.7%
Consumer Cyclical 5.6%
Asset-Backed Securities 5.4%
Mortgage-Backed Securities 5.0%
Capital Goods 5.0%
Transportation 4.0%
Commercial Mortgage-Backed Securit 2.5%
Moody's Bond Quality
Ratings Distributions
Aaa 37.6%
Aa 1.4%
A 12.1%
Baa 31.1%
Ba 13.5%
B 3.8%
Caa 0.0%
Ca 0.0%
C 0.0%
D 0.0%
Not Rated 0.5%
Top 10 Holdings
(% of Portfolio)
Federal National Mortgage Association
(July 2034) 3.8%
U.S. Treasury Notes (May 2005) 2.7%
U.S. Treasury Bonds (August 2029) 2.6%
Lehman Brothers, Inc. 2.1%
Federal National Mortgage Association
(July 2019) 1.3%
Federal Home Loan Mortgage Corporation (September 2005) 1.2%
U.S. Government Zero Coupon Bonds 1.1%
Chase Credit Card Master Trust 1.1%
CalEnergy Company, Inc. 1.0%
Student Loan Marketing Association
(March 2005) 0.9%
Footnote reads:
These holdings represent 17.8% of the total investment portfolio.
Footnote reads:
Quoted Top Industries, Moody's Bond Quality Ratings Distributions and Top 10
Holdings are subject to change. The lists of Top Industries and Top 10
Holdings exclude short-term investments and collateral held for securities
loaned. Moody's Bond Quality Ratings only reflect long-term fixed income
securities.
Portfolio Facts
June 30, 2004
Net Assets $1,008,592,137 NAV $9.98
NAV -- High+ 3/9/2004 -- $10.41
NAV -- Low+ 6/14/2004 -- $9.89
Number of Holdings: 176 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
1 Year 5-Year 10-Year
- --------------------------------------------
1.40% 6.43% 7.02%
Outlook
The overall health of the economy bodes well for corporate bonds, and
we anticipate a continued slight overweighting in that sector. We will
also add to our holdings in mortgage-backed securities as they
typically hold-in better in a range-bound interest rate environment.
As noted above, after gathering the returns of our past TIPS exposure,
we have eliminated the Portfolio's TIPS holdings for the foreseeable
future.
Looking ahead, we believe the economy will sustain its growth trends
and the Fed will continue to raise interest rates. As a guard against
this rising-rate environment, the Portfolio will maintain a modestly
short duration as compared to its benchmark.
Despite the challenges presented by a volatile rate environment, the
most significant risk in the coming months -- geopolitical risk --
will be much more difficult to predict. Major events such as the
political conventions, the Olympics and the presidential election
could raise fears of a possible terrorist attack. As a result,
interest rates will likely remain lower than they might otherwise be
as investors are attracted to the relative safe-haven of Treasuries.
The Thrivent Income Portfolio continues to offer an attractive
complement to the Thrivent Limited Maturity Bond Portfolio. With
slightly higher duration and credit-quality risk, it offers an
appealing bridge between the more conservative Limited Maturity Bond
Portfolio and high yield alternatives.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Lehman
Brothers Consumer
Income Aggregate Price
Date Portfolio Bond Index* Index**
- ------------------------------------------------------------------------------
June 30, 1994 10,000 10,000 10,000
1994 10,216 10,199 10,027
1994 10,242 10,211 10,068
1994 10,062 10,061 10,095
1994 10,025 10,052 10,101
1994 10,027 10,030 10,115
1994 10,090 10,099 10,115
1995 10,273 10,299 10,155
1995 10,508 10,544 10,196
1995 10,567 10,608 10,230
1995 10,748 10,757 10,264
1995 11,214 11,173 10,284
1995 11,306 11,255 10,304
1995 11,241 11,230 10,304
1995 11,383 11,365 10,331
1995 11,492 11,476 10,351
1995 11,669 11,625 10,385
1995 11,851 11,799 10,378
1995 12,043 11,965 10,372
1996 12,112 12,044 10,432
1996 11,857 11,835 10,466
1996 11,740 11,753 10,520
1996 11,667 11,686 10,561
1996 11,660 11,663 10,581
1996 11,805 11,819 10,588
1996 11,829 11,852 10,608
1996 11,786 11,832 10,628
1996 12,016 12,038 10,662
1996 12,295 12,305 10,696
1996 12,548 12,516 10,716
1996 12,481 12,399 10,716
1997 12,520 12,437 10,750
1997 12,579 12,468 10,784
1997 12,394 12,330 10,811
1997 12,540 12,514 10,824
1997 12,671 12,633 10,818
1997 12,854 12,783 10,831
1997 13,234 13,127 10,845
1997 13,094 13,015 10,865
1997 13,305 13,207 10,892
1997 13,411 13,399 10,919
1997 13,471 13,461 10,912
1997 13,573 13,596 10,899
1998 13,756 13,771 10,919
1998 13,779 13,760 10,939
1998 13,858 13,808 10,959
1998 13,935 13,880 10,980
1998 14,056 14,011 11,000
1998 14,188 14,130 11,014
1998 14,211 14,160 11,027
1998 14,307 14,391 11,041
1998 14,706 14,727 11,054
1998 14,621 14,650 11,081
1998 14,793 14,733 11,081
1998 14,847 14,777 11,074
1999 14,989 14,882 11,101
1999 14,645 14,623 11,115
1999 14,734 14,704 11,149
1999 14,770 14,750 11,230
1999 14,555 14,621 11,230
1999 14,480 14,574 11,230
1999 14,426 14,513 11,264
1999 14,391 14,505 11,291
1999 14,540 14,673 11,345
1999 14,557 14,728 11,365
1999 14,589 14,726 11,372
1999 14,547 14,656 11,372
2000 14,495 14,608 11,399
2000 14,668 14,784 11,466
2000 14,831 14,979 11,561
2000 14,735 14,936 11,568
2000 14,672 14,929 11,574
2000 15,048 15,240 11,642
2000 15,174 15,378 11,662
2000 15,404 15,601 11,676
2000 15,460 15,699 11,737
2000 15,504 15,803 11,757
2000 15,696 16,062 11,764
2000 16,055 16,360 11,757
2001 16,409 16,627 11,831
2001 16,569 16,772 11,878
2001 16,585 16,856 11,905
2001 16,487 16,786 11,953
2001 16,590 16,888 12,007
2001 16,603 16,951 12,027
2001 16,988 17,330 11,993
2001 17,168 17,529 11,993
2001 17,201 17,733 12,047
2001 17,600 18,104 12,007
2001 17,383 17,855 11,987
2001 17,235 17,741 11,939
2002 17,338 17,885 11,966
2002 17,480 18,058 12,014
2002 17,240 17,758 12,081
2002 17,491 18,102 12,149
2002 17,602 18,256 12,149
2002 17,616 18,414 12,155
2002 17,465 18,636 12,169
2002 17,790 18,950 12,210
2002 18,025 19,257 12,230
2002 17,734 19,169 12,260
2002 17,832 19,164 12,260
2002 18,226 19,560 12,233
2003 18,342 19,577 12,287
2003 18,677 19,847 12,382
2003 18,729 19,832 12,456
2003 19,047 19,996 12,429
2003 19,466 20,368 12,409
2003 19,504 20,328 12,423
2003 18,929 19,644 12,436
2003 19,050 19,775 12,483
2003 19,533 20,298 12,524
2003 19,481 20,109 12,511
2003 19,551 20,157 12,477
2003 19,778 20,362 12,463
2004 19,959 20,526 12,524
2004 20,136 20,748 12,592
2004 20,286 20,904 12,673
2004 19,801 20,360 12,713
2004 19,679 20,279 12,788
June 30, 2004 $19,776 $20,394 $12,828
Footnotes read:
* The Lehman Brothers Aggregate Bond Index is an index that measures the
performance of U.S. 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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may be
worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus contains more complete information on the
objectives, risks, charges and expenses of the investment company which
investors should read and consider carefully before investing. Please read
your prospectus carefully.
[PHOTO OMITTED: STEVEN H. C. LEE]
Thrivent Bond Index Portfolio
Steven H. C. Lee, Portfolio Manager
The Thrivent Bond Index Portfolio strives for investment results
similar to the total return of the Lehman Brothers Aggregate Bond
Index by investing primarily in bonds and other debt securities
included in the Index.
During the semiannual reporting period ended June 30, 2004, an
increase in inflation numbers caused most sectors of the bond market
to experience flat to slightly negative performance. For the six
months, the Thrivent Bond Index Portfolio posted a return of -0.07%.
The Portfolio's unmanaged benchmark, the Lehman Brothers Aggregate
Bond Index, gained 0.15% over the same time frame.
Inflation Worries Keep All Eyes on the Fed
Investors spent the six-month period anxiously watching economic data
on inflation and job growth in anticipation of an interest rate move
by the Federal Reserve Board. On the last day of the reporting period,
the Fed raised its target for short-term interest rates a quarter of a
percentage point for the first time since May 2000. Although the Fed
reported that inflation was not a major threat at the June 30 meeting,
most investors believe rates will be raised further this year.
Initially performance was relatively strong for 10-year Treasuries as
rates drifted down from around 4.25% to 3.70% in mid-March. However,
the next month 10-year Treasury rates increased dramatically after
inflation numbers began to rise. During the rest of the reporting
period, rates bounced around and ended near 4.60%. Mortgage-backed
securities were the best-performing fixed income asset class for the
six months followed by asset-backed, agency, Treasury and corporate
securities.
Our goal with the Thrivent Bond Index Portfolio is to match, as
closely as possible, the composition and return of the Lehman Brothers
Aggregate Bond Index. As a result, we kept the duration and the sector
weights of the Portfolio in line with the index. The index duration at
the end of the period was 4.77 years which we tracked as closely as
possible. The Portfolio's sector weights as of June 30 included 36%
mortgage-backed securities, 25% corporate securities, 24% Treasuries,
11% agency securities, 3% commercial mortgage-backed securities and
1.5% asset-backed securities.
The Portfolio's slight underperformance on a relative basis was the result of
our corporate bond composition versus the index. With about 600 corporate
bond issuers in the Lehman Brothers Aggregate Bond Index, it is impossible
for the Portfolio to precisely replicate this sector. We own bonds from
almost 100 corporate issuers, paying particular attention to the portfolio's
exposure relative to the index. We also keep the industry weightings as close
to the index as possible.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
U.S. Government 24.3%
Mortgage-Backed Securities 22.9%
Financials 6.6%
Communications Services 2.1%
Consumer Cyclical 1.8%
Foreign 1.4%
Commercial Mortgage-Backed Securit 1.4%
Consumer Non-Cyclical 1.3%
Capital Goods 1.2%
Utilities 1.1%
Moody's Bond Quality
Ratings Distributions
Aaa 76.3%
Aa 2.2%
A 9.2%
Baa 12.0%
Ba 0.3%
B 0.0%
Caa 0.0%
Ca 0.0%
C 0.0%
D 0.0%
Not Rated 0.0%
Top 10 Holdings
(% of Portfolio)
Federal National Mortgage Association
(July 2034) 7.5%
U.S. Treasury Notes (May 2007) 3.6%
Federal National Mortgage Association
(July 2019) 3.0%
Federal Home Loan Mortgage Corporation
(July 2034) 2.3%
Federal National Mortgage Association
(July 2019) 1.9%
Federal Home Loan Mortgage Corporation
(July 2034) 1.7%
U.S. Treasury Notes (February 2011) 1.1%
U.S. Treasury Bonds (November 2028) 1.1%
U.S. Treasury Notes (November 2006) 1.0%
U.S. Treasury Notes (May 2006) 1.0%
Footnote reads:
These holdings represent 24.2% of the total investment portfolio.
Footnote reads:
Quoted Top Industries, Moody's Bond Quality Ratings Distributions and Top 10
Holdings are subject to change. The lists of Top Industries and Top 10
Holdings exclude short-term investments and collateral held for securities
loaned. Moody's Bond Quality Ratings only reflect long-term fixed income
securities.
Portfolio Facts
June 30, 2004
Net Assets $263,269,747 NAV $10.32
NAV -- High+ 3/17/2004 -- $10.77
NAV -- Low+ 6/14/2004 -- $10.18
Number of Holdings: 338 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 5-Year 6/14/1995
- --------------------------------------------
- -0.10% 6.66% 6.40%
Outlook
Going forward, we believe we will see a modest increase in inflation;
however, we don't expect it to rise dramatically. The Federal
Reserve's aggressiveness in keeping inflation under control will drive
the bond market for the rest of 2004. With rates still at historically
low levels, our outlook calls for the Fed to slowly and steadily raise
rates for the remainder of the year.
A rising rate environment will negatively affect the performance of
the bond market, especially the highest quality securities. We expect
10-year Treasury rates to move up modestly to around 5% by year-end
and possibly a little higher in 2005. We also anticipate that the
yield curve will flatten significantly, meaning there will be less
difference between short- and long-term rates. Because of this view,
it will be important for the Portfolio to get as close as possible to
the index's yield curve positioning in order to match its performance.
Right now we do not believe there are significant mispricings to take
advantage of in the bond market. Although corporate bonds appear to be
close to fair value, we anticipate they will modestly outperform
Treasuries for the rest of the fiscal year. We may also see agency
securities do somewhat better than Treasuries. After outperforming
during the first six months of the year, we currently believe
mortgage-backed securities are somewhat richly valued and will likely
fall short of Treasuries for the remainder of the period. With the
uncertainty surrounding inflation and interest rates, we believe an
investment in the Thrivent Bond Index Portfolio offers a prudent way
to get diversified exposure to the U.S. fixed income market.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Lehman
Brothers Consumer
Bond Index Aggregate Price
Date Portfolio Bond Index* Index**
- ------------------------------------------------------------------------------
June 14, 1995 10,000 10,000 10,000
1995 9,988 9,988 10,020
1995 9,956 9,966 10,020
1995 10,072 10,086 10,046
1995 10,164 10,184 10,066
1995 10,308 10,316 10,099
1995 10,447 10,471 10,092
1995 10,581 10,618 10,085
1996 10,652 10,688 10,145
1996 10,463 10,503 10,177
1996 10,388 10,430 10,230
1996 10,329 10,371 10,269
1996 10,309 10,350 10,289
1996 10,427 10,489 10,296
1996 10,454 10,518 10,315
1996 10,424 10,500 10,335
1996 10,609 10,683 10,368
1996 10,833 10,920 10,401
1996 10,975 11,107 10,421
1996 10,909 11,003 10,421
1997 10,944 11,037 10,453
1997 10,957 11,064 10,486
1997 10,845 10,942 10,512
1997 11,002 11,106 10,526
1997 11,096 11,211 10,519
1997 11,232 11,344 10,532
1997 11,526 11,650 10,545
1997 11,424 11,550 10,565
1997 11,591 11,721 10,591
1997 11,759 11,891 10,618
1997 11,811 11,945 10,611
1997 11,930 12,066 10,598
1998 12,083 12,220 10,618
1998 12,075 12,211 10,637
1998 12,118 12,253 10,657
1998 12,171 12,317 10,677
1998 12,278 12,434 10,696
1998 12,397 12,540 10,710
1998 12,414 12,566 10,723
1998 12,657 12,771 10,736
1998 12,945 13,070 10,749
1998 12,871 13,001 10,775
1998 12,917 13,074 10,775
1998 12,955 13,114 10,769
1999 13,026 13,207 10,795
1999 12,800 12,977 10,808
1999 12,869 13,049 10,841
1999 12,896 13,090 10,920
1999 12,752 12,975 10,920
1999 12,710 12,934 10,920
1999 12,671 12,879 10,953
1999 12,662 12,872 10,979
1999 12,817 13,022 11,032
1999 12,846 13,070 11,051
1999 12,841 13,069 11,058
1999 12,780 13,006 11,058
2000 12,725 12,963 11,084
2000 12,866 13,120 11,150
2000 13,033 13,293 11,242
2000 13,004 13,255 11,248
2000 12,987 13,249 11,255
2000 13,251 13,524 11,321
2000 13,360 13,647 11,340
2000 13,564 13,845 11,354
2000 13,663 13,932 11,413
2000 13,739 14,024 11,432
2000 13,982 14,254 11,439
2000 14,243 14,518 11,432
2001 14,542 14,756 11,505
2001 14,672 14,884 11,551
2001 14,672 14,959 11,577
2001 14,599 14,897 11,623
2001 14,666 14,987 11,675
2001 14,722 15,043 11,695
2001 15,049 15,380 11,662
2001 15,226 15,556 11,662
2001 15,442 15,737 11,715
2001 15,759 16,066 11,675
2001 15,550 15,845 11,656
2001 15,449 15,744 11,610
2002 15,551 15,872 11,636
2002 15,715 16,025 11,682
2002 15,416 15,759 11,748
2002 15,701 16,064 11,813
2002 15,841 16,201 11,813
2002 15,983 16,341 11,820
1995 16,202 16,538 11,833
2002 16,457 16,817 11,873
2002 16,723 17,090 11,892
2002 16,666 17,011 11,922
2002 16,604 17,007 11,922
2002 16,944 17,358 11,896
2003 16,936 17,374 11,948
2003 17,180 17,613 12,040
2003 17,157 17,599 12,113
2003 17,293 17,745 12,086
2003 17,596 18,075 12,067
2003 17,558 18,039 12,080
2003 16,937 17,433 12,093
2003 17,038 17,549 12,139
2003 17,503 18,013 12,178
2003 17,332 17,845 12,165
2003 17,376 17,888 12,132
2003 17,552 18,070 12,119
2004 17,686 18,215 12,178
2004 17,865 18,413 12,244
2004 18,007 18,551 12,323
2004 17,535 18,068 12,363
2004 17,440 17,996 12,435
June 30, 2004 $17,540 $18,099 $12,474
Footnotes read:
* The Lehman Brothers Aggregate Bond Index is an index that measures the
performance of U.S. 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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may be
worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus contains more complete information on the
objectives, risks, charges and expenses of the investment company which
investors should read and consider carefully before investing. Please read
your prospectus carefully.
[PHOTO OMITTED: MICHAEL G. LANDREVILLE]
Thrivent Limited
Maturity Bond Portfolio
Michael G. Landreville, Portfolio Manager
The Thrivent Limited Maturity Bond Portfolio seeks a high level of
current income consistent with stability of principal.
Positive coupon returns helped mitigate the effects of negative price returns
for bond investors during the six-month period ended June 30, 2004. For the
period, the Thrivent Limited Maturity Bond Portfolio produced a total return
of -0.12%. Meanwhile, its market benchmark, the Lehman Brothers
Government/Corporate 1-5 Year Bond Index, produced a -0.04% total return and
its Lipper Inc. peer group of similar short- to intermediate-maturity bond
funds, produced a median return of 0.09%.
Rising Rates, Lower Returns
Early in the period, there were two schools of thought regarding the
health of the U.S. economy. One school held that the recovery was
actually a "jobless recovery," which would compel the Federal Reserve
Board to adhere to its current easy monetary policies. The second
heralded an economy that was creating jobs and growing stronger than
originally believed, requiring a general tightening by the Fed.
The issue was settled in April with the release of surprisingly strong
employment numbers. This resulted in a reversal of the first half of the
period, which was marked by a significant drop in interest rates. The
subsequent rise in rates during the period and the anticipation of additional
rate hikes created negative price returns for bond investors. However, those
negative returns were essentially offset by positive coupon returns. The
bottom line was across-the-board returns that hovered near 0%.
Factors Impacting Performance
Consistent with such an environment, there weren't many significant
asset-category performances. Corporate bonds performed in line with
the overall index, as did the various rating categories from AAA down
to BBB. Two notable areas of outperformance during the period were in
Treasury Inflation Protected Securities (TIPS) and mortgage-backed
securities. While the Portfolio did not participate in the mortgage
securities rally, its overweighting in TIPS aided returns during the
period.
Negative influences during the period -- and the basis for the
Portfolio's relative underperformance -- included the Portfolio's
underweighting in U.S. government agency securities, which enjoyed
solid returns in the first half of 2004. In addition, untimely tweaks
to the Portfolio's duration versus its peers had a magnified impact in
light of the period's interest rate volatility.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Financials 15.7%
Mortgage-Backed Securities 6.6%
Asset-Backed Securities 4.4%
Consumer Cyclical 3.7%
Utilities 3.2%
Consumer Non-Cyclical 2.3%
Communications Services 2.0%
Commercial Mortgage-Backed Securit 1.8%
Transportation 1.8%
Foreign 1.8%
Moody's Bond Quality
Ratings Distributions
Aaa 58.0%
Aa 0.0%
A 6.9%
Baa 28.1%
Ba 7.0%
B 0.0%
Caa 0.0%
Ca 0.0%
C 0.0%
D 0.0%
Not Rated 0.0%
Top 10 Holdings
(% of Portfolio)
U.S. Treasury Notes (July 2005) 7.6%
U.S. Treasury Notes (January 2006) 5.0%
Federal National Mortgage Association
(July 2019) 5.0%
Morgan Stanley and Company 4.4%
U.S. Treasury Notes (May 2005) 2.1%
Federal National Mortgage Association
(July 2034) 1.7%
U.S. Treasury Notes (March 2005) 1.3%
Federal Home Loan Mortgage Corporation
(August 2005) 1.3%
U.S. Treasury Notes (August 2008) 1.1%
U.S. Treasury Notes (March 2009) 0.9%
Footnote reads:
These holdings represent 30.4% of the total investment portfolio.
Footnote reads:
Quoted Top Industries, Moody's Bond Quality Ratings Distributions and Top 10
Holdings are subject to change. The lists of Top Industries and Top 10
Holdings exclude short-term investments and collateral held for securities
loaned. Moody's Bond Quality Ratings only reflect long-term fixed income
securities.
Portfolio Facts
June 30, 2004
Net Assets $277,715,139 NAV $10.04
NAV -- High+ 3/17/2004 -- $10.33
NAV -- Low+ 6/14/2004 -- $9.99
Number of Holdings: 170 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
From
Inception
1 Year 11/30/2001
- --------------------------------------------
0.62% 3.66%
Outlook
For the foreseeable future, we believe the economy will sustain its
growth trends, causing the Fed to continue to raise interest rates. As
a guard against these conditions, the Portfolio will maintain a
modestly short duration as compared to its benchmark.
The overall health of the economy bodes well for corporate bonds, and
we anticipate a continued slight overweighting in that sector. We will
also add to our holdings in mortgage-backed securities as they
typically hold-in better in a range-bound interest rate environment.
We have sold off the Portfolio's TIPS holdings on a belief that the
end of the long-running TIPS rally is imminent.
Despite the challenges presented by a volatile rate environment, the
most significant risk in the coming months -- geopolitical risk --
will be much more difficult to predict. Major events such as the
political conventions, the Olympics and the presidential election will
be dogged by fears of a possible terrorist attack. As a result,
interest rates will likely remain lower than they might otherwise be
as investors are attracted to the relative safe-haven of Treasuries.
Overall, fixed income investments continue to offer valuable
diversification options. And, in a rising-rate environment, their
coupon income can very effectively mitigate the damage done by higher
rates.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Lehman
Brothers
Limited Government/
Maturity Corporate Consumer
Bond 1-5 Year Price
Date Portfolio Bond Index* Index**
- ------------------------------------------------------------------------------
November 30, 2001 10,000 10,000 10,000
2001 9,939 9,952 9,961
2002 10,005 10,022 9,983
2002 10,072 10,119 10,023
2002 9,970 9,985 10,079
2002 10,093 10,163 10,135
2002 10,153 10,252 10,135
2002 10,213 10,342 10,141
2002 10,267 10,466 10,152
2002 10,332 10,591 10,186
2002 10,422 10,732 10,203
2002 10,393 10,725 10,228
2002 10,381 10,713 10,228
2002 10,514 10,896 10,206
2003 10,526 10,907 10,251
2003 10,639 11,029 10,330
2003 10,641 11,035 10,392
2003 10,751 11,104 10,369
2003 10,874 11,241 10,353
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
2003 10,985 11,312 10,398
2004 11,032 11,386 10,448
2004 11,114 11,494 10,505
2004 11,180 11,568 10,573
2004 10,993 11,320 10,606
2004 10,955 11,280 10,668
June 30, 2004 $10,972 $11,340 $10,702
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. 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.
Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original
cost. Current performance may be higher or lower than the
performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus
contains more complete information on the objectives, risks,
charges and expenses of the investment company which
investors should read and consider carefully before
investing. Please read your prospectus carefully.
[PHOTOS OMITTED: GREGORY R. ANDERSON AND SCOTT A. LALIM]
Thrivent Mortgage
Securities Portfolio
Gregory R. Anderson (left) and Scott A. Lalim (right), Portfolio
Co-Managers
The Thrivent Mortgage Securities Portfolio seeks a combination of current
income and long-term capital appreciation by investing primarily in a
diversified portfolio of debt securities backed by pools of residential
and/or commercial mortgages.
Mortgage securities outperformed most sectors of the bond market and
provided positive returns for investors in the six-month period ended
June 30, 2004. During the period, the Thrivent Mortgage Securities
Portfolio produced a 0.44% total return, outperforming the 0.36%
median return of its Lipper Inc. peer group of similar U.S. mortgage
securities portfolios. The Portfolio's market benchmark, the Lehman
Brothers Mortgage-Backed Securities Index produced a 0.77% total
return during the same period.
Short Duration Keys Returns
On a relative basis, and when adjusted to reflect the differences in
duration, mortgage securities outperformed other sectors of the bond
market during the period, including Treasuries, agencies and
investment-grade corporate bonds.
Perceptions in the first half of the period that rates would remain
low for an extended period, combined with an attractive yield spread
over Treasuries, led to high demand for mortgage securities. This
strong demand was met with low supplies as rising interest rates led
to lower prepayment levels.
The Portfolio's outperformance relative to its Lipper peer group is
partially attributable to its modestly short duration, which we
established in anticipation of a rising-rate environment. In addition,
positive securities selection aided returns. The Portfolio's holdings
in higher coupon passthroughs, which performed better than the overall
mortgage backed securities sector, also helped its performance.
Another positive contributor was its underweighted stance in
government securities, as mortgage-backed securities outperformed
Treasuries and agencies during the period.
Mortgage-backed securities are also responsible for the Portfolio's
underperformance relative to its market index. While comprising 100%
of the Lehman benchmark, mortgage-backed securities represent
approximately 80% of our Portfolio. While the remaining 20% of our
holdings -- commercial mortgage-backed securities and cash --
performed well, they did not keep pace with the strong returns posted
by the index's mortgage securities.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Mortgage-Backed Securities 42.1%
Asset-Backed Securities 26.2%
Financials 11.6%
Commercial Mortgage-Backed Securit 4.4%
Moody's Bond Quality
Ratings Distributions
Aaa 100.0%
Aa 0.0%
A 0.0%
Baa 0.0%
Ba 0.0%
B 0.0%
Caa 0.0%
Ca 0.0%
C 0.0%
D 0.0%
Not Rated 0.0%
Top 10 Holdings
(% of Portfolio)
Federal National Mortgage Association
(July 2034) 16.5%
Federal National Mortgage Association
(July 2034) 16.3%
Federal Home Loan Mortgage Corporation
(July 2018) 5.2%
Federal Home Loan Mortgage Corporation
(July 2019) 4.0%
Residential Asset Securities Corporation 3.2%
Chase Credit Card Master Trust 2.6%
Providian Gateway Master Trust 2.6%
New Century Home Equity Loan Trust 2.6%
Bear Stearns Commercial Mortgage 2.6%
GMAC Mortgage Corporation Loan Trust 2.6%
Footnote reads:
These holdings represent 58.2% of the total investment portfolio.
Footnote reads:
Quoted Top Industries, Moody's Bond Quality Rating Distributions and Top 10
Holdings are subject to change. The lists of Top Industries and Top 10
Holdings exclude short-term investments. Moody's Bond Quality Ratings only
reflect long-term fixed income securities.
Portfolio Facts
June 30, 2004
Net Assets $45,070,388 NAV $9.85
NAV -- High+ 3/8/2004 -- $10.12
NAV -- Low+ 6/14/2004 -- $9.73
Number of Holdings: 34 + For the six months ended June 30, 2004
Total Returns /1/
June 30, 2004
From
Inception
1 Year 4/30/2003
- ------------------------------------
1.63% 1.96%
Outlook
The second quarter of 2004 ended with the first Federal Reserve Board
interest rate hike in more than four years. Federal Reserve Board
policymakers are expected to continue a measured rise in the federal
funds rate to 2.25% by the end of the year unless inflation
accelerates. The United States economy is showing sustainable growth,
and we expect intermediate and long-term interest rates to drift
higher and the yield curve to flatten through the remainder of the
year. In addition to economic activity, geopolitical risk -- including
events in Iraq, terrorism fears, the upcoming presidential election --
will play a major role in determining the course of interest rates
over the second half of the year.
The expected slow and steady Fed rate increases, low prepayment and
extension risk, and the limited new supply of mortgage securities
should create ideal conditions for the mortgage sector. As a result,
we expect mortgage securities to generate solid returns versus other
fixed income asset classes over the second half of 2004.
Still, the uncertainty regarding interest rates and world events will
lead us to position the portfolio defensively -- near the benchmark --
at least in the third quarter. This positioning will include an
underweighted stance in commercial mortgage-backed securities, neutral
to modest underweighting versus our benchmark in mortgage-backed
securities, and a slightly higher than average cash balance. We will
also increase our exposure in Treasuries and agencies to a neutral to
slightly overweighted stance. In addition, we will also maintain a
bias toward high-quality, liquid mortgage securities to guard against
the effect of higher interest rates.
[GRAPHIC WORM CHART OMITTED: VALUE OF A $10,000 INVESTMENT]
Value of a $10,000 Investment /1/
Lehmman
Brothers
Mortgage-
Mortgage Backed Consumer
Securities Securities Price
Date Portfolio Index** Index*
- ------------------------------------------------------------------------------
April 30, 2003 10,000 10,000 10,000
2003 10,057 10,008 9,984
2003 10,065 10,025 9,995
2003 9,836 9,837 10,005
2003 9,890 9,907 10,044
2003 10,056 10,076 10,076
2003 10,038 10,041 10,065
2003 10,070 10,062 10,038
2003 10,185 10,170 10,027
2004 10,253 10,233 10,076
2004 10,323 10,320 10,131
2004 10,377 10,365 10,196
2004 10,197 10,180 10,229
2004 10,166 10,158 10,288
June 30, 2004 $10,229 $10,249 $10,321
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 Lehman Brothers Mortgage-Backed Securities (MBS) Index is formed by
grouping the universe of over 600,000 individual fixed rate U.S. government
agency MBS pools into approximately 3,500 generic types of securities. It is
not possible to invest directly in this Index. The performance of the Index
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. Not annualized for periods less than one year. Investment
return and principal value will fluctuate, and shares, when redeemed, may be
worth more or less than their original cost. Current performance may be
higher or lower than the performance data quoted. Call 800-THRIVENT or visit
www.thrivent.com for more current performance results. 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. The prospectus contains more complete information on the
objectives, risks, charges and expenses of the investment company which
investors should read and consider carefully before investing. Please read
your prospectus carefully.
[PHOTO OMITTED: WILLIAM D. STOUTEN]
Thrivent Money Market Portfolio
William D. Stouten, Portfolio Manager
The Thrivent 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.*
After weathering volatility throughout much of the six-month period
ended June 30, 2004, money market yields ultimately trended upward,
bolstered by a one-quarter-percent rate hike by the Federal Reserve
Board (the Fed) at the end of June.
We are pleased with the Money Market Portfolio's performance for the
six-month period, particularly in light of the persistently low interest-rate
environment that prevailed throughout the period. The Portfolio generated a
total return of 0.33%, solidly outperforming its Lipper Inc. peer group,
which delivered a median total return of 0.27%.
Shift in Interest-Rate Conditions During Period
For the first three months of 2004, the federal funds rate remained
locked at 1.00%, its level since June 25, 2003. At that time,
investors focused on continued weak employment data and apprehensions
of a growing involvement by the U.S. in a war in Iraq. With no visible
sign of a rate hike by the Fed in the near future, the money market
rate environment remained very flat. Otherwise, the dearth of
commercial paper (CP) in the markets persisted, as companies embarking
on efforts to repair their balance sheets continued to "term out"
their commercial paper programs, thereby discontinuing their issuing
of commercial paper altogether as notes mature. For the first half of
the period, CP rates remained fairly steady, at 1.00% or better.
In April, the tide turned after a wave of favorable employment data emerged.
Interest rates across the yield curve rose, with significant increases seen
among shorter-term maturities, thereby directly impacting many of the types
of securities held in most money market portfolios. By the middle of June,
shorter money market rates adjusted, with one-year rates standing at more
than a full percentage-point above the still-one percent fed funds rate. On
June 30, the Federal Open Market Committee, the policy-setting arm of the
Federal Reserve, acted in accordance with its statements throughout the
second quarter. Its decision to raise the overnight lending rate one-quarter
of a percentage point to 1.25% was met with muted response from both the bond
and equities markets, given that the rate increase was largely anticipated by
most investors.
Factors Impacting Performance
We are generally satisfied with our relative performance for the
period, given that our returns were in line with those of our peer
group, as well as the fact that the Portfolio's yield generally kept
pace with short-term interest rates.
Throughout the first half of the period, it was difficult to capture
yield, given sluggish economic data and a generally accepted forecast
for a flat interest-rate environment for the remainder of 2004. At
that time, we managed to add incremental yield by extending out to
one-year trades, which we did periodically as certain segments of the
markets peaked. However, because we weren't convinced rates would stay
flat beyond the short term, we kept our weighted average maturity at
or below that of our peer group. This decision bode well for the
Portfolio when rates backed up considerably beginning in April,
particularly on a relative basis.
We attempted to add value by slightly diversifying the Portfolio's mix
of securities. For example, given the low supply of commercial paper
during the period, we did not perceive good value in many of these
securities. We trimmed our exposure to CP in order to add more
"spread" product, or those short-term instruments offering favorable
relative yield. We added more floating rate securities to the
Portfolio, which, in our opinion, offered attractive relative yield at
good value while still providing liquidity. In general, these
decisions helped the Portfolio deliver a competitive yield while
maintaining a stable net asset value of $1.00 per share throughout the
period.
On the negative side, the persistently low interest-rate environment made it
a formidable challenge to capture yield. While our active management of the
Portfolio's holdings added to our returns, there was no avoiding the
difficulties faced by shorter-term debt securities during the period. As a
result, the macro environment proved to be the largest detractor to returns
this period.
[GRAPHIC OMITTED: TOP INDUSTRIES]
Top Industries
(% of Portfolio)
Asset-Backed Commercial Paper 36.1%
Banking 16.5%
Municipal 9.1%
Brokerage 8.5%
U.S. Government 8.1%
Insurance 7.4%
Finance 6.8%
Consumer Cyclical 6.4%
Consumer Non-Cyclical 0.7%
Education 0.4%
[GRAPHIC PIE CHART OMITTED: PORTFOLIO COMPOSITION]
Portfolio Composition
Certificates of Deposit 9.9%
Commercial Paper 48.6%
Variable Rate Notes 41.5%
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.
Quoted Top Industries and Portfolio Composition is subject to change.
Portfolio Facts
June 30, 2004
Net Assets $253,663,154 NAV $1.00
Number of Holdings: 49 + For the six months ended June 30, 2004
Average Annual Total Returns /1/
June 30, 2004
1 Year 5-Year 10-Year
- ---------------------------------------
0.70% 3.07% 4.16%
Outlook
We believe the actions of the Federal Reserve will remain at the
forefront of investors' minds as the year progresses. Should the Fed
adhere to a "measured pace" in removing fiscal stimulus from the
economy, as we believe it will, rates should continue to trend upward
for the remainder of the year at a metered pace. Overall, with the
specter of rising interest rates now clearly visible, our outlook for
the money market environment is increasingly positive.
Given these expectations, we have positioned the Portfolio
accordingly. When appropriate, we will seek to increase the
Portfolio's yield potential through longer-term trades out to
six-months or one-year. As in any interest-rate environment, we will
continue our quest for maximum yield while maintaining a strict focus
on safety and liquidity. We are confident that this concise strategy
will continue to bode well for the Portfolio, and most important, for
our valued clients, over the months ahead.
Money Market Portfolio**
June 30, 2004
Portfolio
- ---------------------------------------
7-Day Yield 0.77%
7-Day Effective Yield 0.77%
Footnotes read:
** 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. Not annualized for periods less than one year. Current
performance may be higher or lower than the performance data quoted. Call
800-THRIVENT or visit www.thrivent.com for more current performance results.
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. The prospectus contains more complete information on
the objectives, risks, charges and expenses of the investment company which
investors should read and consider carefully before investing. Please read
your prospectus carefully.
Technology Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (89.3%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (1.5%)
- -------------------------------------------------------------------------------------------------------------------------
4,800 Nextel Communications, Inc.(b) $127,968
19,250 Sprint Corporation (FON Group) 338,800
11,100 Verizon Communications, Inc. 401,709
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 868,477
=========================================================================================================================
Consumer Discretionary (4.5%)
- -------------------------------------------------------------------------------------------------------------------------
3,000 Amazon.com, Inc.(b) 163,200
3,200 Best Buy Company, Inc. 162,368
900 E.W. Scripps Company 94,500
14,200 eBay, Inc. 1,305,690
2,200 Pixar, Inc.(b,c) 152,922
3,200 Viacom, Inc. 114,304
7,100 Walt Disney Company 180,979
11,800 XM Satellite Radio Holdings, Inc.(b,c) 322,022
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 2,495,985
=========================================================================================================================
Health Care (3.4%)
- -------------------------------------------------------------------------------------------------------------------------
2,100 Amgen, Inc.(b) 114,597
2,300 Bausch & Lomb, Inc. 149,661
7,300 Baxter International, Inc. 251,923
4,800 Boston Scientific Corporation 205,440
2,700 Charles River Laboratories International, Inc.(b) 131,949
1,700 Invitrogen Corporation(b) 122,383
1,900 Martek Biosciences Corporation(b) 106,723
11,300 Pfizer, Inc. 387,364
8,400 Protein Design Labs, Inc.(b,c) 160,692
5,100 Telik, Inc.(b,c) 121,737
13,600 Vertex Pharmaceuticals, Inc.(b,c) 147,424
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 1,899,893
=========================================================================================================================
Industrials (1.1%)
- -------------------------------------------------------------------------------------------------------------------------
5,400 American Power Conversion Corporation 106,110
5,600 Monster Worldwide, Inc.(b) 144,032
6,600 Northrop Grumman Corporation 354,420
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 604,562
=========================================================================================================================
Information Technology (78.8%)
- -------------------------------------------------------------------------------------------------------------------------
9,500 Accenture, Ltd.(b) 261,060
3,600 Adobe Systems, Inc. 167,400
3,700 ADTRAN, Inc. 123,469
8,500 Advanced Micro Devices, Inc.(b,c) 135,150
52,300 Agere Systems, Inc.(b) 120,290
17,200 Agilent Technologies, Inc.(b) 503,616
8,800 Akamai Technologies, Inc.(b) 157,960
13,800 Altera Corporation(b) 306,636
14,000 Amkor Technology, Inc.(b,c) 114,520
6,300 Amphenol Corporation 209,916
18,300 Analog Devices, Inc. 861,564
6,100 Andrew Corporation(b) 122,061
33,500 Apple Computer, Inc.(b) 1,090,090
48,500 Applied Materials, Inc.(b) 951,570
10,600 ASML Holding NV ADR(b) 181,366
22,100 ATI Technologies, Inc.(b) 416,806
8,815 AU Optronics Corporation(c) 144,037
6,300 Autodesk, Inc. 269,703
14,100 Avaya, Inc.(b) 222,639
2,700 Avid Technology, Inc.(b) 147,339
37,000 BEA Systems, Inc.(b) 304,140
22,900 BMC Software, Inc.(b) 423,650
12,100 Broadcom Corporation(b) 565,917
17,400 Cadence Design Systems, Inc.(b) 254,562
5,500 CDW Corporation 350,680
16,400 Check Point Software Technologies, Ltd.(b) 442,636
6,200 CheckFree Corporation(b) 186,000
33,500 ChipPAC, Inc.(b,c) 210,045
104,900 Cisco Systems, Inc.(b) 2,486,130
7,600 Cognizant Technology Solutions Corporation 193,116
7,100 Cognos, Inc.(b) 256,736
17,600 Computer Associates International, Inc. 493,856
5,100 Computer Sciences Corporation(b) 236,793
20,900 Comverse Technology, Inc.(b) 416,746
14,100 Corning, Inc.(b) 184,146
15,800 Cypress Semiconductor Corporation (b,c) 224,202
68,500 Dell, Inc.(b) 2,453,670
4,000 DST Systems, Inc.(b,c) 192,360
6,800 Electronic Arts, Inc. 370,940
68,700 EMC Corporation(b) 783,180
18,200 First Data Corporation 810,264
25,700 Flextronics International, Ltd.(b) 409,915
5,200 FormFactor, Inc.(b) 116,740
21,600 Hewlett-Packard Company 455,760
19,500 Integrated Device Technology, Inc.(b) 269,880
70,100 Intel Corporation 1,934,760
15,900 International Business Machines Corporation 1,401,585
12,800 Intersil Corporation 277,248
8,800 Jabil Circuit, Inc.(b) 221,584
52,100 JDS Uniphase Corporation(b) 197,459
14,400 Juniper Networks, Inc.(b,c) 353,808
14,100 KLA-Tencor Corporation(b) 696,258
7,700 Lam Research Corporation(b) 206,360
6,600 Lexmark International, Inc.(b) 637,098
13,800 Linear Technology Corporation 544,686
14,500 LSI Logic Corporation(b) 110,490
130,700 Lucent Technologies, Inc.(b,c) 494,046
4,100 Macromedia, Inc.(b) 100,655
9,800 Marvell Technology Group, Ltd. 261,660
11,100 Maxim Integrated Products, Inc. 581,862
10,800 McAfee, Inc.(b) 195,804
7,200 Mercury Interactive Corporation(b) 358,776
6,700 Microchip Technology, Inc. 211,318
12,700 Micron Technology, Inc.(b) 194,437
105,200 Microsoft Corporation 3,004,512
42,900 Motorola, Inc. 782,925
14,500 National Semiconductor Corporation 318,855
10,100 NETGEAR, Inc.(b,c) 108,474
6,700 Network Appliance, Inc.(b) 144,251
21,200 Nokia Corporation ADR 308,248
47,900 Nortel Networks Corporation(b) 239,021
4,900 NVIDIA Corporation(b) 100,450
51,100 On Semiconductor Corporation(b) 256,522
16,500 Opsware, Inc.(b,c) 130,680
79,000 Oracle Corporation(b) 942,470
46,800 Parametric Technology Corporation(b) 234,000
13,300 Pinnacle Systems, Inc.(b) 95,095
19,800 PMC-Sierra, Inc.(b) 284,130
17,600 QUALCOMM, Inc. 1,284,448
17,800 Red Hat, Inc.(b,c) 408,866
11,400 SAP AG 476,634
14,000 Siebel Systems, Inc.(b) 149,520
13,800 Skyworks Solutions, Inc.(b) 120,474
14,100 STMicroelectronics NV(c) 310,341
5,300 Symantec Corporation 232,034
8,500 Symbol Technologies, Inc. 125,290
33,313 Taiwan Semiconductor Manufacturing Company, Ltd. ADR 276,831
13,500 Telefonaktiebolaget LM Ericsson (b,c) 403,920
9,200 Teradyne, Inc.(b) 208,840
39,700 Texas Instruments, Inc. 959,946
27,400 VeriSign, Inc.(b) 545,260
4,400 VERITAS Software Corporation(b) 121,880
5,900 Vishay Intertechnology, Inc.(b) 109,622
13,900 Western Digital Corporation(b) 120,374
61,200 Wind River Systems, Inc.(b) 719,712
7,300 Xerox Corporation(b) 105,850
12,100 Xilinx, Inc. 403,051
30,000 Yahoo!, Inc. 1,089,900
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 43,701,576
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $46,115,050) 49,570,493
=========================================================================================================================
Shares Collateral Held for Securities Loaned (6.0%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
3,322,545 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $3,322,545
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $3,322,545) 3,322,545
=========================================================================================================================
Shares Short-Term Investments (4.7%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
2,586,312 Thrivent Money Market Portfolio 0.768% N/A $2,586,312
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 2,586,312
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $52,023,907) $55,479,350
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates for shares of an
underlying foreign security's shares held by an issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (77.6%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
3,160 Commonwealth Telephone Enterprises, Inc.(b) $141,473
8,920 Western Wireless Corporation(b) 257,877
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 399,350
=========================================================================================================================
Consumer Discretionary (12.7%)
- -------------------------------------------------------------------------------------------------------------------------
11,055 99 CENTS Only Stores(b,c) 168,589
14,776 Alliance Gaming Corporation(b,c) 253,556
1,520 Cabella's, Inc.(b) 40,964
3,300 Carters, Inc.(b) 96,063
7,150 Coldwater Creek, Inc.(b) 189,260
14,700 Cox Radio, Inc.(b,c) 255,486
19,000 Emmis Communications Corporation(b,c) 398,620
25,950 Entravision Communications Corporation(b,c) 199,296
12,750 Fred's, Inc.(c) 281,648
9,150 Genesco, Inc.(b) 216,214
5,450 Getty Images, Inc.(b) 327,000
21,600 Insight Communications Company, Inc.(b,c) 200,016
8,040 Insight Enterprises, Inc.(b) 142,790
3,750 Joseph A. Banks Clothiers, Inc.(b,c) 117,712
11,750 Linens 'n Things, Inc.(b) 344,392
18,860 Lions Gate Entertainment Corporation(b) 131,643
30,000 Mediacom Communications Corpoation(b,c) 234,600
8,466 Monaco Coach Corporation(c) 238,487
9,100 Multimedia Games, Inc.(c) 244,062
11,840 Navarre Corporation(b) 170,378
4,280 P.F. Chang's China Bistro, Inc.(b) 176,122
8,070 Pacific Sunwear of California, Inc. 157,930
18,640 RARE Hospitality International, Inc. 464,136
4,341 Ruby Tuesday, Inc. 119,160
14,250 Scientific Games Corporation(b) 272,745
4,570 Shuffle Master, Inc.(c) 165,937
6,110 Sports Authority, Inc.(b,c) 219,349
8,050 Toll Brothers, Inc.(b,c) 340,676
11,730 Tractor Supply Company 490,549
50,000 ValueVision Media, Inc.(b,c) 651,000
12,603 Winnebago Industries, Inc.(c) 469,840
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 7,778,220
=========================================================================================================================
Consumer Staples (1.0%)
- -------------------------------------------------------------------------------------------------------------------------
8,240 Performance Food Group Company(b,c) $218,690
16,162 SunOpta, Inc.(b,c) 138,023
4,260 United Natural Foods, Inc. 123,157
5,150 USANA Health Sciences, Inc.(b,c) 160,062
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 639,932
=========================================================================================================================
Energy (4.0%)
- -------------------------------------------------------------------------------------------------------------------------
7,643 Cal Dive International, Inc.(b) 231,736
2,570 Carbo Ceramics, Inc. 175,402
5,600 Cooper Cameron Corporation(b) 272,720
6,630 Core Laboratories NV(b) 152,490
6,020 General Maritime Corporation(b) 165,189
9,600 Hydril Company(b,c) 302,400
13,780 KCS Energy, Inc.(b) 183,550
3,542 Newfield Exploration Company(b) 197,431
3,260 Quicksilver Resources, Inc.(b,c) 218,648
7,020 Southwestern Energy Company(b) 201,263
6,900 Varco International, Inc.(b) 151,041
5,500 Western Gas Resources, Inc.(c) 178,640
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 2,430,510
=========================================================================================================================
Financials (8.5%)
- -------------------------------------------------------------------------------------------------------------------------
12,140 Affiliated Managers Group, Inc.(c) 611,492
4,250 Bank of the Ozarks, Inc.(c) 99,025
5,320 BankUnited Financial Corporation(b) 137,256
6,900 Boston Private Financial Holdings, Inc. 159,804
8,450 Bristol West Holdings, Inc.(b) 153,706
4,340 Direct General Corporation(b) 140,008
9,400 East West Bancorp, Inc. 288,580
9,275 eSPEED, Inc.(b) 163,704
14,050 Financial Federal Corporation(b,c) 495,403
6,050 Gabelli Asset Management, Inc.(c) 257,125
8,050 Investors Financial Services Corporation 350,819
14,770 Jefferies Group, Inc. 456,688
5,600 Piper Jaffray Companies(b,c) 253,288
4,930 Platinum Underwriters Holdings, Ltd. 150,020
5,430 Selective Insurance Group, Inc. 216,548
12,050 Southwest Bancorporation of Texas, Inc. 531,646
10,730 U.S.I. Holdings Corporation(b) 169,534
6,570 Ventas, Inc. 153,410
8,320 Wintrust Financial Corporation 420,243
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 5,208,299
=========================================================================================================================
Health Care (14.4%)
- -------------------------------------------------------------------------------------------------------------------------
7,430 Accredo Health, Inc.(b) 289,398
8,050 Advanced Medical Optics, Inc.(b) 342,688
8,700 Advanced Neuromodulation Systems, Inc.(c) 285,360
6,390 American Healthways, Inc.(c) 170,102
8,250 American Medical Systems Holdings, Inc.(b,c) 278,025
1,780 Amsurg Corporation(c) 44,731
2,200 Beckman Coulter, Inc. 134,200
4,050 Biosite Diagnostics, Inc.(b,c) 181,926
12,350 Connetics Corporation(b,c) 249,470
4,990 Cooper Companies, Inc. 315,218
6,740 Covance, Inc.(b) 260,029
4,100 Cyberonics, Inc.(b,c) 136,776
8,140 Dade Behring Holdings, Inc.(b) 386,813
4,910 Digene Corporation(b) 179,362
11,700 Edwards Lifesciences Corporation(b) 407,745
8,750 Enzon Pharmaceuticals, Inc.(b,c) 111,650
5,880 Gen-Probe, Inc. 278,242
6,010 Genesis Healthcare Corporation(b) 174,530
4,850 IDEXX Laboratories, Inc.(b) 305,259
5,140 Immucor, Inc.(b) 167,307
7,240 Impax Laboratories, Inc.(b,c) 140,311
12,130 Inamed Corporation 762,375
7,230 K-V Pharmaceutical Company(b) 166,941
7,130 Kindred Healthcare, Inc. 187,876
6,050 LifePoint Hospitals, Inc.(b,c) 225,181
3,040 Martek Biosciences Corporation(b) 170,757
12,000 MGI Pharma, Inc. 324,120
4,450 NDCHealth Corporation(c) 103,240
9,020 Nektar Therapeutics(b) 180,039
2,610 OSI Pharmaceuticals, Inc.(b) 183,848
17,300 Priority Healthcare Corporation(b,c) 397,035
10,700 PSS World Medical, Inc.(b) 119,840
6,190 Salix Pharmaceuticals, Ltd.(b) 203,960
18,700 Select Medical Corporation 250,954
7,220 Sierra Health Services, Inc.(b) 322,734
16,090 Stewart Enterprises, Inc.(b) 130,973
14,600 Thoratec Corporation(b,c) 156,658
3,910 Wright Medical Group, Inc.(b) 139,196
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 8,864,869
=========================================================================================================================
Industrials (6.8%)
- -------------------------------------------------------------------------------------------------------------------------
8,330 AirTran Holdings, Inc.(b,c) 117,786
3,500 Applied Signal Technology, Inc.(b) 122,675
5,760 Armor Holdings, Inc.(b) 195,840
18,850 Artesyn Technologies, Inc.(b) 169,650
9,000 ChoicePoint, Inc.(b,c) 410,940
15,580 DiamondCluster International, Inc.(b) 135,390
6,150 EGL, Inc.(b) 163,590
4,080 Engineered Support Systems, Inc. 238,721
6,488 Forward Air Corporation(b,c) 242,651
15,174 FTI Consulting, Inc.(b,c) 250,371
3,060 Hughes Supply, Inc. 180,326
4,080 Jackson Hewitt Tax Services, Inc.(b) 71,400
11,500 Jacobs Engineering Group, Inc.(b,c) 452,870
9,010 Korn/Ferry International(b) 174,524
12,990 Navigant Consulting, Inc.(b) 278,506
14,720 Power-One, Inc.(b) 161,626
2,570 Resources Connection, Inc.(b) 100,513
3,300 Roper Industries, Inc. 187,770
1,350 Strayer Education, Inc. 150,620
5,640 Wabash National Corporation(b) 155,382
6,765 Waste Connections, Inc. 200,650
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 4,161,801
=========================================================================================================================
Information Technology (27.6%)
- -------------------------------------------------------------------------------------------------------------------------
27,250 Adaptec, Inc.(b,c) 230,535
8,980 Advent Software, Inc.(b) 162,269
18,110 Aeroflex, Inc.(b) 259,516
16,600 Akamai Technologies, Inc.(b) 297,970
4,778 Altiris, Inc.(b,c) 131,921
6,620 Anaren Microware, Inc.(b) 108,171
27,540 Andrew Corporation(b) 551,075
18,670 Aquantive, Inc.(b,c) 184,460
3,340 Ask Jeeves, Inc.(b) 130,360
5,200 Avid Technology, Inc.(b) 283,764
19,500 Avocent Corporation(b) 716,430
22,250 Benchmark Electronics, Inc.(c) 647,475
7,400 Black Box Corporation(c) 349,724
3,250 Blackboard, Inc.(b) 65,162
13,700 Catapult Communications Corporation(b,c) 315,100
35,850 CIBER, Inc.(b,c) 294,687
21,800 CNET Networks, Inc.(b) 241,326
3,370 Cognex Corporation 129,678
13,800 Digital Insight Corporation(b,c) 286,074
8,150 Digital River, Inc.(b) 265,934
13,460 Digitas, Inc.(b) 148,464
16,490 Epicor Software Corporation(b) 231,684
8,700 F5 Networks, Inc.(b) 230,376
8,900 FactSet Research Systems, Inc.(c) 420,703
17,450 Fair Isaac Corporation(c) 582,481
6,390 FileNet Corporation(b) 201,732
10,540 FindWhat.com(b,c) 243,896
7,450 Global Imaging Systems, Inc.(b) 273,117
4,870 Global Payments, Inc.(c) 219,247
7,800 Hewitt Associates, Inc.(b,c) 214,500
15,610 Hyperion Solutions Corporation(b,c) 682,469
41,350 Informatica Corporation(b,c) 315,500
13,460 Integrated Device Technology, Inc.(b) 186,286
4,800 Inter-Tel, Inc.(c) 119,856
18,000 Intersil Corporation(c) 389,880
11,450 InterVoice-Brite, Inc.(b) 131,332
27,350 iVillage, Inc.(b) 173,672
10,350 Jack Henry & Associates, Inc.(c) 208,035
23,850 Keane, Inc.(b) 326,506
41,000 Kopin Corporation(b,c) 209,510
7,550 Kronos, Inc.(c) 311,060
6,200 Macrovision Corporation(b,c) 155,186
23,480 MatrixOne, Inc.(b) 162,247
16,600 Microsemi Corporation 235,886
6,250 MKS Instruments, Inc.(b) 142,625
20,090 MPS Group, Inc.(b) 243,491
13,360 Opsware, Inc.(b,c) 105,811
3,717 Photon Dynamics, Inc.(b) 130,355
20,020 Powerwave Technologies, Inc.(b) 154,154
8,850 Rogers Corporation(b,c) 618,615
8,480 RSA Security, Inc.(b) 173,586
23,140 Sapient Corporation(b) 139,071
24,570 Semtech Corporation(b,c) 578,378
12,000 SERENA Software, Inc.(b,c) 229,080
13,480 Silicon Image, Inc.(b) 176,992
12,940 Tekelec, Inc.(b) 235,120
32,140 Tibco Software, Inc.(b) 271,583
9,650 Tom Online, Inc.(b) 129,406
9,960 Trimble Navigation, Ltd. 276,788
8,120 Unova, Inc.(b) 164,430
25,450 ValueClick, Inc.(b,c) 304,891
6,120 Varian Semiconductor Equipment Associates, Inc. 235,987
6,020 Varian, Inc.(b) 253,743
7,310 Verint Systems, Inc.(b) 250,148
2,410 Websense, Inc.(b) 89,724
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 16,929,234
=========================================================================================================================
Materials (1.9%)
- -------------------------------------------------------------------------------------------------------------------------
8,130 Airgas, Inc. 194,388
5,110 Arch Coal, Inc. 186,975
7,430 Century Aluminum Company(b) 184,190
7,020 Headwaters, Inc.(b,c) 182,029
3,160 Minerals Technologies, Inc. 183,280
7,300 Steel Dynamics, Inc.(b) 208,999
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 1,139,861
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $45,565,277) 47,552,076
=========================================================================================================================
Shares Collateral Held for Securities Loaned (20.9%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
12,847,971 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $12,847,971
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $12,847,971) 12,847,971
=========================================================================================================================
Principal
Amount Short-Term Investments (1.5%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$950,000 Triple A-1 Funding Corporation 1.500% 7/1/2004 $950,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 950,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $59,363,248) $61,350,047
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 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.
Partner Small Cap Value Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
- -------------------------------------------------------------------------------------------------------------------------
Shares Common Stock (92.2%) Value
- -------------------------------------------------------------------------------------------------------------------------
Consumer Discretionary (15.5%)
- -------------------------------------------------------------------------------------------------------------------------
27,700 Aaron Rents, Inc. $917,978
11,700 CSS Industries, Inc.(b) 409,968
19,600 Fred's, Inc.(c) 432,964
16,300 Hancock Fabrics, Inc. 207,825
27,200 Haverty Furniture Companies, Inc. 475,456
17,600 Journal Register Company(b) 352,000
22,300 RARE Hospitality International, Inc. 555,270
33,200 Ruby Tuesday, Inc. 911,340
23,200 Saga Communications, Inc.(b) 423,400
12,300 SCP Pool Corporation 553,500
7,200 Sinclair Broadcast Group, Inc.(b) 73,944
8,100 Stanley Furniture Company, Inc.(b) 341,091
37,900 Stein Mart, Inc.(b) 616,254
4,800 Steven Madden, Ltd.(b) 95,856
19,700 TBC Corporation(b) 468,860
35,800 Unifi, Inc.(b) 104,894
14,700 WCI Communities, Inc.(b) 327,957
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 7,268,557
=========================================================================================================================
Consumer Staples (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
23,700 Casey's General Stores, Inc. 433,710
13,800 Wild Oats Markets, Inc.(b) 194,166
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 627,876
=========================================================================================================================
Energy (6.5%)
- -------------------------------------------------------------------------------------------------------------------------
6,600 Carbo Ceramics, Inc. 450,450
16,500 Encore Acquisition Company(b) 460,350
16,800 Forest Oil Corporation(b) 458,976
8,600 Lone Star Technologies, Inc.(b) 237,016
32,200 Magnum Hunter Resources, Inc.(b,c) 334,236
18,200 TETRA Technologies, Inc. 488,670
24,900 TODCO(b,c) 385,203
11,600 W-H Energy Services, Inc.(b) 227,360
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 3,042,261
=========================================================================================================================
Financials (20.0%)
- -------------------------------------------------------------------------------------------------------------------------
16,200 Allied Capital Corporation(b,c) 395,604
7,400 American Capital Strategies, Ltd. 207,348
12,500 Bedford Property Investors, Inc. 365,500
10,000 Brown & Brown, Inc. 431,000
23,700 East West Bancorp, Inc. 727,590
20,300 First Financial Fund, Inc. 360,325
16,000 First Republic Bank 689,280
9,700 Glenborough Realty Trust, Inc. 177,995
1,600 I Shares Russell 2000 Value(b,c) 275,184
24,700 Innkeepers USA Trust 254,657
15,100 Kilroy Realty Corporation 514,910
14,900 LaSalle Hotel Properties 363,560
1,600 Markel Corporation(b) 444,000
20,000 Max Re Capital, Ltd. 389,600
8,900 Midland Company, The(b) 263,885
20,300 ProAssurance Corporation(b) 692,433
13,000 Scottish Re Group Ltd. 302,250
18,600 Silicon Valley Bancshares(b) 737,490
11,700 Sun Communities, Inc. 440,505
21,500 Texas Regional Bancshares, Inc.(b) 987,065
11,000 Washington Real Estate Investment Trust 323,180
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 9,343,361
=========================================================================================================================
Health Care (6.2%)
- -------------------------------------------------------------------------------------------------------------------------
3,800 Analogic Corporation 161,234
6,800 Arrow International, Inc. 203,456
18,700 Bone Care International, Inc.(b) 437,954
27,100 Diversa Corporation(b) 274,523
23,600 Exelixis, Inc.(b) 238,124
34,300 Lexicon Genetics, Inc.(b) 268,912
22,000 Matthews International Corporation(b) 724,680
23,600 Owens & Minor, Inc. 611,240
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 2,920,123
=========================================================================================================================
Industrials (19.7%)
- -------------------------------------------------------------------------------------------------------------------------
15,900 C&D Technologies, Inc. 283,497
28,000 Casella Waste Systems, Inc.(b) 368,200
14,300 Dollar Thrifty Automotive Group(b) 392,392
10,300 EDO Corporation(c) 248,436
11,000 ElkCorp 263,340
17,500 Franklin Electric Company, Inc.(b) 660,800
12,700 FTI Consulting, Inc.(b,c) 209,550
11,700 G & K Services, Inc. 470,223
9,400 Genesee and Wyoming, Inc. 222,780
3,900 Genlyte Group, Inc.(b) 245,232
14,450 IDEX Corporation 496,358
22,800 Insituform Technologies, Inc.(b) 370,956
28,700 JLG Industries, Inc. 398,643
13,000 Kirby Corporation(b) 505,700
24,000 Landstar System, Inc.(c) 1,268,879
11,200 McGrath Rentcorp(b) 413,840
13,800 Nordson Corporation 598,506
21,600 RemedyTemp, Inc.(b,c) 261,360
13,900 Thomas Industries, Inc. 461,480
9,700 UTI Worldwide, Inc. 511,093
10,200 Waste Connections, Inc. 302,532
4,100 Woodward Governor Company 295,651
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 9,249,448
=========================================================================================================================
Information Technology (10.0%)
- -------------------------------------------------------------------------------------------------------------------------
11,300 ATMI, Inc.(b) 308,603
39,800 Cable Design Technologies Corporation(b,c) 421,880
19,500 Exar Corporation(b) 285,870
12,500 Littelfuse, Inc.(b) 530,125
19,100 Merix Corporation(b,c) 216,594
13,800 Methode Electronics Inc. 178,986
44,100 MPS Group, Inc.(b) 534,492
25,500 Mykrolis Corporation(b) 444,210
19,800 Netegrity, Inc.(b) 167,508
28,500 Packeteer, Inc.(b) 460,275
18,700 Progress Software Corporation(b) 405,229
16,800 SPSS, Inc.(b) 301,896
12,000 Websense, Inc.(b) 446,760
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 4,702,428
=========================================================================================================================
Materials (10.1%)
- -------------------------------------------------------------------------------------------------------------------------
17,800 Airgas, Inc. $425,598
6,400 Ameron International Corporation(b) 218,432
11,800 AptarGroup, Inc. 515,542
13,600 Arch Chemicals, Inc. 391,952
9,700 Carpenter Technology Corporation 330,285
6,100 Chesapeake Corporation 162,748
10,200 Deltic Timber Corporation 391,680
10,150 Florida Rock Industries, Inc. 428,026
14,400 Gibraltar Steel Corporation(b) 472,608
7,400 MacDermid, Inc. 250,490
17,000 Meridian Gold, Inc.(b) 220,490
4,100 Minerals Technologies, Inc. 237,800
13,900 Myers Industries, Inc. 195,990
27,000 Wausau-Mosinee Paper Corporation 467,100
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 4,708,741
=========================================================================================================================
Utilities (2.9%)
- -------------------------------------------------------------------------------------------------------------------------
12,300 Black Hills Corporation 387,450
13,800 Cleco Corporation 248,124
15,600 El Paso Electric Company(b) 240,864
7,800 Otter Tail Power Company(b,c) 209,508
10,300 Vectren Corporation 258,427
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 1,344,373
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $40,392,571) 43,207,168
=========================================================================================================================
Shares Collateral Held for Securities Loaned (5.1%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
2,398,218 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $2,398,218
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $2,398,218) 2,398,218
=========================================================================================================================
Principal
Amount Short-Term Investments (2.7%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$1,250,000 Amsterdam Funding Corporation 1.500% 7/1/2004 $1,250,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 1,250,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $44,040,789) $46,855,386
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 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.
Small Cap Stock Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (80.9%) Value
- -------------------------------------------------------------------------------------------------------------------------
Consumer Discretionary (13.8%)
- -------------------------------------------------------------------------------------------------------------------------
34,700 ADVO, Inc. $1,142,324
26,550 Aeropostale, Inc. 714,460
23,375 AnnTaylor Stores Corporation 677,408
38,400 Applebee's International, Inc. 883,968
29,400 Arctic Cat, Inc. 809,382
21,500 Autoliv, Inc. 907,300
31,800 Boyd Gaming Corporation 844,926
21,400 Charlotte Russe Holding, Inc.(b) 457,532
42,200 Cooper Tire & Rubber Company 970,600
16,600 Entercom Communications Corporation(b) 619,180
24,800 Ethan Allen Interiors, Inc. 890,568
38,150 Gander Mountain Company(b,c) 875,542
12,700 Gentex Corporation(c) 503,936
22,000 Gymboree Corporation(b,d) 337,920
71,400 Interface, Inc.(b) 623,322
24,600 International Speedway Corporation 1,196,544
22,800 Lee Enterprises, Inc. 1,094,628
15,400 Linens 'n Things, Inc.(b) 451,374
77,200 Lions Gate Entertainment Corporation(b) 538,856
9,142 M.D.C. Holdings, Inc. 581,523
35,950 Marine Products Corporation 666,872
30,050 MarineMax, Inc.(b) 861,834
16,200 Outback Steakhouse, Inc. 670,032
18,500 P.F. Chang's China Bistro, Inc.(b,c) 761,275
25,800 Pep Boys - Manny, Moe & Jack 654,030
23,400 Petco Animal Supplies, Inc.(b) 753,714
38,000 Quiksilver, Inc.(b) 904,780
68,400 Radio One, Inc.(b) 1,101,924
32,700 Red Robin Gourmet Burgers, Inc.(b,c) 894,999
20,000 Regis Corporation 891,800
22,500 SCP Pool Corporation 1,012,500
22,900 Select Comfort Corporation(b,c) 650,360
24,450 Shuffle Master, Inc.(c) 887,780
16,300 Talbots, Inc. 638,145
13,900 Toll Brothers, Inc.(b) 588,248
35,800 West Marine, Inc.(b,c) 961,230
26,900 Winnebago Industries, Inc.(c) 1,002,832
31,200 Wolverine World Wide, Inc. 819,000
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 29,842,648
=========================================================================================================================
Consumer Staples (2.5%)
- -------------------------------------------------------------------------------------------------------------------------
52,300 Casey's General Stores, Inc.(c) 957,090
20,000 Church & Dwight Company, Inc.(c) 915,600
21,400 Dean Foods Company(b) 798,434
24,800 Elizabeth Arden, Inc.(b) 521,792
14,000 McCormick & Company, Inc. 476,000
28,700 NBTY, Inc.(b) 843,493
27,100 WD-40 Company(c) 811,374
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 5,323,783
=========================================================================================================================
Energy (5.5%)
- -------------------------------------------------------------------------------------------------------------------------
31,400 Cimarex Energy Company(b) 949,222
73,400 Energy Partners, Ltd.(b,c) 1,123,020
20,200 Evergreen Resources, Inc. 816,080
20,600 FMC Technologies, Inc.(b) 593,280
76,700 Key Energy Services, Inc.(b) 724,048
41,100 Maverick Tube Corporation(b) 1,079,286
16,800 Newfield Exploration Company(b) 936,432
30,800 Patina Oil & Gas Corporation 919,996
32,700 Patterson-UTI Energy, Inc.(c) 1,092,507
18,200 Precision Drilling Corporation(b) 873,782
19,200 St. Mary Land & Exploration Company(c) 684,480
17,600 Teekay Shipping Corporation 657,888
22,600 Tesoro Petroleum Corporation(b) 623,760
20,700 Ultra Petroleum Corporation(b,c) 772,731
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 11,846,512
=========================================================================================================================
Financials (14.9%)
- -------------------------------------------------------------------------------------------------------------------------
14,550 Affiliated Managers Group, Inc.(c) 732,884
10,900 Alexandria Real Estate Equities, Inc. 618,902
17,200 AMB Property Corporation 595,636
17,900 American Capital Strategies, Ltd. 501,558
59,050 Argonaut Group, Inc.(b) 1,088,292
24,218 BOK Financial Corporation(b) 951,041
23,200 Corus Bankshares, Inc. 953,752
14,100 Developers Diversified Realty Corporation 498,717
18,600 Eastgroup Properties, Inc. 626,262
23,350 First BanCorp 951,512
27,100 First Midwest Bancorp, Inc. 954,191
37,600 HCC Insurance Holdings, Inc. 1,256,216
45,700 HRPT Properties Trust 457,457
35,300 Investors Financial Services Corporation(c) 1,538,374
19,200 MAF Bancorp, Inc. 819,456
27,300 Main Street Banks, Inc.(c) 767,130
14,600 MB Financial, Inc. 537,426
29,375 Mercantile Bank Corporation 1,070,719
11,100 Mills Corporation 518,370
13,700 Piper Jaffray Companies(b,c) 619,651
36,700 Platinum Underwriters Holdings, Ltd. 1,116,781
36,200 PrivateBancorp, Inc.(c) 994,052
47,000 Providian Financial Corporation(b) 689,490
22,350 Raymond James Financial, Inc. 591,158
20,300 Reinsurance Group of America 825,195
33,200 RLI Corporation 1,211,800
24,500 S&P SmallCap 600 Index Fund I Shares(c) 3,601,498
14,300 SL Green Realty Corporation 669,240
22,800 Southwest Bancorporation of Texas, Inc. 1,005,936
75,900 Sterling Bancshares, Inc. 1,077,021
25,700 UCBH Holdings, Inc. 1,015,664
24,700 United Bankshares, Inc. 802,750
2,800 Vineyard National Bancorp Company(c) 111,692
34,458 Washington Federal, Inc.(c) 826,992
71,100 Winston Hotels, Inc. 735,885
19,700 Wintrust Financial Corporation(c) 995,047
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 32,327,747
=========================================================================================================================
Health Care (10.5%)
- -------------------------------------------------------------------------------------------------------------------------
29,400 Advanced Medical Optics, Inc.(b) 1,251,558
20,100 Community Health Systems, Inc.(b) 538,077
20,700 Cooper Companies, Inc. 1,307,619
45,900 CuraGen Corporation(b,c) 275,859
56,200 D & K Healthcare Resources, Inc. 674,400
23,600 Dade Behring Holdings, Inc.(b) 1,121,472
161,000 Encore Medical Corporation(b) 1,014,300
22,700 Endo Pharmaceutical Holdings, Inc.(b) 532,315
7,900 Gen-Probe, Inc. 373,828
57,500 Intuitive Surgical, Inc.(b,c) 1,092,500
16,400 KOS Pharmaceuticals, Inc.(b,c) 540,708
24,800 LifePoint Hospitals, Inc.(b) 923,056
16,500 Martek Biosciences Corporation(b,c) 926,805
16,600 Medicis Pharmaceutical Corporation 663,170
16,600 Millipore Corporation(b) 935,742
22,800 NuVasive, Inc.(b) 248,748
16,900 PacifiCare Health Systems, Inc. 653,354
37,500 Perrigo Company 711,375
16,200 Protein Design Labs, Inc.(b,c) 309,906
34,900 Psychiatric Solutions, Inc.(b) 870,057
27,600 Renal Care Group, Inc. 914,388
18,700 ResMed, Inc.(b,c) 952,952
147,300 Savient Pharmaceuticals, Inc.(b) 365,304
16,100 Sierra Health Services, Inc.(b,c) 719,670
16,600 Techne Corporation(b) 721,270
22,900 Telik, Inc.(b,c) 546,623
37,700 United Surgical Partners International, Inc.(b) 1,488,019
21,200 Ventana Medical Systems, Inc.(b,c) 1,007,636
46,400 Vertex Pharmaceuticals, Inc.(b,c) 502,976
4,500 WellCare Health Plans, Inc.(b,e) 76,500
30,300 ZymoGenetics, Inc.(b) 575,700
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 22,835,887
=========================================================================================================================
Industrials (14.6%)
- -------------------------------------------------------------------------------------------------------------------------
29,000 American Power Conversion Corporation 569,850
57,000 Artesyn Technologies, Inc.(b,c) 513,000
10,800 Briggs & Stratton Corporation 954,180
43,900 Casella Waste Systems, Inc.(b) 577,285
26,300 Consolidated Graphics, Inc.(b) 1,158,515
31,900 Donaldson Company, Inc. 934,670
27,000 Dycom Industries, Inc.(b) 756,000
33,800 EDO Corporation(c) 815,256
45,500 Federal Signal Corporation(c) 846,755
23,900 G & K Services, Inc. 960,541
25,950 Genesee and Wyoming, Inc. 615,015
17,500 Genlyte Group, Inc.(b) 1,100,400
26,150 Graco, Inc. 811,958
29,542 Heartland Express, Inc.(c) 808,269
9,000 Hughes Supply, Inc. 530,370
37,700 IDEX Corporation 1,294,995
24,600 Intersections, Inc.(b,c) 590,154
21,800 Jacobs Engineering Group, Inc.(b) 858,484
70,300 Jacuzzi Brands, Inc.(b) 567,321
65,000 KForce, Inc.(b) 613,600
22,000 Knight Transportation, Inc.(b) 632,060
16,600 Landstar System, Inc. 877,642
29,200 Lindsay Manufacturing Company(c) 701,384
26,900 Manitowoc Company, Inc.(c) 910,565
29,100 Mercury Computer Systems, Inc.(b) 721,680
27,400 Monster Worldwide, Inc.(b) 704,728
45,200 MSC Industrial Direct Company, Inc. 1,484,368
18,300 Oshkosh Truck Corporation 1,048,773
18,400 Pacer International, Inc.(b) 340,400
16,600 Precision Castparts Corporation 907,854
35,900 Ritchie Bros. Auctioneers, Inc. 1,045,049
16,500 Roper Industries, Inc. 938,850
48,000 SkyWest, Inc. 835,680
52,000 Standard Parking Corporation(b) 663,000
17,000 Tetra Tech, Inc.(b) 277,440
12,400 Toro Company 868,868
18,800 Trex Company, Inc.(b,c) 709,700
20,800 United Defense Industries, Inc.(b) 728,000
29,400 Waste Connections, Inc. 872,004
21,500 Watson Wyatt & Company Holdings 572,975
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 31,717,638
=========================================================================================================================
Information Technology (13.9%)
- -------------------------------------------------------------------------------------------------------------------------
38,600 Acxiom Corporation 958,438
16,400 ADTRAN, Inc. 547,268
27,300 Akamai Technologies, Inc.(b,c) 490,035
70,700 Arris Group, Inc.(b) 419,958
15,600 Autodesk, Inc. 667,836
23,500 Avocent Corporation(b) 863,390
26,800 Axcelis Technologies, Inc.(b) 333,392
57,500 Bell Microproducts, Inc.(b,c) 465,175
18,500 Cabot Microelectronics Corporation(b) 566,285
14,100 CACI International, Inc.(b) 570,204
13,000 Cymer, Inc.(b) 486,720
62,700 Cypress Semiconductor Corporation(b,c) 889,713
17,300 Dionex Corporation(b) 954,441
68,600 Entrust, Inc.(b) 308,700
29,600 Global Payments, Inc.(c) 1,332,592
69,800 Ingram Micro, Inc.(b) 1,010,006
33,700 Inter-Tel, Inc.(c) 841,489
16,000 International Rectifier Corporation(b) 662,720
20,900 Kronos, Inc. 861,080
20,800 Littelfuse, Inc.(b) 882,128
20,800 Macromedia, Inc.(b) 510,640
14,700 Manhattan Associates, Inc.(b) 453,936
19,600 McAfee, Inc.(b) 355,348
27,300 Metrologic Instruments, Inc.(c) 544,362
71,200 MPS Group, Inc.(b) 862,944
50,900 MSC.Software Corporation(b,c) 455,555
123,900 On Semiconductor Corporation(b) 621,978
62,600 Opsware, Inc.(b,c) 495,792
117,600 Parametric Technology Corporation(b) 588,000
27,200 Photronics, Inc.(b,c) 515,168
62,700 Pinnacle Systems, Inc.(b) 448,305
24,700 Plantronics, Inc.(b) 1,039,870
67,100 Plexus Corporation(b) 905,850
50,300 Powerwave Technologies, Inc.(b,c) 387,310
22,000 RSA Security, Inc.(b) 450,340
62,200 Skyworks Solutions, Inc.(b,c) 543,006
21,800 Tech Data Corporation(b) 853,034
110,100 Three-Five Systems, Inc.(b,c) 561,510
42,000 Tibco Software, Inc.(b) 354,900
14,100 Varian Semiconductor Equipment Associates, Inc.(b) 543,696
13,200 Varian, Inc.(b) 556,380
18,200 VeriSign, Inc.(b) 362,180
50,400 Vishay Intertechnology, Inc.(b,c) 936,432
99,700 Vitesse Semiconductor Corporation(b) 486,536
115,800 Wind River Systems, Inc.(b,c) 1,361,808
10,250 Zebra Technologies Corporation 891,750
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 30,198,200
=========================================================================================================================
Materials (3.9%)
- -------------------------------------------------------------------------------------------------------------------------
25,800 H.B. Fuller Company 732,720
44,300 MacDermid, Inc. 1,499,555
40,900 NOVA Chemicals Corporation 1,183,237
47,500 Packaging Corporation of America 1,135,250
19,700 Peabody Energy Corporation 1,103,003
16,700 Quanex Corporation 813,290
32,200 RPM International, Inc. 489,440
24,400 Schweitzer-Mauduit International, Inc. 747,372
26,900 Steel Dynamics, Inc.(b,c) 770,147
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 8,474,014
=========================================================================================================================
Utilities (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
31,200 Aqua America, Inc.(c) 625,560
24,900 Energen Corporation 1,194,951
21,800 Piedmont Natural Gas Company, Inc.(c) 930,860
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 2,751,371
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $144,237,067) 175,317,800
=========================================================================================================================
Shares Collateral Held for Securities Loaned (14.4%) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
31,300,313 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $31,300,313
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $31,300,313) 31,300,313
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (4.7%) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$2,615,000 Cargill Global Funding plc 1.430% 7/1/2004 $2,615,000
7,495,767 Thrivent Money Market Portfolio 0.768 N/A 7,495,767
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 10,110,767
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $185,648,147) $216,728,880
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(e) Denotes investments purchased on a when-issued basis.
(f) 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.
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (78.7%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (0.3%)
- -------------------------------------------------------------------------------------------------------------------------
16,800 Boston Communications Group, Inc.(b,c) $172,200
19,700 Commonwealth Telephone Enterprises, Inc. (b,c) 881,969
52,500 General Communication, Inc.(b) 416,850
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 1,471,019
=========================================================================================================================
Consumer Discretionary (13.8%)
- -------------------------------------------------------------------------------------------------------------------------
12,600 4Kids Entertainment, Inc.(b,c) 301,392
30,250 Aaron Rents, Inc. 1,002,485
16,900 Action Performance Companies, Inc.(c) 254,683
17,500 Advanced Marketing Services, Inc.(c) 225,925
27,850 ADVO, Inc. 916,822
22,100 Applica, Inc.(b) 196,690
28,400 Arbitron, Inc.(b) 1,037,168
19,200 Arctic Cat, Inc. 528,576
27,000 Argosy Gaming Company(b) 1,015,200
12,400 Ashworth, Inc.(b) 103,044
31,700 Aztar Corporation(b) 887,600
31,200 Bally Total Fitness Holding Corporation(b,c) 156,000
10,900 Bassett Furniture Industries, Inc.(c) 237,184
16,700 Brown Shoe Company, Inc. 683,531
12,300 Building Materials Holding Corporation 232,839
40,900 Burlington Coat Factory Warehouse Corporation 789,370
18,900 Cato Corporation(c) 424,305
34,225 CEC Entertainment, Inc. 1,009,980
64,500 Champion Enterprises, Inc.(b) 592,110
24,600 Children's Place Retail Stores, Inc.(b,c) 578,592
34,425 Christopher & Banks Corporation 609,667
14,500 Coachmen Industries, Inc. 231,855
26,600 Concord Camera Corporation(b,c) 87,780
20,100 Cost Plus, Inc.(b) 652,245
12,300 Department 56, Inc.(b) 189,420
27,200 Dress Barn, Inc.(b) 465,664
21,700 Electronics Boutique Holdings Corporation(b,c) 571,578
13,100 Enesco Group, Inc.(b) 117,376
34,150 Ethan Allen Interiors, Inc.(c) 1,226,326
27,960 Fedders Corporation 121,626
48,700 Fleetwood Enterprises, Inc.(b) 708,585
64,637 Fossil, Inc. 1,761,358
35,850 Fred's, Inc. 791,926
20,000 Genesco, Inc.(b,c) 472,600
30,200 Goody's Family Clothing, Inc. 313,174
20,600 Group 1 Automotive, Inc.(b) 684,126
22,300 Guitar Center, Inc.(b) 991,681
28,000 Gymboree Corporation(b) 430,080
6,600 Haggar Corporation 132,990
17,500 Hancock Fabrics, Inc. 223,125
20,700 Haverty Furniture Companies, Inc. 361,836
21,500 Hibbett Sporting Goods, Inc. 588,025
42,775 Hot Topic, Inc. 876,460
19,800 IHOP Corporation(c) 708,048
19,100 Information Holdings, Inc.(b,c) 522,767
44,275 Insight Enterprises, Inc.(b) 786,324
47,400 Interface, Inc.(b) 413,802
23,500 Intermet Corporation 101,050
18,350 J. Jill Group, Inc.(b) 432,876
33,500 Jack in the Box, Inc.(b) 994,950
23,200 JAKKS Pacific, Inc.(b,c) 482,328
20,330 Jo-Ann Stores, Inc.(b) 597,702
32,300 K-Swiss, Inc.(c) 652,783
37,300 K2, Inc.(b) 585,610
24,800 Kellwood Company 1,080,040
25,500 Landry's Restaurants, Inc. 762,195
47,600 Lay-Z-Boy, Inc. 855,848
12,700 Libbey, Inc. 352,552
41,300 Linens 'n Things, Inc.(b) 1,210,503
19,600 Lone Star Steakhouse & Saloon, Inc. 532,924
29,951 M.D.C. Holdings, Inc. 1,905,183
27,400 Marcus Corporation 472,650
18,400 Meade Instruments Corporation(b,c) 58,696
33,100 Men's Wearhouse, Inc.(b) 873,509
12,100 Meritage Corporation(b,c) 832,480
14,100 Midas, Inc.(b) 245,340
26,800 Monaco Coach Corporation 754,956
30,700 Movie Gallery, Inc.(c) 600,185
25,500 Multimedia Games, Inc.(c) 683,910
6,400 National Presto Industries, Inc. 263,872
29,900 Nautilus Group, Inc.(c) 583,349
5,920 NVR, Inc.(b,c) 2,866,466
19,500 O'Charley's, Inc.(b) 335,205
10,800 OshKosh B'Gosh, Inc.(c) 269,676
14,900 Oxford Industries, Inc.(c) 649,044
23,500 P.F. Chang's China Bistro, Inc.(b,c) 967,025
27,700 Panera Bread Company(b,c) 993,876
16,100 Papa John's International, Inc.(b,c) 475,594
54,900 Pep Boys - Manny, Moe & Jack(c) 1,391,715
28,300 Phillips-Van Heusen Corporation 544,775
32,600 Pinnacle Entertainment, Inc.(b) 411,086
39,300 Polaris Industries, Inc.(c) 1,886,400
41,300 Prime Hospitality Corporation(b) 438,606
52,000 Quiksilver, Inc.(b) 1,238,120
31,150 RARE Hospitality International, Inc. 775,635
19,000 Russ Berrie and Company, Inc. 369,170
30,100 Russell Corporation 540,596
38,600 Ryan's Restaurant Group Inc.(b) 609,880
32,675 SCP Pool Corporation(c) 1,470,375
33,300 Select Comfort Corporation(b,c) 945,720
26,900 ShopKo Stores, Inc.(b,c) 380,366
21,350 Shuffle Master, Inc.(c) 775,218
7,700 Skyline Corporation 313,005
54,468 Sonic Corporation 1,239,147
18,200 Standard Motor Products, Inc.(c) 268,086
31,100 Standard Pacific Corporation 1,533,230
25,217 Steak n Shake Company(b) 459,454
38,500 Stein Mart, Inc.(b) 626,010
35,900 Stride Rite Corporation 395,977
24,700 Sturm, Ruger & Company, Inc.(c) 299,117
20,200 TBC Corporation(b) 480,760
13,200 Thomas Nelson, Inc. 300,168
31,600 Too, Inc.(b) 527,720
53,100 Tower Automotive, Inc.(b,c) 193,284
35,000 Tractor Supply Company 1,463,700
58,300 Triarc Companies, Inc.(c) 592,911
13,800 Ultimate Electronics, Inc.(b,c) 68,172
36,800 Urban Outfitters, Inc.(c) 2,241,488
27,575 Wet Seal, Inc.(b,c) 144,217
31,200 Winnebago Industries, Inc.(c) 1,163,136
27,500 WMS Industries, Inc.(b,c) 819,500
36,400 Wolverine World Wide, Inc. 955,500
47,600 Zale Corporation 1,297,576
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 75,846,137
=========================================================================================================================
Consumer Staples (2.8%)
- -------------------------------------------------------------------------------------------------------------------------
16,600 American Italian Pasta Company(c) 505,968
45,800 Casey's General Stores, Inc.(c) 838,140
33,400 Corn Products International, Inc. 1,554,770
35,100 Delta and Pine Land Company 770,445
41,400 DIMON, Inc. 236,808
22,500 Duane Reade, Inc.(b,c) 367,425
40,300 Flowers Foods, Inc. 1,053,845
35,300 Great Atlantic & Pacific Tea Company, Inc.(b,c) 270,398
33,300 Hain Celestial Group, Inc.(b,c) 602,730
8,300 J & J Snack Foods Corporation(b) 338,889
27,100 Lance, Inc. 417,340
34,100 Longs Drug Stores Corporation 813,967
11,300 Nash Finch Company(c) 282,839
13,700 Nature's Sunshine Products, Inc. 195,088
61,100 NBTY, Inc.(b) 1,795,729
42,400 Performance Food Group Company(b,c) 1,125,296
26,800 Ralcorp Holdings, Inc.(b) 943,360
31,500 Rayovac Corporation(b) 885,150
18,100 Sanderson Farms, Inc.(c) 970,522
35,700 United Natural Foods, Inc. 1,032,087
15,670 WD-40 Company(c) 469,160
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 15,469,956
=========================================================================================================================
Energy (4.5%)
- -------------------------------------------------------------------------------------------------------------------------
12,700 Atwood Oceanics, Inc.(b) 530,225
30,100 Cabot Oil & Gas Corporation 1,273,230
35,000 Cal Dive International, Inc.(b,c) 1,061,200
14,500 Carbo Ceramics, Inc. 989,625
37,900 Cimarex Energy Company(b) 1,145,717
15,900 Dril-Quip, Inc.(b) 297,330
39,400 Evergreen Resources, Inc. 1,591,760
24,300 Frontier Oil Corporation(c) 514,917
21,000 Hydril Company(b) 661,500
67,000 Input/Output, Inc.(b,c) 555,430
26,400 Lone Star Technologies, Inc.(b,c) 727,584
38,700 Maverick Tube Corporation(b) 1,016,262
22,800 Oceaneering International, Inc.(b) 780,900
20,800 Offshore Logistics, Inc.(b) 584,896
64,574 Patina Oil & Gas Corporation 1,928,825
22,400 Plains Resources, Inc.(b) 379,680
11,900 Prima Energy Corporation(b) 470,883
24,800 Remington Oil and Gas Corporation(b) 585,280
16,950 SEACOR Holdings, Inc.(b) 744,614
33,100 Southwestern Energy Company(b) 948,977
30,800 Spinnaker Exploration Company(b) 1,212,904
26,200 St. Mary Land & Exploration Company 934,030
24,400 Stone Energy Corporation(b) 1,114,592
25,400 Swift Energy Company(b) 560,324
20,450 TETRA Technologies, Inc. 549,082
41,800 Unit Corporation(b) 1,314,610
30,600 Veritas DGC, Inc.(b,c) 708,390
59,300 Vintage Petroleum, Inc. 1,006,321
25,300 W-H Energy Services, Inc.(b) 495,880
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 24,684,968
=========================================================================================================================
Financials (11.3%)
- -------------------------------------------------------------------------------------------------------------------------
21,100 Anchor BanCorp Wisconsin, Inc.(c) 557,884
53,500 Bankatlantic Bancorp, Inc. 987,075
27,500 BankUnited Financial Corporation(b,c) 709,500
25,100 Boston Private Financial Holdings, Inc.(c) 581,316
54,100 Brookline Bancorp, Inc.(c) 793,647
33,200 Capital Automotive REIT 973,756
26,000 Cash America International, Inc. 598,000
33,775 Chittenden Corporation 1,187,191
24,800 Colonial Properties Trust 955,544
37,400 Commercial Federal Corporation 1,013,540
47,400 Commercial Net Lease Realty, Inc.(c) 815,280
33,800 Community First Bankshares, Inc. 1,088,022
28,877 Delphi Financial Group, Inc. 1,285,026
34,275 Dime Community Bancshares 599,127
25,665 Downey Financial Corporation 1,366,661
46,000 East West Bancorp, Inc. 1,412,200
21,200 Entertainment Properties Trust 757,688
21,000 Essex Property Trust, Inc. 1,435,350
15,800 Financial Federal Corporation(b,c) 557,108
36,900 First BanCorp 1,503,675
42,712 First Midwest Bancorp, Inc. 1,503,890
14,600 First Republic Bank 628,968
15,600 FirstFed Financial Corporation(b) 648,960
55,700 Flagstar Bancorp, Inc.(c) 1,107,316
70,600 Fremont General Corporation(c) 1,246,090
26,900 Gables Residential Trust(c) 914,062
29,300 Glenborough Realty Trust, Inc. 537,655
36,800 Gold Banc Corporation, Inc.(c) 570,400
33,100 Hilb, Rogal and Hobbs Company(c) 1,181,008
41,189 Hudson United Bancorp 1,535,526
40,100 Investment Technology Group, Inc.(b) 512,879
26,000 Irwin Financial Corporation(c) 686,400
26,100 Kilroy Realty Corporation 890,010
17,300 LandAmerica Financial Group, Inc. 673,489
44,200 Lexington Corporate Properties Trust 880,022
30,000 MAF Bancorp, Inc. 1,280,400
31,050 New Century Financial Corporation(c) 1,453,761
20,200 Philadelphia Consolidated Holding Corporation(b) 1,213,414
18,100 Piper Jaffray Companies(b,c) 818,663
26,900 Presidential Life Corporation 484,738
26,700 ProAssurance Corporation(b,c) 910,737
30,264 Provident Bankshares Corporation 872,814
58,820 Republic Bancorp, Inc. 817,598
22,500 Rewards Network, Inc.(b,c) 202,500
26,500 Riggs National Corporation(c) 559,680
23,100 RLI Corporation(c) 843,150
9,100 SCPIE Holdings, Inc.(c) 82,810
27,600 Seacoast Financial Services Corporation 954,960
25,400 Selective Insurance Group, Inc.(c) 1,012,952
42,300 Shurgard Storage Centers, Inc. 1,582,020
54,600 South Financial Group, Inc.(c) 1,547,364
31,500 Southwest Bancorporation of Texas, Inc. 1,389,780
41,100 Sterling Bancshares, Inc. 583,209
20,710 Sterling Financial Corporation(b) 660,028
16,500 Stewart Information Services Corporation 557,205
42,300 Susquehanna Bancshares, Inc. 1,064,268
15,751 SWS Group, Inc. 240,990
68,282 TrustCo Bank Corporation NY(c) 894,494
41,300 UCBH Holdings, Inc. 1,632,176
42,300 UICI(b) 1,007,163
26,100 Umpqua Holdings Corporation(c) 547,839
40,000 United Bankshares, Inc. 1,300,000
30,590 Waypoint Financial Corporation 843,978
37,400 Whitney Holding Corporation 1,670,658
18,600 Wintrust Financial Corporation 939,486
17,012 World Acceptance Corporation(b,c) 311,830
17,500 Zenith National Insurance Corporation(c) 850,500
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 61,825,430
=========================================================================================================================
Health Care (10.3%)
- -------------------------------------------------------------------------------------------------------------------------
44,400 Accredo Health, Inc.(b) 1,729,380
27,100 Advanced Medical Optics, Inc.(b) 1,153,647
47,900 Alpharma, Inc.(c) 980,992
29,800 American Healthways, Inc.(c) 793,276
30,500 American Medical Systems Holdings, Inc.(b) 1,027,850
22,600 AMERIGROUP Corporation(b) 1,111,920
27,650 Amsurg Corporation 694,844
12,600 Analogic Corporation 534,618
26,400 ArQule, Inc.(b,c) 139,128
19,400 ArthroCare Corporation(b,c) 564,152
22,200 BioLase Technology, Inc.(b,c) 298,812
14,300 Biosite Diagnostics, Inc.(b,c) 642,356
18,650 Centene Corporation(c) 718,958
32,700 Cerner Corporation(b,c) 1,457,766
11,100 Chemed Corporation 538,350
13,500 CIMA Labs, Inc.(b,c) 455,355
27,150 CONMED Corporation(b) 743,910
29,900 Cooper Companies, Inc. 1,888,783
29,200 Cross Country Healthcare, Inc.(b,c) 529,980
21,350 CryoLife, Inc.(b,c) 112,514
12,000 Curative Health Services, Inc.(b,c) 103,920
21,500 Cyberonics, Inc.(b,c) 717,240
13,600 Datascope Corporation 539,784
38,000 Dendrite International, Inc.(b) 706,040
26,600 Diagnostic Products Corporation 1,168,804
28,188 Enzo Biochem, Inc.(b,c) 422,820
23,000 Haemonetics Corporation(b) 681,950
18,600 Hologic, Inc.(b,c) 432,450
59,400 Hooper Holmes, Inc. 340,956
12,700 ICU Medical, Inc.(b,c) 425,831
31,800 IDEXX Laboratories, Inc.(b) 2,001,492
18,200 Immucor, Inc.(b,c) 592,410
26,100 Integra Life Sciences Holdings Corporation(b,c) 920,547
28,600 Invacare Corporation(c) 1,278,992
15,400 LabOne, Inc.(b) 489,412
52,000 Medicis Pharmaceutical Corporation(c) 2,077,400
38,600 Mentor Corporation(c) 1,323,594
24,000 Merit Medical Systems, Inc.(b) 382,320
64,600 MGI Pharma, Inc.(c) 1,744,846
33,000 NDCHealth Corporation 765,600
21,400 Noven Pharmaceuticals, Inc.(b) 471,228
33,500 Odyssey Healthcare, Inc.(c) 630,470
45,900 Orthodontic Centers of America, Inc.(b,c) 375,921
15,900 Osteotech, Inc.(b,c) 103,191
35,900 Owens & Minor, Inc. 929,810
23,900 PAREXEL International Corporation(b,c) 473,220
22,400 Pediatrix Medical Group, Inc.(b) 1,564,640
51,500 Pharmaceutical Product Development, Inc.(b) 1,636,155
24,800 PolyMedica Corporation(c) 769,792
16,600 Possis Medical, Inc.(b,c) 566,890
39,732 Priority Healthcare Corporation(b,c) 911,849
45,150 Province Healthcare Company(b) 774,322
51,000 Regeneron Pharmaceuticals, Inc.(b,c) 537,030
14,900 RehabCare Group, Inc.(b) 396,787
31,000 ResMed, Inc.(b,c) 1,579,760
31,900 Respironics, Inc.(b) 1,874,125
55,000 Savient Pharmaceuticals, Inc.(b) 136,400
24,600 Sierra Health Services, Inc.(b,c) 1,099,620
29,200 Sola International, Inc.(b) 503,116
18,700 Sunrise Senior Living, Inc.(b,c) 731,918
16,000 SurModics, Inc.(b,c) 394,240
35,400 Sybron Dental Specialties, Inc.(b) 1,056,690
37,600 Techne Corporation(b) 1,633,720
27,500 Theragenics Corporation(b,c) 127,050
25,700 United Surgical Partners International, Inc.(b) 1,014,379
79,100 US Oncology, Inc.(b) 1,164,352
28,200 Viasys Healthcare, Inc.(b) 589,662
11,800 Vital Signs, Inc. 342,672
19,600 Wilson Greatbatch Technologies, Inc.(b) 547,820
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 56,169,828
=========================================================================================================================
Industrials (15.3%)
- -------------------------------------------------------------------------------------------------------------------------
26,900 A.O. Smith Corporation 855,151
29,500 AAR Corporation(b) 334,825
44,800 ABM Industries, Inc.(c) 872,256
39,000 Acuity Brands, Inc. 1,053,000
24,400 Administaff, Inc.(b,c) 405,040
30,300 Albany International Corporation 1,016,868
8,200 Angelica Corporation 205,902
25,200 Apogee Enterprises, Inc.(c) 262,080
17,800 Applied Industrial Technologies, Inc. 536,136
22,800 Arkansas Best Corporation(c) 750,576
29,800 Armor Holdings, Inc.(b) 1,013,200
35,700 Artesyn Technologies, Inc.(b,c) 321,300
18,100 Astec Industries, Inc.(b) 340,823
41,500 Atlantic Coast Airlines Holdings, Inc.(b,c) 238,210
30,200 Baldor Electric Company 705,170
21,200 Barnes Group, Inc.(c) 614,376
23,700 Belden, Inc. 507,891
32,100 Bowne & Company, Inc. 508,785
21,800 Brady Corporation 1,004,980
20,600 Briggs & Stratton Corporation 1,820,010
23,100 C&D Technologies, Inc. 411,873
17,900 CDI Corporation 619,340
33,400 Central Parking Corporation(c) 624,246
23,300 CLARCOR, Inc. 1,067,140
19,600 Coinstar, Inc.(b,c) 430,612
12,600 Consolidated Graphics, Inc.(b) 555,030
7,500 CPI Corporation(c) 110,400
24,400 Cubic Corporation(c) 510,692
15,600 Cuno, Inc.(b,c) 832,260
19,200 Curtiss-Wright Corporation(c) 1,078,848
23,800 DRS Technologies, Inc.(b) 759,220
18,400 EDO Corporation 443,808
41,300 EGL, Inc.(b) 1,098,580
18,000 ElkCorp 430,920
13,900 EMCOR Group, Inc.(b,c) 611,322
23,850 Engineered Support Systems, Inc.(c) 1,395,464
19,500 Esterline Technologies Corporation(b) 575,835
19,800 Forward Air Corporation(b) 740,520
32,500 Frontier Airlines, Inc.(b,c) 353,600
19,100 G & K Services, Inc. 767,629
18,200 Gardner Denver, Inc.(b) 507,780
40,700 GenCorp, Inc.(c) 544,973
20,400 Gerber Scientific, Inc.(b) 144,024
27,130 Griffon Corporation(b) 604,456
45,724 Heartland Express, Inc. 1,251,009
17,300 Heidrick & Struggles International, Inc.(b,c) 513,464
28,000 Hughes Supply, Inc. 1,650,040
45,900 IDEX Corporation 1,576,665
15,200 Imagistics International, Inc.(b) 538,080
24,600 Insituform Technologies, Inc.(b,c) 400,242
10,800 Insurance Auto Auctions, Inc.(b,c) 183,600
15,385 Intermagnetics General Corporation(b,c) 523,552
16,000 InVision Technologies, Inc.(b,c) 798,400
20,600 Ionics, Inc.(b,c) 581,950
40,000 JLG Industries, Inc.(c) 555,600
25,900 John H. Harland Company(c) 760,165
20,800 Kaman Corporation(c) 290,992
57,400 Kansas City Southern, Inc.(b,c) 889,700
25,900 Kaydon Corporation 801,087
22,400 Kirby Corporation(b) 871,360
34,400 Knight Transportation, Inc.(b) 988,312
36,700 Kroll, Inc.(b,c) 1,353,496
38,000 Labor Ready, Inc.(b,c) 589,000
27,300 Landstar System, Inc. 1,443,351
8,700 Lawson Products, Inc. 331,905
53,836 Lennox International, Inc.(c) 974,432
10,850 Lindsay Manufacturing Company 260,617
14,900 Lydall, Inc.(b) 145,573
26,200 MagneTek, Inc.(b) 218,508
24,500 Manitowoc Company, Inc. 829,325
9,700 MemberWorks, Inc.(b,c) 287,314
19,500 Mercury Computer Systems, Inc.(b) 483,600
29,000 Mesa Air Group, Inc.(b,c) 234,610
45,600 Milacron, Inc.(c) 182,400
13,200 Mobile Mini, Inc.(b,c) 375,012
23,900 Moog, Inc. 886,929
32,000 Mueller Industries, Inc. 1,145,600
28,800 NCO Group, Inc.(b) 768,672
23,200 On Assignment, Inc.(b,c) 136,880
32,300 Oshkosh Truck Corporation 1,851,113
15,000 Pre-Paid Legal Services, Inc.(b,c) 357,450
56,600 PRG-Schultz International, Inc.(b,c) 309,602
22,500 Regal-Beloit Corporation 500,850
29,600 Reliance Steel & Aluminum Company 1,193,472
13,300 Robbins & Myers, Inc.(c) 298,585
33,700 Roper Industries, Inc. 1,917,530
17,400 School Specialty, Inc.(b,c) 631,794
57,900 Shaw Group, Inc.(b,c) 586,527
22,200 Simpson Manufacturing Company, Inc. 1,245,864
53,100 SkyWest, Inc. 924,471
14,800 SOURCECORP, Inc.(b) 407,296
55,300 Spherion Corporation(b) 560,742
26,200 Standard Register Company(c) 311,780
11,200 Standex International Corporation 304,640
26,300 Stewart & Stevenson Services, Inc. 471,296
29,700 Teledyne Technologies, Inc.(b) 594,594
51,206 Tetra Tech, Inc.(b) 835,682
16,100 Thomas Industries, Inc. 534,520
81,900 Timken Company 2,169,531
22,200 Toro Company 1,555,554
35,200 Tredegar Corporation 567,776
14,600 Triumph Group, Inc.(b) 466,178
31,100 United Stationers, Inc.(b) 1,235,292
16,400 Universal Forest Products, Inc. 528,900
39,300 URS Corporation(b) 1,076,820
25,400 USF Corporation 892,302
21,900 Valmont Industries, Inc. 501,510
20,400 Viad Corporation(b) 589,764
38,400 Vicor Corporation(b,c) 701,568
13,900 Volt Information Sciences, Inc.(b) 437,989
30,700 Wabash National Corporation(b,c) 845,785
39,900 Waste Connections, Inc. 1,183,434
24,350 Watsco, Inc. 683,504
29,500 Watson Wyatt & Company Holdings 786,175
29,600 Watts Water Technologies, Inc. 797,720
11,300 Wolverine Tube, Inc.(b,c) 123,170
10,300 Woodward Governor Company 742,733
43,931 Yellow Roadway Corporation(b,c) 1,751,090
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 83,881,196
=========================================================================================================================
Information Technology (13.0%)
- -------------------------------------------------------------------------------------------------------------------------
23,600 Actel Corporation(b) 436,600
100,600 Adaptec, Inc.(b) 851,076
30,000 Advanced Energy Industries, Inc.(b) 471,600
67,950 Aeroflex, Inc.(b) 973,724
29,500 Agilysys, Inc.(c) 406,805
32,400 Alliance Semiconductor Corporation(b) 192,780
33,600 Anixter International, Inc. 1,143,408
14,000 ANSYS, Inc.(b,c) 658,000
28,600 ATMI, Inc.(b,c) 781,066
21,200 Audiovox Corporation(b,c) 357,856
28,900 Avid Technology, Inc.(b) 1,577,073
91,100 Axcelis Technologies, Inc.(b) 1,133,284
13,500 BEI Technologies, Inc. 382,185
10,300 Bel Fuse, Inc.(c) 429,510
24,900 Bell Microproducts, Inc.(b,c) 201,441
37,600 Benchmark Electronics, Inc. 1,094,160
16,100 Black Box Corporation(c) 760,886
40,800 Brooks Automation, Inc.(b) 822,120
12,000 Brooktrout, Inc.(b) 129,720
39,400 C-COR.net Corporation(b,c) 405,426
38,450 Cable Design Technologies Corporation(b,c) 407,570
26,800 CACI International, Inc.(b) 1,083,792
29,500 Captaris, Inc.(b,c) 190,570
22,300 Carreker Corporation(b) 223,446
12,000 Catapult Communications Corporation(b) 276,000
34,400 Checkpoint Systems, Inc.(b) 616,792
55,200 CIBER, Inc.(b,c) 453,744
41,400 Cognex Corporation 1,593,072
27,700 Coherent, Inc.(b) 826,845
19,700 Cohu, Inc. 375,088
16,700 Concord Communications, Inc.(b,c) 190,547
33,000 CTS Corporation 397,980
33,600 Cymer, Inc.(b) 1,257,984
17,300 Daktronics, Inc.(b,c) 431,635
19,700 Digi International, Inc.(b) 211,184
32,300 Digital Insight Corporation(b) 669,579
19,200 Dionex Corporation(b,c) 1,059,264
26,700 DSP Group, Inc.(b) 727,308
16,900 DuPont Photomasks, Inc.(b,c) 343,577
43,800 eFunds Corporation(b) 766,500
25,700 Electro Scientific Industries, Inc.(b) 727,567
16,400 EPIQ Systems, Inc.(b,c) 237,800
36,000 ESS Technology, Inc.(b,c) 385,560
37,700 Exar Corporation(b) 552,682
28,300 FactSet Research Systems, Inc.(c) 1,337,741
30,500 FEI Company(b,c) 729,255
35,600 FileNet Corporation(b) 1,123,892
30,800 FLIR Systems, Inc.(b,c) 1,690,920
21,000 Global Imaging Systems, Inc.(b) 769,860
34,780 Global Payments, Inc.(c) 1,565,796
65,800 Harmonic, Inc.(b) 560,616
24,000 Helix Technology Corporation 511,920
23,800 Hutchinson Technology, Inc.(b,c) 585,242
35,680 Hyperion Solutions Corporation(b) 1,559,930
23,500 Inter-Tel, Inc. 586,795
44,300 Internet Security Systems, Inc.(b,c) 679,562
15,787 Intrado, Inc.(b,c) 254,013
19,100 Itron, Inc.(b,c) 438,154
21,200 J2 Global Communication, Inc.(c) 589,360
26,700 JDA Software Group, Inc.(b) 351,639
14,700 Keithley Instruments, Inc. 325,605
64,200 Kopin Corporation(b,c) 328,062
28,487 Kronos, Inc. 1,173,664
46,500 Kulicke and Soffa Industries, Inc.(b,c) 509,640
20,300 Littelfuse, Inc.(b) 860,923
27,600 Manhattan Associates, Inc.(b) 852,288
29,400 Mantech International Corporation(b,c) 551,838
18,500 MapInfo Corporation(b) 196,100
19,800 MAXIMUS, Inc.(b) 702,108
32,500 Methode Electronics, Inc. 421,525
16,900 MICROS Systems, Inc.(b) 810,693
54,500 Microsemi Corporation(c) 774,445
22,800 MRO Software, Inc.(b) 310,308
34,700 Netegrity, Inc.(b,c) 293,562
22,200 Network Equipment Technologies, Inc.(b,c) 181,152
29,500 NYFIX, Inc.(b,c) 144,255
18,150 Park Electrochemical Corporation 458,288
36,400 Paxar Corporation(b) 710,528
19,200 PCTEL, Inc.(b) 226,560
21,300 Pegasus Solutions, Inc.(b,c) 279,669
24,200 Pericom Semiconductor Corporation(b) 259,182
22,400 Phoenix Technologies, Ltd.(b,c) 156,576
15,200 Photon Dynamics, Inc.(b,c) 533,064
29,900 Photronics, Inc.(b,c) 566,306
63,000 Pinnacle Systems, Inc.(b) 450,450
13,600 Planar Systems, Inc.(b,c) 182,104
28,100 Power Integrations, Inc.(b) 699,690
33,000 Progress Software Corporation(b) 715,110
14,800 QRS Corporation(b) 96,940
24,100 Radiant Systems, Inc.(b) 113,029
17,300 RadiSys Corporation(b,c) 321,261
15,100 Rogers Corporation(b) 1,055,490
30,700 Roxio, Inc.(b,c) 150,737
15,300 Rudolph Technologies, Inc.(b) 278,307
14,100 SBS Technologies, Inc.(b) 226,587
11,400 ScanSource, Inc.(b) 677,388
14,300 SCM Microsystems, Inc.(b,c) 92,950
40,700 SERENA Software, Inc.(b,c) 776,963
137,100 Skyworks Solutions, Inc.(b,c) 1,196,883
16,000 SPSS, Inc.(b) 287,520
16,800 Standard Microsystems Corporation(b) 391,776
13,200 StarTek, Inc.(c) 472,560
11,800 Supertex, Inc.(b,c) 192,812
41,050 Symmetricom, Inc.(b) 365,345
41,100 Take-Two Interactive Software, Inc.(b,c) 1,259,304
12,600 TALX Corporation(c) 307,818
36,900 Technitrol, Inc.(b) 808,110
35,525 THQ, Inc.(b,c) 813,522
19,599 Three-Five Systems, Inc.(b,c) 99,955
12,500 Tollgrade Communications, Inc.(b) $132,750
46,350 Trimble Navigation, Ltd.(c) 1,288,066
21,700 Ultratech, Inc.(b) 353,276
33,200 Varian Semiconductor Equipment Associates, Inc. 1,280,192
27,100 Veeco Instruments, Inc.(b,c) 699,451
33,700 Verity, Inc.(b,c) 455,287
24,100 ViaSat, Inc.(b) 601,295
40,300 WebEx Communications, Inc.(b,c) 876,928
21,000 Websense, Inc.(b) 781,830
19,100 X-Rite, Inc. 277,714
10,152 Zilog, Inc.(b,d) 0
29,000 Zix Corporation(b,c) 230,260
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 71,185,502
=========================================================================================================================
Materials (4.5%)
- -------------------------------------------------------------------------------------------------------------------------
14,500 A.M. Castle & Company(b,c) 155,875
33,400 AptarGroup, Inc. 1,459,246
21,400 Arch Chemicals, Inc.(c) 616,748
15,300 Brush Engineered Materials, Inc.(b) 289,170
34,000 Buckeye Technologies, Inc.(b) 391,000
23,900 Cambrex Corporation 602,997
26,100 Caraustar Industries, Inc.(b,c) 368,271
20,900 Carpenter Technology Corporation 711,645
27,600 Century Aluminum Company(b) 684,204
17,900 Chesapeake Corporation 477,572
9,800 Cleveland-Cliffs, Inc.(b,c) 552,622
26,600 Commercial Metals Company 863,170
14,700 Commonwealth Industries, Inc. 151,998
11,100 Deltic Timber Corporation 426,240
39,724 Florida Rock Industries, Inc. 1,675,161
30,200 Georgia Gulf Corporation 1,082,972
26,200 H.B. Fuller Company 744,080
30,700 Headwaters, Inc.(b,c) 796,051
14,200 IMCO Recycling, Inc.(b) 187,724
27,700 MacDermid, Inc. 937,645
69,500 Massey Energy Company 1,960,595
13,100 Material Sciences Corporation(b) 139,515
27,785 Myers Industries, Inc. 391,768
25,900 OM Group, Inc.(b) 854,959
36,900 OMNOVA Solutions, Inc.(b) 225,090
8,200 Penford Corporation 143,910
83,900 PolyOne Corporation(b) 624,216
14,600 Pope & Talbot, Inc. 288,642
8,900 Quaker Chemical Corporation 245,818
15,000 Quanex Corporation 730,500
32,600 Rock-Tenn Company 552,570
19,500 RTI International Metals, Inc.(b) 311,025
22,700 Ryerson Tull, Inc.(c) 360,476
27,700 Schulman (A.), Inc. 595,273
13,800 Schweitzer-Mauduit International, Inc. 422,694
45,100 Steel Dynamics, Inc.(b,c) 1,291,213
11,700 Steel Technologies, Inc. 258,336
19,400 Texas Industries, Inc. 798,698
47,400 Wausau-Mosinee Paper Corporation 820,020
29,300 Wellman, Inc.(c) 238,209
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 24,427,918
=========================================================================================================================
Utilities (2.9%)
- -------------------------------------------------------------------------------------------------------------------------
14,050 American States Water Company(c) 326,522
48,000 Atmos Energy Corporation(c) 1,228,320
44,300 Avista Corporation 816,006
10,300 Cascade Natural Gas Corporation(c) 227,321
11,200 Central Vermont Public Service Corporation $229,488
14,500 CH Energy Group, Inc.(c) 673,380
43,600 Cleco Corporation 783,928
43,700 El Paso Electric Company(b) 674,728
33,500 Energen Corporation 1,607,665
4,800 Green Mountain Power Corporation 125,280
19,000 Laclede Group, Inc.(c) 520,790
25,300 New Jersey Resources Corporation 1,051,974
25,100 Northwest Natural Gas Company 765,550
14,700 NUI Corporation(c) 214,620
35,100 Piedmont Natural Gas Company, Inc.(c) 1,498,770
67,048 Southern Union Company(b) 1,413,372
31,800 Southwest Gas Corporation 767,334
46,700 UGI Corporation 1,499,070
13,300 UIL Holdings Corporation 647,577
31,300 UniSource Energy Corporation(c) 777,805
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 15,849,500
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $352,209,943) 430,811,454
=========================================================================================================================
Principal
Amount Long-Term Fixed Income(e) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$87 Timco Aviation Services, Inc., Payment-in-Kind 8.000% 1/2/2007 $9
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $87) 9
=========================================================================================================================
Shares or
Principal
Amount Collateral Held for Securities Loaned (20.2%) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
110,104,211 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $110,104,211
$6,400 U.S. Treasury Bonds 9.375 2/15/2006 7,323
5,087 U.S. Treasury Bonds 13.250 5/15/2014 7,293
126,356 U.S. Treasury Bonds 11.250 2/15/2015 200,318
10,683 U.S. Treasury Bonds 7.500 11/15/2016 13,276
10,174 U.S. Treasury Bonds 8.875 8/15/2017 14,284
2,379 U.S. Treasury Bonds 9.000 11/15/2018 3,348
9,386 U.S. Treasury Bonds 8.125 8/15/2019 12,580
3,856 U.S. Treasury Bonds 8.750 8/15/2020 5,469
2,708 U.S. Treasury Bonds 7.125 2/15/2023 3,355
12,964 U.S. Treasury Bonds 5.500 8/15/2028 13,410
10,256 U.S. Treasury Notes 6.750 5/15/2005 10,759
16,884 U.S. Treasury Notes 3.375 1/15/2007 21,777
4,102 U.S. Treasury Notes 4.875 2/15/2012 4,313
175,155 U.S. Treasury Notes 2.000 1/15/2014 175,639
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $110,597,355) 110,597,355
=========================================================================================================================
Shares Short-Term Investments (1.1%) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
5,912,718 Thrivent Money Market Portfolio(g) 0.768% N/A $5,912,718
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 5,912,718
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $468,720,103) $547,321,536
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Security is fair valued as discussed in the notes to
the financial statements.
(e) The market value of the denoted categories of
investments represents less than 0.1% of the total
investments of the Small Cap Index Portfolio.
(f) The interest rate shown reflects the coupon rate,
yield or, for securities purchased at a discount, the
discount rate at the date of purchase.
(g) At June 30, 2004, $294,000 in cash was pledged as the
initial margin deposit for open financial futures
contracts. In addition, $40,425 in cash and
$5,912,718 of Short-Term Investments were earmarked
as collateral to cover open financial futures
contracts as follows:
Notional
Number of Expiration Principal Unrealized
Type Contracts Date Position Value Amount Gain
- -------------------------------------------------------------------------------------------------------------------------
Russell 2000 Futures 21 September 2004 Long $6,219,675 $5,945,276 $274,399
The accompanying notes to the financial statements
are an integral part of this schedule.
Mid Cap Growth Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (85.2%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (1.6%)
- -------------------------------------------------------------------------------------------------------------------------
101,000 American Tower Corporation(b,c) $1,535,200
91,100 Crown Castle International Corporation(b) 1,343,725
65,900 Nextel Communications, Inc.(b,c) 1,756,894
315,000 Nextel Partners, Inc.(b,c) 5,014,800
49,300 NII Holdings, Inc.(c) 1,660,917
107,400 Western Wireless Corporation(b,c) 3,104,934
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 14,416,470
=========================================================================================================================
Consumer Discretionary (16.8%)
- -------------------------------------------------------------------------------------------------------------------------
95,400 Abercrombie & Fitch Company(c) 3,696,750
48,400 Advance Auto Parts, Inc. 2,138,312
40,700 Applebee's International, Inc. 936,914
78,900 Autoliv, Inc.(c) 3,329,580
33,600 Bed Bath & Beyond, Inc.(b,c) 1,291,920
54,200 Best Buy Company, Inc. 2,750,108
28,100 Brunswick Corporation 1,146,480
105,000 Charlotte Russe Holding, Inc.(b,c) 2,244,900
539,900 Charter Communications, Inc.(b,c) 2,116,408
47,800 Cheesecake Factory, Inc.(b,c) 1,901,962
115,150 Chico's FAS, Inc.(b,c) 5,200,174
53,300 Citadel Broadcasting Company(b) 776,581
132,900 Coach, Inc. 6,005,751
46,300 Cox Radio, Inc.(b) 804,694
39,400 D.R. Horton, Inc. 1,118,960
87,100 Dollar Tree Stores, Inc.(b) 2,389,153
47,600 Dow Jones & Company, Inc. 2,146,760
14,400 E.W. Scripps Company(c,d) 1,512,000
16,400 eBay, Inc. 1,507,980
37,300 Entercom Communications Corporation(b) 1,391,290
54,300 Foot Locker, Inc. 1,321,662
14,200 Fortune Brands, Inc. 1,071,106
70,000 Gentex Corporation(c) 2,777,600
48,500 Getty Images, Inc.(b) 2,910,000
45,100 GTECH Holdings Corporation 2,088,581
37,700 Harman International Industries, Inc. 3,430,700
17,000 Harrah's Entertainment, Inc. 919,700
169,800 Hilton Hotels Corporation(c) 3,168,468
32,226 InterActiveCorp(b,c) 971,292
109,600 International Game Technology 4,230,560
36,200 Kmart Holding Corporation(b,c) 2,599,160
43,000 Lamar Advertising Company(b) 1,864,050
27,200 Lennar Corporation 1,216,384
114,100 Limited Brands, Inc. 2,133,670
33,100 Linens 'n Things, Inc.(b) 970,161
208,500 Marvel Enterprises, Inc.(c) 4,069,920
144,500 Mattel, Inc.(c) 2,637,125
32,500 Michaels Stores, Inc.(c) 1,787,500
14,400 Mohawk Industries, Inc.(b) 1,055,952
30,500 Nordstrom, Inc. 1,299,605
27,200 NTL, Inc.(b,c) 1,567,264
29,600 Outback Steakhouse, Inc. 1,224,256
23,200 P.F. Chang's China Bistro, Inc.(b,c) 954,680
62,730 Pacific Sunwear of California, Inc. 1,227,626
94,000 Petco Animal Supplies, Inc.(b) 3,027,740
184,600 PETsMART, Inc. 5,990,270
80,100 Ross Stores, Inc. 2,143,476
139,800 Royal Caribbean Cruises, Ltd.(c) 6,068,718
36,713 Sonic Corporation(c) 835,209
212,700 Staples, Inc. 6,234,237
95,300 Starbucks Corporation(b) 4,143,644
82,000 Starwood Hotels & Resorts Worldwide, Inc.(c) 3,677,700
57,800 Station Casinos, Inc.(c) 2,797,520
64,900 Tempur-Pedic International(b) 909,249
36,100 Tiffany & Company(c) 1,330,285
22,800 Timberland Company(b) 1,472,652
51,200 TJX Companies, Inc.(c) 1,235,968
102,820 Univision Communications, Inc.(b,c) 3,283,043
120,700 Warnaco Group, Inc.(b) 2,567,289
33,100 Weight Watchers International, Inc.(b,c) 1,295,534
24,100 Wendy's International, Inc. 839,644
73,600 Westwood One, Inc.(b) 1,751,680
83,000 Williams-Sonoma, Inc.(b) 2,735,680
29,500 Wynn Resorts, Ltd.(b,c) 1,139,585
49,300 XM Satellite Radio Holdings, Inc.(b,c) 1,345,397
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 146,728,219
=========================================================================================================================
Consumer Staples (1.1%)
- -------------------------------------------------------------------------------------------------------------------------
12,800 Coca-Cola Bottling Company Consolidated 740,992
25,500 Constellation Brands, Inc.(b,c) 946,815
29,500 Dean Foods Company(b) 1,100,645
33,700 Estee Lauder Companies 1,643,886
32,100 NBTY, Inc.(b) 943,419
68,000 Ralcorp Holdings, Inc.(b) 2,393,600
20,650 Whole Foods Market, Inc.(c) 1,971,042
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 9,740,399
=========================================================================================================================
Energy (5.3%)
- -------------------------------------------------------------------------------------------------------------------------
30,606 Apache Corporation 1,332,891
105,620 BJ Services Company(b) 4,841,621
95,400 Chesapeake Energy Corporation 1,404,288
61,300 Cooper Cameron Corporation(b) 2,985,310
113,200 ENSCO International, Inc. 3,294,120
27,000 EOG Resources, Inc. 1,612,170
14,600 Murphy Oil Corporation(c) 1,076,020
93,700 Nabors Industries, Ltd.(b) 4,237,114
39,700 National-Oilwell, Inc.(b) 1,250,153
55,700 Newfield Exploration Company(b) 3,104,718
64,000 Noble Corporation(b) 2,424,960
78,900 Patterson-UTI Energy, Inc.(c) 2,636,049
27,300 Quicksilver Resources, Inc.(b,c) 1,831,011
52,080 Smith International, Inc.(b) 2,903,981
44,300 Southwestern Energy Company(b) 1,270,081
65,900 St. Mary Land & Exploration Company(c) 2,349,335
43,700 Ultra Petroleum Corporation(b) 1,631,321
25,740 Weatherford International, Ltd.(b) 1,157,785
193,900 Williams Companies, Inc. 2,307,410
106,291 XTO Energy, Inc. 3,166,409
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 46,816,747
=========================================================================================================================
Financials (6.8%)
- -------------------------------------------------------------------------------------------------------------------------
21,250 Affiliated Managers Group, Inc.(c) 1,070,362
22,200 Ambac Financial Group, Inc. 1,630,368
192,500 Ameritrade Holding Corporation(b) 2,184,875
137,250 Apollo Investment Corporation(b) 1,889,932
31,100 Bear Stearns Companies, Inc. 2,622,041
16,200 Capital One Financial Corporation(c) 1,107,756
66,000 CapitalSource, Inc.(b) 1,613,700
14,200 Chicago Mercantile Exchange(c) 2,050,054
73,800 CIT Group, Inc. 2,825,802
13,700 Countrywide Financial Corporation 962,425
139,600 E*TRADE Group, Inc.(b) 1,556,540
89,000 East West Bancorp, Inc. 2,732,300
24,800 Eaton Vance Corporation 947,608
17,700 Everest Re Group, Ltd. 1,422,372
41,725 First Financial Bankshares, Inc.(c) 1,749,529
51,600 First Horizon National Corporation 2,346,252
119,600 Investors Financial Services Corporation(c) 5,212,168
42,500 Legg Mason, Inc.(c) 3,867,925
67,000 MB Financial, Inc.(c) 2,466,270
27,700 Moody's Corporation 1,791,082
59,999 New York Community Bancorp, Inc.(c) 1,177,780
117,000 Ohio Casualty Corporation(b,c) 2,355,210
68,400 Providian Financial Corporation(b) 1,003,428
28,900 SEI Investments Company 839,256
63,000 Silicon Valley Bancshares(b) 2,497,950
145,100 Sovereign Bancorp, Inc.(c) 3,206,710
28,400 T. Rowe Price Group, Inc. 1,431,360
58,400 TCF Financial Corporation(c) 3,390,120
37,600 Willis Group Holdings, Ltd.(c) 1,408,120
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 59,359,295
=========================================================================================================================
Health Care (16.6%)
- -------------------------------------------------------------------------------------------------------------------------
180,200 Abgenix, Inc.(b,c) 2,111,944
23,400 Aetna, Inc. 1,989,000
140,000 Alkermes, Inc.(b,c) 1,904,000
28,100 Allergan, Inc.(c) 2,515,512
50,900 AMERIGROUP Corporation(b) 2,504,280
50,100 Amylin Pharmaceuticals, Inc.(b,c) 1,142,280
18,102 Anthem, Inc.(b,c) 1,621,215
58,625 Barr Pharmaceuticals, Inc. 1,975,662
62,920 Biogen Idec, Inc.(b,c) 3,979,690
68,367 Biomet, Inc. 3,038,229
35,800 Biosite Diagnostics, Inc.(b,c) 1,608,136
22,800 Boston Scientific Corporation 975,840
100,300 Bruker BioSciences Corporation(b) 488,461
85,000 C.R. Bard, Inc. 4,815,250
239,300 Caliper Life Sciences, Inc.(b) 1,112,745
215,190 Caremark Rx, Inc.(b) 7,088,359
43,300 Celgene Corporation(b,c) 2,479,358
26,800 Cephalon, Inc.(b,c) 1,447,200
25,400 Charles River Laboratories International, Inc.(b) 1,241,298
33,100 CIGNA Corporation 2,277,611
47,300 Community Health Systems, Inc.(b) 1,266,221
47,500 Coventry Health Care, Inc. 2,322,750
96,600 Cytyc Corporation(b) 2,450,742
59,850 DaVita, Inc. 1,845,176
66,800 Dentsply International, Inc. 3,480,280
49,600 Eclipsys Corporation(b) 756,896
168,800 Elan Corporation plc ADR(b,c) 4,176,112
27,500 Endo Pharmaceutical Holdings, Inc.(b,c) 644,875
15,300 Express Scripts, Inc.(b) 1,212,219
60,600 Fisher Scientific International, Inc.(b,c) 3,499,650
35,700 Gen-Probe, Inc. 1,689,324
24,000 Genzyme Corporation(b) 1,135,920
94,300 Gilead Sciences, Inc.(b) 6,318,100
70,575 Health Management Associates, Inc. 1,582,292
23,500 Henry Schein, Inc.(b) 1,483,790
30,300 Inamed Corporation 1,904,355
53,300 Invitrogen Corporation(b,c) 3,837,067
139,900 IVAX Corporation(b) 3,356,201
41,000 Kinetic Concepts, Inc.(b) 2,045,900
91,300 Kyphon, Inc.(b) 2,572,834
28,300 Laboratory Corporation of America Holdings(b) 1,123,510
81,100 Lexicon Genetics, Inc.(b) 635,824
36,900 Manor Care, Inc. 1,205,892
80,700 McKesson Corporation 2,770,431
83,000 Medicis Pharmaceutical Corporation(c) 3,315,850
51,600 MedImmune, Inc.(b) 1,207,440
61,800 Millennium Pharmaceuticals, Inc.(b,c) 852,840
16,000 Millipore Corporation(b) 901,920
49,100 Mylan Laboratories, Inc.(c) 994,275
26,600 Neurocrine Biosciences, Inc.(b,c) 1,379,210
69,800 Omnicare, Inc. 2,988,138
39,000 PacifiCare Health Systems, Inc.(c) 1,507,740
20,400 Patterson Dental Companies, Inc.(b,c) 1,560,396
72,200 Pharmaceutical Product Development, Inc.(b) 2,293,794
49,200 Protein Design Labs, Inc.(b,c) 941,196
12,300 Quest Diagnostics, Inc.(c) 1,044,885
22,300 ResMed, Inc.(b,c) 1,136,408
29,500 Sepracor, Inc.(b,c) 1,560,550
37,400 St. Jude Medical, Inc.(b) 2,829,310
71,600 Techne Corporation(b,c) 3,111,020
90,900 Tercica, Inc.(b,c) 743,562
24,600 Teva Pharmaceutical Industries, Ltd.(c) 1,655,334
82,000 Triad Hospitals, Inc.(b) 3,052,860
47,900 Varian Medical Systems, Inc.(b) 3,800,865
33,700 Watson Pharmaceuticals, Inc.(b) 906,530
272,500 WebMD Corporation(b,c) 2,539,700
12,750 WellCare Health Plans, Incorporated(b,e) 216,750
8,000 WellPoint Health Networks, Inc.(b) 896,080
53,200 Zimmer Holdings, Inc.(b) 4,692,240
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 145,761,324
=========================================================================================================================
Industrials (9.3%)
- -------------------------------------------------------------------------------------------------------------------------
16,350 Alliant Techsystems, Inc.(b) 1,035,609
209,100 Allied Waste Industries, Inc.(b) 2,755,938
67,400 American Power Conversion Corporation(c) 1,324,410
43,200 American Standard Companies, Inc. 1,741,392
29,050 Apollo Group, Inc. (University of Phoenix
Online)(b,c) 2,564,824
11,500 Apollo Group, Inc. (University of Phoenix Online) 1,007,285
99,300 C.H. Robinson Worldwide, Inc.(c) 4,551,912
78,300 Career Education Corporation 3,567,348
45,700 ChoicePoint, Inc.(b) 2,086,662
73,900 Cintas Corporation 3,522,813
72,300 Corinthian Colleges, Inc. 1,788,702
56,300 Corporate Executive Board Company(c) 3,253,577
50,800 Danaher Corporation 2,633,980
17,500 Dun & Bradstreet Corporation(b) 943,425
40,100 Education Management Corporation 1,317,686
57,760 Expeditors International of Washington, Inc.(c) 2,853,922
90,100 Fastenal Company(c) 5,120,383
102,900 Flowserve Corporation(b) 2,566,326
91,600 Goodrich Corporation 2,961,428
45,300 Hughes Supply, Inc. 2,669,529
27,600 ITT Educational Services, Inc.(b) 1,049,352
11,700 ITT Industries, Inc. 971,100
55,300 J.B. Hunt Transport Services, Inc. 2,133,474
30,100 Jacobs Engineering Group, Inc.(b,c) 1,185,338
34,400 JetBlue Airways Corporation(c) 1,010,672
65,800 L-3 Communications Holdings, Inc.(c) 4,395,440
50,000 Manpower, Inc. 2,538,500
85,100 Monster Worldwide, Inc.(b,c) 2,188,772
56,100 MSC Industrial Direct Company, Inc. 1,842,324
95,100 Norfolk Southern Corporation 2,522,052
138,900 Robert Half International, Inc.(c) 4,135,053
44,800 Rockwell Automation, Inc. 1,680,448
49,500 Stericycle, Inc.(b) 2,561,130
72,100 United Defense Industries, Inc.(b) 2,523,500
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 81,004,306
=========================================================================================================================
Information Technology (25.9%)
- -------------------------------------------------------------------------------------------------------------------------
373,900 3Com Corporation(b) 2,336,875
62,400 Adobe Systems, Inc. 2,901,600
46,800 ADTRAN, Inc. 1,561,716
79,700 Advent Software, Inc.(b,c) 1,440,179
46,300 Affiliated Computer Services, Inc.(b,c) 2,451,122
339,500 Agere Systems, Inc.(b,c) 780,850
34,100 Agilent Technologies, Inc.(b) 998,448
182,900 Akamai Technologies, Inc.(b) 3,283,055
64,300 Alliance Data Systems Corporation(b) 2,716,675
200,800 Altera Corporation(b) 4,461,776
93,500 Amdocs, Ltd.(b,c) 2,190,705
59,500 Amphenol Corporation 1,982,540
177,500 Andrew Corporation(b,c) 3,551,775
56,400 Ask Jeeves, Inc.(b,c) 2,201,292
190,800 ASML Holding NV ADR(b,c) 3,264,588
150,300 Avaya, Inc.(b,c) 2,373,237
98,200 Avici Systems, Inc.(b,c) 1,276,944
28,700 Avocent Corporation(b) 1,054,438
200,500 Axcelis Technologies, Inc.(b,c) 2,494,220
127,800 BEA Systems, Inc.(b) 1,050,516
273,000 Borland Software Corporation(b,c) 2,317,770
134,000 Broadcom Corporation(b,c) 6,267,180
46,300 CDW Corporation 2,952,088
124,000 Check Point Software Technologies, Ltd.(b,c) 3,346,760
48,600 CheckFree Corporation(b) 1,458,000
87,100 Citrix Systems, Inc.(b) 1,773,356
202,050 Cognizant Technology Solutions Corporation 5,134,090
52,000 Cognos, Inc.(b) 1,880,320
253,500 Comverse Technology, Inc.(b) 5,054,790
371,900 Corning, Inc.(b,c) 4,857,014
103,000 Cree, Inc.(b,c) 2,397,840
30,100 Cymer, Inc.(b,c) 1,126,944
128,800 Cypress Semiconductor Corporation(b,c) 1,827,672
88,600 DST Systems, Inc.(b,c) 4,260,774
75,400 Electronic Arts, Inc. 4,113,070
89,700 Electronics for Imaging, Inc.(b) 2,534,922
67,300 Emulex Corporation(b,c) 963,063
49,350 Fair Isaac Corporation 1,647,303
63,700 Fairchild Semiconductor International, Inc.(b) 1,042,769
85,365 Fiserv, Inc.(b) 3,319,845
102,500 Flextronics International, Ltd.(b,c) 1,634,875
23,500 FLIR Systems, Inc.(b) 1,290,150
115,300 Foundry Networks, Inc.(b) 1,622,271
21,000 Global Payments, Inc. 945,420
74,200 Hyperion Solutions Corporation(b,c) 3,244,024
58,600 Integrated Circuit Systems, Inc.(b,c) 1,591,576
24,800 International Rectifier Corporation(b) 1,027,216
121,700 Intersil Corporation(c) 2,636,022
37,000 Intuit, Inc.(b) 1,427,460
27,700 Iron Mountain, Inc.(b,c) 1,336,802
100,400 Jabil Circuit, Inc.(b) 2,528,072
545,100 JDS Uniphase Corporation(b,c) 2,065,929
141,446 Juniper Networks, Inc.(b,c) 3,475,328
42,240 KLA-Tencor Corporation(b,c) 2,085,811
34,900 Kronos, Inc.(c) 1,437,880
104,000 Lam Research Corporation(b,c) 2,787,200
28,000 Lexmark International, Inc.(b) 2,702,840
27,800 Linear Technology Corporation 1,097,266
104,500 Macromedia, Inc.(b) 2,565,475
121,000 Marvell Technology Group, Ltd.(c) 3,230,700
57,640 Maxim Integrated Products, Inc.(c) 3,021,489
111,000 McAfee, Inc.(b,c) 2,012,430
119,700 Mercury Interactive Corporation(b,c) 5,964,651
121,490 Microchip Technology, Inc. 3,831,795
141,200 National Semiconductor Corporation(c) 3,104,988
181,344 NetIQ Corporation(b) 2,393,741
148,600 Network Appliance, Inc.(b,c) 3,199,358
53,870 Novellus Systems, Inc.(b) 1,693,673
48,800 NVIDIA Corporation(b) 1,000,400
106,100 OSI Systems, Inc.(b,c) 2,114,573
49,600 Palmone, Inc.(b,c) 1,724,592
52,600 PeopleSoft, Inc.(b) 973,100
54,000 PerkinElmer, Inc. 1,082,160
67,300 PMC-Sierra, Inc.(b) 965,755
96,500 Polycom, Inc.(b,c) 2,162,565
46,000 QLogic Corporation(b,c) 1,223,140
67,700 Red Hat, Inc.(b) 1,555,069
96,000 Sabre Holdings Corporation 2,660,160
53,600 SanDisk Corporation(c) 1,162,584
40,700 Semtech Corporation(b) 958,078
131,000 Siebel Systems, Inc.(b) 1,399,080
21,600 Silicon Laboratories, Inc.(b,c) 1,001,160
302,600 Skyworks Solutions, Inc.(b,c) 2,641,698
60,060 SunGard Data Systems, Inc.(b) 1,561,560
131,800 Symantec Corporation 5,770,204
59,500 Symbol Technologies, Inc. 877,030
56,900 Synopsys, Inc. 1,617,667
104,700 Tektronix, Inc. 3,561,894
38,300 Teradyne, Inc.(b,c) 869,410
33,800 Thermo Electron Corporation(b) 1,039,012
28,200 UTStarcom, Inc.(b,c) 853,050
60,300 Varian, Inc.(b) 2,541,645
190,500 VeriSign, Inc.(b,c) 3,790,950
69,500 VERITAS Software Corporation(b) 1,925,150
78,500 Vishay Intertechnology, Inc.(b,c) 1,458,530
32,300 Waters Corporation(b) 1,543,294
35,200 Websense, Inc.(b) 1,310,496
107,900 Wind River Systems, Inc.(b,c) 1,268,904
51,220 Xilinx, Inc. 1,706,138
39,400 Yahoo!, Inc. 1,431,402
28,150 Zebra Technologies Corporation 2,449,050
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 226,802,063
=========================================================================================================================
Materials (1.5%)
- -------------------------------------------------------------------------------------------------------------------------
266,700 Crown Holdings, Inc.(b) 2,658,999
99,700 Ecolab, Inc. 3,160,490
30,300 Freeport-McMoRan Copper & Gold, Inc. 1,004,445
138,600 Millennium Chemicals, Inc. 2,400,552
113,000 Packaging Corporation of America 2,700,700
24,100 Peabody Energy Corporation 1,349,359
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 13,274,545
=========================================================================================================================
Utilities (0.3%)
- -------------------------------------------------------------------------------------------------------------------------
48,300 Equitable Resources, Inc.(c) 2,497,593
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 2,497,593
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $664,062,406) 746,400,961
=========================================================================================================================
Principal
Amount Long-Term Fixed Income(f) Interest Rate(g) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$97 Timco Aviation Services, Inc., Payment-in-Kind 8.000% 1/2/2007 $10
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $96) 10
=========================================================================================================================
Principal
Amount Collateral Held for Securities Loaned (13.2%) Interest Rate(g) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$1,921,266 BNP Paribas Letter of Credit 0.015% 10/21/2004 $1,921,266
113,195,245 State Street Navigator Securities Lending Prime
Portfolio 1.230 N/A 113,195,245
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $115,116,511) 115,116,511
=========================================================================================================================
Principal
Amount Short-Term Investments (1.6%) Interest Rate(g) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$13,660,000 New Center Asset Trust 1.460% 7/1/2004 $13,660,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 13,660,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $792,839,013) $875,177,482
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(e) Denotes investments purchased on a when-issued basis.
(f) The market value of the denoted categories of
investments represents less than 0.1% of the total
investments of the Mid Cap Growth Portfolio.
(g) The interest rate shown reflects the coupon rate,
yield or, for securities purchased at a discount, the
discount rate at the date of purchase.
(h) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held by an
issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Mid Cap Growth Portfolio II
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (88.3%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (1.7%)
- -------------------------------------------------------------------------------------------------------------------------
4,920 American Tower Corporation(b,c) $74,784
4,540 Crown Castle International Corporation(b) 66,965
3,100 Nextel Communications, Inc.(b) 82,646
14,900 Nextel Partners, Inc.(b,c) 237,208
2,300 NII Holdings, Inc.(c) 77,487
5,100 Western Wireless Corporation(b) 147,441
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 686,531
=========================================================================================================================
Consumer Discretionary (17.5%)
- -------------------------------------------------------------------------------------------------------------------------
4,500 Abercrombie & Fitch Company 174,375
2,300 Advance Auto Parts, Inc. 101,614
1,900 Applebee's International, Inc. 43,738
3,700 Autoliv, Inc. 156,140
1,600 Bed Bath & Beyond, Inc.(b) 61,520
2,600 Best Buy Company, Inc. 131,924
1,300 Brunswick Corporation 53,040
5,000 Charlotte Russe Holding, Inc.(b) 106,900
26,200 Charter Communications, Inc.(b,c) 102,704
2,250 Cheesecake Factory, Inc.(b) 89,528
5,500 Chico's FAS, Inc.(b) 248,380
2,500 Citadel Broadcasting Company(b) 36,425
6,270 Coach, Inc. 283,341
2,200 Cox Radio, Inc.(b) 38,236
1,900 D.R. Horton, Inc. 53,960
4,100 Dollar Tree Stores, Inc.(b) 112,463
2,400 Dow Jones & Company, Inc. 108,240
700 E.W. Scripps Company(d) 73,500
800 eBay, Inc. 73,560
1,730 Entercom Communications Corporation(b) 64,529
2,600 Foot Locker, Inc. 63,284
700 Fortune Brands, Inc. 52,801
3,300 Gentex Corporation 130,944
2,290 Getty Images, Inc.(b) 137,400
2,200 GTECH Holdings Corporation 101,882
1,800 Harman International Industries, Inc. 163,800
800 Harrah's Entertainment, Inc. 43,280
8,100 Hilton Hotels Corporation 151,146
1,558 InterActiveCorp(b) 46,958
5,490 International Game Technology 211,914
1,700 Kmart Holding Corporation(b,c) 122,060
2,000 Lamar Advertising Company(b) 86,700
1,300 Lennar Corporation 58,136
5,400 Limited Brands, Inc. 100,980
1,600 Linens 'n Things, Inc.(b) 46,896
9,800 Marvel Enterprises, Inc.(c) 191,296
6,800 Mattel, Inc. 124,100
1,500 Michaels Stores, Inc. 82,500
700 Mohawk Industries, Inc.(b) 51,331
1,400 Nordstrom, Inc. 59,654
1,303 NTL, Inc.(b) 75,079
1,410 Outback Steakhouse, Inc. 58,318
1,080 P.F. Chang's China Bistro, Inc.(b,c) 44,442
2,960 Pacific Sunwear of California, Inc. 57,927
4,400 Petco Animal Supplies, Inc.(b) 141,724
8,730 PETsMART, Inc. 283,288
3,750 Ross Stores, Inc. 100,350
6,640 Royal Caribbean Cruises, Ltd.(c) 288,242
1,650 Sonic Corporation 37,538
10,100 Staples, Inc. 296,031
4,500 Starbucks Corporation(b) 195,660
3,900 Starwood Hotels & Resorts Worldwide, Inc. 174,915
2,700 Station Casinos, Inc. 130,680
3,100 Tempur-Pedic International(b) 43,431
1,720 Tiffany & Company 63,382
1,200 Timberland Company(b) 77,508
2,400 TJX Companies, Inc. 57,936
4,900 Univision Communications, Inc.(b) 156,457
5,700 Warnaco Group, Inc.(b) 121,239
1,700 Weight Watchers International, Inc.(b,c) 66,538
1,100 Wendy's International, Inc. 38,324
3,530 Westwood One, Inc.(b) 84,014
3,900 Williams-Sonoma, Inc.(b) 128,544
1,400 Wynn Resorts, Ltd.(b,c) 54,082
2,300 XM Satellite Radio Holdings, Inc.(b,c) 62,767
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 6,979,595
=========================================================================================================================
Consumer Staples (1.1%)
- -------------------------------------------------------------------------------------------------------------------------
1,200 Constellation Brands, Inc.(b) 44,556
1,400 Dean Foods Company(b) 52,234
1,600 Estee Lauder Companies 78,048
1,500 NBTY, Inc.(b) 44,085
3,200 Ralcorp Holdings, Inc.(b) 112,640
1,000 Whole Foods Market, Inc. 95,450
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 427,013
=========================================================================================================================
Energy (5.5%)
- -------------------------------------------------------------------------------------------------------------------------
1,400 Apache Corporation 60,970
4,980 BJ Services Company(b) 228,283
4,500 Chesapeake Energy Corporation 66,240
2,900 Cooper Cameron Corporation(b) 141,230
5,400 ENSCO International, Inc. 157,140
1,300 EOG Resources, Inc. 77,623
700 Murphy Oil Corporation 51,590
4,400 Nabors Industries, Ltd.(b) 198,968
1,900 National-Oilwell, Inc.(b) 59,831
2,600 Newfield Exploration Company(b) 144,924
3,200 Noble Corporation(b) 121,248
3,700 Patterson-UTI Energy, Inc. 123,617
1,200 Quicksilver Resources, Inc.(b,c) 80,484
2,440 Smith International, Inc.(b) 136,054
2,100 Southwestern Energy Company(b) 60,207
2,900 St. Mary Land & Exploration Company 103,385
2,100 Ultra Petroleum Corporation(b) 78,393
1,200 Weatherford International, Ltd.(b) 53,976
9,200 Williams Companies, Inc. 109,480
5,000 XTO Energy, Inc. 148,950
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 2,202,593
=========================================================================================================================
Financials (6.9%)
- -------------------------------------------------------------------------------------------------------------------------
990 Affiliated Managers Group, Inc.(c) 49,866
1,100 Ambac Financial Group, Inc. 80,784
9,110 Ameritrade Holding Corporation(b) 103,398
4,400 Apollo Investment Corporation(b) 60,588
1,500 Bear Stearns Companies, Inc. 126,465
800 Capital One Financial Corporation 54,704
3,100 CapitalSource, Inc.(b,c) 75,795
700 Chicago Mercantile Exchange(c) 101,059
3,500 CIT Group, Inc. 134,015
750 Countrywide Financial Corporation 52,688
7,000 E*TRADE Group, Inc.(b) 78,050
4,200 East West Bancorp, Inc. 128,940
1,200 Eaton Vance Corporation 45,852
800 Everest Re Group, Ltd. 64,288
2,400 First Horizon National Corporation 109,128
5,670 Investors Financial Services Corporation(c) 247,099
2,030 Legg Mason, Inc. 184,750
3,200 MB Financial, Inc. 117,792
1,300 Moody's Corporation 84,058
2,800 New York Community Bancorp, Inc.(c) 54,964
5,500 Ohio Casualty Corporation(b) 110,715
3,200 Providian Financial Corporation(b) 46,944
1,400 SEI Investments Company 40,656
3,000 Silicon Valley Bancshares(b) 118,950
6,900 Sovereign Bancorp, Inc. 152,490
1,400 T. Rowe Price Group, Inc. 70,560
2,800 TCF Financial Corporation 162,540
1,800 Willis Group Holdings, Ltd. 67,410
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 2,724,548
=========================================================================================================================
Health Care (17.2%)
- -------------------------------------------------------------------------------------------------------------------------
8,500 Abgenix, Inc.(b) 99,620
1,100 Aetna, Inc. 93,500
6,600 Alkermes, Inc.(b,c) 89,760
1,310 Allergan, Inc. 117,271
2,400 AMERIGROUP Corporation(b) 118,080
2,400 Amylin Pharmaceuticals, Inc.(b,c) 54,720
900 Anthem, Inc.(b) 80,604
2,750 Barr Pharmaceuticals, Inc. 92,675
2,960 Biogen Idec, Inc.(b) 187,220
3,200 Biomet, Inc. 142,208
1,700 Biosite Diagnostics, Inc.(b,c) 76,364
1,100 Boston Scientific Corporation 47,080
4,080 C.R. Bard, Inc. 231,132
8,500 Caliper Life Sciences, Inc.(b) 39,525
10,235 Caremark Rx, Inc.(b) 337,138
2,000 Celgene Corporation(b) 114,520
1,300 Cephalon, Inc.(b,c) 70,200
1,200 Charles River Laboratories International, Inc.(b) 58,644
1,600 CIGNA Corporation 110,096
2,200 Community Health Systems, Inc.(b) 58,894
2,200 Coventry Health Care, Inc. 107,580
4,540 Cytyc Corporation(b) 115,180
2,850 DaVita, Inc. 87,866
3,180 Dentsply International, Inc. 165,678
2,300 Eclipsys Corporation(b) 35,098
8,000 Elan Corporation plc ADR(b,c) 197,920
1,400 Endo Pharmaceutical Holdings, Inc.(b) 32,830
700 Express Scripts, Inc.(b) 55,461
2,880 Fisher Scientific International, Inc.(b) 166,320
1,700 Gen-Probe, Inc. 80,444
1,140 Genzyme Corporation(b) 53,956
4,480 Gilead Sciences, Inc.(b) 300,160
3,300 Health Management Associates, Inc. 73,986
1,100 Henry Schein, Inc.(b) 69,454
1,400 Inamed Corporation 87,990
2,510 Invitrogen Corporation(b) 180,695
6,600 IVAX Corporation(b) 158,334
1,900 Kinetic Concepts, Inc.(b) 94,810
4,300 Kyphon, Inc.(b) 121,174
1,500 Laboratory Corporation of America Holdings(b) 59,550
1,700 Manor Care, Inc. 55,556
3,800 McKesson Corporation 130,454
3,930 Medicis Pharmaceutical Corporation(c) 157,004
2,550 MedImmune, Inc.(b) 59,670
2,900 Millennium Pharmaceuticals, Inc.(b) 40,020
730 Millipore Corporation(b) 41,150
2,300 Mylan Laboratories, Inc. 46,575
1,240 Neurocrine Biosciences, Inc.(b) 64,294
3,300 Omnicare, Inc. 141,273
1,800 PacifiCare Health Systems, Inc.(c) 69,588
1,000 Patterson Dental Companies, Inc.(b) 76,490
3,400 Pharmaceutical Product Development, Inc.(b) 108,018
2,300 Protein Design Labs, Inc.(b) 43,999
600 Quest Diagnostics, Inc. 50,970
1,100 ResMed, Inc.(b) 56,056
1,400 Sepracor, Inc.(b,c) 74,060
1,800 St. Jude Medical, Inc.(b) 136,170
3,400 Techne Corporation(b) 147,730
4,300 Tercica, Inc.(b,c) 35,174
1,200 Teva Pharmaceutical Industries, Ltd. 80,748
3,900 Triad Hospitals, Inc.(b) 145,197
2,400 Varian Medical Systems, Inc.(b) 190,440
1,600 Watson Pharmaceuticals, Inc.(b) 43,040
12,900 WebMD Corporation(b,c) 120,228
700 WellCare Health Plans, Inc. (b, e) 11,900
400 WellPoint Health Networks, Inc.(b) 44,804
2,600 Zimmer Holdings, Inc.(b) 229,320
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 6,863,665
=========================================================================================================================
Industrials (9.6%)
- -------------------------------------------------------------------------------------------------------------------------
800 Alliant Techsystems, Inc.(b) 50,672
9,900 Allied Waste Industries, Inc.(b) 130,482
3,200 American Power Conversion Corporation 62,880
2,030 American Standard Companies, Inc. 81,829
1,400 Apollo Group, Inc. (University of Phoenix Online) 123,606
500 Apollo Group, Inc. (University of Phoenix Online) 43,795
4,700 C.H. Robinson Worldwide, Inc. 215,448
3,720 Career Education Corporation 169,483
2,100 ChoicePoint, Inc.(b) 95,886
3,500 Cintas Corporation 166,845
3,380 Corinthian Colleges, Inc. 83,621
2,450 Corporate Executive Board Company 141,586
2,500 Danaher Corporation 129,625
800 Dun & Bradstreet Corporation(b) 43,128
1,900 Education Management Corporation 62,434
2,750 Expeditors International of Washington, Inc.(c) 135,878
4,300 Fastenal Company 244,369
4,800 Flowserve Corporation(b) 119,712
4,300 Goodrich Corporation 139,019
2,100 Hughes Supply, Inc. 123,753
1,300 ITT Educational Services, Inc.(b) 49,426
600 ITT Industries, Inc. 49,800
2,600 J.B. Hunt Transport Services, Inc. 100,308
1,400 Jacobs Engineering Group, Inc.(b) 55,132
1,600 JetBlue Airways Corporation(c) 47,008
3,100 L-3 Communications Holdings, Inc. 207,080
2,320 Manpower, Inc. 117,786
4,060 Monster Worldwide, Inc.(b) 104,423
2,700 MSC Industrial Direct Company, Inc. 88,668
4,500 Norfolk Southern Corporation 119,340
6,620 Robert Half International, Inc. 197,077
2,150 Rockwell Automation, Inc. 80,646
2,300 Stericycle, Inc.(b) 119,002
3,400 United Defense Industries, Inc.(b) 119,000
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 3,818,747
=========================================================================================================================
Information Technology (26.9%)
- -------------------------------------------------------------------------------------------------------------------------
18,600 3Com Corporation(b) 116,250
3,000 Adobe Systems, Inc. 139,500
2,100 ADTRAN, Inc. 70,077
3,800 Advent Software, Inc.(b) 68,666
2,300 Affiliated Computer Services, Inc.(b) 121,762
17,000 Agere Systems, Inc.(b) 39,100
1,700 Agilent Technologies, Inc.(b) 49,776
8,600 Akamai Technologies, Inc.(b,c) 154,370
3,020 Alliance Data Systems Corporation(b) 127,595
9,500 Altera Corporation(b) 211,090
4,400 Amdocs, Ltd.(b) 103,092
2,780 Amphenol Corporation 92,630
8,400 Andrew Corporation(b) 168,084
2,700 Ask Jeeves, Inc.(b,c) 105,381
9,000 ASML Holding NV ADR(b) 153,990
7,100 Avaya, Inc.(b) 112,109
4,600 Avici Systems, Inc.(b,c) 59,816
1,400 Avocent Corporation(b) 51,436
9,500 Axcelis Technologies, Inc.(b) 118,180
6,390 BEA Systems, Inc.(b) 52,526
12,900 Borland Software Corporation(b) 109,521
6,300 Broadcom Corporation(b) 294,651
2,200 CDW Corporation 140,272
5,900 Check Point Software Technologies, Ltd.(b) 159,241
1,700 CheckFree Corporation(b) 51,000
4,400 Citrix Systems, Inc.(b) 89,584
9,600 Cognizant Technology Solutions Corporation 243,936
2,500 Cognos, Inc.(b) 90,400
12,000 Comverse Technology, Inc.(b) 239,280
17,610 Corning, Inc.(b,c) 229,987
4,900 Cree, Inc.(b,c) 114,072
1,440 Cymer, Inc.(b) 53,914
6,100 Cypress Semiconductor Corporation(b,c) 86,559
4,150 DST Systems, Inc.(b,c) 199,574
3,600 Electronic Arts, Inc. 196,380
4,200 Electronics for Imaging, Inc.(b) 118,692
2,700 Emulex Corporation(b) 38,637
2,300 Fair Isaac Corporation(c) 76,774
3,000 Fairchild Semiconductor International, Inc.(b) 49,110
4,100 Fiserv, Inc.(b) 159,449
4,900 Flextronics International, Ltd.(b) 78,155
1,100 FLIR Systems, Inc.(b) 60,390
3,500 Foundry Networks, Inc.(b) 49,245
1,000 Global Payments, Inc.(c) 45,020
3,500 Hyperion Solutions Corporation(b) 153,020
2,600 Integrated Circuit Systems, Inc.(b) 70,616
1,300 International Rectifier Corporation(b) 53,846
5,800 Intersil Corporation 125,628
1,900 Intuit, Inc.(b) 73,302
1,300 Iron Mountain, Inc.(b) 62,738
4,900 Jabil Circuit, Inc.(b) 123,382
27,300 JDS Uniphase Corporation(b) 103,467
6,725 Juniper Networks, Inc.(b) 165,233
2,000 KLA-Tencor Corporation(b) 98,760
1,700 Kronos, Inc. 70,040
4,300 Lam Research Corporation(b) 115,240
1,300 Lexmark International, Inc.(b) 125,489
1,300 Linear Technology Corporation 51,311
4,900 Macromedia, Inc.(b) 120,295
5,820 Marvell Technology Group, Ltd. 155,394
2,700 Maxim Integrated Products, Inc. 141,534
5,260 McAfee, Inc.(b) 95,364
5,700 Mercury Interactive Corporation(b) 284,031
5,700 Microchip Technology, Inc. 179,778
6,700 National Semiconductor Corporation 147,333
8,500 NetIQ Corporation(b) 112,200
7,000 Network Appliance, Inc.(b) 150,710
2,570 Novellus Systems, Inc.(b) 80,801
2,290 NVIDIA Corporation(b) 46,945
5,000 OSI Systems, Inc.(b,c) 99,650
2,400 Palmone, Inc.(b,c) 83,448
2,500 PeopleSoft, Inc.(b) 46,250
2,600 PerkinElmer, Inc. 52,104
3,140 PMC-Sierra, Inc.(b) 45,059
4,600 Polycom, Inc.(b) 103,086
2,200 QLogic Corporation(b) 58,498
3,200 Red Hat, Inc.(b) 73,504
4,500 Sabre Holdings Corporation 124,695
2,500 SanDisk Corporation(c) 54,225
1,900 Semtech Corporation(b) 44,726
6,200 Siebel Systems, Inc.(b) 66,216
1,000 Silicon Laboratories, Inc.(b,c) 46,350
14,360 Skyworks Solutions, Inc.(b) 125,363
2,800 SunGard Data Systems, Inc.(b) 72,800
6,300 Symantec Corporation 275,814
3,000 Symbol Technologies, Inc. 44,220
2,900 Synopsys, Inc. 82,447
5,000 Tektronix, Inc. 170,100
1,900 Teradyne, Inc.(b) 43,130
1,690 Thermo Electron Corporation(b) 51,951
1,300 UTStarcom, Inc.(b,c) 39,325
2,800 Varian, Inc.(b) 118,020
9,000 VeriSign, Inc.(b) 179,100
3,300 VERITAS Software Corporation(b) 91,410
3,750 Vishay Intertechnology, Inc.(b) 69,675
1,510 Waters Corporation(b) 72,148
1,700 Websense, Inc.(b) 63,291
5,200 Wind River Systems, Inc.(b) 61,152
2,460 Xilinx, Inc. 81,943
1,900 Yahoo!, Inc. 69,027
1,400 Zebra Technologies Corporation 121,800
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 10,726,257
=========================================================================================================================
Materials (1.6%)
- -------------------------------------------------------------------------------------------------------------------------
12,500 Crown Holdings, Inc.(b) 124,625
4,700 Ecolab, Inc. 148,990
1,400 Freeport-McMoRan Copper & Gold, Inc. 46,410
6,600 Millennium Chemicals, Inc. 114,312
5,500 Packaging Corporation of America 131,450
1,100 Peabody Energy Corporation 61,589
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 627,376
=========================================================================================================================
Utilities (0.3%)
- -------------------------------------------------------------------------------------------------------------------------
2,300 Equitable Resources, Inc. $118,933
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 118,933
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $33,932,576) 35,175,258
=========================================================================================================================
Shares Collateral Held for Securities Loaned (9.9%) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
3,950,587 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $3,950,587
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $3,950,587) 3,950,587
=========================================================================================================================
Shares Short-Term Investments (1.8%) Interest Rate(f) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
717,824 Thrivent Money Market Portfolio 0.768% N/A $717,824
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 717,824
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $38,600,987) $39,843,669
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(e) Denotes investments purchased on a when-issued basis.
(f) The interest rate shown reflects the yield.
(g) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates for
shares of an underlying foreign security's shares held by an
issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Mid Cap Stock Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (88.5%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (0.9%)
- -------------------------------------------------------------------------------------------------------------------------
57,100 Cincinnati Bell, Inc.(b) $253,524
11,400 NII Holdings, Inc.(c) 384,066
8,800 Western Wireless Corporation(b) 254,408
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 891,998
=========================================================================================================================
Consumer Discretionary (13.0%)
- -------------------------------------------------------------------------------------------------------------------------
16,500 ADVO, Inc. 543,180
13,250 AnnTaylor Stores Corporation 383,985
19,750 Applebee's International, Inc. 454,645
14,800 Autoliv, Inc. 624,560
19,700 Belo Corporation 528,945
8,000 Best Buy Company, Inc. 405,920
9,200 BorgWarner, Inc. 402,684
14,600 Boyd Gaming Corporation 387,922
14,650 D.R. Horton, Inc. 416,060
20,800 Dollar General Corporation 406,848
6,300 E.W. Scripps Company 661,500
26,600 Hilton Hotels Corporation 496,356
6,700 International Game Technology 258,620
7,700 International Speedway Corporation 374,528
6,700 Jones Apparel Group, Inc. 264,516
4,900 Lennar Corporation 219,128
23,800 Mattel, Inc. 434,350
12,000 Michaels Stores, Inc. 660,000
11,800 Outback Steakhouse, Inc. 488,048
17,800 Pep Boys - Manny, Moe & Jack 451,230
13,300 PETsMART, Inc. 431,585
13,500 Polo Ralph Lauren Corporation 465,075
9,100 Pulte Homes, Inc. 473,473
12,200 Quiksilver, Inc.(b) 290,482
7,500 Regis Corporation 334,425
14,700 Staples, Inc. 430,857
12,400 Station Casinos, Inc. 600,160
6,700 Talbots, Inc. 262,305
12,700 Warnaco Group, Inc.(b) 270,129
590 Washington Post Company 548,706
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 12,970,222
=========================================================================================================================
Consumer Staples (3.7%)
- -------------------------------------------------------------------------------------------------------------------------
27,200 Dean Foods Company(b) 1,014,832
13,600 Flowers Foods, Inc. 355,640
23,400 Hershey Foods Corporation 1,082,718
56,400 Tyson Foods, Inc. 1,181,580
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 3,634,770
=========================================================================================================================
Energy (7.6%)
- -------------------------------------------------------------------------------------------------------------------------
5,700 BJ Services Company(b) 261,288
19,500 ENSCO International, Inc. 567,450
19,300 Nabors Industries, Ltd.(b) 872,746
13,800 Newfield Exploration Company(b) 769,212
11,500 Noble Corporation(b) 435,735
18,300 Patterson-UTI Energy, Inc. 611,403
14,400 Pioneer Natural Resources Company 505,152
14,900 Pogo Producing Company 736,060
9,600 Precision Drilling Corporation(b) 460,896
3,900 Smith International, Inc.(b) 217,464
13,500 Teekay Shipping Corporation(c) 504,630
22,300 Ultra Petroleum Corporation(b) 832,459
11,300 Weatherford International, Ltd.(b) 508,274
26,000 Williams Companies, Inc. 309,400
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 7,592,169
=========================================================================================================================
Financials (16.7%)
- -------------------------------------------------------------------------------------------------------------------------
17,900 A.G. Edwards, Inc. 609,137
8,750 Affiliated Managers Group, Inc.(c) 440,738
8,200 American Capital Strategies, Ltd. 229,764
9,100 CIT Group, Inc. 348,439
12,000 City National Corporation 788,400
17,249 Countrywide Financial Corporation 1,211,742
18,450 Doral Financial Corporation 636,525
6,900 Everest Re Group, Ltd. 554,484
17,262 Fidelity National Financial, Inc. 644,563
4,800 First Horizon National Corporation 218,256
20,500 General Growth Properties, Inc. 606,185
6,900 Hartford Financial Services Group, Inc. 474,306
36,600 HCC Insurance Holdings, Inc.(c) 1,222,805
11,000 Investors Financial Services Corporation(c) 479,380
23,100 Knight Trading Group, Inc.(b) 231,462
3,900 Legg Mason, Inc. 354,939
4,600 M&T Bank Corporation 401,580
13,200 New York Community Bancorp, Inc.(c) 259,116
19,300 North Fork Bancorporation, Inc. 734,365
27,700 Ohio Casualty Corporation(b) 557,601
7,800 Pan Pacific Retail Properties, Inc. 394,056
13,100 PartnerRe, Ltd. 743,163
31,800 Phoenix Companies, Inc.(c) 389,550
8,200 Piper Jaffray Companies(b,c) 370,886
5,300 PMI Group, Inc. 230,656
15,400 ProLogis Trust 506,968
36,200 Providian Financial Corporation(b) 531,054
7,200 Silicon Valley Bancshares(b) 285,480
10,400 Southwest Bancorporation of Texas, Inc.(c) 458,848
21,100 Sovereign Bancorp, Inc. 466,310
7,200 Wintrust Financial Corporation(c) 363,672
12,000 XL Capital, Ltd. 905,520
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 16,649,950
=========================================================================================================================
Health Care (11.3%)
- -------------------------------------------------------------------------------------------------------------------------
15,100 Advanced Medical Optics, Inc.(b,c) 642,807
6,400 Anthem, Inc.(b) 573,184
10,500 Atrix Labs, Inc.(b,c) 359,940
4,200 Bausch & Lomb, Inc. 273,294
14,500 C.R. Bard, Inc. 821,425
6,700 Charles River Laboratories International, Inc.(b) 327,429
12,600 Dade Behring Holdings, Inc.(b) 598,752
14,900 DaVita, Inc. 459,367
11,300 Dentsply International, Inc. 588,730
6,500 Gilead Sciences, Inc.(b) 435,500
5,300 Invitrogen Corporation(b) 381,547
23,750 IVAX Corporation(b) 569,762
10,300 Kindred Healthcare, Inc.(c) 271,405
5,650 Kinetic Concepts, Inc.(b) 281,935
4,800 Martek Biosciences Corporation(b,c) 269,616
9,625 Mylan Laboratories, Inc. 194,906
12,400 Omnicare, Inc. 530,844
12,800 PacifiCare Health Systems, Inc. 494,848
13,100 Protein Design Labs, Inc.(b,c) 250,603
5,600 Quest Diagnostics, Inc.(c) 475,720
7,900 ResMed, Inc.(b) 402,584
5,100 Sepracor, Inc.(b,c) 269,790
15,700 Telik, Inc.(b,c) 374,759
6,400 United Surgical Partners International, Inc.(b) 252,608
12,700 Valeant Pharmaceuticals(c) 254,000
5,300 Varian Medical Systems, Inc.(b) 420,555
21,600 Vertex Pharmaceuticals, Inc.(b,c) 234,144
6,900 Wright Medical Group, Inc.(b,c) 245,640
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 11,255,694
=========================================================================================================================
Industrials (10.8%)
- -------------------------------------------------------------------------------------------------------------------------
17,100 Acuity Brands, Inc. 461,700
41,000 Allied Waste Industries, Inc.(b) 540,380
18,550 American Power Conversion Corporation 364,508
8,000 Burlington Northern Santa Fe Corporation 280,560
8,700 Canadian National Railway Company 379,233
26,100 Donaldson Company, Inc. 764,730
5,100 Eaton Corporation 330,174
9,200 Fastenal Company 522,836
13,300 Goodrich Corporation 429,989
15,250 IDEX Corporation 523,838
10,300 Jacobs Engineering Group, Inc.(b) 405,614
22,200 Manitowoc Company, Inc.(c) 751,470
8,100 Manpower, Inc. 411,237
15,700 Monster Worldwide, Inc.(b) 403,804
11,400 Precision Castparts Corporation 623,466
6,600 Reliance Steel & Aluminum Company 266,112
15,500 Rockwell Collins, Inc. 516,460
9,200 Roper Industries, Inc.(c) 523,480
6,300 UTI Worldwide, Inc. 331,947
27,100 Waste Management, Inc. 830,615
22,000 Werner Enterprises, Inc. 464,200
14,200 Yellow Roadway Corporation(b,c) 566,012
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 10,692,365
=========================================================================================================================
Information Technology (15.6%)
- -------------------------------------------------------------------------------------------------------------------------
21,700 Acxiom Corporation 538,811
4,500 Affiliated Computer Services, Inc.(b) 238,230
13,400 Amphenol Corporation 446,488
10,300 Analog Devices, Inc. 484,924
13,000 Andrew Corporation(b) 260,130
16,200 Apple Computer, Inc.(b) 527,148
6,500 Autodesk, Inc. 278,265
7,400 Avocent Corporation(b) 271,876
26,900 BEA Systems, Inc.(b) 221,118
18,100 BMC Software, Inc.(b) 334,850
7,100 Cabot Microelectronics Corporation(b,c) 217,331
9,500 CDW Corporation 605,720
20,400 Check Point Software Technologies, Ltd.(b) 550,596
7,700 CheckFree Corporation(b) 231,000
9,600 Cognizant Technology Solutions Corporation 243,936
12,000 Cognos, Inc.(b) 433,920
9,500 Computer Associates International, Inc. 266,570
19,300 Comverse Technology, Inc.(b) 384,842
16,100 Convergys Corporation(b) 247,940
4,800 Diebold, Inc. 253,776
10,500 DST Systems, Inc.(b) 504,945
5,700 Electronic Arts, Inc. 310,935
6,100 Harris Corporation 309,575
15,800 Intersil Corporation 342,228
12,500 Lam Research Corporation(b) 335,000
5,400 Lexmark International, Inc.(b) 521,262
12,600 Macromedia, Inc.(b) 309,330
20,200 McAfee, Inc.(b) 366,226
11,300 Microchip Technology, Inc. 356,402
10,400 NVIDIA Corporation(b) 213,200
52,300 On Semiconductor Corporation(b,c) 262,546
75,900 Parametric Technology Corporation(b) 379,500
23,700 PerkinElmer, Inc. 474,948
21,400 PMC-Sierra, Inc.(b) 307,090
9,800 Red Hat, Inc.(b,c) 225,106
34,300 Skyworks Solutions, Inc.(b) 299,439
36,700 Symbol Technologies, Inc. 540,958
22,800 VeriSign, Inc.(b) 453,720
20,100 Vishay Intertechnology, Inc.(b) 373,458
68,000 Vitesse Semiconductor Corporation(b) 331,840
46,800 Wind River Systems, Inc.(b) 550,368
7,300 Xilinx, Inc. 243,163
5,700 Zebra Technologies Corporation 495,900
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 15,544,610
=========================================================================================================================
Materials (5.4%)
- -------------------------------------------------------------------------------------------------------------------------
11,400 Airgas, Inc. 272,574
5,100 Ball Corporation 367,455
17,400 Consol Energy, Inc.(c) 626,400
41,200 Domtar, Inc.(c) 533,128
13,800 Georgia-Pacific Corporation 510,324
13,400 Jefferson Smurfit Corporation(b) 267,330
6,700 Lubrizol Corporation 245,354
9,000 Newmont Mining Corporation 348,840
28,700 Packaging Corporation of America 685,930
17,700 Pactiv Corporation(b) 441,438
10,500 Peabody Energy Corporation 587,895
5,800 Phelps Dodge Corporation(b) 449,558
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 5,336,226
=========================================================================================================================
Utilities (3.5%)
- -------------------------------------------------------------------------------------------------------------------------
15,000 AGL Resources, Inc. 435,750
12,500 PPL Corporation 573,750
11,600 Questar Corporation 448,224
16,000 SCANA Corporation 581,920
7,800 Sempra Energy 268,554
22,600 Southern Union Company(b,c) 476,408
20,400 Wisconsin Energy Corporation 665,244
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 3,449,850
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $79,300,345) 88,017,854
=========================================================================================================================
Shares or
Principal
Amount Collateral Held for Securities Loaned (8.9%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$245,498 BNP Paribas Letter of Credit 0.015% 10/21/2004 $245,498
8,627,618 State Street Navigator Securities Lending Prime
Portfolio 1.230 N/A 8,627,618
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$8,873,116) 8,873,116
=========================================================================================================================
Shares Short-Term Investments (2.6%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
2,560,365 Thrivent Money Market Portfolio 0.768% N/A $2,560,365
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 2,560,365
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $90,733,826) $99,451,335
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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.
The accompanying notes to the financial statements
are an integral part of this schedule.
Mid Cap Index Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (85.0%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (0.4%)
- -------------------------------------------------------------------------------------------------------------------------
25,110 Cincinnati Bell, Inc.(b) $111,488
5,820 Telephone and Data Systems, Inc. 414,384
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 525,872
=========================================================================================================================
Consumer Discretionary (15.4%)
- -------------------------------------------------------------------------------------------------------------------------
7,333 99 CENTS Only Stores(b,c) 111,828
9,680 Abercrombie & Fitch Company 375,100
7,310 American Eagle Outfitters, Inc.(b) 211,332
7,000 American Greetings Corporation(b) 162,260
6,950 AnnTaylor Stores Corporation 201,411
8,500 Applebee's International, Inc. 195,670
7,030 ArvinMeritor, Inc.(c) 137,577
2,080 Bandag, Inc. 92,622
7,070 Barnes & Noble, Inc.(b) 240,239
11,910 Belo Corporation 319,784
4,830 Blyth, Inc. 166,587
3,710 Bob Evans Farms, Inc. 101,580
7,900 Borders Group, Inc. 185,176
5,660 BorgWarner, Inc. 247,738
6,800 Boyd Gaming Corporation 180,676
9,870 Brinker International, Inc.(b) 336,764
31,530 Caesars Entertainment, Inc.(b) 472,950
7,760 Callaway Golf Company(c) 87,998
10,600 CarMax, Inc.(b,c) 231,822
5,390 Catalina Marketing Corporation(b,c) 98,583
5,000 CBRL Group, Inc. 154,250
5,300 Cheesecake Factory, Inc.(b) 210,887
9,100 Chico's FAS, Inc.(b) 410,956
10,120 Claire's Stores, Inc. 219,604
19,300 Coach, Inc. 872,167
23,850 D.R. Horton, Inc. 677,340
11,660 Dollar Tree Stores, Inc.(b) 319,834
5,820 Emmis Communications Corporation(b,c) 122,104
5,200 Entercom Communications Corporation(b) 193,960
5,840 Furniture Brands International, Inc. 146,292
7,860 Gentex Corporation 311,885
6,020 GTECH Holdings Corporation(c) 278,786
6,700 Harman International Industries, Inc. 609,700
9,000 Harte-Hanks, Inc. 219,690
6,200 Hovnanian Enterprises, Inc.(c) 215,202
5,370 International Speedway Corporation 261,197
6,200 Krispy Kreme Doughnuts, Inc.(b,c) 118,358
7,070 Lear Corporation 417,059
4,690 Lee Enterprises, Inc. 225,167
15,920 Lennar Corporation 711,942
6,870 Mandalay Resort Group(c) 471,557
2,600 Media General, Inc.(c) 166,972
7,000 Michaels Stores, Inc. 385,000
3,560 Modine Manufacturing Company 113,386
6,770 Mohawk Industries, Inc.(b) 496,444
5,020 Neiman Marcus Group, Inc. 279,363
5,600 O'Reilly Automotive, Inc.(b,c) 253,120
7,580 Outback Steakhouse, Inc. 313,509
7,800 Pacific Sunwear of California, Inc. 152,646
7,000 Payless ShoeSource, Inc.(b) 104,370
14,800 PETsMART, Inc. 480,260
9,000 Pier 1 Imports, Inc. 159,210
10,210 Reader's Digest Association, Inc. 163,258
4,600 Regis Corporation 205,114
8,200 Rent-A-Center, Inc. 245,426
15,360 Ross Stores, Inc. 411,034
6,900 Ruby Tuesday, Inc. 189,405
2,500 Ryland Group, Inc. 195,500
14,550 Saks, Inc. 218,250
4,110 Scholastic Corporation(b,c) 123,094
9,600 Six Flags, Inc.(b,c) 69,696
2,830 Superior Industries International, Inc.(c) 94,664
5,800 Thor Industries, Inc. 194,068
3,500 Timberland Company(b) 226,065
7,600 Toll Brothers, Inc.(b,c) 321,632
6,100 Tupperware Corporation 118,523
5,380 Valassis Communications, Inc.(b) 163,929
980 Washington Post Company 911,403
9,970 Westwood One, Inc.(b) 237,286
11,880 Williams-Sonoma, Inc.(b) 391,565
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 18,709,826
=========================================================================================================================
Consumer Staples (4.2%)
- -------------------------------------------------------------------------------------------------------------------------
7,140 BJ's Wholesale Club, Inc.(b) 178,500
4,240 Church & Dwight Company, Inc. 194,107
10,900 Constellation Brands, Inc.(b) 404,717
16,065 Dean Foods Company(b) 599,385
8,350 Energizer Holdings, Inc.(b) 375,750
14,130 Hormel Foods Corporation 439,443
4,750 Interstate Bakeries Corporation 51,538
6,076 J.M. Smucker Company 278,949
3,840 Lancaster Colony Corporation(c) 159,898
14,010 PepsiAmericas, Inc. 297,572
4,910 Ruddick Corporation(c) 110,230
11,300 Smithfield Foods, Inc.(b,c) 332,220
5,485 Toostie Roll Industries, Inc. 178,262
36,040 Tyson Foods, Inc. 755,038
2,740 Universal Corporation(c) 139,576
6,300 Whole Foods Market, Inc. 601,335
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 5,096,520
=========================================================================================================================
Energy (6.1%)
- -------------------------------------------------------------------------------------------------------------------------
5,580 Cooper Cameron Corporation(b) 271,746
15,430 ENSCO International, Inc. 449,013
6,900 FMC Technologies, Inc.(b) 198,720
6,000 Forest Oil Corporation(b,c) 163,920
12,460 Grant Prideco, Inc.(b) 230,012
7,820 Hanover Compressor Company(b,c) 93,058
5,240 Helmerich & Payne, Inc. 136,869
9,400 Murphy Oil Corporation 692,780
8,710 National-Oilwell, Inc.(b) 274,278
5,700 Newfield Exploration Company(b) 317,718
6,000 Noble Energy, Inc. 306,000
4,000 Overseas Shipholding Group, Inc.(c) 176,520
8,500 Patterson-UTI Energy, Inc. 283,985
12,300 Pioneer Natural Resources Company 431,484
7,900 Plains Exploration & Production Company(b) 144,965
6,500 Pogo Producing Company 321,100
13,920 Pride International, Inc.(b) 238,171
10,700 Smith International, Inc.(b) 596,632
6,300 Tidewater, Inc. 187,740
10,040 Varco International, Inc.(b) 219,776
13,570 Weatherford International, Ltd.(b) 610,379
7,600 Western Gas Resources, Inc.(c) 246,848
26,457 XTO Energy, Inc. 788,154
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 7,379,868
=========================================================================================================================
Financials (15.7%)
- -------------------------------------------------------------------------------------------------------------------------
8,220 A.G. Edwards, Inc. 279,727
5,370 Allmerica Financial Corporation(b) 181,506
8,500 AMB Property Corporation 294,355
7,590 American Financial Group, Inc. 232,026
16,090 AmeriCredit Corporation(b,c) 314,238
4,200 AmerUs Group Company(c) 173,880
9,300 Arthur J. Gallagher & Company 283,185
11,393 Associated Banc-Corp 337,575
8,080 Astoria Financial Corporation 295,566
5,500 Bank of Hawaii Corporation 248,710
17,580 Banknorth Group, Inc. 570,998
7,000 Brown & Brown, Inc.(c) 301,700
5,020 City National Corporation 329,814
13,100 Colonial BancGroup, Inc. 238,027
7,900 Commerce Bancorp, Inc.(c) 434,579
12,570 Compass Bancshares, Inc. 540,510
5,400 Cullen/Frost Bankers, Inc. 241,650
7,000 Eaton Vance Corporation 267,470
5,710 Everest Re Group, Ltd. 458,856
17,630 Fidelity National Financial, Inc. 658,304
9,200 First American Corporation 238,188
8,780 FirstMerit Corporation 231,529
5,120 GATX Corporation 139,264
5,360 Greater Bay Bancorp(c) 154,904
13,435 GreenPoint Financial Corporation 533,370
6,700 HCC Insurance Holdings, Inc.(c) 223,847
16,000 Hibernia Corporation 388,800
5,600 Highwoods Properties, Inc. 131,600
4,460 Horace Mann Educators Corporation 77,961
6,900 Hospitality Properties Trust 291,870
8,600 Independence Community Bank Corporation 313,040
6,300 IndyMac Bancorp, Inc. 199,080
6,740 Investors Financial Services Corporation(c) 293,729
5,700 Jefferies Group, Inc. 176,244
6,130 LaBranche & Company, Inc.(c) 51,615
6,750 Legg Mason, Inc. 614,318
7,190 Leucadia National Corporation 357,343
8,700 Liberty Property Trust(c) 349,827
6,300 Mack-Cali Realty Corporation 260,694
8,120 Mercantile Bankshares Corporation 380,178
5,240 MONY Group, Inc.(b,c) 164,012
20,920 National Commerce Financial Corporation 679,900
10,300 New Plan Excel Realty Trust, Inc.(c) 240,608
27,111 New York Community Bancorp, Inc.(c) 532,189
6,330 Ohio Casualty Corporation(b,c) 127,423
18,660 Old Republic International Corporation 442,615
9,780 PMI Group, Inc. 425,626
7,170 Protective Life Corporation 277,264
9,620 Radian Group, Inc. 460,798
7,550 Raymond James Financial, Inc. 199,698
5,172 Rayonier, Inc. REIT 229,895
10,570 SEI Investments Company 306,953
3,630 Silicon Valley Bancshares(b,c) 143,930
3,000 StanCorp Financial Group, Inc. 201,000
7,310 TCF Financial Corporation 424,346
13,200 United Dominion Realty Trust, Inc. 261,096
7,100 Unitrin, Inc. 302,460
8,600 W.R. Berkley Corporation 369,370
8,540 Waddell & Reed Financial, Inc. 188,819
8,070 Washington Federal, Inc. 193,680
5,530 Webster Financial Corporation 260,021
3,320 Westamerica Bancorporation 174,134
6,880 Wilmington Trust Corporation 256,074
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 18,951,988
=========================================================================================================================
Health Care (9.0%)
- -------------------------------------------------------------------------------------------------------------------------
9,130 Apogent Technologies, Inc.(b) 292,160
5,170 Apria Healthcare Group, Inc.(b) 148,379
10,647 Barr Pharmaceuticals, Inc. 358,804
6,230 Beckman Coulter, Inc. 380,030
5,700 Cephalon, Inc.(b,c) 307,800
4,700 Charles River Laboratories International, Inc.(b,c) 229,689
10,100 Community Health Systems, Inc.(b) 270,377
6,410 Covance, Inc.(b) 247,298
9,000 Coventry Health Care, Inc. 440,100
11,300 Cytyc Corporation(b) 286,681
8,240 Dentsply International, Inc. 429,304
6,020 Edwards Lifesciences Corporation(b,c) 209,797
9,340 First Health Group Corporation(b) 145,797
11,480 Health Net, Inc.(b) 304,220
4,500 Henry Schein, Inc.(b) 284,130
6,350 Hillenbrand Industries, Inc. 383,858
3,800 Inamed Corporation 238,830
20,237 IVAX Corporation(b) 485,486
3,900 LifePoint Hospitals, Inc.(b) 145,158
10,120 Lincare Holdings, Inc.(b) 332,543
31,247 Millennium Pharmaceuticals, Inc.(b) 431,209
10,620 Omnicare, Inc. 454,642
8,360 Oxford Health Plans, Inc. 460,134
8,800 PacifiCare Health Systems, Inc.(c) 340,208
3,500 Par Pharmaceutical Companies, Inc.(b,c) 123,235
7,000 Patterson Dental Companies, Inc.(b) 535,430
7,150 Perrigo Company(c) 135,636
9,560 Protein Design Labs, Inc.(b,c) 182,883
6,800 Renal Care Group, Inc. 225,284
8,750 Sepracor, Inc.(b,c) 462,875
7,000 STERIS Corporation(b) 157,920
7,800 Triad Hospitals, Inc.(b) 290,394
5,900 Universal Health Services, Inc. 270,751
8,510 Valeant Pharmaceuticals(c) 170,200
7,000 Varian Medical Systems, Inc.(b) 555,450
8,020 Vertex Pharmaceuticals, Inc.(b,c) 86,937
4,940 VISX, Inc.(b) 131,997
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 10,935,626
=========================================================================================================================
Industrials (11.4%)
- -------------------------------------------------------------------------------------------------------------------------
9,230 AGCO Corporation(b) 188,015
9,000 AirTran Holdings, Inc.(b) 127,260
2,940 Alaska Air Group, Inc.(b,c) 70,178
4,460 Alexander & Baldwin, Inc. 149,187
8,960 ALLETE, Inc. 298,368
3,900 Alliant Techsystems, Inc.(b) 247,026
6,980 AMETEK, Inc. 215,682
2,620 Banta Corporation 116,354
5,760 Brink's Company 197,280
8,750 C.H. Robinson Worldwide, Inc. 401,100
10,300 Career Education Corporation 469,268
3,270 Carlisle Companies, Inc. 203,558
8,986 ChoicePoint, Inc.(b) 410,301
5,230 CNF, Inc. 217,359
9,200 Copart, Inc.(b,c) 245,640
9,200 Corinthian Colleges, Inc. 227,608
7,120 DeVry, Inc.(b,c) 195,230
8,800 Donaldson Company, Inc. 257,840
7,220 Dun & Bradstreet Corporation(b) 389,230
5,070 Dycom Industries, Inc.(b) 141,960
7,500 Education Management Corporation 246,450
10,720 Expeditors International of Washington, Inc. 529,675
7,780 Fastenal Company(c) 442,137
5,000 Federal Signal Corporation(c) 93,050
5,630 Flowserve Corporation(b) 140,412
7,200 Graco, Inc. 223,560
4,360 Granite Construction, Inc. 79,483
4,250 Harsco Corporation 199,750
7,290 Herman Miller, Inc. 210,973
6,030 HNI Corporation 255,250
6,230 Hubbell, Inc. 291,003
4,600 ITT Educational Services, Inc.(b) 174,892
8,220 J.B. Hunt Transport Services, Inc. 317,128
5,860 Jacobs Engineering Group, Inc.(b) 230,767
10,450 JetBlue Airways Corporation(c) 307,021
3,620 Kelly Services, Inc. 107,876
3,770 Kennametal, Inc. 172,666
3,840 Korn/Ferry International(b,c) 74,381
10,800 L-3 Communications Holdings, Inc. 721,440
4,630 Laureate Education, Inc.(b,c) 177,051
9,170 Manpower, Inc. 465,561
9,500 MoneyGram International, Inc.(b) 195,700
3,690 Nordson Corporation(c) 160,035
10,260 Pentair, Inc. 345,146
6,540 Precision Castparts Corporation 357,673
12,010 Quanta Services, Inc.(b,c) 74,702
15,800 Republic Services, Inc. 457,252
4,755 Rollins, Inc. 109,413
1,200 Sequa Corporation(b,c) 70,164
6,420 Sotheby's Holdings, Inc.(b) 102,463
7,760 SPX Corporation 360,374
4,500 Stericycle, Inc.(b) 232,830
8,260 Swift Transportation Company, Inc.(b) 148,267
1,970 Tecumseh Products Company 81,144
4,140 Teleflex, Inc. 207,621
4,730 Trinity Industries, Inc.(c) 150,367
7,820 United Rentals, Inc.(b,c) 139,900
8,200 Werner Enterprises, Inc.(c) 173,020
4,240 York International Corporation 174,137
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 13,769,178
=========================================================================================================================
Information Technology (13.5%)
- -------------------------------------------------------------------------------------------------------------------------
40,000 3Com Corporation(b) 250,000
14,075 Activision, Inc. 223,792
8,790 Acxiom Corporation 218,256
8,080 ADTRAN, Inc. 269,630
9,010 Advanced Fibre Communications, Inc.(b) 182,002
3,500 Advent Software, Inc.(b,c) 63,245
8,700 Alliance Data Systems Corporation(b) 367,575
11,770 Arrow Electronics, Inc.(b) 315,671
5,995 Ascential Software Corporation(b) 95,860
48,720 Atmel Corporation(b) 288,422
12,320 Avnet, Inc.(b) 279,664
4,980 Avocent Corporation(b) 182,965
12,300 BISYS Group, Inc.(b,c) 172,938
2,610 Cabot Microelectronics Corporation(b,c) 79,892
27,980 Cadence Design Systems, Inc.(b) 409,347
8,470 CDW Corporation 540,047
15,200 Ceridian Corporation(b) 342,000
6,500 Certegy, Inc. 252,200
8,680 CheckFree Corporation(b) 260,400
13,200 Cognizant Technology Solutions Corporation 335,412
6,250 CommScope, Inc.(b,c) 134,062
9,870 Credence Systems Corporation(b,c) 136,206
7,600 Cree, Inc.(b,c) 176,928
5,270 CSG Systems International, Inc.(b) 109,089
12,560 Cypress Semiconductor Corporation(b,c) 178,226
7,430 Diebold, Inc. 392,824
8,610 DST Systems, Inc.(b) 414,055
7,150 Fair Isaac Corporation 238,667
12,200 Fairchild Semiconductor International, Inc.(b) 199,714
13,500 Gartner Group, Inc.(b,c) 178,470
6,800 Harris Corporation 345,100
3,710 Imation Corporation 158,083
7,400 Integrated Circuit Systems, Inc.(b) 200,984
10,840 Integrated Device Technology, Inc.(b) 150,026
6,750 International Rectifier Corporation(b) 279,585
14,300 Intersil Corporation 309,738
9,260 Jack Henry & Associates, Inc. 186,126
6,510 Keane, Inc.(b,c) 89,122
8,880 KEMET Corporation(b) 108,514
13,700 Lam Research Corporation(b) 367,160
11,650 Lattice Semiconductor Corporation(b,c) 81,666
6,300 LTX Corporation(b,c) 68,103
7,070 Macromedia, Inc.(b) 173,568
5,040 Macrovision Corporation(b,c) 126,151
16,920 McAfee, Inc.(b) 306,760
12,000 McDATA Corporation(b,c) 64,560
7,170 Mentor Graphics Corporation(b) 110,920
9,450 Micrel, Inc.(b,c) 114,818
21,260 Microchip Technology, Inc. 670,540
10,760 MPS Group, Inc.(b) 130,411
8,075 National Instruments Corporation(c) 247,499
4,090 Newport Corporation(b) 66,135
4,840 Plantronics, Inc.(b) 203,764
4,460 Plexus Corporation(b) 60,210
10,220 Polycom, Inc.(b) 229,030
10,660 Powerwave Technologies, Inc.(b,c) 82,082
18,520 Quantum Corporation(b,c) 57,412
5,820 Retek, Inc.(b) 35,735
6,780 Reynolds & Reynolds Company 156,821
19,040 RF Micro Devices, Inc.(b,c) 142,800
6,300 RSA Security, Inc.(b,c) 128,961
16,500 SanDisk Corporation(c) 357,885
7,690 Semtech Corporation(b,c) 181,023
5,200 Silicon Laboratories, Inc.(b,c) 241,020
11,510 Storage Technology Corporation(b) 333,790
9,880 Sybase, Inc.(b) 177,840
15,880 Synopsys, Inc. 451,468
5,880 Tech Data Corporation(b) 230,084
8,580 Titan Corporation(b,c) 111,368
3,720 Transaction Systems Architects, Inc.(b) 80,092
13,952 TriQuint Semiconductor, Inc.(b,c) 76,178
11,600 UTStarcom, Inc.(b,c) 350,900
3,600 Varian, Inc.(b) 151,740
16,420 Vishay Intertechnology, Inc.(b) 305,084
8,350 Wind River Systems, Inc.(b,c) 98,196
4,800 Zebra Technologies Corporation 417,600
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 16,304,211
=========================================================================================================================
Materials (3.8%)
- -------------------------------------------------------------------------------------------------------------------------
7,690 Airgas, Inc. 183,868
4,410 Albemarle Corporation(c) 139,576
5,600 Arch Coal, Inc. 204,904
5,740 Bowater, Inc. 238,727
6,290 Cabot Corporation 256,003
11,800 Crompton Corporation 74,340
4,060 Cytec Industries, Inc. 184,527
4,400 Ferro Corporation 117,392
3,700 FMC Corporation(b) 159,507
4,580 Glatfelter Company(c) 64,486
11,820 IMC Global, Inc. 158,388
5,360 Longview Fibre Company 78,953
5,360 Lubrizol Corporation 196,283
18,240 Lyondell Chemical Company(c) 317,194
5,020 Martin Marietta Materials, Inc. 222,537
2,180 Minerals Technologies, Inc. 126,440
7,200 Olin Corporation(c) 126,864
10,900 Packaging Corporation of America 260,510
6,500 Peabody Energy Corporation 363,935
3,100 Potlatch Corporation(c) 129,084
11,900 RPM International, Inc. 180,880
3,400 Scotts Company(b) 217,192
4,930 Sensient Technologies Corporation(c) 105,896
10,080 Sonoco Products Company 257,040
5,280 Valspar Corporation 266,323
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 4,630,849
=========================================================================================================================
Utilities (5.5%)
- -------------------------------------------------------------------------------------------------------------------------
6,680 AGL Resources, Inc.(d) 194,054
11,500 Alliant Energy Corporation 299,920
9,550 Aqua America, Inc. 191,478
19,980 Aquila, Inc.(b) 71,129
3,500 Black Hills Corporation(c) 110,250
12,930 DPL, Inc. 251,101
7,900 Duquesne Light Holdings, Inc.(c) 152,549
15,050 Energy East Corporation 364,962
6,500 Equitable Resources, Inc. 336,115
7,650 Great Plains Energy, Inc. 227,205
8,280 Hawaiian Electric Industries, Inc.(c) 216,108
4,030 IDACORP, Inc.(c) 108,810
12,050 MDU Resources Group, Inc. 289,562
8,500 National Fuel Gas Company 212,500
13,170 Northeast Utilities Service Company 256,420
5,570 NSTAR 266,692
8,990 OGE Energy Corporation 228,975
10,600 ONEOK, Inc. 233,094
17,743 Pepco Holdings, Inc. 324,342
6,275 PNM Resources, Inc. 130,332
10,260 Puget Energy, Inc. 224,797
8,610 Questar Corporation 332,690
11,430 SCANA Corporation(d) 415,709
12,100 Sierra Pacific Resources(b,c) 93,291
7,790 Vectren Corporation 195,451
8,820 Westar Energy, Inc. 175,606
5,110 WGL Holdings, Inc.(c) 146,759
12,170 Wisconsin Energy Corporation 396,864
3,900 WPS Resources Corporation 180,765
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 6,627,530
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $87,176,217) 102,931,468
=========================================================================================================================
Shares or
Principal
Amount Collateral Held for Securities Loaned (13.6%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
103,896 BNP Paribas Letter of Credit 0.015% 10/21/2004 $103,896
$16,394,048 State Street Navigator Securities Lending Prime
Portfolio 1.230 N/A 16,394,048
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$16,497,944) 16,497,944
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (1.4%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
1,037,239 Thrivent Money Market Portfolio(d) 0.768% N/A $1,037,239
$600,000 Windmill Funding Corporation 1.101 7/12/2004 599,798
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 1,637,037
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $105,311,198) $121,066,449
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) At June 30, 2004, $75,600 in cash was pledged as the
initial margin deposit for open financial futures
contracts. In addition, 11,430 shares of SCANA
Corporation common stock valued at $415,709, 6,680
shares of AGL Resources, Inc. common stock valued at
$194,054 and $1,037,239 of Short-Term Investments
were earmarked as collateral to cover open financial
futures contracts as follows:
Notional
Number of Expiration Principal Unrealized
Type Contracts Date Position Value Amount Gain
- -------------------------------------------------------------------------------------------------------------------------
400 Mini Futures 28 September 2004 Long $1,703,100 $1,675,601 $27,499
(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.
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (78.9%) Value
- -------------------------------------------------------------------------------------------------------------------------
Australia (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
211,150 BHP Billiton, Ltd.(b) $1,845,558
98,000 Coles Myer, Ltd.(b) 587,392
770,000 Lend Lease Corporation, Ltd.(b,c,d) 5,550,973
161,995 News Corporation, Ltd.(b) 1,333,302
- -------------------------------------------------------------------------------------------------------------------------
Total Australia 9,317,225
=========================================================================================================================
Belgium (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
13,899 Fortis(b) 309,116
23,090 Fortis (Amsterdam Exchange)(b) 511,649
8,528 UCB SA(b,d) 397,982
- -------------------------------------------------------------------------------------------------------------------------
Total Belgium 1,218,747
=========================================================================================================================
Brazil (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
283,790 Petroleo Brasileiro SA ADR(c) 7,842,604
134,700 Tele Norte Leste Participacoes SA(d) 1,714,731
- -------------------------------------------------------------------------------------------------------------------------
Total Brazil 9,557,335
=========================================================================================================================
Canada (1.4%)
- -------------------------------------------------------------------------------------------------------------------------
815,000 Abitibi Consolidated, Inc.(c) 5,561,791
14,200 Research in Motion, Ltd. 971,848
76,600 Royal Bank of Canada(c) 3,378,101
- -------------------------------------------------------------------------------------------------------------------------
Total Canada 9,911,740
=========================================================================================================================
Denmark (0.3%)
- -------------------------------------------------------------------------------------------------------------------------
40,383 Novo Nordisk A/S(b) 2,089,060
- -------------------------------------------------------------------------------------------------------------------------
Total Denmark 2,089,060
=========================================================================================================================
Finland (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
209,503 Nokia Oyj(b) 3,042,981
492,100 Stora Enso Oyj(b,c) 6,696,128
- -------------------------------------------------------------------------------------------------------------------------
Total Finland 9,739,109
=========================================================================================================================
France (8.8%)
- -------------------------------------------------------------------------------------------------------------------------
155,700 Accor SA(b,d) 6,599,016
31,870 Aventis SA(b,d) 2,414,733
381,572 Axa(b,d) 8,462,412
51,408 Banque Nationale de Paris(b,d) 3,179,953
127,900 Carrefour SA(b,d) 6,237,020
34,404 Compagnie de Saint-Gobain(b,d) 1,726,374
100,109 Credit Agricole SA(b,d) 2,446,379
108,600 France Telecom SA(b,d) 2,851,216
16,640 Groupe Danone(b,d) 1,455,989
10,498 Hermes International(b,d) 2,105,432
11,236 L'Oreal SA(b) 901,646
3,253 Lafarge SA(b,d) 291,722
28,097 LVMH Moet Hennessy Louis Vuitton SA(b,d) 2,042,470
50,491 Sanofi-Synthelabo SA(b,c,d) 3,218,462
31,109 Schneider Electric SA(b,d) 2,134,398
15,394 Societe Generale(b,d) 1,315,525
73,551 Societe Television Francaise 1(b,d) 2,328,146
46,331 Sodexho Alliance SA(b,d) 1,228,214
34,000 Thomson Multimedia SA(b,d) 674,821
37,395 Total SA(b,d) 7,171,614
104,100 Valeo SA(b,d) 4,358,204
20,553 Vivendi Universal SA(b,c,d) 573,979
- -------------------------------------------------------------------------------------------------------------------------
Total France 63,717,725
=========================================================================================================================
Germany (3.3%)
- -------------------------------------------------------------------------------------------------------------------------
41,900 Adidas-Salomon AG(b,d) 5,035,545
7,051 Allianz AG(b) 770,257
13,412 Bayer AG(b,d) 390,350
17,044 Bayerische Hypo-und Vereinsbank AG(b) 306,269
6,949 Celesia AG(b,d) 416,820
13,586 Deutsche Bank AG(b,d) 1,074,111
9,709 E.ON AG(b,d) 704,689
44,281 Hypo Real Estate Holding AG(b,c) 1,311,082
149,900 Metro AG(b,c,d) 7,150,480
10,140 Rhoen-Klinikum AG(d) 556,411
8,090 SAP AG(b)(d) 1,348,172
66,601 Siemens AG(b) 4,827,393
- -------------------------------------------------------------------------------------------------------------------------
Total Germany 23,891,579
=========================================================================================================================
Hong Kong (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
132,000 Cheung Kong Holdings, Ltd.(b) 978,074
2,866,000 China Telecom Corporation (Hong Kong)(b) 1,007,388
872,000 Li & Fung, Ltd.(b) 1,280,554
131,000 Sun Hung Kai Properties, Ltd.(b) 1,080,081
778,000 Swire Pacific, Ltd.(b) 5,061,120
- -------------------------------------------------------------------------------------------------------------------------
Total Hong Kong 9,407,217
=========================================================================================================================
Israel (0.1%)
- -------------------------------------------------------------------------------------------------------------------------
22,515 Check Point Software Technologies, Ltd.(c) 607,680
- -------------------------------------------------------------------------------------------------------------------------
Total Israel 607,680
=========================================================================================================================
Italy (3.4%)
- -------------------------------------------------------------------------------------------------------------------------
135,130 Alleanza Assicurazioni SPA(b,d) 1,546,276
166,019 Banca Intesa SPA(b,d) 650,583
34,800 Banco Popolare di Verona e Novara Scrl(b,d) 599,230
180,255 Eni SPA(b,d) 3,604,486
51,530 Mediaset SPA(b,d) 589,438
69,395 Mediolanum SPA(b,d) 443,599
360,000 Riunione Adriatica di Sicurta SPA(b,c,d) 6,545,877
524,300 Saipem SPA(b,c,d) 4,782,619
312,000 Telecom Italia Mobile SPA(b,d) 1,774,137
545,220 Telecom Italia SPA(b,d) 1,263,310
571,352 UniCredito Italiano SPA(b,d) 2,828,606
- -------------------------------------------------------------------------------------------------------------------------
Total Italy 24,628,161
=========================================================================================================================
Japan (15.9%)
- -------------------------------------------------------------------------------------------------------------------------
337,300 Bridgestone Corporation(b,c,d) 6,377,298
67,800 Canon, Inc.(b,c,d) 3,612,520
19,500 Credit Saison Company, Ltd.(b,c) 590,169
118,000 Dai Nippon Printing Company, Ltd.(b,c) 1,895,387
308,100 Daiichi Pharmaceutical Company, Ltd.(b,c) 5,524,785
37,000 Daikin Industries, Ltd.(b,c) 998,996
39,300 Daito Trust Construction Company, Ltd.(b,c) 1,520,023
191,000 Daiwa Securities Group, Inc.(b) 1,385,844
37,100 Denso Corporation(b,c) 868,005
29,300 Fanuc, Ltd.(b) 1,763,575
40,700 Fujisawa Pharmaceutical Company, Ltd.(b,c) 968,358
9,900 Funai Electric Company, Ltd.(b,c) 1,501,420
1,097,000 Hitachi, Ltd.(b,c) 7,635,163
12,300 Hoya Corporation(b) 1,294,110
58,300 JSR Corporation(b,c) 1,101,799
476 KDDI Corporation(b) 2,742,319
4,200 Keyence Corporation(b,c) 962,352
74,000 Kirin Brewery Company, Ltd.(b,c,d) 733,312
97,500 Kyocera Corporation(b,d) 8,357,992
62,200 MARUI Company, Ltd.(b,c) 845,056
20,000 Matsui Securities Company, Ltd.(b,d) 688,769
239,000 Mitsubishi Corporation(b,c) 2,333,419
132,000 Mitsubishi Estate Company, Ltd.(b,c) 1,650,296
243,000 Mitsui Fudosan Company, Ltd.(b,c) 2,932,692
225,000 Mitsui Trust Holdings, Inc.(b,c) 1,669,422
220,000 NEC Corporation(b,c) 1,568,105
5,800 Nidec Corporation(b,c) 597,423
164,100 Nissan Motor Company, Ltd.(b,c) 1,835,766
220,000 Nomura Holdings, Inc.(b) 3,281,638
108,000 OJI Paper Company, Ltd.(b,c) 696,214
6,200 ORIX Corporation(b,c) 713,860
11,600 Rohm Company, Ltd.(b,c) 1,400,257
67,500 Secom Company, Ltd.(b,c) 2,884,123
65,000 Seven-Eleven Japan Company, Ltd.(b,c) 2,135,072
46,300 Shin-Etsu Chemical Company, Ltd.(b,c) 1,668,478
6,400 SMC Corporation(b,c) 696,731
13,900 Softbank Corporation(b) 619,043
317,000 Sompo Japan Insurance, Inc.(b,c) 3,268,014
722,000 Sumitomo Metal Industries(b,c) 857,576
446 Sumitomo Mitsui Financial Group, Inc.(b,c,d) 3,088,862
1,470,000 Sumitomo Trust and Banking Company, Ltd.(b,c) 10,582,012
62,000 Suzuki Motor Corporation(b,c) 1,097,856
176,900 Takeda Chemical Industries, Ltd.(b,c) 7,797,693
10,550 Takefuji Corporation(b) 767,540
188,000 Teijin, Ltd.(b,c,d) 705,643
59,000 Toyota Motor Corporation(b) 2,403,271
17,000 Trend Micro, Inc.(b) 764,491
428 UFJ Holdings, Inc.(b,c) 1,919,407
40,000 Uniden Corporation(b,c) 872,917
5,460 USS Company, Ltd.(b,c) 471,384
44,300 Yamanouchi Pharmaceutical Company, Ltd.(b,c) 1,498,224
47,000 Yamato Transport Company, Ltd.(b,c) 770,675
- -------------------------------------------------------------------------------------------------------------------------
Total Japan 114,915,356
=========================================================================================================================
Korea (1.2%)
- -------------------------------------------------------------------------------------------------------------------------
54,740 Kookmin Bank(b) 1,711,555
388,600 Korea Electric Power Corporation ADR(c,d) 3,559,576
4,740 Samsung Electronics Company, Ltd. South Korea(b) 1,969,853
7,090 SK Telecom Company, Ltd.(b) 1,172,183
- -------------------------------------------------------------------------------------------------------------------------
Total Korea 8,413,167
=========================================================================================================================
Malaysia (0.1%)
- -------------------------------------------------------------------------------------------------------------------------
501,600 Narra Industries Bhd(c) 604,560
- -------------------------------------------------------------------------------------------------------------------------
Total Malaysia 604,560
=========================================================================================================================
Mexico (1.5%)
- -------------------------------------------------------------------------------------------------------------------------
33,300 America Movil SA de CV ADR(c) 1,211,121
437,000 Grupo Models SA 1,094,300
19,800 Grupo Televisia SA ADR 896,346
190,000 Telefonos de Mexico SA de CV ADR 6,321,300
459,338 Wal-Mart de Mexico SA de CV 1,362,123
- -------------------------------------------------------------------------------------------------------------------------
Total Mexico 10,885,190
=========================================================================================================================
Netherlands (4.1%)
- -------------------------------------------------------------------------------------------------------------------------
338,500 ABN Amro Holding NV(b,c) 7,441,234
62,860 Akzo Nobel NV(b,d) 2,325,751
79,170 ASML Holding NV(b,c) 1,353,702
416,034 ING Groep NV(b) 9,870,165
229,400 Koninklijke (Royal) KPN NV(b) 1,757,273
86,858 Koninklijke (Royal) Philips Electronics NV(b) 2,362,349
53,550 Koninklijke Numico NV(b) 1,725,745
29,100 Reed Elsevier NV(b) 410,162
16,078 Royal Dutch Petroleum Company(b,d) 830,330
35,354 STMicroelectronics(b,d) 781,001
41,610 Wolters Kluwer NV(b) 757,121
- -------------------------------------------------------------------------------------------------------------------------
Total Netherlands 29,614,833
=========================================================================================================================
Norway (0.1%)
- -------------------------------------------------------------------------------------------------------------------------
25,430 Orkla ASA(b,d) 638,054
- -------------------------------------------------------------------------------------------------------------------------
Total Norway 638,054
=========================================================================================================================
Portugal (1.0%)
- -------------------------------------------------------------------------------------------------------------------------
679,200 Portugal Telecom SGPS SA(b) 7,353,606
- -------------------------------------------------------------------------------------------------------------------------
Total Portugal 7,353,606
=========================================================================================================================
Russia (0.5%)
- -------------------------------------------------------------------------------------------------------------------------
7,730 LUKOIL Holdings GDR(c) 813,196
2,500 LUKOIL Holdings, Sponsored ADR 263,000
18,000 Mining and Metallurgical Company Norilsk Nickel 999,000
38,150 YUKOS Oil Company ADR(c,d) 1,213,170
- -------------------------------------------------------------------------------------------------------------------------
Total Russia 3,288,366
=========================================================================================================================
Singapore (1.6%)
- -------------------------------------------------------------------------------------------------------------------------
822,000 Keppel Corporation(b,c,d) 3,381,057
1,086,112 United Overseas Bank, Ltd.(b) 8,475,835
- -------------------------------------------------------------------------------------------------------------------------
Total Singapore 11,856,892
=========================================================================================================================
Spain (4.6%)
- -------------------------------------------------------------------------------------------------------------------------
721,324 Banco Bilbao Vizcaya Argentaria SA(b,c,d) 9,700,706
178,064 Banco Santander Central Hispano SA(b,d) 1,859,392
55,854 Endesa SA(b,c,d) 1,073,451
45,590 Gas Natural SDG SA(b,c,d) 1,092,213
13,900 Gestevision Telecinco SA(c) 207,511
358,900 Iberdrola SA(b,c,d) 7,581,746
53,400 Industria de Diseno Textil SA(b,d) 1,227,667
365,962 Repsol YPF SA(b,c,d) 8,018,482
134,466 Telefonica SA(b,c) 1,999,124
17,433 Telefonica SA ADR(c) 778,035
- -------------------------------------------------------------------------------------------------------------------------
Total Spain 33,538,327
=========================================================================================================================
Sweden (2.8%)
- -------------------------------------------------------------------------------------------------------------------------
170,000 Atlas Copco AB(b,c,d) 6,343,216
336,695 Electrolux AB(b,d) 6,474,551
69,980 Hennes & Mauritz AB(b) 1,812,236
10,120 Sandvik AB(b) 347,201
243,160 Securitas AB(b,d) 3,054,345
32,700 Tele2 AB(b,d) 1,437,535
270,014 Telefonaktiebolaget LM Ericsson(b) 807,354
- -------------------------------------------------------------------------------------------------------------------------
Total Sweden 20,276,438
=========================================================================================================================
Switzerland (6.3%)
- -------------------------------------------------------------------------------------------------------------------------
70,970 Adecco SA(b,c,d) 3,546,211
84,120 Credit Suisse Group(b,c) 3,004,670
12,000 Givaudan SA(b,c) 6,957,667
130,857 Holcim, Ltd.(b,c,d) 7,139,250
45,012 Nestle SA(b) 12,021,532
15,000 Roche Holding AG(b) 1,488,397
50,900 Swatch Group AG(b,c,d) 6,639,491
66,228 UBS AG(b) 4,687,847
- -------------------------------------------------------------------------------------------------------------------------
Total Switzerland 45,485,065
=========================================================================================================================
Taiwan (0.5%)
- -------------------------------------------------------------------------------------------------------------------------
771,850 Chinatrust Financial Holdings Company, Ltd.(b,c) 863,903
2,003,812 Taiwan Semiconductor Manufacturing Company, Ltd.(b) 2,892,238
- -------------------------------------------------------------------------------------------------------------------------
Total Taiwan 3,756,141
=========================================================================================================================
United Kingdom (16.0%)
- -------------------------------------------------------------------------------------------------------------------------
52,566 Abbey National plc(b) 492,075
68,821 AstraZeneca plc(b) 3,101,638
32,183 Autonomy Corporation plc(b,c) 147,514
110,288 British Sky Broadcasting Group plc(b) 1,247,330
101,849 Cadbury Schweppes plc(b) 880,733
60,900 Capita Group plc(b) 353,284
12,076 Carnival plc(b) 588,551
259,100 Centricia plc(b) 1,060,083
683,650 Compass Group plc(b,c) 4,194,764
137,096 Diageo plc(b) 1,853,257
99,962 DS Smith plc(c) 293,686
157,540 Electrocomponents plc(b) 1,024,124
796,904 GlaxoSmithKline plc(b) 16,240,708
779,600 Hanson plc(b,c) 5,393,011
592,749 Hays plc(b) 1,329,332
90,000 Hilton Group plc(b,c) 452,954
89,574 Kesa Electricals plc(b) 471,831
756,138 Kingfisher plc(b) 3,947,715
810,000 Lloyds TSB Group plc(b,c) 6,364,244
1,104,600 Marks and Spencer Group plc(b,c) 7,304,303
311,900 MFI Furniture Group plc(b) $859,224
615,300 Pearson plc(b) 7,513,489
317,108 Reed Elsevier plc(b) 3,089,589
113,443 Rio Tinto plc(b) 2,741,601
476,195 Royal Bank of Scotland Group plc(b) 13,782,538
645,247 Shell Transport & Trading Company plc(b) 4,746,790
48,300 Standard Chartered plc(b) 789,645
492,140 Tesco plc(b) 2,386,442
254,828 Tomkins plc(b) 1,271,968
205,822 Unilever plc(b) 2,026,455
105,629 United Busines Media plc(b) 978,764
6,796,565 Vodafone Group plc(b) 14,944,061
311,900 William Morrison Supermarkets plc(b) 1,317,458
272,520 WPP Group plc(b) 2,780,159
- -------------------------------------------------------------------------------------------------------------------------
Total United Kingdom 115,969,320
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $575,317,020) 570,680,893
=========================================================================================================================
Shares or
Principal
Amount Collateral Held for Securities Loaned (17.8%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
128,985,278 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $128,985,278
$87 U.S. Treasury Bonds 3.875 4/15/2029 128
46,077 U.S. Treasury Notes 3.875 1/15/2009 59,828
871 U.S. Treasury Notes 4.250 1/15/2010 1,134
1,272 U.S. Treasury Notes 5.750 8/15/2010 1,415
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $129,047,783) 129,047,783
=========================================================================================================================
Principal
Amount Short-Term Investments (3.3%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$8,410,000 New Center Asset Trust 1.460% 7/1/2004 $8,410,000
9,910,000 Cargill Global Funding plc 1.500 7/1/2004 9,910,000
5,480,000 UBS Finance Corporation 1.450 7/1/2004 5,480,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 23,800,000
- -------------------------------------------------------------------------------------------------------------------------
Total Portfolio (cost $728,164,803) $723,528,676
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) Security is fair valued as discussed in the notes to
the financial statements.
(c) Non-income producing security.
(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 coupon rate,
yield or, for securities purchased at a discount, the
discount rate at the date of purchase.
(f) Miscellaneous footnotes:
ADR -- American Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held
by an issuing U.S. depository bank.
GDR -- Global Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held by
an issuing depository bank from more than one country.
The accompanying notes to the financial statements
are an integral part of this schedule.
Partner All Cap Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (92.8%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (3.3%)
- -------------------------------------------------------------------------------------------------------------------------
17,400 BellSouth Corporation $456,228
28,300 Nextel Communications, Inc.(b) 754,478
22,800 Western Wireless Corporation(b) 659,148
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 1,869,854
=========================================================================================================================
Consumer Discretionary (10.0%)
- -------------------------------------------------------------------------------------------------------------------------
34,250 Aeropostale, Inc. 921,668
14,900 American Eagle Outfitters, Inc.(b) 430,759
9,300 AnnTaylor Stores Corporation 269,514
2,500 Autoliv, Inc. 105,500
4,500 Best Buy Company, Inc. 228,330
9,200 Comcast Corporation(b) 254,012
2,600 D.R. Horton, Inc. 73,840
2,500 Federated Department Stores, Inc. 122,750
15,900 Fox Entertainment Group, Inc.(b) 424,530
11,300 Gap, Inc. 274,025
2,600 Hovnanian Enterprises, Inc.(c) 90,246
15,700 McDonald's Corporation 408,200
5,800 MGM Mirage, Inc. 272,252
10,600 Multimedia Games, Inc.(c) 284,292
13,500 Office Depot, Inc.(b) 241,785
9,700 Royal Caribbean Cruises, Ltd.(c) 421,077
5,800 Staples, Inc. 169,998
16,100 The DIRECTV Group, Inc.(b) 275,310
5,700 Timberland Company(b) 368,163
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 5,636,251
=========================================================================================================================
Consumer Staples (10.4%)
- -------------------------------------------------------------------------------------------------------------------------
16,100 Archer-Daniels-Midland Company 270,158
7,800 Bunge Limited Finance Corporation 303,732
6,800 Corn Products International, Inc. 316,540
13,100 Costco Wholesale Corporation 538,017
14,500 CVS Corporation 609,290
19,600 Estee Lauder Companies 956,088
15,500 Gillette Company 657,200
21,300 NBTY, Inc.(b) 626,007
9,200 PepsiCo, Inc. 495,696
19,700 Wal-Mart Stores, Inc. 1,039,372
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 5,812,100
=========================================================================================================================
Energy (6.0%)
- -------------------------------------------------------------------------------------------------------------------------
14,600 Exxon Mobil Corporation 648,386
6,100 Frontline, Ltd.(b,c) 210,511
9,900 Overseas Shipholding Group, Inc. 436,887
4,600 Premcor, Inc.(b) 172,500
23,200 Quicksilver Resources, Inc.(b,c) 747,830
11,900 Teekay Shipping Corporation 444,822
8,600 Valero Energy Corporation 634,336
5,700 Williams Companies, Inc. 67,830
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 3,363,102
=========================================================================================================================
Financials (19.1%)
- -------------------------------------------------------------------------------------------------------------------------
4,600 ACE, Ltd. 194,488
7,000 Ambac Financial Group, Inc. 514,080
2,200 American International Group, Inc. 156,816
20,200 Ameritrade Holding Corporation(b) 229,270
16,700 Bank of America Corporation 1,413,154
5,200 Bank One Corporation 265,200
8,800 Citigroup, Inc. 409,200
19,449 Countrywide Financial Corporation 1,366,292
5,800 Endurance Specialty Holdings, Ltd.(b) 201,840
5,900 Federal National Mortgage Corporation 421,024
9,902 Fidelity National Financial, Inc. 369,741
11,200 First American Corporation 289,968
4,900 Golden West Financial Corporation 521,115
5,400 Goldman Sachs Group, Inc. 508,464
21,900 J.P. Morgan Chase & Company 849,063
16,400 Janus Capital Group, Inc. 270,436
24,800 MBNA Corporation 639,592
11,900 PartnerRe, Ltd. 675,087
6,900 Radian Group, Inc. 330,510
5,300 Torchmark Corporation 285,140
11,700 W.R. Berkley Corporation 502,515
6,700 Wachovia Corporation 298,150
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 10,711,145
=========================================================================================================================
Health Care (12.6%)
- -------------------------------------------------------------------------------------------------------------------------
3,100 Allergan, Inc. 277,512
6,300 Amgen, Inc.(b) 343,791
4,500 Biomet, Inc. 199,980
2,400 Boston Scientific Corporation 102,720
22,800 Caremark Rx, Inc.(b) 751,032
7,100 Coventry Health Care, Inc. 347,190
3,100 Eli Lilly and Company 216,721
1,400 Guidant Corporation 78,232
11,590 Johnson & Johnson 645,563
9,100 Medtronic, Inc. 443,352
8,900 Merck & Company, Inc. 422,750
7,500 Millennium Pharmaceuticals, Inc.(b) 103,500
7,800 Pediatrix Medical Group, Inc.(b) 544,830
47,770 Pfizer, Inc. 1,637,556
4,800 ResMed, Inc.(b) 244,608
3,500 Sepracor, Inc.(b,c) 185,150
5,400 St. Jude Medical, Inc.(b) 408,510
100 WellCare Health Plans, Inc.(b) 1,700
1,500 Zimmer Holdings, Inc.(b) 132,300
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 7,086,997
=========================================================================================================================
Industrials (10.5%)
- -------------------------------------------------------------------------------------------------------------------------
8,900 3M Company 801,089
27,000 AirTran Holdings, Inc.(b,c) 381,780
3,800 Cummins, Inc.(c) 237,500
1,200 Deere & Company 84,168
52,600 General Electric Company 1,704,240
9,000 Goodrich Corporation 290,970
12,100 Honeywell International, Inc. 443,223
3,000 ITT Industries, Inc. 249,000
13,900 Joy Global Inc. 416,166
14,300 Robert Half International, Inc. 425,711
4,900 Rockwell Collins, Inc. 163,268
18,700 Tyco International, Ltd. 619,718
2,400 Universal Technical Institute, Inc.(b) 95,952
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 5,912,785
=========================================================================================================================
Information Technology (15.7%)
- -------------------------------------------------------------------------------------------------------------------------
44,200 Agere Systems, Inc.(b) 101,660
30,700 Akamai Technologies, Inc.(b,c) 551,065
17,000 Amdocs, Ltd.(b) 398,310
6,400 Analog Devices, Inc. 301,312
13,100 Apple Computer, Inc.(b) 426,274
22,900 Avaya, Inc.(b) 361,591
4,800 Cisco Systems, Inc.(b) 113,760
22,100 Comverse Technology, Inc.(b) 440,674
2,900 Dell, Inc.(b) 103,878
10,400 DST Systems, Inc.(b) 500,136
5,800 Hewlett-Packard Company 122,380
25,100 Intel Corporation 692,760
800 International Business Machines Corporation 70,520
10,400 Marvell Technology Group, Ltd. 277,680
56,400 Microsoft Corporation 1,610,784
29,700 Motorola, Inc. 542,025
8,100 National Semiconductor Corporation 178,119
8,700 Oracle Corporation(b) 103,791
9,300 QUALCOMM, Inc. 678,714
14,000 Scientific-Atlanta, Inc. 483,000
9,200 Siebel Systems, Inc.(b) 98,256
2,400 Silicon Laboratories, Inc.(b,c) 111,240
4,100 Texas Instruments, Inc. 99,138
3,200 Xilinx, Inc. 106,592
10,200 Yahoo!, Inc. 370,566
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 8,844,225
=========================================================================================================================
Materials (2.7%)
- -------------------------------------------------------------------------------------------------------------------------
3,100 Arch Coal, Inc. 113,429
1,600 Ball Corporation 115,280
3,500 Consol Energy, Inc.(c) 126,000
6,600 Dow Chemical Company 268,620
900 Georgia-Pacific Corporation 33,282
4,400 International Paper Company 196,680
3,400 Massey Energy Company 95,914
4,500 Newmont Mining Corporation 174,420
2,100 Peabody Energy Corporation 117,579
2,000 Phelps Dodge Corporation(b) 155,020
3,500 Praxair, Inc. 139,685
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 1,535,909
=========================================================================================================================
Utilities (2.5%)
- -------------------------------------------------------------------------------------------------------------------------
97,200 AES Corporation(b) 965,196
11,600 Constellation Energy Group, Inc. 439,640
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 1,404,836
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $48,263,009) 52,177,204
=========================================================================================================================
Shares Collateral Held for Securities Loaned (5.6%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
3,174,263 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $3,174,263
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $3,174,263) 3,174,263
=========================================================================================================================
Principal
Amount Short-Term Investments (1.6%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$895,000 State Street Bank Repurchase Agreement(e) 0.750% 7/1/2004 $895,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 895,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $52,332,272) $56,246,466
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 June 30, 2004, $895,019
maturing July 1, 2004, collateralized by $914,825 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.
Large Cap Growth Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (94.5%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
378,900 Nextel Communications, Inc.(b) $10,101,474
187,900 Triton PCS Holdings, Inc.(b,c) 819,244
65,100 Verizon Communications, Inc. 2,355,969
166,850 Vodafone Group plc ADR 3,687,385
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 16,964,072
=========================================================================================================================
Consumer Discretionary (14.3%)
- -------------------------------------------------------------------------------------------------------------------------
69,900 Advance Auto Parts, Inc. 3,088,182
180,850 Amazon.com, Inc.(b) 9,838,240
144,350 AnnTaylor Stores Corporation 4,183,263
49,150 Applebee's International, Inc. 1,131,433
111,300 Aztar Corporation(b,c) 3,116,400
242,500 Bed Bath & Beyond, Inc.(b) 9,324,125
162,200 Best Buy Company, Inc. 8,230,028
208,700 Carnival Corporation 9,808,900
192,400 Clear Channel Communications, Inc. 7,109,180
200,400 Coach, Inc. 9,056,076
541,895 Comcast Corporation(b) 14,961,721
92,200 Eastman Kodak Company 2,487,556
414,600 eBay, Inc. 38,122,470
152,400 EchoStar Communications Corporation(b) 4,686,300
107,400 Fred's, Inc.(c) 2,372,466
55,100 Gannett Company, Inc. 4,675,235
292,750 Gap, Inc. 7,099,188
127,100 Harley-Davidson, Inc. 7,872,574
421,995 Home Depot, Inc. 14,854,224
309,150 InterActiveCorp(b,c) 9,317,781
421,200 International Game Technology 16,258,320
267,600 Kohl's Corporation(b) 11,314,128
368,400 Lowe's Companies, Inc. 19,359,420
64,400 Marriott International, Inc. 3,212,272
164,600 McDonald's Corporation 4,279,600
148,600 NIKE, Inc. 11,256,450
124,800 Omnicom Group, Inc. 9,471,072
87,300 Pulte Homes, Inc. 4,542,219
328,600 Staples, Inc. 9,631,266
220,400 Starbucks Corporation(b) 9,582,992
211,300 Starwood Hotels & Resorts Worldwide, Inc. 9,476,805
32,900 Station Casinos, Inc. 1,592,360
97,200 Talbots, Inc.(c) 3,805,380
346,300 Target Corporation 14,707,361
81,100 Tiffany & Company 2,988,535
973,805 Time Warner, Inc.(b) 17,119,492
165,300 TJX Companies, Inc. 3,990,342
102,600 Toll Brothers, Inc.(b,c) 4,342,032
343,750 Univision Communications, Inc.(b,c) 10,975,938
482,145 Viacom, Inc. 17,222,219
450,500 Walt Disney Company 11,483,245
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 367,946,790
=========================================================================================================================
Consumer Staples (7.4%)
- -------------------------------------------------------------------------------------------------------------------------
86,600 Altria Group, Inc. 4,334,330
147,400 Avon Products, Inc. 6,801,036
530,050 Coca-Cola Company 26,756,924
228,000 Colgate-Palmolive Company 13,326,600
146,800 Costco Wholesale Corporation 6,029,076
275,900 Gillette Company 11,698,160
470,350 PepsiCo, Inc. 25,342,458
647,000 Procter & Gamble Company 35,222,680
267,100 SYSCO Corporation 9,580,877
721,700 Wal-Mart Stores, Inc. 38,076,892
374,700 Walgreen Company 13,567,887
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 190,736,920
=========================================================================================================================
Energy (2.9%)
- -------------------------------------------------------------------------------------------------------------------------
96,694 Apache Corporation 4,211,024
150,000 Baker Hughes, Inc. 5,647,500
180,450 BJ Services Company(b) 8,271,828
161,600 Burlington Resources, Inc. 5,846,688
397,500 Chesapeake Energy Corporation(c) 5,851,200
90,500 ENSCO International, Inc.(c) 2,633,550
24,400 EOG Resources, Inc. 1,456,924
143,500 Exxon Mobil Corporation 6,372,835
98,200 Nabors Industries, Ltd.(b) 4,440,604
218,100 Schlumberger, Ltd. 13,851,531
96,665 Smith International, Inc.(b,c) 5,390,040
125,300 Transocean, Inc.(b) 3,626,182
205,800 XTO Energy, Inc.(c) 6,130,782
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 73,730,688
=========================================================================================================================
Financials (10.3%)
- -------------------------------------------------------------------------------------------------------------------------
96,200 ACE, Ltd. 4,067,336
120,200 Allstate Corporation 5,595,310
395,850 American Express Company 20,338,773
518,400 American International Group, Inc. 36,951,552
132,953 Bank of America Corporation 11,250,483
110,000 Capital One Financial Corporation 7,521,800
317,850 Charles Schwab Corporation 3,054,538
823,200 Citigroup, Inc. 38,278,800
84,950 Countrywide Financial Corporation 5,967,738
61,200 Federal Home Loan Mortgage Corporation 3,873,960
273,865 Federal National Mortgage Corporation 19,543,006
50,200 Golden West Financial Corporation 5,338,770
229,000 Goldman Sachs Group, Inc. 21,562,640
128,500 J.P. Morgan Chase & Company 4,981,945
64,100 Legg Mason, Inc. 5,833,741
72,000 Lehman Brothers Holdings, Inc. 5,418,000
362,300 MBNA Corporation 9,343,717
200,700 Merrill Lynch & Company, Inc. 10,833,786
206,600 Morgan Stanley and Company 10,902,282
131,100 PMI Group, Inc. 5,705,472
327,200 Providian Financial Corporation(b) 4,800,024
78,300 Radian Group, Inc. 3,750,570
339,100 SLM Corporation 13,716,595
232,500 U.S. Bancorp 6,407,700
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 265,038,538
=========================================================================================================================
Health Care (18.7%)
- -------------------------------------------------------------------------------------------------------------------------
318,750 Abbott Laboratories 12,992,250
65,000 Allergan, Inc. 5,818,800
678,300 Amgen, Inc.(b) 37,014,831
48,600 Anthem, Inc.(b) 4,352,616
102,800 Biogen Idec, Inc.(b) 6,502,100
679,200 Boston Scientific Corporation 29,069,760
94,500 Cardinal Health, Inc. 6,619,725
398,664 Caremark Rx, Inc.(b) 13,131,992
91,600 Community Health Systems, Inc.(b) 2,452,132
87,900 Dentsply International, Inc. 4,579,590
280,800 Eli Lilly and Company 19,630,728
247,710 Forest Laboratories, Inc.(b) 14,027,817
503,000 Genentech, Inc. 28,268,600
135,100 Genzyme Corporation(b) 6,394,283
285,500 Gilead Sciences, Inc.(b) 19,128,500
227,200 Guidant Corporation 12,695,936
117,000 HCA, Inc. 4,866,030
111,200 IVAX Corporation(b,c) 2,667,688
670,400 Johnson & Johnson 37,341,280
556,000 Medtronic, Inc. 27,088,320
138,800 Merck & Company, Inc. 6,593,000
79,000 Neurocrine Biosciences, Inc.(b,c) 4,096,150
47,300 Omnicare, Inc.(c) 2,024,913
2,308,555 Pfizer, Inc. 79,137,265
165,000 St. Jude Medical, Inc.(b) 12,482,250
162,700 Stryker Corporation 8,948,500
289,500 Teva Pharmaceutical Industries, Ltd.(c) 19,480,455
331,900 UnitedHealth Group, Inc. 20,660,775
38,400 WellPoint Health Networks, Inc.(b) 4,301,184
187,200 Wyeth Corporation 6,769,152
232,900 Zimmer Holdings, Inc.(b) 20,541,780
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 479,678,402
=========================================================================================================================
Industrials (9.1%)
- -------------------------------------------------------------------------------------------------------------------------
290,300 3M Company 26,129,903
132,500 Allied Waste Industries, Inc.(b) 1,746,350
82,700 Apollo Group, Inc. (University of Phoenix Online) 7,301,583
42,600 Career Education Corporation 1,940,856
106,800 Caterpillar, Inc. 8,484,192
366,800 Cendant Corporation 8,979,264
181,500 Danaher Corporation 9,410,775
34,200 Deere & Company 2,398,788
154,100 FedEx Corporation 12,588,429
39,400 General Dynamics Corporation 3,912,420
2,214,700 General Electric Company 71,756,280
50,900 Illinois Tool Works, Inc. 4,880,801
128,400 L-3 Communications Holdings, Inc.(c) 8,577,120
25,400 Lockheed Martin Corporation 1,322,832
93,500 Manpower, Inc. 4,746,995
117,600 Masco Corporation 3,666,768
75,800 Monster Worldwide, Inc.(b) 1,949,576
367,500 Northwest Airlines Corporation(b,c) 4,086,600
102,300 Rockwell Automation, Inc. 3,837,273
656,700 Tyco International, Ltd.(c) 21,763,038
211,900 United Parcel Service, Inc. 15,928,523
103,250 United Technologies Corporation 9,445,310
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 234,853,676
=========================================================================================================================
Information Technology (29.7%)
- -------------------------------------------------------------------------------------------------------------------------
339,700 Accenture, Ltd.(b) 9,334,956
949,300 ADC Telecommunications, Inc.(b) 2,696,012
105,700 Adobe Systems, Inc. 4,915,050
167,300 Agilent Technologies, Inc.(b) 4,898,544
283,000 Altera Corporation(b) 6,288,260
358,700 Analog Devices, Inc. 16,887,596
234,000 Andrew Corporation(b) 4,682,340
138,000 Apple Computer, Inc.(b) 4,490,520
1,077,550 Applied Materials, Inc.(b) 21,141,531
54,600 Automatic Data Processing, Inc. 2,286,648
320,850 BEA Systems, Inc.(b) 2,637,387
187,000 Broadcom Corporation(b) 8,745,990
214,000 Check Point Software Technologies, Ltd.(b,c) 5,775,860
3,233,300 Cisco Systems, Inc.(b) 76,629,210
68,500 Cognos, Inc.(b) 2,476,960
45,800 Computer Associates International, Inc. 1,285,148
82,200 Computer Sciences Corporation(b) 3,816,546
183,400 Comverse Technology, Inc.(b) 3,656,996
722,300 Corning, Inc.(b) 9,433,238
159,100 Cypress Semiconductor Corporation(b,c) 2,257,629
1,384,300 Dell, Inc.(b) 49,585,626
345,370 Electronic Arts, Inc. 18,839,934
112,300 Electronics for Imaging, Inc.(b,c) 3,173,598
1,556,600 EMC Corporation(b) 17,745,240
388,350 First Data Corporation 17,289,342
179,625 Fiserv, Inc.(b) 6,985,616
329,800 Flextronics International, Ltd.(b) 5,260,310
236,605 Hewlett-Packard Company 4,992,366
2,288,850 Intel Corporation 63,172,260
126,700 International Business Machines Corporation 11,168,605
65,000 Juniper Networks, Inc.(b,c) 1,597,050
108,850 KLA-Tencor Corporation(b) 5,375,013
61,200 Lexmark International, Inc.(b) 5,907,636
269,200 Linear Technology Corporation 10,625,324
75,200 Marvell Technology Group, Ltd. 2,007,840
259,100 Maxim Integrated Products, Inc. 13,582,022
97,600 McAfee, Inc.(b) 1,769,488
117,800 Mercury Interactive Corporation(b) 5,869,974
218,350 Microchip Technology, Inc. 6,886,759
3,045,600 Microsoft Corporation 86,982,335
606,500 Motorola, Inc. 11,068,625
207,250 Nasdaq (100) Trust(c) 7,823,688
104,300 National Semiconductor Corporation 2,293,557
127,800 Network Appliance, Inc.(b) 2,751,534
276,020 Nokia Corporation ADR 4,013,331
544,600 Nortel Networks Corporation(b) 2,717,554
397,400 Novell, Inc.(b) 3,334,186
1,083,400 Oracle Corporation(b) 12,924,962
303,000 Paychex, Inc. 10,265,640
89,400 PerkinElmer, Inc. $1,791,576
413,350 QUALCOMM, Inc. 30,166,283
130,200 Research in Motion, Ltd.(d) 8,910,888
147,500 Sabre Holdings Corporation 4,087,225
304,400 SAP AG(c) 12,726,964
215,700 Siebel Systems, Inc.(b) 2,303,676
410,700 Sun Microsystems, Inc.(b) 1,782,438
221,400 Symantec Corporation 9,692,892
262,500 Symbol Technologies, Inc. 3,869,250
218,500 Telefonaktiebolaget LM Ericsson(b,c) 6,537,520
773,400 Texas Instruments, Inc. 18,700,812
98,500 Thermo Electron Corporation(b) 3,027,890
314,400 Tibco Software, Inc.(b,c) 2,656,680
606,100 United Microelectronics Corporation ADR(b,c) 2,612,291
307,900 VeriSign, Inc.(b) 6,127,210
533,000 VERITAS Software Corporation(b) 14,764,100
112,000 Waters Corporation(b) 5,351,360
243,300 Xilinx, Inc. 8,104,323
838,300 Yahoo!, Inc. 30,455,439
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 764,014,653
=========================================================================================================================
Materials (0.8%)
- -------------------------------------------------------------------------------------------------------------------------
127,500 Ecolab, Inc. 4,041,750
88,100 International Steel Group, Inc.(b,c) 2,620,975
42,800 Peabody Energy Corporation 2,396,372
43,800 Phelps Dodge Corporation(b) 3,394,938
181,200 Praxair, Inc. 7,231,692
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 19,685,727
=========================================================================================================================
Miscellaneous (0.6%)
- -------------------------------------------------------------------------------------------------------------------------
144,800 S&P 400 Mid-Cap Depository Receipts 16,109,000
- -------------------------------------------------------------------------------------------------------------------------
Total Miscellaneous 16,109,000
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $2,211,424,219) 2,428,758,466
=========================================================================================================================
Shares or
Principal
Amount Collateral Held for Securities Loaned (4.4%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
113,162,813 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $113,162,813
$4,670 U.S. Treasury Bonds 11.250 2/15/2015 7,404
15,178 U.S. Treasury Bonds 8.750 5/15/2017 20,749
10,274 U.S. Treasury Bonds 8.875 2/15/2019 14,565
210,152 U.S. Treasury Bonds 8.000 11/15/2021 277,660
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$113,483,191) 113,483,191
=========================================================================================================================
Principal
Amount Short-Term Investments (1.1%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$17,625,000 Cargill Global Funding plc 1.460% 7/1/2004 $17,625,000
3,425,000 Starfish Global Funding, LLC 1.060 7/1/2004 3,425,000
8,000,000 Toyota Credit Puerto Rico 1.460 7/1/2004 8,000,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 29,050,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $2,353,957,410) $2,571,291,657
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) At June 30, 2004, 33,100 shares of Research in
Motion, Ltd. common stock valued at $2,265,364 were
earmarked as collateral to cover call options written
as follows:
Number of Exercise Expiration Unrealized
Call Options Contracts Price Date Value Loss
- -------------------------------------------------------------------------------------------------------------------------
Research in Motion, Ltd. 331 $62.50 July 2004 $(221,770) $146,635
(e) The interest rate shown reflects the coupon rate,
yield or, for securities purchased at a discount, the
discount rate at the date of purchase.
(f) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held by
an issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Large Cap Growth Portfolio II
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (97.6%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
6,450 Nextel Communications, Inc.(b) $171,957
3,250 Triton PCS Holdings, Inc.(b,c) 14,170
1,100 Verizon Communications, Inc. 39,809
2,800 Vodafone Group plc ADR 61,880
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 287,816
=========================================================================================================================
Consumer Discretionary (14.8%)
- -------------------------------------------------------------------------------------------------------------------------
1,200 Advance Auto Parts, Inc. 53,016
3,100 Amazon.com, Inc.(b) 168,640
2,500 AnnTaylor Stores Corporation 72,450
800 Applebee's International, Inc. 18,416
1,950 Aztar Corporation(b) 54,600
4,200 Bed Bath & Beyond, Inc.(b) 161,490
2,770 Best Buy Company, Inc. 140,550
3,600 Carnival Corporation 169,200
3,270 Clear Channel Communications, Inc. 120,826
3,400 Coach, Inc. 153,646
9,010 Comcast Corporation(b) 248,766
1,600 Eastman Kodak Company 43,168
7,080 eBay, Inc. 651,006
2,590 EchoStar Communications Corporation(b) 79,642
1,800 Fred's, Inc. 39,762
900 Gannett Company, Inc. 76,365
5,050 Gap, Inc. 122,462
2,150 Harley-Davidson, Inc. 133,171
7,240 Home Depot, Inc. 254,848
5,280 InterActiveCorp(b) 159,139
7,200 International Game Technology 277,920
4,580 Kohl's Corporation(b) 193,642
6,300 Lowe's Companies, Inc. 331,065
1,100 Marriott International, Inc. 54,868
2,800 McDonald's Corporation 72,800
2,540 NIKE, Inc. 192,405
2,150 Omnicom Group, Inc. 163,164
1,500 Pulte Homes, Inc. 78,045
5,620 Staples, Inc. 164,722
3,800 Starbucks Corporation(b) 165,224
3,560 Starwood Hotels & Resorts Worldwide, Inc. 159,666
550 Station Casinos, Inc. 26,620
1,700 Talbots, Inc. 66,555
5,920 Target Corporation 251,422
1,350 Tiffany & Company 49,748
16,520 Time Warner, Inc.(b) 290,422
2,880 TJX Companies, Inc. 69,523
1,800 Toll Brothers, Inc.(b) 76,176
5,860 Univision Communications, Inc.(b) 187,110
8,270 Viacom, Inc. 295,404
7,610 Walt Disney Company 193,979
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 6,281,643
=========================================================================================================================
Consumer Staples (7.7%)
- -------------------------------------------------------------------------------------------------------------------------
1,500 Altria Group, Inc. 75,075
2,460 Avon Products, Inc. 113,504
9,000 Coca-Cola Company 454,320
3,900 Colgate-Palmolive Company 227,955
2,500 Costco Wholesale Corporation 102,675
4,700 Gillette Company 199,280
8,020 PepsiCo, Inc. 432,118
11,020 Procter & Gamble Company 599,929
4,560 SYSCO Corporation 163,567
12,340 Wal-Mart Stores, Inc. 651,058
6,440 Walgreen Company 233,192
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 3,252,673
=========================================================================================================================
Energy (2.9%)
- -------------------------------------------------------------------------------------------------------------------------
1,600 Apache Corporation 69,680
2,550 Baker Hughes, Inc. 96,008
3,030 BJ Services Company(b) 138,895
2,800 Burlington Resources, Inc. 101,304
6,650 Chesapeake Energy Corporation 97,888
1,500 ENSCO International, Inc. 43,650
400 EOG Resources, Inc. 23,884
2,450 Exxon Mobil Corporation 108,804
1,650 Nabors Industries, Ltd.(b) 74,613
3,700 Schlumberger, Ltd. 234,987
1,600 Smith International, Inc.(b) 89,216
2,100 Transocean, Inc.(b) 60,774
3,650 XTO Energy, Inc. 108,734
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 1,248,437
=========================================================================================================================
Financials (10.6%)
- -------------------------------------------------------------------------------------------------------------------------
1,600 ACE, Ltd. 67,648
2,000 Allstate Corporation 93,100
6,730 American Express Company 345,787
8,830 American International Group, Inc. 629,402
2,299 Bank of America Corporation 194,541
1,850 Capital One Financial Corporation 126,503
5,400 Charles Schwab Corporation 51,894
14,000 Citigroup, Inc. 651,000
1,400 Countrywide Financial Corporation 98,350
1,000 Federal Home Loan Mortgage Corporation 63,300
4,650 Federal National Mortgage Corporation 331,824
900 Golden West Financial Corporation 95,715
3,950 Goldman Sachs Group, Inc. 371,932
2,200 J.P. Morgan Chase & Company 85,294
1,100 Legg Mason, Inc. 100,111
1,250 Lehman Brothers Holdings, Inc. 94,062
6,180 MBNA Corporation 159,382
3,450 Merrill Lynch & Company, Inc. 186,231
3,550 Morgan Stanley and Company 187,334
2,200 PMI Group, Inc. 95,744
5,600 Providian Financial Corporation(b) 82,152
1,300 Radian Group, Inc. 62,270
5,810 SLM Corporation 235,014
3,950 U.S. Bancorp 108,862
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 4,517,452
=========================================================================================================================
Health Care (19.3%)
- -------------------------------------------------------------------------------------------------------------------------
5,440 Abbott Laboratories 221,734
1,150 Allergan, Inc. 102,948
11,460 Amgen, Inc.(b) 625,372
800 Anthem, Inc.(b) 71,648
1,750 Biogen Idec, Inc.(b) 110,688
11,600 Boston Scientific Corporation 496,480
1,560 Cardinal Health, Inc. 109,278
6,805 Caremark Rx, Inc.(b) 224,157
1,600 Community Health Systems, Inc.(b) 42,832
1,550 Dentsply International, Inc. 80,755
4,790 Eli Lilly and Company 334,869
4,200 Forest Laboratories, Inc.(b) 237,846
8,600 Genentech, Inc. 483,320
2,310 Genzyme Corporation(b) 109,332
4,900 Gilead Sciences, Inc.(b) 328,300
3,930 Guidant Corporation 219,608
2,000 HCA, Inc. 83,180
1,900 IVAX Corporation(b) 45,581
11,530 Johnson & Johnson 642,221
9,520 Medtronic, Inc. 463,814
2,400 Merck & Company, Inc. 114,000
1,350 Neurocrine Biosciences, Inc.(b) 69,998
800 Omnicare, Inc. 34,248
39,470 Pfizer, Inc. 1,353,032
2,800 St. Jude Medical, Inc.(b) 211,820
2,800 Stryker Corporation 154,000
4,950 Teva Pharmaceutical Industries, Ltd. 333,086
5,600 UnitedHealth Group, Inc. 348,600
650 WellPoint Health Networks, Inc.(b) 72,806
3,230 Wyeth Corporation 116,797
4,050 Zimmer Holdings, Inc.(b) 357,210
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 8,199,560
=========================================================================================================================
Industrials (9.4%)
- -------------------------------------------------------------------------------------------------------------------------
4,940 3M Company 444,649
2,300 Allied Waste Industries, Inc.(b) 30,314
1,390 Apollo Group, Inc. (University of Phoenix Online) 122,723
710 Career Education Corporation 32,348
1,900 Caterpillar, Inc. 150,936
6,260 Cendant Corporation 153,245
3,120 Danaher Corporation 161,772
600 Deere & Company 42,084
2,670 FedEx Corporation 218,112
700 General Dynamics Corporation 69,510
37,710 General Electric Company 1,221,804
860 Illinois Tool Works, Inc. 82,465
2,200 L-3 Communications Holdings, Inc. 146,960
400 Lockheed Martin Corporation 20,832
1,600 Manpower, Inc. 81,232
2,000 Masco Corporation 62,360
1,300 Monster Worldwide, Inc.(b) 33,436
6,300 Northwest Airlines Corporation(b) 70,056
1,700 Rockwell Automation, Inc. 63,767
11,090 Tyco International, Ltd. 367,523
3,570 United Parcel Service, Inc. 268,357
1,800 United Technologies Corporation 164,664
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 4,009,149
=========================================================================================================================
Information Technology (30.7%)
- -------------------------------------------------------------------------------------------------------------------------
5,850 Accenture, Ltd.(b) 160,758
16,100 ADC Telecommunications, Inc.(b) 45,724
1,850 Adobe Systems, Inc. 86,025
2,900 Agilent Technologies, Inc.(b) 84,912
4,800 Altera Corporation(b) 106,656
6,110 Analog Devices, Inc. 287,659
3,970 Andrew Corporation(b) 79,440
2,400 Apple Computer, Inc.(b) 78,096
18,520 Applied Materials, Inc.(b) 363,362
900 Automatic Data Processing, Inc. 37,692
5,470 BEA Systems, Inc.(b) 44,963
3,200 Broadcom Corporation(b) 149,664
3,700 Check Point Software Technologies, Ltd.(b) 99,863
55,370 Cisco Systems, Inc.(b) 1,312,269
1,200 Cognos, Inc.(b) 43,392
1,200 Computer Associates International, Inc. 33,672
1,400 Computer Sciences Corporation(b) 65,002
3,100 Comverse Technology, Inc.(b) 61,814
12,280 Corning, Inc.(b) 160,377
2,700 Cypress Semiconductor Corporation(b,c) 38,313
23,470 Dell, Inc.(b) 840,695
5,900 Electronic Arts, Inc. 321,845
1,900 Electronics for Imaging, Inc.(b) 53,694
26,600 EMC Corporation(b) 303,240
6,650 First Data Corporation 296,058
3,100 Fiserv, Inc.(b) 120,559
5,660 Flextronics International, Ltd.(b) 90,277
4,080 Hewlett-Packard Company 86,088
39,050 Intel Corporation 1,077,780
2,200 International Business Machines Corporation 193,930
1,150 Juniper Networks, Inc.(b,c) 28,256
1,900 KLA-Tencor Corporation(b) 93,822
1,050 Lexmark International, Inc.(b) 101,356
4,530 Linear Technology Corporation 178,799
1,200 Marvell Technology Group, Ltd. 32,040
4,480 Maxim Integrated Products, Inc. 234,842
1,700 McAfee, Inc.(b) 30,821
2,000 Mercury Interactive Corporation(b) 99,660
3,700 Microchip Technology, Inc. 116,698
51,870 Microsoft Corporation 1,481,411
10,400 Motorola, Inc. 189,800
3,500 Nasdaq (100) Trust(c) 132,125
1,800 National Semiconductor Corporation 39,582
2,150 Network Appliance, Inc.(b) 46,290
4,730 Nokia Corporation ADR 68,774
9,330 Nortel Networks Corporation(b) 46,557
6,700 Novell, Inc.(b) $56,213
18,500 Oracle Corporation(b) 220,705
5,200 Paychex, Inc. 176,176
1,500 PerkinElmer, Inc. 30,060
7,050 QUALCOMM, Inc. 514,509
2,200 Research in Motion, Ltd. 150,568
2,500 Sabre Holdings Corporation 69,275
5,200 SAP AG 217,412
3,700 Siebel Systems, Inc.(b) 39,516
7,000 Sun Microsystems, Inc.(b) 30,380
3,810 Symantec Corporation 166,802
4,500 Symbol Technologies, Inc. 66,330
3,700 Telefonaktiebolaget LM Ericsson(b,c) 110,704
13,250 Texas Instruments, Inc. 320,385
1,700 Thermo Electron Corporation(b) 52,258
5,400 Tibco Software, Inc.(b) 45,630
10,300 United Microelectronics Corporation ADR(b,c) 44,393
5,300 VeriSign, Inc.(b) 105,470
9,060 VERITAS Software Corporation(b) 250,962
1,900 Waters Corporation(b) 90,782
4,150 Xilinx, Inc. 138,236
14,300 Yahoo!, Inc. 519,519
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 13,060,937
=========================================================================================================================
Materials (0.8%)
- -------------------------------------------------------------------------------------------------------------------------
2,150 Ecolab, Inc. 68,155
1,450 International Steel Group, Inc.(b) 43,138
700 Peabody Energy Corporation 39,193
700 Phelps Dodge Corporation(b) 54,257
3,100 Praxair, Inc. 123,721
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 328,464
=========================================================================================================================
Miscellaneous (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
2,450 S&P 400 Mid-Cap Depository Receipts 272,562
- -------------------------------------------------------------------------------------------------------------------------
Total Miscellaneous 272,562
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $40,281,444) 41,458,693
=========================================================================================================================
Shares Collateral Held for Securities Loaned (0.6%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
253,900 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $253,900
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$253,900) 253,900
=========================================================================================================================
Shares Short-Term Investments (1.8%) Interest Rate(d) Date Maturity Value
777,937 Thrivent Money Market Portfolio 0.768% N/A $777,937
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 777,937
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $41,313,281) $42,490,530
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held by
an issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Partner Growth Stock Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (93.7%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (2.8%)
- -------------------------------------------------------------------------------------------------------------------------
35,300 Crown Castle International Corporation(b) $520,675
46,200 Nextel Communications, Inc.(b) 1,231,692
241,400 Vodafone Group plc(b,c) 530,782
16,600 Vodafone Group plc ADR(d) 366,860
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 2,650,009
=========================================================================================================================
Consumer Discretionary (19.4%)
- -------------------------------------------------------------------------------------------------------------------------
18,450 Best Buy Company, Inc. 936,153
46,700 British Sky Broadcasting Group plc(b,c) 528,166
22,400 Carnival Corporation 1,052,800
18,200 Clear Channel Communications, Inc. 672,490
33,400 Comcast Corporation(b) 922,174
105,100 Compass Group plc(b,c) 644,876
6,300 E.W. Scripps Company 661,500
10,000 eBay, Inc. 919,500
32,500 EchoStar Communications Corporation(b) 999,375
17,200 Family Dollar Stores, Inc. 523,224
11,300 Harley-Davidson, Inc. 699,922
1,883 Hermes International(b,c,d) 377,646
34,300 Home Depot, Inc. 1,207,360
30,100 InterActiveCorp(b) 907,214
33,200 International Game Technology 1,281,520
48,900 Kingfisher plc(b,c) 255,302
108,632 Liberty Media Corporation(b) 976,602
5,706 Liberty Media International, Inc.(b) 211,693
4,700 MGM Mirage, Inc. 220,618
9,500 Sogecable SA(b,c,d) 384,625
9,600 Starbucks Corporation(b) 417,408
35,900 Target Corporation 1,524,673
21,500 Time Warner, Inc.(b) 377,970
18,200 Univision Communications, Inc.(b) 581,126
20,800 Viacom, Inc. 742,976
8,300 Wal-Mart de Mexico SA de CV(b) 246,128
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 18,273,041
=========================================================================================================================
Consumer Staples (4.9%)
- -------------------------------------------------------------------------------------------------------------------------
10,100 Altria Group, Inc. 505,505
18,600 Coca-Cola Company 938,928
6,800 Gillette Company 288,320
5,800 PepsiCo, Inc. 312,504
13,900 SYSCO Corporation 498,593
52,000 Wal-Mart de Mexico SA de CV(b) 154,201
22,400 Wal-Mart Stores, Inc. 1,181,824
20,200 Walgreen Company 731,442
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 4,611,317
=========================================================================================================================
Energy (3.9%)
- -------------------------------------------------------------------------------------------------------------------------
30,300 Baker Hughes, Inc. 1,140,795
7,600 ChevronTexaco Corporation 715,236
21,500 Exxon Mobil Corporation 954,815
14,100 Schlumberger, Ltd. 895,491
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 3,706,337
=========================================================================================================================
Financials (18.5%)
- -------------------------------------------------------------------------------------------------------------------------
12,000 ACE, Ltd. 507,360
23,400 American Express Company 1,202,292
27,000 American International Group, Inc. 1,924,560
24,000 Ameritrade Holding Corporation(b) 272,400
22,300 Charles Schwab Corporation 214,303
70,100 Citigroup, Inc. 3,259,649
19,500 Credit Suisse Group(b,c) 696,518
6,800 Federal Home Loan Mortgage Corporation 430,440
13,000 Federal National Mortgage Corporation 927,680
5,800 Goldman Sachs Group, Inc. 546,128
10,900 Hartford Financial Services Group, Inc. 749,266
8,500 MBNA Corporation 219,215
25,000 Mellon Financial Corporation 733,250
17,700 Merrill Lynch & Company, Inc. 955,446
13,400 Northern Trust Corporation 566,552
22,900 SLM Corporation 926,305
12,073 St. Paul Travelers Companies, Inc. 489,439
27,500 State Street Corporation 1,348,600
27,000 U.S. Bancorp 744,120
10,200 UBS AG(b,c) 721,991
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 17,435,514
=========================================================================================================================
Health Care (12.7%)
- -------------------------------------------------------------------------------------------------------------------------
19,300 Amgen, Inc.(b) 1,053,201
10,000 Biomet, Inc. 444,400
10,500 Boston Scientific Corporation 449,400
4,300 Cardinal Health, Inc. 301,215
12,600 Forest Laboratories, Inc.(b) 713,538
4,800 Genentech, Inc. 269,760
8,500 Gilead Sciences, Inc.(b) 569,500
7,300 Guidant Corporation 407,924
17,300 Johnson & Johnson 963,610
15,000 Medtronic, Inc. 730,800
56,640 Pfizer, Inc. 1,941,619
3,900 Teva Pharmaceutical Industries, Ltd.(d) 262,431
33,900 UnitedHealth Group, Inc. 2,110,275
12,600 WellPoint Health Networks, Inc.(b) 1,411,326
9,100 Wyeth Corporation 329,056
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 11,958,055
=========================================================================================================================
Industrials (8.1%)
- -------------------------------------------------------------------------------------------------------------------------
11,000 Apollo Group, Inc. (University of Phoenix Online) 971,190
44,100 Cendant Corporation 1,079,568
21,000 Danaher Corporation 1,088,850
68,700 General Electric Company 2,225,880
39,200 Tyco International, Ltd. 1,299,088
12,300 United Parcel Service, Inc. 924,591
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 7,589,167
=========================================================================================================================
Information Technology (21.9%)
- -------------------------------------------------------------------------------------------------------------------------
42,600 Accenture, Ltd.(b) 1,170,648
17,000 Adobe Systems, Inc. 790,500
20,500 Affiliated Computer Services, Inc.(b) 1,085,270
8,700 Analog Devices, Inc. 409,596
24,300 Applied Materials, Inc.(b) 476,766
53,600 Cisco Systems, Inc.(b) 1,270,320
40,100 Corning, Inc.(b) 523,706
42,600 Dell, Inc.(b) 1,525,932
17,200 First Data Corporation 765,744
24,000 Fiserv, Inc.(b) 933,360
34,600 Intel Corporation 954,960
15,400 Intuit, Inc.(b) 594,132
21,000 Juniper Networks, Inc.(b,d) 515,970
7,200 Maxim Integrated Products, Inc. 377,424
10,700 Mercury Interactive Corporation(b) 533,181
107,600 Microsoft Corporation 3,073,056
13,500 Oracle Corporation(b) 161,055
11,400 QLogic Corporation(b) 303,126
4,300 QUALCOMM, Inc. 313,814
9,300 Red Hat, Inc.(b) 213,621
5,400 Research in Motion, Ltd. 369,576
1,320 Samsung Electronics Company, Ltd.(b,c) 548,567
4,300 SAP AG(b,c,d) 716,581
1,700 Semiconductor Manufacturing International
Corporation(b,d) 18,241
22,800 STMicroelectronics(b,c,d) 503,672
13,200 SunGard Data Systems, Inc.(b) 343,200
21,300 VERITAS Software Corporation(b) 590,010
10,900 Xilinx, Inc. 363,079
32,200 Yahoo!, Inc. 1,169,826
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 20,614,933
=========================================================================================================================
Materials (1.5%)
- -------------------------------------------------------------------------------------------------------------------------
9,500 Nucor Corporation(d) 729,220
26,300 Rio Tinto plc(b,c) 635,598
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 1,364,818
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $77,482,281) 88,203,191
=========================================================================================================================
Shares Preferred Stock (0.7%) Value
- -------------------------------------------------------------------------------------------------------------------------
Consumer Discretionary
- -------------------------------------------------------------------------------------------------------------------------
21,000 The News Corporation Ltd. Preferred ADR(b) $690,480
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 690,480
- -------------------------------------------------------------------------------------------------------------------------
Total Preferred Stock (cost $675,119) 690,480
=========================================================================================================================
Shares Collateral Held for Securities Loaned (2.9%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
2,731,517 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $2,731,517
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $2,731,517) 2,731,517
=========================================================================================================================
Principal
Amount Short-Term Investments (2.7%) Interest Rate(e) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$2,579,000 State Street Bank Repurchase Agreement(f) 0.750% 7/1/2004 $2,579,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 2,579,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $83,467,917) $94,204,188
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 June 30, 2004, $2,579,054
maturing July 1, 2004, collateralized by $2,631,741
of Federal Home Loan Mortgage Corporation Medium Term
Notes, 2.875% due December 29, 2006.
(g) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held by
an issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Large Cap Value Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (94.2%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (3.1%)
- -------------------------------------------------------------------------------------------------------------------------
65,100 BellSouth Corporation $1,706,922
23,500 Nextel Communications, Inc.(b) 626,510
74,040 SBC Communications, Inc. 1,795,470
93,275 Verizon Communications, Inc. 3,375,622
62,300 Vodafone Group plc ADR 1,376,830
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 8,881,354
=========================================================================================================================
Consumer Discretionary (9.3%)
- -------------------------------------------------------------------------------------------------------------------------
15,900 Best Buy Company, Inc. 806,766
18,000 Carnival Corporation 846,000
26,000 Clear Channel Communications, Inc. 960,700
82,000 Gap, Inc. 1,988,500
45,900 J.C. Penney Company, Inc. 1,733,184
28,400 Johnson Controls, Inc. 1,515,992
32,200 Koninklijke Philips Electronics NV(c) 875,840
154,100 Liberty Media Corporation(b) 1,385,359
95,700 McDonald's Corporation 2,488,200
54,700 Sherwin-Williams Company 2,272,785
67,355 Target Corporation 2,860,567
320,100 Time Warner, Inc.(b) 5,627,358
16,900 Viacom, Inc. 603,668
103,300 Walt Disney Company 2,633,117
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 26,598,036
=========================================================================================================================
Consumer Staples (7.1%)
- -------------------------------------------------------------------------------------------------------------------------
59,600 Altria Group, Inc. 2,982,980
74,900 Archer-Daniels-Midland Company 1,256,822
32,400 Costco Wholesale Corporation 1,330,668
66,310 CVS Corporation 2,786,346
38,150 General Mills, Inc. 1,813,270
63,045 Kimberly-Clark Corporation 4,153,405
14,200 PepsiCo, Inc. 765,096
42,600 Procter & Gamble Company 2,319,144
21,300 R.J. Reynolds Tobacco Holdings, Inc.(c) 1,439,667
46,500 SUPERVALU, Inc. 1,423,365
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 20,270,763
=========================================================================================================================
Energy (10.6%)
- -------------------------------------------------------------------------------------------------------------------------
46,800 Anadarko Petroleum Corporation 2,742,480
45,440 Apache Corporation 1,978,912
22,500 Baker Hughes, Inc. 847,125
19,100 BJ Services Company(b) 875,544
42,100 BP plc 2,255,297
26,300 Burlington Resources, Inc. 951,534
41,083 ChevronTexaco Corporation 3,866,321
81,479 ConocoPhillips Company 6,216,033
167,800 Exxon Mobil Corporation 7,451,998
74,300 Transocean, Inc.(b) 2,150,242
12,600 Valero Energy Corporation(c) 929,376
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 30,264,862
=========================================================================================================================
Financials (26.3%)
- -------------------------------------------------------------------------------------------------------------------------
35,500 A.G. Edwards, Inc. 1,208,065
34,400 ACE, Ltd. 1,454,432
60,100 Allstate Corporation 2,797,655
26,200 American Express Company 1,346,156
59,000 American International Group, Inc. 4,205,520
120,275 Bank of America Corporation 10,177,670
48,600 Bank One Corporation 2,478,600
37,200 CIT Group, Inc. 1,424,388
203,845 Citigroup, Inc. 9,478,792
23,500 Equity Office Properties Trust 639,200
39,075 Federal Home Loan Mortgage Corporation 2,473,448
38,305 Federal National Mortgage Corporation 2,733,445
20,800 Goldman Sachs Group, Inc. 1,958,528
40,915 Hartford Financial Services Group, Inc. 2,812,497
113,700 J.P. Morgan Chase & Company 4,408,149
47,600 MBNA Corporation 1,227,604
42,100 Merrill Lynch & Company, Inc. 2,272,558
38,300 MetLife, Inc. 1,373,055
44,800 Morgan Stanley and Company 2,364,096
30,100 PMI Group, Inc. 1,309,952
94,600 Providian Financial Corporation(b,c) 1,387,782
36,100 Prudential Financial, Inc. 1,677,567
16,900 Simon Property Group, Inc. 868,998
61,800 SouthTrust Corporation 2,398,458
19,100 St. Paul Travelers Companies, Inc. 774,314
26,200 State Street Corporation 1,284,848
73,200 U.S. Bancorp 2,017,392
28,700 Wachovia Corporation 1,277,150
57,795 Wells Fargo & Company 3,307,608
34,400 Zions Bancorporation 2,113,880
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 75,251,807
=========================================================================================================================
Health Care (7.8%)
- -------------------------------------------------------------------------------------------------------------------------
37,200 Abbott Laboratories 1,516,272
33,700 Aetna, Inc. 2,864,500
19,100 Anthem, Inc.(b,c) 1,710,596
49,700 Bristol-Myers Squibb Company 1,217,650
9,300 CIGNA Corporation 639,933
79,025 Johnson & Johnson 4,401,692
46,344 Medco Health Solutions, Inc.(b) 1,737,900
92,300 Merck & Company, Inc. 4,384,250
114,200 Pfizer, Inc. 3,914,776
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 22,387,569
=========================================================================================================================
Industrials (11.4%)
- -------------------------------------------------------------------------------------------------------------------------
53,600 AMR Corporation(b,c) 649,096
16,900 Boeing Company 863,421
31,200 Burlington Northern Santa Fe Corporation 1,094,184
44,300 Canadian National Railway Company 1,931,037
18,700 Caterpillar, Inc. 1,485,528
19,100 Dover Corporation 804,110
55,100 Emerson Electric Company 3,501,605
21,300 FedEx Corporation 1,739,997
8,100 General Dynamics Corporation 804,330
45,900 General Electric Company 1,487,160
49,780 Honeywell International, Inc. 1,823,441
8,700 Illinois Tool Works, Inc. 834,243
15,300 Lockheed Martin Corporation 796,824
43,200 Masco Corporation 1,346,976
25,200 Northrop Grumman Corporation 1,353,240
33,530 Pitney Bowes, Inc. 1,483,702
18,600 Raytheon Company 665,322
52,500 Republic Services, Inc. 1,519,350
175,575 Tyco International, Ltd. 5,818,556
26,800 United Technologies Corporation 2,451,664
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 32,453,786
=========================================================================================================================
Information Technology (9.8%)
- -------------------------------------------------------------------------------------------------------------------------
52,700 Agilent Technologies, Inc.(b) 1,543,056
46,040 Applied Materials, Inc.(b) 903,305
79,700 BMC Software, Inc.(b) 1,474,450
63,400 Cisco Systems, Inc.(b) 1,502,580
37,700 Computer Sciences Corporation(b) 1,750,411
45,990 First Data Corporation 2,047,475
39,900 Harris Corporation 2,024,925
224,600 Hewlett-Packard Company 4,739,060
93,500 Integrated Device Technology, Inc.(b,c) 1,294,040
66,700 Intel Corporation 1,840,920
44,000 International Business Machines Corporation 3,878,600
67,800 Microsoft Corporation 1,936,368
91,300 Motorola, Inc. 1,666,225
62,880 Oracle Corporation(b) 750,158
23,000 Storage Technology Corporation(b) 667,000
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 28,018,573
=========================================================================================================================
Materials (6.2%)
- -------------------------------------------------------------------------------------------------------------------------
16,900 Alcan, Inc. 699,660
51,695 Alcoa, Inc. 1,707,486
29,500 BASF AG 1,588,575
66,100 Dow Chemical Company 2,690,270
36,100 E.I. du Pont de Nemours and Company 1,603,562
38,800 Georgia-Pacific Corporation 1,434,824
37,940 International Paper Company 1,695,918
73,700 MeadWestvaco Corporation 2,166,043
39,400 Praxair, Inc. 1,572,454
41,500 Weyerhaeuser Company 2,619,480
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 17,778,272
=========================================================================================================================
Utilities (2.6%)
- -------------------------------------------------------------------------------------------------------------------------
41,885 Dominion Resources, Inc. 2,642,106
21,900 Entergy Corporation 1,226,619
65,600 Exelon Corporation 2,183,824
38,800 FirstEnergy Corporation 1,451,508
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 7,504,057
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $237,868,559) 269,409,079
=========================================================================================================================
Shares Collateral Held for Securities Loaned (2.2%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
6,268,086 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $6,268,086
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$6,268,086) 6,268,086
=========================================================================================================================
Principal
Amount Short-Term Investments (3.6%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$10,160,000 Cargill Global Funding plc 1.460% 7/1/2004 $10,160,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 10,160,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $254,296,645) $285,837,165
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 or, for
securities purchased at a discount, the discount rate
at the date of purchase.
(e) Miscellaneous footnote:
ADR -- American Depository Receipts, which are certificates
for shares of an underlying foreign security's shares held by
an issuing U.S. depository bank.
The accompanying notes to the financial statements
are an integral part of this schedule.
Large Cap Stock Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (93.2%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (2.4%)
- -------------------------------------------------------------------------------------------------------------------------
75,900 Nextel Communications, Inc.(b) $2,023,494
173,100 SBC Communications, Inc. 4,197,675
86,600 Verizon Communications, Inc. 3,134,054
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 9,355,223
=========================================================================================================================
Consumer Discretionary (13.5%)
- -------------------------------------------------------------------------------------------------------------------------
28,900 AnnTaylor Stores Corporation(c) 837,522
24,300 Black & Decker Corporation 1,509,759
51,900 Brunswick Corporation 2,117,520
34,200 Clear Channel Communications, Inc. 1,263,690
153,600 Comcast Corporation(b) 4,240,896
141,300 Cox Communications, Inc.(b) 3,926,727
45,400 D.R. Horton, Inc.(c) 1,289,360
31,400 eBay, Inc. 2,887,230
70,000 Fortune Brands, Inc. 5,280,100
27,700 Gap, Inc. 671,725
47,400 Harley-Davidson, Inc. 2,935,956
63,900 Home Depot, Inc. 2,249,280
23,200 Lowe's Companies, Inc. 1,219,160
96,800 McDonald's Corporation 2,516,800
38,800 MGM Mirage, Inc. 1,821,272
58,200 Nordstrom, Inc. 2,479,902
26,600 Omnicom Group, Inc. 2,018,674
27,800 Pulte Homes, Inc.(c) 1,446,434
38,300 Starwood Hotels & Resorts Worldwide, Inc. 1,717,755
116,600 Target Corporation 4,952,002
142,100 Time Warner, Inc.(b) 2,498,118
83,900 Walt Disney Company 2,138,611
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 52,018,493
=========================================================================================================================
Consumer Staples (8.4%)
- -------------------------------------------------------------------------------------------------------------------------
60,450 Alberto-Culver Company 3,030,963
81,900 Altria Group, Inc. 4,099,095
123,800 Archer-Daniels-Midland Company 2,077,364
32,200 Coca-Cola Company 1,625,456
121,600 Coca-Cola Enterprises, Inc. 3,525,184
41,200 Kimberly-Clark Corporation 2,714,256
39,800 PepsiCo, Inc. 2,144,424
46,700 Procter & Gamble Company 2,542,348
82,400 Tyson Foods, Inc. 1,726,280
27,400 Unilever NV 1,877,174
99,200 Wal-Mart Stores, Inc. 5,233,792
51,900 Walgreen Company 1,879,299
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 32,475,635
=========================================================================================================================
Energy (6.1%)
- -------------------------------------------------------------------------------------------------------------------------
31,200 BJ Services Company(b) 1,430,208
38,700 Burlington Resources, Inc. 1,400,166
29,600 ChevronTexaco Corporation 2,785,656
22,100 ConocoPhillips Company 1,686,009
28,900 EOG Resources, Inc. 1,725,619
227,200 Exxon Mobil Corporation 10,089,952
30,100 Nabors Industries, Ltd.(b) 1,361,122
36,400 Noble Corporation(b) 1,379,196
25,200 Schlumberger, Ltd. 1,600,452
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 23,458,380
=========================================================================================================================
Financials (18.1%)
- -------------------------------------------------------------------------------------------------------------------------
64,100 AFLAC, Inc. 2,615,921
115,500 American Express Company 5,934,390
121,300 American International Group, Inc. 8,646,264
74,700 Bank of America Corporation 6,321,114
47,800 Bank One Corporation 2,437,800
17,700 Bear Stearns Companies, Inc. 1,492,287
42,600 Cincinnati Financial Corporation(c) 1,853,952
226,100 Citigroup, Inc. 10,513,650
29,499 Countrywide Financial Corporation 2,072,305
10,500 Doral Financial Corporation(c) 362,250
32,400 Federal National Mortgage Corporation 2,312,064
40,000 Goldman Sachs Group, Inc. 3,766,400
114,600 J.P. Morgan Chase & Company 4,443,042
49,900 KeyCorp 1,491,511
69,100 MBNA Corporation 1,782,089
44,700 Merrill Lynch & Company, Inc. 2,412,906
43,500 MetLife, Inc. 1,559,475
69,700 Morgan Stanley and Company 3,678,069
26,800 Progressive Corporation 2,286,040
64,900 Wells Fargo & Company 3,714,227
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 69,695,756
=========================================================================================================================
Health Care (12.7%)
- -------------------------------------------------------------------------------------------------------------------------
34,100 Abbott Laboratories 1,389,916
87,100 Amgen, Inc.(b) 4,753,047
58,000 Boston Scientific Corporation 2,482,400
37,200 C.R. Bard, Inc. 2,107,380
27,700 Dentsply International, Inc. 1,443,170
25,800 Eli Lilly and Company 1,803,678
27,400 Forest Laboratories, Inc.(b) 1,551,662
115,700 Johnson & Johnson 6,444,490
42,600 Medtronic, Inc. 2,075,472
46,800 Merck & Company, Inc. 2,223,000
326,400 Pfizer, Inc. 11,188,992
26,800 Teva Pharmaceutical Industries, Ltd.(c) 1,803,372
34,100 UnitedHealth Group, Inc. 2,122,725
30,900 WellPoint Health Networks, Inc.(b) 3,461,109
47,400 Wyeth Corporation 1,713,984
26,300 Zimmer Holdings, Inc.(b) 2,319,660
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 48,884,057
=========================================================================================================================
Industrials (12.0%)
- -------------------------------------------------------------------------------------------------------------------------
81,600 3M Company 7,344,816
27,100 Caterpillar, Inc. 2,152,824
101,000 Cendant Corporation 2,472,480
34,000 Danaher Corporation 1,762,900
49,600 Eaton Corporation 3,211,104
32,600 General Dynamics Corporation 3,237,180
220,000 General Electric Company 7,128,000
20,000 Illinois Tool Works, Inc. 1,917,800
30,300 Ingersoll-Rand Company 2,069,793
69,100 Masco Corporation 2,154,538
90,100 Norfolk Southern Corporation 2,389,452
28,800 PACCAR, Inc.(c) 1,670,112
31,700 Parker-Hannifin Corporation 1,884,882
129,100 Tyco International, Ltd. 4,278,374
27,500 United Technologies Corporation 2,515,700
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 46,189,955
=========================================================================================================================
Information Technology (16.3%)
- -------------------------------------------------------------------------------------------------------------------------
36,500 Adobe Systems, Inc. 1,697,250
80,500 Applied Materials, Inc.(b) 1,579,410
49,700 Arrow Electronics, Inc.(b,c) 1,332,954
304,900 Cisco Systems, Inc.(b) 7,226,130
112,600 Dell, Inc.(b) 4,033,332
162,300 EMC Corporation(b) 1,850,220
69,000 First Data Corporation 3,071,880
259,700 Intel Corporation 7,167,720
64,500 International Business Machines Corporation 5,685,675
19,800 Lexmark International, Inc.(b) 1,911,294
445,800 Microsoft Corporation 12,732,048
141,500 Motorola, Inc. 2,582,375
218,500 Oracle Corporation(b) 2,606,705
34,200 QUALCOMM, Inc. 2,495,916
135,900 Texas Instruments, Inc. 3,286,062
117,600 Xerox Corporation(b,c) 1,705,200
50,400 Xilinx, Inc. 1,678,824
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 62,642,995
=========================================================================================================================
Materials (2.6%)
- -------------------------------------------------------------------------------------------------------------------------
61,400 Dow Chemical Company 2,498,980
40,600 Eastman Chemical Company 1,876,938
45,700 Praxair, Inc. 1,823,887
22,200 Temple-Inland, Inc.(c) 1,537,350
33,300 Weyerhaeuser Company 2,101,896
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 9,839,051
=========================================================================================================================
Utilities (1.1%)
- -------------------------------------------------------------------------------------------------------------------------
31,100 Entergy Corporation 1,741,911
55,600 TXU Corporation(c) 2,252,356
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 3,994,267
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $342,456,077) 358,553,812
=========================================================================================================================
Shares Collateral Held for Securities Loaned (2.9%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
11,333,224 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $11,333,224
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $11,333,224) 11,333,224
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (3.9%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$7,895,000 Cargill Global Funding plc 1.430% 7/1/2004 $7,895,000
7,158,938 Thrivent Money Market Portfolio 0.768 N/A 7,158,938
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 15,053,938
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $368,843,239) $384,940,974
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 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.
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (94.7%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (3.2%)
- -------------------------------------------------------------------------------------------------------------------------
21,800 ALLTEL Corporation $1,103,516
56,132 AT&T Corporation(b) 821,211
193,041 AT&T Wireless Services, Inc.(c) 2,764,347
129,800 BellSouth Corporation 3,403,356
9,900 CenturyTel, Inc. 297,396
20,300 Citizens Communications Company(b,c) 245,630
78,500 Nextel Communications, Inc.(c) 2,092,810
126,272 Qwest Communications International, Inc.(c) 453,316
234,460 SBC Communications, Inc. 5,685,655
100,950 Sprint Corporation (FON Group) 1,776,720
196,096 Verizon Communications, Inc. 7,096,714
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 25,740,671
=========================================================================================================================
Consumer Discretionary (10.3%)
- -------------------------------------------------------------------------------------------------------------------------
19,000 Autonation, Inc.(b,c) 324,900
5,800 AutoZone, Inc.(c) 464,580
21,200 Bed Bath & Beyond, Inc.(c) 815,140
22,950 Best Buy Company, Inc. 1,164,483
8,200 Big Lots, Inc.(c) 118,572
5,700 Black & Decker Corporation 354,141
6,400 Boise Cascade Corporation(b) 240,896
6,800 Brunswick Corporation 277,440
44,700 Carnival Corporation 2,100,900
8,800 Centex Corporation 402,600
14,000 Circuit City Stores, Inc. 181,300
43,400 Clear Channel Communications, Inc. 1,603,630
158,677 Comcast Corporation(c) 4,447,716
5,300 Cooper Tire & Rubber Company 121,900
10,666 Dana Corporation 209,054
11,450 Darden Restaurants, Inc. 235,298
39,594 Delphi Corporation 422,864
6,000 Dillard's, Inc. 133,800
23,315 Dollar General Corporation(b) 456,041
5,900 Dow Jones & Company, Inc. 266,090
20,300 Eastman Kodak Company 547,694
46,500 eBay, Inc. 4,275,675
12,100 Family Dollar Stores, Inc.(b) 368,082
12,700 Federated Department Stores, Inc. 623,570
129,700 Ford Motor Company 2,029,805
10,400 Fortune Brands, Inc. 784,472
19,300 Gannett Company, Inc. 1,637,605
63,662 Gap, Inc. 1,543,804
39,900 General Motors Corporation 1,858,941
12,400 Genuine Parts Company 492,032
12,600 Goodyear Tire & Rubber Company(b,c) 114,534
20,800 Harley-Davidson, Inc. 1,288,352
8,000 Harrah's Entertainment, Inc.(b) 432,800
12,550 Hasbro, Inc. 238,450
27,100 Hilton Hotels Corporation 505,686
157,300 Home Depot, Inc. 5,536,960
24,700 International Game Technology 953,420
29,600 Interpublic Group of Companies, Inc.(c) 406,408
19,900 J.C. Penney Company, Inc. 751,424
13,400 Johnson Controls, Inc. 715,292
9,100 Jones Apparel Group, Inc. 359,268
3,400 KB Home 233,342
5,600 Knight-Ridder, Inc. 403,200
24,100 Kohl's Corporation(c) 1,018,948
13,600 Leggett & Platt, Inc. 363,256
33,304 Limited Brands, Inc. 622,785
7,900 Liz Claiborne, Inc. 284,242
55,700 Lowe's Companies, Inc. 2,927,035
16,000 Marriott International, Inc. 798,080
29,850 Mattel, Inc. 544,762
20,500 May Department Stores Company 563,545
5,600 Maytag Corporation(b) 137,256
89,100 McDonald's Corporation 2,316,600
13,400 McGraw-Hill Companies, Inc. 1,026,038
3,600 Meredith Corporation 197,856
10,700 New York Times Company 478,397
19,473 Newell Rubbermaid, Inc. 457,616
18,600 NIKE, Inc. 1,408,950
9,800 Nordstrom, Inc. 417,578
22,100 Office Depot, Inc.(c) 395,811
13,400 Omnicom Group, Inc. 1,016,926
8,900 Pulte Homes, Inc. 463,067
11,400 RadioShack Corporation 326,382
4,300 Reebok International, Ltd. 154,714
15,000 Sears, Roebuck and Company 566,400
10,200 Sherwin-Williams Company 423,810
4,200 Snap-On, Inc. 140,910
5,800 Stanley Works 264,364
35,150 Staples, Inc. 1,030,246
28,000 Starbucks Corporation(c) 1,217,440
14,600 Starwood Hotels & Resorts Worldwide, Inc. 654,810
64,600 Target Corporation 2,743,562
10,300 Tiffany & Company 379,555
322,750 Time Warner, Inc.(c) 5,673,945
35,000 TJX Companies, Inc. 844,900
15,200 Toys 'R' Us, Inc.(c) 242,896
23,100 Tribune Company 1,051,974
22,800 Univision Communications, Inc.(b,c) 728,004
7,900 VF Corporation 384,730
122,644 Viacom, Inc. 4,380,844
9,193 Visteon Corporation(b) 107,282
145,247 Walt Disney Company 3,702,346
8,200 Wendy's International, Inc. 285,688
4,900 Whirlpool Corporation 336,140
20,440 Yum! Brands, Inc.(c) 760,777
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 82,282,628
=========================================================================================================================
Consumer Staples (10.5%)
- -------------------------------------------------------------------------------------------------------------------------
2,800 Adolph Coors Company(b) 202,552
6,450 Alberto-Culver Company 323,403
26,077 Albertson's, Inc.(b) 692,084
145,100 Altria Group, Inc. 7,262,255
56,900 Anheuser-Busch Companies, Inc. 3,072,600
45,968 Archer-Daniels-Midland Company 771,343
33,400 Avon Products, Inc. 1,541,076
8,700 Brown-Forman Corporation(b) 419,949
29,100 Campbell Soup Company 782,208
15,100 Clorox Company 812,078
172,400 Coca-Cola Company 8,702,752
33,200 Coca-Cola Enterprises, Inc. 962,468
37,700 Colgate-Palmolive Company 2,203,565
37,400 ConAgra Foods, Inc. 1,012,792
32,400 Costco Wholesale Corporation 1,330,668
28,100 CVS Corporation 1,180,762
26,700 General Mills, Inc. 1,269,051
71,000 Gillette Company 3,010,400
25,100 H.J. Heinz Company 983,920
18,400 Hershey Foods Corporation 851,368
29,000 Kellogg Company 1,213,650
35,492 Kimberly-Clark Corporation 2,338,213
52,500 Kroger Company(c) 955,500
9,900 McCormick & Company, Inc. 336,600
18,300 Pepsi Bottling Group, Inc. 558,882
120,770 PepsiCo, Inc. 6,507,088
181,800 Procter & Gamble Company 9,897,192
6,000 R.J. Reynolds Tobacco Holdings, Inc.(b) 405,540
31,500 Safeway, Inc.(c) 798,210
55,900 Sara Lee Corporation 1,285,141
9,700 SUPERVALU, Inc. 296,917
45,200 SYSCO Corporation 1,621,324
11,900 UST, Inc. 428,400
303,600 Wal-Mart Stores, Inc. 16,017,936
72,600 Walgreen Company 2,628,846
16,100 William Wrigley Jr. Company 1,015,105
10,200 Winn-Dixie Stores, Inc.(b) 73,440
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 83,765,278
=========================================================================================================================
Energy (6.2%)
- -------------------------------------------------------------------------------------------------------------------------
6,400 Amerada Hess Corporation 506,816
17,786 Anadarko Petroleum Corporation 1,042,260
23,020 Apache Corporation 1,002,521
5,100 Ashland, Inc. 269,331
23,600 Baker Hughes, Inc. 888,540
11,400 BJ Services Company(c) 522,576
28,070 Burlington Resources, Inc. 1,015,573
75,723 ChevronTexaco Corporation 7,126,292
48,540 ConocoPhillips Company 3,703,117
16,900 Devon Energy Corporation 1,115,400
45,318 El Paso Corporation(b) 357,106
8,300 EOG Resources, Inc. 495,593
463,008 Exxon Mobil Corporation 20,562,185
31,100 Halliburton Company 941,086
10,324 Kerr-McGee Corporation 555,121
8,900 Kinder Morgan, Inc. 527,681
24,400 Marathon Oil Corporation 923,296
10,600 Nabors Industries, Ltd.(c) 479,332
9,700 Noble Corporation(c) 367,533
27,600 Occidental Petroleum Corporation 1,336,116
7,600 Rowan Companies, Inc.(b,c) 184,908
41,700 Schlumberger, Ltd. 2,648,367
5,400 Sunoco, Inc.(b) 343,548
22,711 Transocean, Inc.(c) 657,256
18,700 Unocal Corporation 710,600
9,100 Valero Energy Corporation 671,216
36,800 Williams Companies, Inc.(b) 437,920
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 49,391,290
=========================================================================================================================
Financials (19.3%)
- -------------------------------------------------------------------------------------------------------------------------
20,000 ACE, Ltd. 845,600
36,000 AFLAC, Inc. 1,469,160
49,782 Allstate Corporation 2,317,352
7,700 Ambac Financial Group, Inc. 565,488
90,400 American Express Company 4,644,752
184,640 American International Group, Inc. 13,161,139
25,050 AmSouth Bancorporation 638,024
22,225 Aon Corporation 632,746
6,700 Apartment Investment & Management Company 208,571
144,269 Bank of America Corporation 12,208,043
55,000 Bank of New York Company, Inc. 1,621,400
79,353 Bank One Corporation 4,047,003
39,700 BB&T Corporation 1,467,709
7,331 Bear Stearns Companies, Inc. 618,077
16,900 Capital One Financial Corporation 1,155,622
96,625 Charles Schwab Corporation 928,566
15,811 Charter One Financial, Inc. 698,688
13,400 Chubb Corporation 913,612
12,070 Cincinnati Financial Corporation 525,286
366,039 Citigroup, Inc. 17,020,814
12,350 Comerica, Inc. 677,768
19,700 Countrywide Financial Corporation 1,383,925
25,800 E*TRADE Group, Inc.(c) 287,670
28,600 Equity Office Properties Trust 777,920
19,900 Equity Residential REIT 591,627
48,700 Federal Home Loan Mortgage Corporation 3,082,710
68,600 Federal National Mortgage Corporation 4,895,296
7,800 Federated Investors, Inc. 236,652
39,794 Fifth Third Bancorp 2,140,121
8,800 First Horizon National Corporation 400,136
17,700 Franklin Resources, Inc. 886,416
10,800 Golden West Financial Corporation 1,148,580
34,200 Goldman Sachs Group, Inc. 3,220,272
20,600 Hartford Financial Services Group, Inc. 1,416,044
16,271 Huntington Bancshares, Inc. 372,606
147,348 J.P. Morgan Chase & Company 5,712,682
17,000 Janus Capital Group, Inc. 280,330
9,900 Jefferson-Pilot Corporation 502,920
29,100 KeyCorp 869,799
19,600 Lehman Brothers Holdings, Inc. 1,474,900
12,800 Lincoln National Corporation 604,800
13,200 Loews Corporation 791,472
8,500 M&T Bank Corporation 742,050
37,000 Marsh & McLennan Companies, Inc. 1,679,060
15,800 Marshall & Ilsley Corporation 617,622
10,250 MBIA, Inc. 585,480
90,502 MBNA Corporation 2,334,047
30,000 Mellon Financial Corporation 879,900
68,000 Merrill Lynch & Company, Inc. 3,670,640
53,500 MetLife, Inc. 1,917,975
7,000 MGIC Investment Corporation 531,020
10,500 Moody's Corporation 678,930
77,750 Morgan Stanley and Company 4,102,868
47,400 National City Corporation 1,659,474
12,300 North Fork Bancorporation, Inc.(b) 468,015
15,800 Northern Trust Corporation 668,024
13,100 Plum Creek Timber Company, Inc. 426,798
19,900 PNC Financial Services Group, Inc. 1,056,292
22,600 Principal Financial Group, Inc. 786,028
15,300 Progressive Corporation 1,305,090
13,000 ProLogis Trust 427,960
20,600 Providian Financial Corporation(c) 302,202
37,200 Prudential Financial, Inc. 1,728,684
15,600 Regions Financial Corporation(b) 570,180
10,000 SAFECO Corporation 440,000
14,800 Simon Property Group, Inc. 761,016
31,000 SLM Corporation 1,253,950
23,500 SouthTrust Corporation 912,035
21,300 Sovereign Bancorp, Inc. 470,730
47,181 St. Paul Travelers Companies Inc 1,912,718
23,700 State Street Corporation 1,162,248
20,000 SunTrust Banks, Inc. 1,299,800
21,600 Synovus Financial Corporation 546,912
9,034 T. Rowe Price Group, Inc. 455,314
7,900 Torchmark Corporation 425,020
134,185 U.S. Bancorp 3,698,139
13,650 Union Planters Corporation 406,906
21,024 UnumProvident Corporation(b) 334,282
93,132 Wachovia Corporation 4,144,374
61,143 Washington Mutual, Inc. 2,362,566
119,400 Wells Fargo & Company 6,833,262
9,900 XL Capital, Ltd. 747,054
6,400 Zions Bancorporation 393,280
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 153,140,243
=========================================================================================================================
Health Care (12.7%)
- -------------------------------------------------------------------------------------------------------------------------
110,400 Abbott Laboratories 4,499,904
10,849 Aetna, Inc. 922,165
9,200 Allergan, Inc. 823,584
8,000 AmerisourceBergen Corporation 478,240
89,940 Amgen, Inc.(c) 4,908,026
9,800 Anthem, Inc.(b,c) 877,688
14,200 Applied Biosystems Group 308,850
3,900 Bausch & Lomb, Inc.(b) 253,773
43,300 Baxter International, Inc. 1,494,283
18,000 Becton, Dickinson and Company 932,400
24,000 Biogen Idec, Inc.(c) 1,518,000
18,050 Biomet, Inc. 802,142
59,100 Boston Scientific Corporation 2,529,480
137,600 Bristol-Myers Squibb Company 3,371,200
7,400 C.R. Bard, Inc. 419,210
30,375 Cardinal Health, Inc. 2,127,769
32,300 Caremark Rx, Inc.(c) 1,063,962
13,300 Chiron Corporation(c) 593,712
10,000 CIGNA Corporation 688,100
79,900 Eli Lilly and Company 5,585,809
5,600 Express Scripts, Inc.(c) 443,688
26,100 Forest Laboratories, Inc.(c) 1,478,043
16,000 Genzyme Corporation(b,c) 757,280
14,900 Gilead Sciences, Inc.(c) 998,300
22,200 Guidant Corporation 1,240,536
34,300 HCA, Inc. 1,426,537
17,200 Health Management Associates, Inc. 385,624
11,080 Hospira, Inc.(c) 305,808
11,600 Humana, Inc.(c) 196,040
16,600 IMS Health, Inc. 389,104
210,140 Johnson & Johnson 11,704,798
17,000 King Pharmaceuticals, Inc.(c) 194,650
6,300 Manor Care, Inc. 205,884
20,642 McKesson Corporation 708,640
19,143 Medco Health Solutions, Inc.(c) 717,862
17,600 MedImmune, Inc.(c) 411,840
85,900 Medtronic, Inc. 4,185,048
157,300 Merck & Company, Inc. 7,471,750
3,600 Millipore Corporation(c) 202,932
19,000 Mylan Laboratories, Inc.(b) 384,750
540,253 Pfizer, Inc. 18,519,873
7,300 Quest Diagnostics, Inc. 620,135
104,200 Schering-Plough Corporation 1,925,616
12,442 St. Jude Medical, Inc.(c) 941,237
28,300 Stryker Corporation 1,556,500
32,900 Tenet Healthcare Corporation(c) 441,189
43,600 UnitedHealth Group, Inc. 2,714,100
7,700 Watson Pharmaceuticals, Inc.(c) 207,130
11,000 WellPoint Health Networks, Inc.(c) 1,232,110
94,400 Wyeth Corporation 3,413,504
17,250 Zimmer Holdings, Inc.(c) 1,521,450
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 101,100,255
=========================================================================================================================
Industrials (10.9%)
- -------------------------------------------------------------------------------------------------------------------------
55,300 3M Company 4,977,553
22,400 Allied Waste Industries, Inc.(c) 295,232
14,100 American Power Conversion Corporation 277,065
15,200 American Standard Companies, Inc. 612,712
12,500 Apollo Group, Inc. (University of Phoenix Online) 1,103,625
8,000 Avery Dennison Corporation 512,080
59,660 Boeing Company 3,048,029
26,292 Burlington Northern Santa Fe Corporation 922,060
24,200 Caterpillar, Inc. 1,922,448
72,160 Cendant Corporation 1,766,477
12,100 Cintas Corporation(b) 576,807
6,600 Cooper Industries, Ltd. 392,106
4,250 Crane Company 133,408
15,300 CSX Corporation 501,381
3,100 Cummins, Inc.(b) 193,750
21,800 Danaher Corporation 1,130,330
17,600 Deere & Company 1,234,464
9,000 Delta Air Lines, Inc.(b) 64,080
3,600 Deluxe Corporation 156,600
14,400 Dover Corporation 606,240
10,600 Eaton Corporation 686,244
29,800 Emerson Electric Company 1,893,790
9,700 Equifax, Inc. 240,075
21,060 FedEx Corporation 1,720,391
6,000 Fluor Corporation(b) 286,020
14,000 General Dynamics Corporation 1,390,200
747,200 General Electric Company 24,209,272
8,500 Goodrich Corporation 274,805
12,300 H&R Block, Inc. 586,464
60,775 Honeywell International, Inc. 2,226,188
21,900 Illinois Tool Works, Inc. 2,099,991
12,350 Ingersoll-Rand Company 843,628
6,700 ITT Industries, Inc. 556,100
31,700 Lockheed Martin Corporation 1,650,936
31,000 Masco Corporation 966,580
8,200 Monster Worldwide, Inc.(c) 210,904
4,900 Navistar International Corporation(b,c) 189,924
27,800 Norfolk Southern Corporation 737,256
25,398 Northrop Grumman Corporation 1,363,873
12,450 PACCAR, Inc. 721,976
8,900 Pall Corporation 233,091
8,550 Parker-Hannifin Corporation 508,383
16,400 Pitney Bowes, Inc. 725,700
6,100 Power-One, Inc.(b,c) 66,978
15,400 R.R. Donnelley & Sons Company 508,508
31,600 Raytheon Company 1,130,332
12,200 Robert Half International, Inc. 363,194
13,100 Rockwell Automation, Inc. 491,381
12,600 Rockwell Collins, Inc. 419,832
4,800 Ryder System, Inc. 192,336
55,900 Southwest Airlines Company 937,443
9,700 Textron, Inc. 575,695
4,200 Thomas & Betts Corporation(b) 114,366
141,907 Tyco International, Ltd. 4,702,798
18,300 Union Pacific Corporation 1,087,935
79,900 United Parcel Service, Inc. 6,006,083
36,300 United Technologies Corporation 3,320,724
6,600 W.W. Grainger, Inc. 379,500
41,099 Waste Management, Inc. 1,259,684
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 86,305,027
=========================================================================================================================
Information Technology (16.3%)
- -------------------------------------------------------------------------------------------------------------------------
57,200 ADC Telecommunications, Inc.(b,c) 162,448
16,900 Adobe Systems, Inc. 785,850
25,000 Advanced Micro Devices, Inc.(b,c) 397,500
9,600 Affiliated Computer Services, Inc.(c) 508,224
34,015 Agilent Technologies, Inc.(c) 995,959
26,500 Altera Corporation(c) 588,830
26,600 Analog Devices, Inc. 1,252,328
11,275 Andrew Corporation(c) 225,613
26,900 Apple Computer, Inc.(c) 875,326
119,300 Applied Materials, Inc.(c) 2,340,666
22,100 Applied Micro Circuits Corporation(c) 117,572
8,000 Autodesk, Inc. 342,480
41,800 Automatic Data Processing, Inc. 1,750,584
31,376 Avaya, Inc.(c) 495,427
15,700 BMC Software, Inc.(c) 290,450
22,200 Broadcom Corporation(c) 1,038,294
40,100 CIENA Corporation(c) 149,172
478,700 Cisco Systems, Inc.(c) 11,345,190
12,000 Citrix Systems, Inc.(c) 244,320
41,312 Computer Associates International, Inc. 1,159,215
13,200 Computer Sciences Corporation(c) 612,876
27,300 Compuware Corporation(c) 180,180
13,800 Comverse Technology, Inc.(b,c) 275,172
10,300 Convergys Corporation(c) 158,620
97,100 Corning, Inc.(c) 1,268,126
178,600 Dell, Inc.(c) 6,397,452
21,400 Electronic Arts, Inc. 1,167,370
34,200 Electronic Data Systems Corporation 654,930
172,986 EMC Corporation(c) 1,972,040
61,680 First Data Corporation 2,745,994
13,800 Fiserv, Inc.(c) 536,682
26,300 Gateway, Inc.(c) 118,350
215,886 Hewlett-Packard Company 4,555,195
457,900 Intel Corporation 12,638,040
119,300 International Business Machines Corporation 10,516,295
13,500 Intuit, Inc.(c) 520,830
14,200 Jabil Circuit, Inc.(c) 357,556
101,900 JDS Uniphase Corporation(b,c) 386,201
13,900 KLA-Tencor Corporation(c) 686,382
9,100 Lexmark International, Inc.(c) 878,423
21,900 Linear Technology Corporation 864,393
27,000 LSI Logic Corporation(c) 205,740
303,322 Lucent Technologies, Inc.(b,c) 1,146,557
22,800 Maxim Integrated Products, Inc. 1,195,176
6,500 Mercury Interactive Corporation(c) 323,895
43,200 Micron Technology, Inc.(c) 661,392
764,200 Microsoft Corporation 21,825,552
13,500 Molex, Inc.(b) 433,080
165,890 Motorola, Inc. 3,027,492
25,400 National Semiconductor Corporation 558,546
6,600 NCR Corporation(c) 327,294
24,600 Network Appliance, Inc.(c) 529,638
27,300 Novell, Inc.(c) 229,047
10,400 Novellus Systems, Inc.(c) 326,976
11,700 NVIDIA Corporation(c) 239,850
367,748 Oracle Corporation(c) 4,387,234
19,000 Parametric Technology Corporation(c) 95,000
26,700 Paychex, Inc. 904,596
25,800 PeopleSoft, Inc.(c) 477,300
9,100 PerkinElmer, Inc. 182,364
12,500 PMC-Sierra, Inc.(c) 179,375
6,700 QLogic Corporation(c) 178,153
57,300 QUALCOMM, Inc. 4,181,754
9,849 Sabre Holdings Corporation 272,916
36,800 Sanmina-SCI Corporation(c) 334,880
10,800 Scientific-Atlanta, Inc. 372,600
35,500 Siebel Systems, Inc.(c) 379,140
68,000 Solectron Corporation(c) 439,960
235,400 Sun Microsystems, Inc.(c) 1,021,636
20,500 SunGard Data Systems, Inc.(c) 533,000
22,000 Symantec Corporation 963,160
16,600 Symbol Technologies, Inc. 244,684
6,100 Tektronix, Inc.(b) 207,522
29,500 Tellabs, Inc.(b,c) 257,830
13,700 Teradyne, Inc.(c) 310,990
122,500 Texas Instruments, Inc. 2,962,050
11,800 Thermo Electron Corporation(c) 362,732
23,500 Unisys Corporation(c) 326,180
30,500 VERITAS Software Corporation(c) 844,850
8,400 Waters Corporation(c) 401,352
56,600 Xerox Corporation(b,c) 820,700
24,500 Xilinx, Inc. 816,095
95,300 Yahoo!, Inc. 3,462,249
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 129,507,092
=========================================================================================================================
Materials (2.8%)
- -------------------------------------------------------------------------------------------------------------------------
16,000 Air Products and Chemicals, Inc. 839,200
61,464 Alcoa, Inc. 2,030,156
5,769 Allegheny Technologies, Inc.(b) 104,130
4,100 Ball Corporation 295,405
7,600 Bemis Company, Inc. 214,700
66,193 Dow Chemical Company 2,694,055
70,811 E.I. du Pont de Nemours and Company 3,145,425
5,600 Eastman Chemical Company(b) 258,888
18,200 Ecolab, Inc. 576,940
8,800 Engelhard Corporation 284,328
12,500 Freeport-McMoRan Copper & Gold, Inc.(b) 414,375
18,024 Georgia-Pacific Corporation 666,528
3,600 Great Lakes Chemical Corporation(b) 97,416
7,800 Hercules, Inc.(c) 95,082
6,800 International Flavors and Fragrances, Inc. 254,320
34,371 International Paper Company 1,536,384
7,700 Louisiana-Pacific Corporation 182,105
14,381 MeadWestvaco Corporation 422,658
18,789 Monsanto Company 723,376
31,348 Newmont Mining Corporation 1,215,048
5,600 Nucor Corporation(b) 429,856
10,900 Pactiv Corporation(c) 271,846
6,570 Phelps Dodge Corporation(c) 509,241
12,200 PPG Industries, Inc. 762,378
23,100 Praxair, Inc. 921,921
15,813 Rohm and Haas Company 657,505
5,976 Sealed Air Corporation(c) 318,342
4,900 Sigma-Aldrich Corporation 292,089
4,000 Temple-Inland, Inc. 277,000
8,000 United States Steel Corporation 280,960
7,400 Vulcan Materials Company 351,870
17,000 Weyerhaeuser Company 1,073,040
6,200 Worthington Industries, Inc.(b) 127,286
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 22,323,853
=========================================================================================================================
Utilities (2.5%)
- -------------------------------------------------------------------------------------------------------------------------
45,100 AES Corporation(c) 447,843
9,100 Allegheny Energy, Inc.(b,c) 140,231
13,000 Ameren Corporation(b) 558,480
28,060 American Electric Power Company, Inc. 897,920
29,400 Calpine Corporation(b,c) 127,008
21,873 CenterPoint Energy, Inc.(b) 251,540
12,900 Cinergy Corporation 490,200
11,600 CMS Energy Corporation(b,c) 105,908
17,200 Consolidated Edison, Inc. 683,872
12,000 Constellation Energy Group, Inc. 454,800
23,047 Dominion Resources, Inc. 1,453,805
12,300 DTE Energy Company(b) 498,642
64,716 Duke Energy Corporation 1,313,088
26,900 Dynegy, Inc.(b) 114,594
23,100 Edison International, Inc. 590,667
16,400 Entergy Corporation 918,564
46,724 Exelon Corporation 1,555,442
23,400 FirstEnergy Corporation 875,394
13,200 FPL Group, Inc. 844,140
11,500 KeySpan Corporation 422,050
3,200 Nicor, Inc.(b) 108,704
18,809 NiSource, Inc. 387,842
29,600 Pacific Gas & Electric Company(c) 827,024
2,700 Peoples Energy Corporation(b) 113,805
6,500 Pinnacle West Capital Corporation 262,535
12,700 PPL Corporation 582,930
17,520 Progress Energy, Inc. 771,756
16,800 Public Service Enterprise Group, Inc. 672,504
16,275 Sempra Energy 560,348
52,200 Southern Company 1,521,630
13,500 TECO Energy, Inc.(b) 161,865
23,017 TXU Corporation(b) 932,419
28,405 Xcel Energy, Inc.(b) 474,648
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 20,122,198
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $668,479,901) 753,678,535
=========================================================================================================================
Shares Collateral Held for Securities Loaned (2.2%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
17,877,008 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $17,877,008
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $17,877,008) 17,877,008
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (3.1%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$3,288,000 Alcon Capital Corporation(e) 1.100% 7/1/2004 $3,288,000
13,500,000 Bemis Company, Inc.(e) 1.430 7/1/2004 13,500,000
7,485,366 Thrivent Money Market Portfolio(e) 0.768 N/A 7,485,366
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 24,273,366
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $710,630,275) $795,828,909
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 yield or, for
securities purchased at a discount, the discount rate
at the date of purchase.
(e) At June 30, 2004, $1,424,000 in cash was pledged as
the initial margin deposit for open financial futures
contracts. In addition, $24,273,366 of Short-Term
Investments were earmarked as collateral to cover
open financial futures contracts as follows:
Notional
Number of Expiration Principal Unrealized
Type Contracts Date Position Value Amount Gain
- -------------------------------------------------------------------------------------------------------------------------
500 Futures 90 September 2004 Long $25,659,001 $25,482,153 $176,848
The accompanying notes to the financial statements
are an integral part of this schedule.
Real Estate Securities Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (95.4%) Value
- -------------------------------------------------------------------------------------------------------------------------
Consumer Discretionary (4.4%)
- -------------------------------------------------------------------------------------------------------------------------
7,000 Fairmont Hotels & Resorts, Inc. $188,650
60,000 Hilton Hotels Corporation 1,119,600
2,500 Hovnanian Enterprises, Inc. 86,775
2,100 KB Home 144,123
30,400 La Quinta Corporation(b) 255,360
2,800 Pulte Homes, Inc. 145,684
1,000 Ryland Group, Inc. 78,200
4,000 Standard Pacific Corporation 197,200
46,400 Starwood Hotels & Resorts Worldwide, Inc. 2,081,040
6,500 WCI Communities, Inc.(b) 145,015
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 4,441,647
=========================================================================================================================
Financials (90.9%)
- -------------------------------------------------------------------------------------------------------------------------
10,000 Affordable Residential Communities(c) 166,000
18,700 Alexandria Real Estate Equities, Inc. 1,061,786
39,000 AMB Property Corporation 1,350,570
27,000 American Financial Realty Trust 385,830
5,800 Amli Residential Properties Trust 170,172
7,500 Anthracite Capital, Inc. 89,850
40,000 Apartment Investment & Management Company 1,245,200
84,000 Archstone-Smith Trust 2,463,720
45,000 Arden Realty Group, Inc. 1,323,450
34,000 AvalonBay Communities, Inc. 1,921,680
4,700 Bedford Property Investors, Inc. 137,428
58,500 Boston Properties, Inc. 2,929,680
15,500 Brandywine Realty Trust 421,445
16,000 BRE Properties, Inc. 556,000
60,500 Brookfield Properties Corporation 1,739,375
16,000 Camden Property Trust 732,800
8,000 Capital Automotive REIT 234,640
42,000 CarrAmerica Realty Corporation 1,269,660
49,900 Catellus Development Corporation 1,230,035
28,000 CBL & Associates Properties, Inc. 1,540,000
14,000 CenterPoint Properties Trust(c) 1,074,500
33,000 Chelsea Property Group, Inc. 2,152,260
3,500 Colonial Properties Trust 134,855
6,400 Commercial Net Lease Realty, Inc. 110,080
19,600 Corporate Office Properties Trust 487,060
10,500 Cousins Properties, Inc. 345,975
25,900 Crescent Real Estate Equities Company 417,508
67,500 Developers Diversified Realty Corporation 2,387,475
41,000 Duke Realty Corporation 1,304,210
6,500 Eastgroup Properties, Inc. 218,855
7,500 Entertainment Properties Trust 268,050
11,000 Equity Inns, Inc. 102,190
96,500 Equity Office Properties Trust 2,624,800
11,000 Equity One, Inc.(c) 198,880
102,600 Equity Residential REIT 3,050,298
14,000 Essex Property Trust, Inc. 956,900
18,300 Federal Realty Investment Trust 761,097
11,000 FelCor Lodging Trust, Inc.(b) 133,100
3,400 First Industrial Realty Trust, Inc.(c) 125,392
8,500 Forest City Enterprises 450,500
145,000 General Growth Properties, Inc. 4,287,650
22,700 Glenborough Realty Trust, Inc. 416,545
14,000 Health Care Property Investors, Inc. 336,560
7,000 Health Care REIT, Inc. 227,500
5,100 Healthcare Realty Trust, Inc. 191,148
4,500 Heritage Property Investment Trust 121,770
21,000 Highwoods Properties, Inc. 493,500
18,000 Home Properties Inc. 701,640
4,500 Hospitality Properties Trust 190,350
161,000 Host Marriott Corporation(b) 1,989,960
20,700 HRPT Properties Trust 207,207
13,000 Innkeepers USA Trust 134,030
25,900 iStar Financial, Inc. 1,036,000
7,500 Kilroy Realty Corporation 255,750
30,800 Kimco Realty Corporation 1,401,400
5,500 LaSalle Hotel Properties 134,200
6,500 Lexington Corporate Properties Trust 129,415
33,000 Liberty Property Trust(c) 1,326,930
8,700 LTC Properties, Inc.(c) 144,420
42,000 Macerich Company 2,010,540
26,900 Mack-Cali Realty Corporation 1,113,122
8,500 Maguire Properties, Inc. 210,545
13,000 Manufactured Home Communities, Inc. 431,470
35,000 MeriStar Hospitality Corporation(b) 239,400
2,500 Mid-America Apartment Communities, Inc.(c) 94,725
27,000 Mills Corporation 1,260,900
6,900 National Health Investors, Inc. 187,611
9,800 Nationwide Health Properties, Inc. 185,220
3,000 New Century Financial Corporation(c) 140,460
10,000 New Plan Excel Realty Trust, Inc. 233,600
10,000 New York Mortgage Trust, Inc.(b) 88,600
4,300 One Liberty Properties, Inc. 78,088
22,000 Pan Pacific Retail Properties, Inc. 1,111,440
8,000 Parkway Properties, Inc. 355,600
9,500 Penn Real Estate Investment Trust 325,375
12,000 Plum Creek Timber Company, Inc. 390,960
6,500 Post Properties, Inc. 189,475
25,500 Prentiss Properties Trust 854,760
5,000 Price Legacy Corporation(c) 92,300
124,500 ProLogis Trust 4,098,540
12,300 PS Business Parks, Inc. 494,952
33,100 Public Storage, Inc. 1,522,931
13,000 Ramco-Gershenson Properties Trust 314,990
5,000 Rayonier, Inc. REIT 222,250
4,500 Realty Income Corporation(c) 187,785
33,500 Reckson Associates Realty Corporation 919,910
2,700 Redwood Trust, Inc.(c) 150,336
45,500 Regency Centers Corporation 1,951,950
63,000 Rouse Company 2,992,500
6,000 Senior Housing Property Trust 100,740
22,000 Shurgard Storage Centers, Inc. 822,800
104,000 Simon Property Group, Inc. 5,347,681
42,000 SL Green Realty Corporation 1,965,600
3,000 Sovran Self Storage, Inc. 114,540
6,200 St. Joe Company(c) 246,140
9,000 Summit Properties, Inc. 230,760
7,500 Sun Communities, Inc. 282,375
4,000 Tanger Factory Outlet Centers, Inc. 156,400
30,000 Taubman Centers, Inc. 686,700
42,400 Trizec Properties, Inc. 689,424
6,800 U.S. Restaurant Properties, Inc.(c) 103,292
61,000 United Dominion Realty Trust, Inc. 1,206,580
20,500 Ventas, Inc. 478,675
58,500 Vornado Realty Trust 3,340,935
23,800 Weingarten Realty Investors 744,464
14,000 Winston Hotels, Inc. 144,900
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 91,111,622
=========================================================================================================================
Industrials (0.1%)
- -------------------------------------------------------------------------------------------------------------------------
6,950 Standard Parking Corporation(b) 88,612
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 88,612
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $90,330,121) 95,641,881
=========================================================================================================================
Shares Collateral Held for Securities Loaned (2.8%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
2,764,279 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $2,764,279
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $2,764,279) 2,764,279
=========================================================================================================================
Principal
Amount Short-Term Investments (1.8%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$1,830,000 Fountain Square Commercial Funding Corporation 1.500% 7/1/2004 $1,830,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 1,830,000
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $94,924,400) $100,236,160
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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 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.
Balanced Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Shares Common Stock (48.9%) Value
- -------------------------------------------------------------------------------------------------------------------------
Communications Services (1.7%)
- -------------------------------------------------------------------------------------------------------------------------
12,400 ALLTEL Corporation $627,688
32,113 AT&T Corporation(b) 469,813
110,272 AT&T Wireless Services, Inc.(c) 1,579,095
74,100 BellSouth Corporation 1,942,902
5,650 CenturyTel, Inc. 169,726
11,600 Citizens Communications Company(b,c) 140,360
44,800 Nextel Communications, Inc.(c) 1,194,368
72,118 Qwest Communications International, Inc.(c) 258,904
133,862 SBC Communications, Inc. 3,246,154
57,650 Sprint Corporation (FON Group) 1,014,640
111,970 Verizon Communications, Inc. 4,052,194
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 14,695,844
=========================================================================================================================
Consumer Discretionary (5.3%)
- -------------------------------------------------------------------------------------------------------------------------
10,900 Autonation, Inc.(c) 186,390
3,300 AutoZone, Inc.(c) 264,330
12,100 Bed Bath & Beyond, Inc.(c) 465,245
13,050 Best Buy Company, Inc. 662,157
4,700 Big Lots, Inc.(b,c) 67,962
3,300 Black & Decker Corporation 205,029
3,600 Boise Cascade Corporation(b) 135,504
3,900 Brunswick Corporation 159,120
25,500 Carnival Corporation 1,198,500
5,000 Centex Corporation 228,750
8,000 Circuit City Stores, Inc. 103,600
24,900 Clear Channel Communications, Inc. 920,055
90,677 Comcast Corporation(c) 2,541,676
3,100 Cooper Tire & Rubber Company(b) 71,300
6,079 Dana Corporation 119,148
6,700 Darden Restaurants, Inc. 137,685
22,676 Delphi Corporation 242,180
3,500 Dillard's, Inc. 78,050
13,322 Dollar General Corporation(b) 260,578
3,400 Dow Jones & Company, Inc.(b) 153,340
11,600 Eastman Kodak Company(b) 312,968
26,500 eBay, Inc. 2,436,675
7,000 Family Dollar Stores, Inc.(b) 212,940
7,200 Federated Department Stores, Inc. 353,520
74,100 Ford Motor Company 1,159,665
6,000 Fortune Brands, Inc. 452,580
11,000 Gannett Company, Inc. 933,350
36,400 Gap, Inc. 882,700
22,800 General Motors Corporation 1,062,252
7,200 Genuine Parts Company 285,696
7,100 Goodyear Tire & Rubber Company(b,c) 64,539
11,900 Harley-Davidson, Inc. 737,086
4,700 Harrah's Entertainment, Inc.(b) 254,270
7,200 Hasbro, Inc. 136,800
15,500 Hilton Hotels Corporation 289,230
89,900 Home Depot, Inc. 3,164,480
14,100 International Game Technology 544,260
16,900 Interpublic Group of Companies, Inc.(c) 232,037
11,400 J.C. Penney Company, Inc. 430,464
7,600 Johnson Controls, Inc. 405,688
5,200 Jones Apparel Group, Inc. 205,296
1,900 KB Home 130,397
3,200 Knight-Ridder, Inc. 230,400
13,700 Kohl's Corporation(c) 579,236
7,900 Leggett & Platt, Inc. 211,009
19,062 Limited Brands, Inc. 356,459
4,600 Liz Claiborne, Inc. 165,508
31,800 Lowe's Companies, Inc. 1,671,090
9,100 Marriott International, Inc. 453,908
17,025 Mattel, Inc. 310,706
11,700 May Department Stores Company 321,633
3,300 Maytag Corporation(b) 80,883
51,000 McDonald's Corporation 1,326,000
7,800 McGraw-Hill Companies, Inc. 597,246
2,200 Meredith Corporation 120,912
6,100 New York Times Company 272,731
11,026 Newell Rubbermaid, Inc. 259,111
10,600 NIKE, Inc. 802,950
5,600 Nordstrom, Inc. 238,616
12,600 Office Depot, Inc.(c) 225,666
7,600 Omnicom Group, Inc. 576,764
5,100 Pulte Homes, Inc.(b) 265,353
6,600 RadioShack Corporation 188,958
2,600 Reebok International, Ltd. 93,548
8,600 Sears, Roebuck and Company 324,736
5,800 Sherwin-Williams Company 240,990
2,500 Snap-On, Inc. 83,875
3,400 Stanley Works 154,972
20,200 Staples, Inc. 592,062
16,000 Starbucks Corporation(c) 695,680
8,300 Starwood Hotels & Resorts Worldwide, Inc. 372,255
36,900 Target Corporation 1,567,143
6,000 Tiffany & Company 221,100
184,350 Time Warner, Inc.(c) 3,240,873
20,000 TJX Companies, Inc. 482,800
8,600 Toys 'R' Us, Inc.(c) 137,428
13,300 Tribune Company 605,682
13,000 Univision Communications, Inc.(b,c) 415,090
4,500 VF Corporation 219,150
70,025 Viacom, Inc. 2,501,293
5,256 Visteon Corporation 61,338
82,987 Walt Disney Company(d) 2,115,339
4,700 Wendy's International, Inc. 163,748
2,900 Whirlpool Corporation 198,940
11,660 Yum! Brands, Inc.(c) 433,985
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Discretionary 47,064,658
=========================================================================================================================
Consumer Staples (5.4%)
- -------------------------------------------------------------------------------------------------------------------------
1,600 Adolph Coors Company(b) 115,744
3,800 Alberto-Culver Company 190,532
14,922 Albertson's, Inc.(b) 396,030
82,900 Altria Group, Inc.(d) 4,149,145
32,500 Anheuser-Busch Companies, Inc.(d) 1,755,000
26,241 Archer-Daniels-Midland Company 440,324
19,000 Avon Products, Inc. 876,660
5,100 Brown-Forman Corporation(b) 246,177
16,600 Campbell Soup Company 446,208
8,700 Clorox Company 467,886
98,500 Coca-Cola Company 4,972,280
19,000 Coca-Cola Enterprises, Inc. 550,810
21,500 Colgate-Palmolive Company 1,256,675
21,300 ConAgra Foods, Inc. 576,804
18,500 Costco Wholesale Corporation 759,795
16,000 CVS Corporation 672,320
15,200 General Mills, Inc. 722,456
40,500 Gillette Company(d) 1,717,200
14,150 H.J. Heinz Company 554,680
10,500 Hershey Foods Corporation 485,835
16,600 Kellogg Company 694,710
20,180 Kimberly-Clark Corporation 1,329,458
30,100 Kroger Company(c) 547,820
5,700 McCormick & Company, Inc. 193,800
10,400 Pepsi Bottling Group, Inc. 317,616
69,020 PepsiCo, Inc. 3,718,798
103,800 Procter & Gamble Company 5,650,872
3,500 R.J. Reynolds Tobacco Holdings, Inc.(b) 236,565
18,000 Safeway, Inc.(c) 456,120
32,000 Sara Lee Corporation 735,680
5,500 SUPERVALU, Inc. 168,355
25,800 SYSCO Corporation 925,446
6,700 UST, Inc. 241,200
173,400 Wal-Mart Stores, Inc.(d) 9,148,584
41,500 Walgreen Company 1,502,715
9,000 William Wrigley Jr. Company 567,450
5,800 Winn-Dixie Stores, Inc.(b) 41,760
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Staples 47,829,510
=========================================================================================================================
Energy (3.2%)
- -------------------------------------------------------------------------------------------------------------------------
3,600 Amerada Hess Corporation 285,084
10,118 Anadarko Petroleum Corporation 592,915
13,068 Apache Corporation 569,111
2,900 Ashland, Inc. 153,149
13,520 Baker Hughes, Inc. 509,028
6,500 BJ Services Company(c) 297,960
16,134 Burlington Resources, Inc. 583,728
43,248 ChevronTexaco Corporation 4,070,069
27,740 ConocoPhillips Company 2,116,285
9,600 Devon Energy Corporation 633,600
25,886 El Paso Corporation(b) 203,982
4,900 EOG Resources, Inc. 292,579
264,472 Exxon Mobil Corporation(d) 11,745,202
17,800 Halliburton Company 538,628
5,880 Kerr-McGee Corporation 316,168
5,200 Kinder Morgan, Inc. 308,308
13,900 Marathon Oil Corporation 525,976
6,200 Nabors Industries, Ltd.(c) 280,364
5,500 Noble Corporation(c) 208,395
15,800 Occidental Petroleum Corporation 764,878
4,400 Rowan Companies, Inc.(b,c) 107,052
23,800 Schlumberger, Ltd. 1,511,538
3,100 Sunoco, Inc.(b) 197,222
12,936 Transocean, Inc.(c) 374,368
10,700 Unocal Corporation 406,600
5,200 Valero Energy Corporation(b) 383,552
21,000 Williams Companies, Inc. 249,900
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 28,225,641
=========================================================================================================================
Financials (9.9%)
- -------------------------------------------------------------------------------------------------------------------------
11,400 ACE, Ltd. 481,992
20,500 AFLAC, Inc. 836,605
28,496 Allstate Corporation 1,326,489
4,450 Ambac Financial Group, Inc. 326,808
51,600 American Express Company(d) 2,651,208
105,402 American International Group, Inc.(d) 7,513,055
14,300 AmSouth Bancorporation(b) 364,221
12,650 Aon Corporation 360,146
3,900 Apartment Investment & Management Company 121,407
82,406 Bank of America Corporation 6,973,196
31,400 Bank of New York Company, Inc. 925,672
45,332 Bank One Corporation 2,311,932
22,600 BB&T Corporation 835,522
4,178 Bear Stearns Companies, Inc. 352,247
9,600 Capital One Financial Corporation 656,448
55,125 Charles Schwab Corporation 529,751
8,962 Charter One Financial, Inc. 396,031
7,600 Chubb Corporation 518,168
6,925 Cincinnati Financial Corporation 301,376
209,089 Citigroup, Inc. 9,722,638
7,200 Comerica, Inc. 395,136
11,249 Countrywide Financial Corporation 790,242
14,700 E*TRADE Group, Inc.(c) 163,905
16,400 Equity Office Properties Trust 446,080
11,400 Equity Residential REIT 338,922
27,800 Federal Home Loan Mortgage Corporation 1,759,740
39,100 Federal National Mortgage Corporation 2,790,176
4,500 Federated Investors, Inc. 136,530
22,816 Fifth Third Bancorp 1,227,044
5,200 First Horizon National Corporation 236,444
10,100 Franklin Resources, Inc. 505,808
6,200 Golden West Financial Corporation 659,370
19,500 Goldman Sachs Group, Inc. 1,836,120
11,800 Hartford Financial Services Group, Inc. 811,132
9,416 Huntington Bancshares, Inc.(b) 215,626
84,160 J.P. Morgan Chase & Company 3,262,883
9,800 Janus Capital Group, Inc. 161,602
5,700 Jefferson-Pilot Corporation 289,560
16,600 KeyCorp 496,174
11,200 Lehman Brothers Holdings, Inc. 842,800
7,300 Lincoln National Corporation 344,925
7,600 Loews Corporation 455,696
4,800 M&T Bank Corporation 419,040
21,100 Marsh & McLennan Companies, Inc. 957,518
9,000 Marshall & Ilsley Corporation 351,810
5,800 MBIA, Inc. 331,296
51,705 MBNA Corporation 1,333,472
17,100 Mellon Financial Corporation 501,543
38,800 Merrill Lynch & Company, Inc. 2,094,424
30,500 MetLife, Inc. 1,093,425
3,900 MGIC Investment Corporation 295,854
6,000 Moody's Corporation 387,960
44,390 Morgan Stanley and Company 2,342,460
27,100 National City Corporation 948,771
7,000 North Fork Bancorporation, Inc.(b) 266,350
9,100 Northern Trust Corporation 384,748
7,600 Plum Creek Timber Company, Inc. 247,608
11,400 PNC Financial Services Group, Inc. 605,112
13,000 Principal Financial Group, Inc. 452,140
8,700 Progressive Corporation 742,110
7,400 ProLogis Trust 243,608
11,700 Providian Financial Corporation(b,c) 171,639
21,200 Prudential Financial, Inc. 985,164
8,900 Regions Financial Corporation(b) 325,295
5,700 SAFECO Corporation 250,800
8,500 Simon Property Group, Inc. 437,070
17,700 SLM Corporation 715,965
13,500 SouthTrust Corporation 523,935
12,200 Sovereign Bancorp, Inc. 269,620
26,925 St. Paul Travelers Companies, Inc. 1,091,540
13,500 State Street Corporation 662,040
11,400 SunTrust Banks, Inc. 740,886
12,450 Synovus Financial Corporation(b) 315,234
5,100 T. Rowe Price Group, Inc.(b) 257,040
4,600 Torchmark Corporation 247,480
76,621 U.S. Bancorp 2,111,675
7,800 Union Planters Corporation 232,518
12,058 UnumProvident Corporation 191,722
53,210 Wachovia Corporation 2,367,845
34,975 Washington Mutual, Inc. 1,351,434
68,160 Wells Fargo & Company(d) 3,900,797
5,500 XL Capital, Ltd. 415,030
3,800 Zions Bancorporation 233,510
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 87,468,315
=========================================================================================================================
Health Care (6.6%)
- -------------------------------------------------------------------------------------------------------------------------
63,000 Abbott Laboratories(d) 2,567,880
6,114 Aetna, Inc. 519,690
5,300 Allergan, Inc. 474,456
4,600 AmerisourceBergen Corporation 274,988
51,352 Amgen, Inc.(c) 2,802,279
5,600 Anthem, Inc.(b,c) 501,536
8,100 Applied Biosystems Group 176,175
2,200 Bausch & Lomb, Inc. 143,154
24,700 Baxter International, Inc. 852,397
10,200 Becton, Dickinson and Company 528,360
13,730 Biogen Idec, Inc.(c) 868,422
10,350 Biomet, Inc. 459,954
33,700 Boston Scientific Corporation 1,442,360
78,600 Bristol-Myers Squibb Company 1,925,700
4,200 C.R. Bard, Inc. 237,930
17,375 Cardinal Health, Inc. 1,217,119
18,500 Caremark Rx, Inc.(c) 609,390
7,600 Chiron Corporation(c) 339,264
5,700 CIGNA Corporation 392,217
45,600 Eli Lilly and Company 3,187,896
3,200 Express Scripts, Inc.(c) 253,536
14,900 Forest Laboratories, Inc.(c) 843,787
9,100 Genzyme Corporation(c) 430,703
8,500 Gilead Sciences, Inc.(c) 569,500
12,600 Guidant Corporation 704,088
19,550 HCA, Inc.(b) 813,084
9,800 Health Management Associates, Inc. 219,716
6,330 Hospira, Inc.(c) 174,708
6,600 Humana, Inc.(c) 111,540
9,600 IMS Health, Inc. 225,024
120,006 Johnson & Johnson 6,684,334
9,733 King Pharmaceuticals, Inc.(c) 111,443
3,600 Manor Care, Inc. 117,648
11,780 McKesson Corporation 404,407
10,955 Medco Health Solutions, Inc.(c) 410,812
10,000 MedImmune, Inc.(b,c) 234,000
49,000 Medtronic, Inc.(d) 2,387,280
89,800 Merck & Company, Inc. 4,265,500
2,000 Millipore Corporation(c) 112,740
10,800 Mylan Laboratories, Inc. 218,700
308,651 Pfizer, Inc. 10,580,556
4,200 Quest Diagnostics, Inc. 356,790
59,500 Schering-Plough Corporation 1,099,560
7,090 St. Jude Medical, Inc.(c) 536,358
16,100 Stryker Corporation 885,500
18,750 Tenet Healthcare Corporation(c) 251,438
24,900 UnitedHealth Group, Inc. 1,550,025
4,400 Watson Pharmaceuticals, Inc.(c) 118,360
6,200 WellPoint Health Networks, Inc.(c) 694,462
53,900 Wyeth Corporation(d) 1,949,024
9,890 Zimmer Holdings, Inc.(c) 872,298
- -------------------------------------------------------------------------------------------------------------------------
Total Health Care 57,708,088
=========================================================================================================================
Industrials (5.6%)
- -------------------------------------------------------------------------------------------------------------------------
31,700 3M Company 2,853,317
12,900 Allied Waste Industries, Inc.(b,c) 170,022
8,100 American Power Conversion Corporation 159,165
8,600 American Standard Companies, Inc. 346,666
7,100 Apollo Group, Inc. (University of Phoenix Online) 626,859
4,600 Avery Dennison Corporation 294,446
34,028 Boeing Company 1,738,491
15,192 Burlington Northern Santa Fe Corporation 532,783
13,800 Caterpillar, Inc. 1,096,272
41,160 Cendant Corporation 1,007,597
7,000 Cintas Corporation(b) 333,690
3,900 Cooper Industries, Ltd. 231,699
2,550 Crane Company(b) 80,044
8,700 CSX Corporation 285,099
1,900 Cummins, Inc. 118,750
12,400 Danaher Corporation 642,940
10,000 Deere & Company 701,400
5,100 Delta Air Lines, Inc.(b) 36,312
2,100 Deluxe Corporation(b) 91,350
8,300 Dover Corporation 349,430
6,000 Eaton Corporation 388,440
17,000 Emerson Electric Company 1,080,350
5,600 Equifax, Inc. 138,600
12,040 FedEx Corporation 983,548
3,400 Fluor Corporation(b) 162,078
8,000 General Dynamics Corporation 794,400
426,900 General Electric Company 13,831,561
4,800 Goodrich Corporation 155,184
7,000 H&R Block, Inc. 333,760
34,837 Honeywell International, Inc. 1,276,079
12,500 Illinois Tool Works, Inc. 1,198,625
7,100 Ingersoll-Rand Company 485,001
3,800 ITT Industries, Inc. 315,400
18,200 Lockheed Martin Corporation 947,856
17,700 Masco Corporation 551,886
4,700 Monster Worldwide, Inc.(c) 120,884
2,800 Navistar International Corporation(b,c) 108,528
15,900 Norfolk Southern Corporation 421,668
14,506 Northrop Grumman Corporation 778,972
7,000 PACCAR, Inc. 405,930
5,200 Pall Corporation 136,188
4,900 Parker-Hannifin Corporation 291,354
9,400 Pitney Bowes, Inc. 415,950
3,500 Power-One, Inc.(b,c) 38,430
8,800 R.R. Donnelley & Sons Company 290,576
18,100 Raytheon Company 647,437
7,000 Robert Half International, Inc. 208,390
7,600 Rockwell Automation, Inc. 285,076
7,200 Rockwell Collins, Inc. 239,904
2,700 Ryder System, Inc. 108,189
31,880 Southwest Airlines Company 534,628
5,600 Textron, Inc. 332,360
2,500 Thomas & Betts Corporation 68,075
81,063 Tyco International, Ltd. 2,686,428
10,400 Union Pacific Corporation 618,280
45,500 United Parcel Service, Inc. 3,420,235
20,800 United Technologies Corporation 1,902,784
3,700 W.W. Grainger, Inc. 212,750
23,430 Waste Management, Inc. 718,130
- -------------------------------------------------------------------------------------------------------------------------
Total Industrials 49,330,246
=========================================================================================================================
Information Technology (8.4%)
- -------------------------------------------------------------------------------------------------------------------------
32,700 ADC Telecommunications, Inc.(b,c) 92,868
9,600 Adobe Systems, Inc. 446,400
14,300 Advanced Micro Devices, Inc.(b,c) 227,370
5,500 Affiliated Computer Services, Inc.(c) 291,170
19,463 Agilent Technologies, Inc.(c) 569,877
15,100 Altera Corporation(c) 335,522
15,200 Analog Devices, Inc. 715,616
6,400 Andrew Corporation(b,c) 128,064
15,300 Apple Computer, Inc.(c) 497,862
68,100 Applied Materials, Inc.(c) 1,336,122
12,700 Applied Micro Circuits Corporation(c) 67,564
4,600 Autodesk, Inc. 196,926
23,800 Automatic Data Processing, Inc. 996,744
17,939 Avaya, Inc.(b,c) 283,257
9,100 BMC Software, Inc.(c) 168,350
12,700 Broadcom Corporation(c) 593,979
22,900 CIENA Corporation(c) 85,188
273,400 Cisco Systems, Inc.(c,d) 6,479,580
6,800 Citrix Systems, Inc.(c) 138,448
23,575 Computer Associates International, Inc. 661,514
7,500 Computer Sciences Corporation(c) 348,225
15,600 Compuware Corporation(c) 102,960
7,900 Comverse Technology, Inc.(b,c) 157,526
5,800 Convergys Corporation(c) 89,320
55,500 Corning, Inc.(c) 724,830
102,000 Dell, Inc.(c) 3,653,640
12,200 Electronic Arts, Inc. 665,510
19,500 Electronic Data Systems Corporation(b) 373,425
98,824 EMC Corporation(c) 1,126,594
35,262 First Data Corporation(d) 1,569,864
7,950 Fiserv, Inc.(c) 309,176
15,100 Gateway, Inc.(c) 67,950
123,261 Hewlett-Packard Company 2,600,807
261,600 Intel Corporation 7,220,160
68,100 International Business Machines Corporation(d) 6,003,015
7,700 Intuit, Inc.(c) 297,066
8,100 Jabil Circuit, Inc.(c) 203,958
58,200 JDS Uniphase Corporation(c) 220,578
7,900 KLA-Tencor Corporation(c) 390,102
5,200 Lexmark International, Inc.(c) 501,956
12,600 Linear Technology Corporation 497,322
15,400 LSI Logic Corporation(b,c) 117,348
173,275 Lucent Technologies, Inc.(b,c) 654,980
13,000 Maxim Integrated Products, Inc. 681,460
3,700 Mercury Interactive Corporation(b,c) 184,371
24,700 Micron Technology, Inc.(c) 378,157
436,600 Microsoft Corporation(d) 12,469,296
7,650 Molex, Inc.(b) 245,412
94,721 Motorola, Inc. 1,728,658
14,500 National Semiconductor Corporation 318,855
3,900 NCR Corporation(c) 193,401
14,000 Network Appliance, Inc.(c) 301,420
15,600 Novell, Inc.(c) 130,884
5,900 Novellus Systems, Inc.(c) 185,496
6,700 NVIDIA Corporation(c) 137,350
210,100 Oracle Corporation(c) 2,506,493
10,900 Parametric Technology Corporation(c) 54,500
15,250 Paychex, Inc. 516,670
14,700 PeopleSoft, Inc.(c) 271,950
5,200 PerkinElmer, Inc. 104,208
7,100 PMC-Sierra, Inc.(c) 101,885
3,700 QLogic Corporation(c) 98,383
32,700 QUALCOMM, Inc. 2,386,446
5,585 Sabre Holdings Corporation 154,760
21,000 Sanmina-SCI Corporation(c) 191,100
6,200 Scientific-Atlanta, Inc. 213,900
20,300 Siebel Systems, Inc.(c) 216,804
38,800 Solectron Corporation(c) 251,036
134,500 Sun Microsystems, Inc.(c,d) 583,730
11,700 SunGard Data Systems, Inc.(c) 304,200
12,600 Symantec Corporation 551,628
9,400 Symbol Technologies, Inc. 138,556
3,600 Tektronix, Inc. 122,472
16,900 Tellabs, Inc.(b,c) 147,706
7,800 Teradyne, Inc.(c) 177,060
70,100 Texas Instruments, Inc. 1,695,018
6,800 Thermo Electron Corporation(c) 209,032
13,400 Unisys Corporation(c) 185,992
17,400 VERITAS Software Corporation(c) 481,980
4,800 Waters Corporation(c) 229,344
32,300 Xerox Corporation(b,c) 468,350
14,000 Xilinx, Inc. 466,340
54,400 Yahoo!, Inc. 1,976,352
- -------------------------------------------------------------------------------------------------------------------------
Total Information Technology 73,969,388
=========================================================================================================================
Materials (1.5%)
- -------------------------------------------------------------------------------------------------------------------------
9,200 Air Products and Chemicals, Inc. 482,540
35,164 Alcoa, Inc.(d) 1,161,467
3,281 Allegheny Technologies, Inc.(b) 59,222
2,300 Ball Corporation 165,715
4,500 Bemis Company, Inc. 127,125
37,777 Dow Chemical Company 1,537,524
40,419 E.I. du Pont de Nemours and Company 1,795,412
3,200 Eastman Chemical Company 147,936
10,400 Ecolab, Inc. 329,680
5,050 Engelhard Corporation 163,166
7,100 Freeport-McMoRan Copper & Gold, Inc.(b) 235,365
10,283 Georgia-Pacific Corporation 380,265
2,100 Great Lakes Chemical Corporation(b) 56,826
4,500 Hercules, Inc.(c) 54,855
4,000 International Flavors and Fragrances, Inc. 149,600
19,621 International Paper Company 877,059
4,400 Louisiana-Pacific Corporation 104,060
8,180 MeadWestvaco Corporation 240,410
10,733 Monsanto Company 413,220
17,917 Newmont Mining Corporation 694,463
3,200 Nucor Corporation(b) 245,632
6,200 Pactiv Corporation(c) 154,628
3,720 Phelps Dodge Corporation(b,c) 288,337
7,000 PPG Industries, Inc. 437,430
13,100 Praxair, Inc. 522,821
9,111 Rohm and Haas Company 378,835
3,464 Sealed Air Corporation(c) 184,527
2,800 Sigma-Aldrich Corporation(b) 166,908
2,400 Temple-Inland, Inc. 166,200
4,500 United States Steel Corporation 158,040
4,200 Vulcan Materials Company 199,710
9,700 Weyerhaeuser Company 612,264
3,600 Worthington Industries, Inc.(b) 73,908
- -------------------------------------------------------------------------------------------------------------------------
Total Materials 12,765,150
=========================================================================================================================
Utilities (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
25,700 AES Corporation(c) 255,201
5,200 Allegheny Energy, Inc.(b,c) 80,132
7,500 Ameren Corporation 322,200
15,940 American Electric Power Company, Inc. 510,080
16,800 Calpine Corporation(b,c) 72,576
12,624 CenterPoint Energy, Inc.(b) 145,176
7,400 Cinergy Corporation 281,200
6,800 CMS Energy Corporation(b,c) 62,084
9,900 Consolidated Edison, Inc. 393,624
7,000 Constellation Energy Group, Inc. 265,300
13,115 Dominion Resources, Inc. 827,294
7,100 DTE Energy Company(b) 287,834
36,922 Duke Energy Corporation 749,147
15,300 Dynegy, Inc.(b) 65,178
13,100 Edison International, Inc. 334,967
9,400 Entergy Corporation 526,494
26,674 Exelon Corporation 887,977
13,300 FirstEnergy Corporation 497,553
7,600 FPL Group, Inc. 486,020
6,600 KeySpan Corporation 242,220
1,900 Nicor, Inc.(b) 64,543
10,734 NiSource, Inc. 221,335
16,900 Pacific Gas & Electric Company(c) 472,186
1,600 Peoples Energy Corporation(b) 67,440
3,800 Pinnacle West Capital Corporation 153,482
7,300 PPL Corporation 335,070
10,091 Progress Energy, Inc. 444,509
9,600 Public Service Enterprise Group, Inc. 384,288
9,487 Sempra Energy 326,637
29,800 Southern Company 868,670
7,700 TECO Energy, Inc.(b) 92,323
13,170 TXU Corporation(b) 533,517
16,310 Xcel Energy, Inc.(b) 272,540
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 11,528,797
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $378,818,715) 430,585,637
=========================================================================================================================
Principal
Amount Long-Term Fixed Income (27.2%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
$1,000,000 California Infrastructure PG&E Company 6.480% 12/26/2009 $1,077,372
270,868 Capital Auto Receivables Asset Trust(e) 1.259 7/16/2004 270,856
400,000 GMAC Mortgage Corporation Loan Trust(e) 1.430 7/26/2004 400,801
32,896 Green Tree Financial Corporation 6.900 7/15/2018 33,004
400,000 MBNA Credit Card Master Note Trust(e) 1.349 7/15/2004 400,746
- -------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities 2,182,779
=========================================================================================================================
Basic Materials (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
300,000 Codelco, Inc. 6.375 11/30/2012 317,511
450,000 Dow Chemical Company 5.750 11/15/2009 469,600
550,000 Weyerhaeuser Company 6.750 3/15/2012 595,624
- -------------------------------------------------------------------------------------------------------------------------
Total Basic Materials 1,382,735
=========================================================================================================================
Capital Goods (0.4%)
- -------------------------------------------------------------------------------------------------------------------------
575,000 Boeing Capital Corporation(b) 6.100 3/1/2011 608,379
1,050,000 General Electric Company 5.000 2/1/2013 1,033,382
250,000 Honeywell International, Inc. 8.625 4/15/2006 273,830
225,000 Hutchison Whampoa International, Ltd. 5.450 11/24/2010 220,844
225,000 Hutchison Whampoa International, Ltd. 6.250 1/24/2014 218,131
225,000 Northrop Grumman Corporation 7.125 2/15/2011 252,848
825,000 Raytheon Company 5.500 11/15/2012 832,517
- -------------------------------------------------------------------------------------------------------------------------
Total Capital Goods 3,439,931
=========================================================================================================================
Commercial Mortgage-Backed Securities (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
1,000,000 Banc of America Commercial Mortgage, Inc. 5.118 7/11/2043 1,003,673
400,000 Bear Stearns Commercial Mortgage Securities 3.869 2/11/2041 386,557
200,000 General Electric Capital Commercial Mortgage
Corporation 4.641 9/10/2013 193,921
1,000,000 LB-UBS Commercial Mortgage Trust 3.086 5/15/2027 961,187
322,776 Morgan Stanley Capital I, Inc. 6.250 3/15/2030 326,272
1,400,000 Morgan Stanley Capital I, Inc. 6.550 3/15/2030 1,504,436
1,864,982 Nationslink Funding Corporation 6.316 1/20/2031 1,986,727
- -------------------------------------------------------------------------------------------------------------------------
Total Commercial Mortgage-Backed Securities 6,362,773
=========================================================================================================================
Communications Services (0.9%)
- -------------------------------------------------------------------------------------------------------------------------
450,000 AT&T Wireless Services, Inc.(d) 7.875 3/1/2011 511,858
225,000 British Telecom plc 8.375 12/15/2010 262,758
450,000 Cingular Wireless, Inc.(d) 6.500 12/15/2011 480,642
200,000 Comcast Corporation 5.500 3/15/2011 201,909
450,000 Cox Communications, Inc. 3.875 10/1/2008 438,730
225,000 Deutsche Telekom International Finance BV(f) 8.500 6/15/2010 262,926
400,000 Deutsche Telekom International Finance BV 5.250 7/22/2013 389,412
225,000 France Telecom SA(f) 8.750 3/1/2011 260,735
500,000 News America, Inc. 4.750 3/15/2010 496,871
1,000,000 Pacific Bell(b) 7.125 3/15/2026 1,067,891
500,000 SBC Communications, Inc. 5.875 2/1/2012 514,668
1,050,000 Sprint Capital Corporation 7.625 1/30/2011 1,160,763
425,000 Tele-Communications, Inc. (TCI Group) 7.875 8/1/2013 484,183
550,000 Telecom Italia Capital SA 5.250 11/15/2013 532,315
1,000,000 Verizon Global Funding Corporation 7.250 12/1/2010 1,117,975
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 8,183,636
=========================================================================================================================
Consumer Cyclical (0.8%)
- -------------------------------------------------------------------------------------------------------------------------
650,000 AOL Time Warner, Inc. 6.875 5/1/2012 702,385
500,000 DaimlerChrysler North American Holdings Corporation 6.500 11/15/2013 512,620
750,000 Ford Motor Credit Company 5.800 1/12/2009 757,049
1,250,000 Ford Motor Credit Company(d) 7.250 10/25/2011 1,305,364
700,000 General Motors Acceptance Corporation 8.000 11/1/2031 717,211
750,000 General Motors Corporation(b) 7.125 7/15/2013 770,287
500,000 Johnson Controls, Inc. 7.125 7/15/2017 571,330
500,000 Liberty Media Corporation 5.700 5/15/2013 492,560
850,000 Target Corporation(d) 6.350 1/15/2011 926,770
475,000 Toyota Motor Credit Corporation 2.875 8/1/2008 454,025
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 7,209,601
=========================================================================================================================
Consumer Non-Cyclical (0.3%)
- -------------------------------------------------------------------------------------------------------------------------
425,000 Coca-Cola HBC Finance BV 5.125 9/17/2013 418,999
600,000 ConAgra Foods, Inc. 6.000 9/15/2006 631,318
750,000 General Mills, Inc. 6.000 2/15/2012 785,345
250,000 GlaxoSmithKline Capital, Inc. 5.375 4/15/2034 227,445
450,000 Safeway, Inc. 4.125 11/1/2008 440,478
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 2,503,585
=========================================================================================================================
Energy (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 Burlington Resources, Inc. 6.500 12/1/2011 546,210
425,000 Pemex Project Funding Master Trust 9.125 10/13/2010 486,625
250,000 PennzEnergy Company 10.125 11/15/2009 301,757
250,000 Petro-Canada, Ltd. 8.600 1/15/2010 305,610
500,000 Union Oil Company of California 5.050 10/1/2012 490,896
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 2,131,098
=========================================================================================================================
Financials (2.6%)
- -------------------------------------------------------------------------------------------------------------------------
1,000,000 Allstate Corporation(d) 6.750 5/15/2018 1,090,169
250,000 Associates Corporation of North America(d) 6.250 11/1/2008 268,836
450,000 Australia & New Zealand Banking Group, Ltd. Capital
Trust I 5.360 12/29/2049 430,480
725,000 Bank of America Corporation 3.875 1/15/2008 723,829
425,000 Bank One Corporation 5.900 11/15/2011 441,650
700,000 BB&T Corporation 6.500 8/1/2011 760,131
650,000 CIT Group, Inc. 4.750 12/15/2010 637,807
1,000,000 Citigroup, Inc. 3.500 2/1/2008 986,243
800,000 Countrywide Home Loans, Inc. 4.000 3/22/2011 746,160
650,000 Credit Suisse First Boston USA, Inc. 3.875 1/15/2009 633,888
450,000 EOP Operating Limited Partnership 4.750 3/15/2014 414,594
225,000 General Motors Acceptance Corporation 5.625 5/15/2009 224,549
675,000 Goldman Sachs Group, Inc. 6.600 1/15/2012 726,360
775,000 Honda Auto Receivables Owner Trust 2.480 7/18/2008 768,251
425,000 Household Finance Corporation 4.750 5/15/2009 427,353
525,000 Household Finance Corporation 6.375 11/27/2012 556,648
625,000 International Lease Finance Corporation 5.875 5/1/2013 640,773
650,000 J.P. Morgan Chase & Company 4.500 11/15/2010 632,666
300,000 John Deere Capital 7.000 3/15/2012 335,733
650,000 Lehman Brothers Holdings, Inc. 3.500 8/7/2008 630,233
3,000,000 MBIA Global Funding, LLC 1.240 10/8/2004 3,000,180
450,000 Merrill Lynch & Company, Inc. 5.000 2/3/2014 432,433
957,000 Morgan Stanley and Company 5.878 3/1/2007 1,002,094
600,000 Morgan Stanley and Company 3.875 1/15/2009 584,165
341,000 Morgan Stanley and Company 7.252 9/15/2011 376,467
378,000 Morgan Stanley and Company 7.700 3/1/2032 421,701
675,000 ProLogis Trust 5.500 3/1/2013 668,992
425,000 Southtrust Corporation 5.800 6/15/2014 433,039
1,500,000 Student Loan Marketing Association 7.300 8/1/2012 1,741,024
450,000 Union Planters Corporation 4.375 12/1/2010 435,874
500,000 Washington Mutual Bank FA 5.500 1/15/2013 499,654
950,000 Wells Fargo Company(b) 3.500 4/4/2008 936,192
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 22,608,168
=========================================================================================================================
Foreign (0.8%)
- -------------------------------------------------------------------------------------------------------------------------
1,500,000 Canadian Government 5.250 11/5/2008 1,583,622
625,000 European Investment Bank(b) 3.000 6/16/2008 610,345
450,000 Export-Import Bank of Korea 4.125 2/10/2009 436,527
1,000,000 Ontario Electricity Financial Corporation 7.450 3/31/2013 1,166,385
500,000 Province of Newfoundland 8.650 10/22/2022 660,383
600,000 Province of Quebec 4.875 5/5/2014 583,883
750,000 Republic of Italy(b) 4.375 6/15/2013 727,185
875,000 United Mexican States(b) 7.500 1/14/2012 942,812
- -------------------------------------------------------------------------------------------------------------------------
Total Foreign 6,711,142
=========================================================================================================================
Mortgage-Backed Securities (9.0%)
- -------------------------------------------------------------------------------------------------------------------------
6,000,000 Federal Home Loan Mortgage Corporation 30-Yr. Gold
Conventional(g) 5.000 7/1/2034 5,790,000
3,950,000 Federal Home Loan Mortgage Corporation 30-Yr. Gold
Conventional(g) 6.000 7/1/2034 4,032,705
25,448 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 4/1/2009 26,934
19,984 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.500 8/1/2010 21,295
21,216 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.000 11/1/2010 22,528
137,160 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.000 2/1/2011 145,647
89,364 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 5/1/2012 93,464
31,553 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.000 8/1/2012 33,489
54,886 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 11/1/2012 58,096
101,543 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 8/1/2013 107,439
205,878 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 2/1/2014 215,046
252,525 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 5.500 4/1/2014 259,609
78,465 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 4/1/2014 81,959
185,426 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 4/1/2014 193,890
104,161 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 6/1/2014 110,132
139,831 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.500 9/1/2014 149,039
344,009 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 7/1/2016 363,521
2,733,197 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 5.500 12/1/2017 2,799,614
72,261 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 6/1/2012 77,344
26,135 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 4/1/2024 27,444
133,877 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 9.000 11/1/2024 150,333
8,153 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 9.000 4/1/2025 9,151
12,644 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 9/1/2025 13,420
13,810 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.500 9/1/2025 15,158
20,121 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 1/1/2026 22,036
11,221 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 5/1/2026 11,754
31,425 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 5/1/2026 33,326
40,381 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 7/1/2026 41,508
5,142 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 7/1/2026 5,554
7,005 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 8/1/2026 7,566
19,204 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 11/1/2026 21,002
11,747 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 1/1/2027 12,689
34,848 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 2/1/2027 36,464
30,261 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 2/1/2027 32,075
39,914 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 3/1/2027 43,649
23,379 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 4/1/2027 25,239
37,030 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 5/1/2027 39,249
61,062 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 6/1/2027 66,607
19,550 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.500 7/1/2027 21,356
25,908 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 9/1/2027 27,461
26,490 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 10/1/2027 28,896
31,048 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 11/1/2027 33,517
25,144 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 12/1/2027 26,310
49,347 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 12/1/2027 53,272
48,304 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 3/1/2028 51,167
17,685 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 5/1/2028 19,092
107,892 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 6/1/2028 112,752
17,913 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 7/1/2028 18,975
60,401 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 10/1/2028 63,981
171,549 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 11/1/2028 179,276
68,635 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 1/1/2029 71,727
202,890 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 3/1/2029 208,097
111,915 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 4/1/2029 116,896
186,377 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 5/1/2029 191,161
173,041 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 5/1/2029 183,186
107,733 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 7/1/2029 112,528
111,587 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 8/1/2029 116,553
42,235 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 9/1/2029 44,711
61,024 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 10/1/2029 64,602
30,741 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 11/1/2029 33,130
9,860 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 1/1/2030 10,435
103,474 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 1/1/2030 111,485
40,808 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 8/1/2030 44,314
219,561 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 3/1/2031 224,940
535,454 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 6/1/2031 548,571
472,484 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 1/1/2032 484,059
1,310,392 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 10/1/2032 1,340,788
142,279 Federal Home Loan Mortgage Corporation Gold 7-Yr.
Balloon 6.000 4/1/2006 146,184
8,150,000 Federal National Mortgage Association 15-Yr.
Conventional(g) 4.500 7/1/2019 7,961,531
9,800,000 Federal National Mortgage Association 15-Yr.
Conventional(g) 5.000 7/1/2019 9,809,192
27,800,000 Federal National Mortgage Association 30-Yr.
Conventional(g) 5.500 7/1/2034 27,661,000
11,805 Federal National Mortgage Association 30-Yr. Pass
Through 7.500 7/1/2026 12,688
1,469,860 Federal National Mortgage Association 30-Yr. Pass
Through 6.500 7/1/2032 1,531,577
541,175 Federal National Mortgage Association 30-Yr. Pass
Through 6.500 12/1/2032 563,897
9,274 Federal National Mortgage Association Conventional
15-Yr. Pass Through 9.000 4/1/2010 10,043
13,533 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.000 2/1/2011 14,150
18,756 Federal National Mortgage Association Conventional
15-Yr. Pass Through 8.000 5/1/2011 20,058
27,707 Federal National Mortgage Association Conventional
15-Yr. Pass Through 7.000 6/1/2011 29,431
16,185 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.500 7/1/2011 17,135
16,663 Federal National Mortgage Association Conventional
15-Yr. Pass Through 7.500 7/1/2011 17,786
114,440 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.500 5/1/2012 121,157
45,389 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.500 7/1/2012 48,053
90,140 Federal National Mortgage Association Conventional
15-Yr. Pass Through 7.000 10/1/2012 95,765
39,197 Federal National Mortgage Association Conventional
15-Yr. Pass Through 7.000 12/1/2012 41,643
85,837 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.000 3/1/2013 89,708
87,952 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.500 6/1/2013 93,104
345,995 Federal National Mortgage Association Conventional
15-Yr. Pass Through 5.500 12/1/2013 356,154
213,632 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.000 12/1/2013 223,307
79,509 Federal National Mortgage Association Conventional
15-Yr. Pass Through 7.500 4/1/2015 84,871
164,060 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 11/1/2013 171,458
13,779 Federal National Mortgage Association Conventional
30-Yr. Pass Through 10.500 8/1/2020 15,452
6,654 Federal National Mortgage Association Conventional
30-Yr. Pass Through 9.500 4/1/2025 7,461
7,462 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 9/1/2025 8,021
16,211 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.500 11/1/2025 17,780
13,055 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 1/1/2026 13,856
4,561 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 1/1/2026 4,996
33,096 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 2/1/2026 34,634
13,799 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 3/1/2026 14,634
21,950 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 4/1/2026 22,970
36,759 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 5/1/2026 37,765
5,544 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.500 5/1/2026 6,069
63,157 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 8/1/2026 67,881
12,016 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 8/1/2026 13,145
6,836 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 9/1/2026 7,348
37,262 Federal National Mortgage Association Conventional
30-Yr. Pass Through 9.000 9/1/2026 41,618
17,417 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 11/1/2026 18,470
10,173 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 11/1/2026 11,130
7,511 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 12/1/2026 8,073
864 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 1/1/2027 916
7,382 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 2/1/2027 7,934
21,290 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 3/1/2027 22,577
24,652 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 5/1/2027 26,479
24,925 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 7/1/2027 26,055
21,409 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 7/1/2027 22,691
12,124 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 7/1/2027 13,236
32,019 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 8/1/2027 34,392
110,848 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 9/1/2027 121,016
32,079 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 10/1/2027 34,000
75,758 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 12/1/2027 81,372
70,107 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 12/1/2027 76,538
90,789 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 2/1/2028 94,906
66,867 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 2/1/2028 70,871
322,242 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 7/1/2028 336,419
70,596 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 8/1/2028 74,780
225,863 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 11/1/2028 235,800
11,768 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 11/1/2028 12,465
541,770 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 12/1/2028 555,822
101,848 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 12/1/2028 107,885
139,195 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 3/1/2029 142,714
138,535 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 6/1/2029 144,561
198,312 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 7/1/2029 203,324
109,245 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 7/1/2029 113,997
275,988 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 8/1/2029 295,949
190,489 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 11/1/2029 195,304
193,204 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 11/1/2029 204,535
81,753 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.500 4/1/2030 88,863
27,203 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 8/1/2030 29,162
181,439 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 4/1/2031 185,806
403,004 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 5/1/2031 412,704
337,215 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 7/1/2031 351,667
182,781 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 10/1/2031 190,615
207,366 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 12/1/2031 216,253
262,538 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 5/1/2032 273,562
19,179 Government National Mortgage Association 15-Yr. Pass
Through 6.500 5/15/2009 20,375
43,170 Government National Mortgage Association 15-Yr. Pass
Through 6.000 4/15/2011 45,299
34,529 Government National Mortgage Association 15-Yr. Pass
Through 6.500 6/15/2011 36,678
32,482 Government National Mortgage Association 15-Yr. Pass
Through 7.500 7/15/2011 34,780
63,144 Government National Mortgage Association 15-Yr. Pass
Through 7.000 4/15/2012 67,331
277,909 Government National Mortgage Association 15-Yr. Pass
Through 6.000 7/15/2014 291,258
174,966 Government National Mortgage Association 30-Yr.
Conventional 7.000 7/15/2028 186,212
168,661 Government National Mortgage Association 30-Yr.
Conventional 6.500 1/15/2029 176,564
4,497 Government National Mortgage Association 30-Yr. Pass
Through 9.500 12/15/2024 5,072
23,407 Government National Mortgage Association 30-Yr. Pass
Through 9.500 1/15/2025 26,404
119,141 Government National Mortgage Association 30-Yr. Pass
Through 9.000 3/15/2025 133,562
3,178 Government National Mortgage Association 30-Yr. Pass
Through 7.500 8/15/2025 3,437
88,634 Government National Mortgage Association 30-Yr. Pass
Through 7.000 1/15/2026 94,517
9,746 Government National Mortgage Association 30-Yr. Pass
Through 6.500 3/15/2026 10,240
45,644 Government National Mortgage Association 30-Yr. Pass
Through 7.000 4/15/2026 48,674
7,661 Government National Mortgage Association 30-Yr. Pass
Through 8.000 4/15/2026 8,427
52,667 Government National Mortgage Association 30-Yr. Pass
Through 6.000 5/15/2026 54,220
34,494 Government National Mortgage Association 30-Yr. Pass
Through 7.000 5/15/2026 36,783
23,402 Government National Mortgage Association 30-Yr. Pass
Through 7.500 5/15/2026 25,280
94,260 Government National Mortgage Association 30-Yr. Pass
Through 7.000 6/15/2026 100,516
37,639 Government National Mortgage Association 30-Yr. Pass
Through 8.500 6/15/2026 41,516
4,634 Government National Mortgage Association 30-Yr. Pass
Through 8.500 7/15/2026 5,111
1,918 Government National Mortgage Association 30-Yr. Pass
Through 9.000 8/15/2026 2,144
71,583 Government National Mortgage Association 30-Yr. Pass
Through 8.000 9/15/2026 78,734
40,761 Government National Mortgage Association 30-Yr. Pass
Through 7.500 10/15/2026 44,035
40,138 Government National Mortgage Association 30-Yr. Pass
Through 8.000 11/15/2026 44,148
6,067 Government National Mortgage Association 30-Yr. Pass
Through 8.500 11/15/2026 6,692
15,140 Government National Mortgage Association 30-Yr. Pass
Through 9.000 12/15/2026 16,925
9,487 Government National Mortgage Association 30-Yr. Pass
Through 7.500 1/15/2027 10,243
90,400 Government National Mortgage Association 30-Yr. Pass
Through 7.500 4/15/2027 97,604
25,314 Government National Mortgage Association 30-Yr. Pass
Through 8.000 6/20/2027 27,690
13,376 Government National Mortgage Association 30-Yr. Pass
Through 8.000 8/15/2027 14,685
157,028 Government National Mortgage Association 30-Yr. Pass
Through 6.500 10/15/2027 164,677
105,394 Government National Mortgage Association 30-Yr. Pass
Through 7.000 10/15/2027 112,286
159,602 Government National Mortgage Association 30-Yr. Pass
Through 7.000 11/15/2027 170,038
68,307 Government National Mortgage Association 30-Yr. Pass
Through 6.500 7/15/2028 71,559
106,800 Government National Mortgage Association 30-Yr. Pass
Through 7.500 7/15/2028 115,278
222,732 Government National Mortgage Association 30-Yr. Pass
Through 6.500 9/15/2028 233,335
244,554 Government National Mortgage Association 30-Yr. Pass
Through 6.000 12/15/2028 251,492
420,676 Government National Mortgage Association 30-Yr. Pass
Through 6.500 3/15/2029 440,385
148,025 Government National Mortgage Association 30-Yr. Pass
Through 6.500 4/15/2029 154,960
145,774 Government National Mortgage Association 30-Yr. Pass
Through 7.000 4/15/2029 155,031
364,398 Government National Mortgage Association 30-Yr. Pass
Through 6.000 6/15/2029 374,500
178,172 Government National Mortgage Association 30-Yr. Pass
Through 7.000 6/15/2029 189,486
56,583 Government National Mortgage Association 30-Yr. Pass
Through 7.500 8/15/2029 61,077
27,410 Government National Mortgage Association 30-Yr. Pass
Through 8.500 9/15/2029 30,084
146,106 Government National Mortgage Association 30-Yr. Pass
Through 8.000 5/15/2030 160,174
170,797 Government National Mortgage Association 30-Yr. Pass
Through 7.000 9/15/2031 181,550
343,391 Government National Mortgage Association 30-Yr. Pass
Through 6.500 2/15/2032 359,223
173,644 Government National Mortgage Association 30-Yr. Pass
Through 6.500 7/15/2032 181,650
- -------------------------------------------------------------------------------------------------------------------------
Total Mortgage-Backed Securities 79,417,519
=========================================================================================================================
Technology (0.1%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 International Business Machines Corporation(b) 7.500 6/15/2013 583,720
- -------------------------------------------------------------------------------------------------------------------------
Total Technology 583,720
=========================================================================================================================
Transportation (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
425,000 CSX Corporation(d) 5.500 8/1/2013 419,616
752,456 Delta Air Lines, Inc. 6.619 3/18/2011 711,246
450,000 FedEx Corporation 3.500 4/1/2009 431,900
- -------------------------------------------------------------------------------------------------------------------------
Total Transportation 1,562,762
=========================================================================================================================
U.S. Government (10.2%)
- -------------------------------------------------------------------------------------------------------------------------
1,020,000 Federal Home Loan Bank 6.625 8/27/2007 1,111,850
1,000,000 Federal Home Loan Bank(b,e) 2.750 3/14/2008 965,104
1,000,000 Federal Home Loan Bank 5.925 4/9/2008 1,075,243
10,000,000 Federal Home Loan Mortgage Corporation(b) 1.365 9/9/2004 9,998,630
2,000,000 Federal Home Loan Mortgage Corporation(b) 2.875 9/15/2005 2,010,850
2,000,000 Federal Home Loan Mortgage Corporation(b) 2.875 12/15/2006 1,980,510
1,500,000 Federal Home Loan Mortgage Corporation(b) 5.125 7/15/2012 1,515,642
3,400,000 Federal National Mortgage Association(b) 3.875 3/15/2005 3,448,141
1,000,000 Federal National Mortgage Association(b) 5.500 5/2/2006 1,044,058
2,000,000 Federal National Mortgage Association 7.120 7/3/2006 2,157,460
1,000,000 Federal National Mortgage Association(b) 5.250 1/15/2009 1,047,487
2,000,000 Federal National Mortgage Association 6.250 2/1/2011 2,147,282
1,500,000 Federal National Mortgage Association 5.625 4/17/2028 1,452,672
1,000,000 Federal National Mortgage Association(b) 7.125 1/15/2030 1,164,974
1,200,000 Inter-American Development Bank 5.375 11/18/2008 1,276,218
1,000,000 Resolution Funding Corporation 8.625 1/15/2021 1,298,297
2,000,000 Tennessee Valley Authority 6.375 6/15/2005 2,075,684
1,750,000 U.S. Treasury Bonds(b) 7.250 5/15/2016 2,115,654
925,000 U.S. Treasury Bonds(b) 8.875 2/15/2019 1,280,691
450,000 U.S. Treasury Bonds 8.125 8/15/2019 589,360
650,000 U.S. Treasury Bonds 7.875 2/15/2021 839,058
600,000 U.S. Treasury Bonds(b) 8.000 11/15/2021 786,422
400,000 U.S. Treasury Bonds(b) 7.250 8/15/2022 490,125
250,000 U.S. Treasury Bonds 7.625 11/15/2022 317,900
625,000 U.S. Treasury Bonds(b) 7.125 2/15/2023 757,642
750,000 U.S. Treasury Bonds(b) 6.250 8/15/2023 830,508
1,100,000 U.S. Treasury Bonds(b) 7.500 11/15/2024 1,393,047
500,000 U.S. Treasury Bonds(b) 6.875 8/15/2025 594,610
525,000 U.S. Treasury Bonds(b) 6.125 11/15/2027 575,306
2,225,000 U.S. Treasury Bonds(b) 5.250 11/15/2028 2,179,893
5,000,000 U.S. Treasury Notes(b) 6.500 5/15/2005 5,191,405
1,000,000 U.S. Treasury Notes(b) 2.000 8/31/2005 997,812
2,000,000 U.S. Treasury Notes 5.875 11/15/2005 2,094,610
1,100,000 U.S. Treasury Notes(b) 5.625 2/15/2006 1,154,957
1,000,000 U.S. Treasury Notes(b) 4.625 5/15/2006 1,035,430
2,000,000 U.S. Treasury Notes(b) 6.875 5/15/2006 2,152,968
1,100,000 U.S. Treasury Notes(b) 7.000 7/15/2006 1,191,825
2,625,000 U.S. Treasury Notes(b) 6.500 10/15/2006 2,833,666
1,750,000 U.S. Treasury Notes(b) 3.500 11/15/2006 1,772,628
10,600,000 U.S. Treasury Notes(b) 4.375 5/15/2007 10,956,095
2,825,000 U.S. Treasury Notes(b) 6.125 8/15/2007 3,064,794
1,850,000 U.S. Treasury Notes(b) 5.500 2/15/2008 1,981,017
1,000,000 U.S. Treasury Notes(b) 3.250 8/15/2008 987,617
475,000 U.S. Treasury Notes(b) 5.500 5/15/2009 511,516
2,000,000 U.S. Treasury Notes(b) 6.500 2/15/2010 2,253,594
300,000 U.S. Treasury Notes(b) 5.000 2/15/2011 314,016
1,100,000 U.S. Treasury Notes(b) 5.000 8/15/2011 1,148,340
550,000 U.S. Treasury Notes(b) 4.875 2/15/2012 568,047
1,325,000 U.S. Treasury Notes(b) 4.250 8/15/2013 1,293,428
- -------------------------------------------------------------------------------------------------------------------------
Total U.S. Government 90,024,083
=========================================================================================================================
Utilities (0.6%)
- -------------------------------------------------------------------------------------------------------------------------
475,000 Alliant Energy Resources, Inc.(d) 7.375 11/9/2009 528,113
250,000 Columbia Energy Group 7.320 11/28/2010 263,314
450,000 Duke Capital Corporation(b) 7.500 10/1/2009 496,310
450,000 FirstEnergy Corporation 6.450 11/15/2011 466,542
750,000 Niagara Mohawk Power Corporation(d) 7.750 10/1/2008 844,245
425,000 Oncor Electric Delivery Company 6.375 1/15/2015 447,567
200,000 Pacific Gas & Electric Company 6.050 3/1/2034 188,111
700,000 Public Service Company of Colorado 7.875 10/1/2012 826,284
1,000,000 Public Service Electric & Gas Company 6.375 5/1/2008 1,072,332
225,000 Southern California Edison Company 5.000 1/15/2014 218,901
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 5,351,719
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $236,647,928) 239,655,252
=========================================================================================================================
Shares or
Principal
Amount Collateral Held for Securities Loaned (10.0%) Interest Rate(h) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$4,873 BNP Paribas Letter of Credit 0.150% 10/21/2004 $4,873
87,937,567 State Street Navigator Securities Lending Prime
Portfolio 1.230 N/A 87,937,567
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $87,942,440) 87,942,440
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (13.9%) Interest Rate(h) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$17,400,000 Corporate Receivables Corporation Funding LLC 1.500% 7/1/2004 $17,400,000
14,700,000 Duke University 1.141 7/6/2004 14,697,672
14,700,000 Fountain Square Commercial Funding Corporation 1.500 7/1/2004 14,700,000
10,000,000 Fountain Square Commercial Funding Corporation 1.151 7/7/2004 9,998,083
10,000,000 Independence Funding, LLC(d) 1.141 7/9/2004 9,997,467
15,000,000 Kitty Hawk Funding Corporation 1.221 7/12/2004 14,994,408
10,000,000 Nieuw Amsterdam Receivables Corporation 1.071 7/1/2004 10,000,000
11,200,000 Sheffield Receivables Corporation 1.231 7/15/2004 11,194,643
7,126,303 Thrivent Money Market Portfolio 0.768 N/A 7,126,303
12,000,000 Triple A-1 Funding Corporation(d) 1.191 7/6/2004 11,998,017
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 122,106,593
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $825,515,676) $880,289,922
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(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) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(e) Denotes variable rate obligations for which the
current yield and next scheduled reset date are
shown.
(f) Denotes step coupon bonds for which the current
interest rate and next scheduled reset date are
shown.
(g) Denotes investments purchased on a when-issued basis.
(h) 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.
High Yield Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Principal
Amount Long-Term Fixed Income (83.0%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Basic Materials (9.7%)
- -------------------------------------------------------------------------------------------------------------------------
$4,300,000 Ainsworth Lumber Company, Ltd. 6.750% 3/15/2014 $4,031,250
2,900,000 Alpha Natural Resources 10.000 6/1/2012 3,030,500
2,820,000 Appleton Papers, Inc. 8.125 6/15/2011 2,855,250
2,820,000 Appleton Papers, Inc. 9.750 6/15/2014 2,827,050
2,850,000 Blue Ridge Paper Company(b) 9.500 12/15/2008 2,650,500
1,400,000 Boise Cascade Corporation 6.500 11/1/2010 1,424,500
2,000,000 Boise Cascade Corporation(b) 7.000 11/1/2013 2,045,000
2,250,000 Buckeye Technologies, Inc.(b) 8.000 10/15/2010 2,064,375
1,400,000 Buckeye Technologies, Inc. 8.500 10/1/2013 1,414,000
2,000,000 Equistar Chemicals, LP/Equistar Funding 10.125 9/1/2008 2,190,000
3,400,000 Georgia-Pacific Corporation(b) 8.125 5/15/2011 3,757,000
3,250,000 Georgia-Pacific Corporation(b) 9.375 2/1/2013 3,721,250
3,500,000 Huntsman International, LLC(b) 10.125 7/1/2009 3,570,000
3,425,000 International Steel Group, Inc. 6.500 4/15/2014 3,210,938
1,800,000 ISP Chemco, Inc. 10.250 7/1/2011 2,002,500
3,900,000 ISP Holdings, Inc. 10.625 12/15/2009 4,290,000
1,700,000 Ispat Inland ULC(c) 8.350 7/1/2004 1,729,750
3,420,000 Ispat Inland ULC 9.750 4/1/2014 3,522,600
1,400,000 Lyondell Chemical Company 9.875 5/1/2007 1,463,000
2,300,000 Lyondell Chemical Company(b) 9.500 12/15/2008 2,403,500
2,300,000 Lyondell Chemical Company(b) 10.500 6/1/2013 2,489,750
4,200,000 MacDermid, Inc. 9.125 7/15/2011 4,683,000
4,000,000 MDP Acquisitions plc 9.625 10/1/2012 4,380,000
3,000,000 Methanex Corporation 8.750 8/15/2012 3,375,000
3,450,000 Mueller Holdings, Inc.(d) Zero Coupon 4/15/2009 2,070,000
4,300,000 Nalco Company 7.750 11/15/2011 4,504,250
4,000,000 NOVA Chemicals Corporation 6.500 1/15/2012 3,940,000
2,850,000 Rockwood Specialties Corporation(b) 10.625 5/15/2011 3,035,250
1,600,000 Steel Dynamics, Inc. 9.500 3/15/2009 1,768,000
1,800,000 Steel Dynamics, Inc.(b) 9.500 3/15/2009 1,989,000
4,000,000 USEC, Inc. 6.625 1/20/2006 3,960,000
- -------------------------------------------------------------------------------------------------------------------------
Total Basic Materials 90,397,213
=========================================================================================================================
Capital Goods (11.0%)
- -------------------------------------------------------------------------------------------------------------------------
2,850,000 Allied Waste North America, Inc. 7.875 4/15/2013 2,978,250
5,700,000 Allied Waste North America, Inc.(b) 7.375 4/15/2014 5,543,250
850,000 Allied Waste North America, Inc., Convertible 4.250 4/15/2034 837,250
2,480,000 Ames True Temper, Inc. 10.000 7/15/2012 2,486,200
4,550,000 Amsted Industries, Inc. 10.250 10/15/2011 4,936,750
5,150,000 Case New Holland, Inc. 9.250 8/1/2011 5,407,500
3,400,000 Cellu Tissue Holdings, Inc. 9.750 3/15/2010 3,264,000
4,080,000 Consolidated Container Company, LLC(d) Zero Coupon 6/15/2007 3,100,800
4,000,000 Crown Cork & Seal Finance plc 7.000 12/15/2006 4,060,000
2,300,000 Crown Euro Holdings SA 10.875 3/1/2013 2,622,000
7,000,000 Dow Jones "CDX" Index Bonds(b) 10.125 3/25/2009 6,833,750
1,863,000 Dunlop Stand Aero Holdings Company 11.875 5/15/2009 1,979,438
2,550,000 Eircom Funding(b) 8.250 8/15/2013 2,652,000
2,850,000 Erico International Corporation 8.875 3/1/2012 2,907,000
4,000,000 Euramax International, Inc. 8.500 8/15/2011 4,160,000
2,850,000 Fastentech, Inc. 11.500 5/1/2011 3,156,375
1,400,000 FTD, Inc. 7.750 2/15/2014 1,298,500
3,150,000 Graphic Packaging International(b) 9.500 8/15/2013 3,417,750
2,295,000 Hexcel Corporation(b) 9.750 1/15/2009 2,406,881
2,850,000 IMCO Recycling, Inc. 10.375 10/15/2010 3,078,000
2,200,000 K & F Industries, Inc.(b) 9.625 12/15/2010 2,411,750
1,150,000 Legrand SA 8.500 2/15/2025 1,184,500
1,700,000 Mueller Group, Inc. 10.000 5/1/2012 1,768,000
2,665,000 Owens-Brockway Glass Container, Inc.(b) 8.875 2/15/2009 2,878,200
1,400,000 Owens-Brockway Glass Container, Inc. 8.250 5/15/2013 1,445,500
1,990,000 Owens-Illinois, Inc. 7.500 5/15/2010 1,950,200
3,700,000 Plastipak Holdings, Inc. 10.750 9/1/2011 3,977,500
3,400,000 Pliant Corporation(d) Zero Coupon 11/15/2006 2,864,500
4,050,000 Polypore, Inc. 8.750 5/15/2012 4,222,125
1,700,000 TD Funding Corporation 8.375 7/15/2011 1,725,500
3,400,000 Texas Industries, Inc. 10.250 6/15/2011 3,791,000
1,100,000 Tyco International Group SA, Convertible 2.750 1/15/2018 1,652,750
3,000,000 United Rentals North America, Inc. 6.500 2/15/2012 2,835,000
2,900,000 Waste Services, Inc. 9.500 4/15/2014 2,972,500
- -------------------------------------------------------------------------------------------------------------------------
Total Capital Goods 102,804,719
=========================================================================================================================
Communications Services (16.0%)
- -------------------------------------------------------------------------------------------------------------------------
2,850,000 ACC Escrow Corporation 10.000 8/1/2011 2,458,125
4,000,000 Adelphia Communications Corporation(e) 10.875 10/1/2010 4,040,000
2,300,000 American Tower Corporation, Convertible 7.250 12/1/2011 2,305,750
4,150,000 American Tower Escrow Corporation Zero Coupon 8/1/2008 3,029,500
6,000,000 Block Communications, Inc.(f) 9.250 4/15/2009 6,300,000
4,000,000 Cablevision Systems Corporation(b) 8.000 4/15/2012 3,940,000
5,400,000 Charter Communications Holdings, LLC 8.750 11/15/2013 5,170,500
4,600,000 Charter Communications Operating, LLC 8.000 4/30/2012 4,450,500
4,000,000 Crown Castle International Corporation 9.375 8/1/2011 4,400,000
2,300,000 CSC Holdings, Inc.(b) 7.625 4/1/2011 2,305,750
2,200,000 Dex Media East, LLC(b) 12.125 11/15/2012 2,568,500
1,700,000 Dex Media West, LLC 9.875 8/15/2013 1,865,750
2,850,000 Dex Media, Inc.(d) Zero Coupon 11/15/2008 1,838,250
3,400,000 Dex Media, Inc. 8.000 11/15/2013 3,264,000
4,600,000 EchoStar DBS Corporation 6.375 10/1/2011 4,531,000
3,400,000 Gaylord Entertainment Company 8.000 11/15/2013 3,446,750
2,850,000 Granite Broadcasting Corporation 9.750 12/1/2010 2,650,500
1,170,000 Gray Television, Inc. 9.250 12/15/2011 1,282,612
3,440,704 Hollinger International Publishing, Inc.,
Payment-In-Kind 12.125 11/15/2010 4,008,420
2,750,000 Hollinger International Publishing, Inc. 9.000 12/15/2010 3,176,250
6,320,000 Kabel Deutschland GmbH(g) 10.625 7/1/2014 6,493,800
3,400,000 Mail-Well I Corporation 7.875 12/1/2013 3,094,000
2,900,000 Mediacom Broadband, LLC(b) 11.000 7/15/2013 3,088,500
1,700,000 MetroPCS, Inc. 10.750 10/1/2011 1,844,500
4,175,000 Nexstar Finance, Inc. 7.000 1/15/2014 3,945,375
4,000,000 Nextel Communications, Inc. 6.875 10/31/2013 3,965,000
5,700,000 Nextel Communications, Inc. 7.375 8/1/2015 5,757,000
4,000,000 Nextel Partners, Inc. 8.125 7/1/2011 4,080,000
4,850,000 Paxson Communications Corporation(d) Zero Coupon 1/15/2006 4,219,500
2,900,000 PRIMEDIA, Inc.(c) 6.615 8/16/2004 2,939,875
950,000 Primus Telecommunications Group, Inc.(b) 8.000 1/15/2014 836,000
6,850,000 Qwest Communications International, Inc. 7.250 2/15/2011 6,387,625
7,330,000 Qwest Services Corporation 13.500 12/15/2010 8,521,125
2,750,000 RH Donnelley, Inc. 10.875 12/15/2012 3,190,000
2,600,000 Shaw Communications, Inc.(b) 7.250 4/6/2011 2,698,069
4,200,000 Sinclair Broadcast Group, Inc. 8.000 3/15/2012 4,294,500
3,150,000 Spectrasite, Inc. 8.250 5/15/2010 3,244,500
4,550,000 Telenet Group Holding NV(b,d) Zero Coupon 12/15/2008 2,889,250
1,410,000 US Unwired, Inc. 10.000 6/15/2012 1,424,100
1,400,000 Vertis, Inc. 9.750 4/1/2009 1,505,000
2,000,000 Vertis, Inc.(b) 10.875 6/15/2009 2,150,000
2,800,000 Western Wireless Corporation(b) 9.250 7/15/2013 2,884,000
3,500,000 XM Satellite Radio, Inc.(c) 7.194 8/1/2004 3,504,375
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 149,988,251
=========================================================================================================================
Consumer Cyclical (14.2%)
- -------------------------------------------------------------------------------------------------------------------------
3,150,000 American Casino & Entertainment Properties, LLC 7.850 2/1/2012 3,197,250
1,130,000 Argosy Gaming Company 7.000 1/15/2014 1,101,750
4,750,000 Beazer Homes USA, Inc. 8.625 5/15/2011 5,011,250
900,000 Best Buy Company, Inc., Convertible 2.250 1/15/2022 932,625
3,450,000 Boyd Gaming Corporation 8.750 4/15/2012 3,674,250
3,450,000 Buffets, Inc. 11.250 7/15/2010 3,605,250
2,850,000 Coast Hotels & Casinos, Inc.(b) 9.500 4/1/2009 2,992,500
2,600,000 Ferrellgas Partners, LP 6.750 5/1/2014 2,509,000
6,650,000 Group 1 Automotive, Inc. 8.250 8/15/2013 6,965,875
3,300,000 Jafra Cosmetics International, Inc. 10.750 5/15/2011 3,679,500
4,700,000 John Q. Hammons Hotels, LP(b) 8.875 5/15/2012 5,099,500
1,150,000 Kerzner International, Convertible 2.375 4/15/2024 1,170,125
2,543,000 Kindercare Learning Centers 9.500 2/15/2009 2,581,145
2,800,000 La Quinta Properties, Inc. 8.875 3/15/2011 3,010,000
1,600,000 Liberty Media Corporation, Convertible 0.750 3/30/2023 1,826,000
1,650,000 Liberty Media Corporation, Convertible 3.250 3/15/2031 1,476,750
2,850,000 MGM Mirage, Inc.(b) 8.375 2/1/2011 2,978,250
4,550,000 Mohegan Tribal Gaming Authority 6.375 7/15/2009 4,561,375
3,450,000 NationsRent, Inc. 9.500 10/15/2010 3,674,250
3,950,000 Nebraska Book Company, Inc. 8.625 3/15/2012 3,871,000
4,000,000 Norcraft Finance Corporation 9.000 11/1/2011 4,220,000
2,850,000 Park Place Entertainment Corporation(b) 8.125 5/15/2011 3,024,562
4,200,000 PCA, LLC/PCA Finance Corporation(b) 11.875 8/1/2009 4,515,000
4,600,000 Penn National Gaming, Inc. 6.875 12/1/2011 4,513,750
2,800,000 Perry Ellis International, Inc. 8.875 9/15/2013 2,891,000
3,000,000 Premier Entertainment Biloxi, LLC/Premier Biloxi
Finance Corporation 10.750 2/1/2012 3,150,000
5,340,000 Rent-Way, Inc. 11.875 6/15/2010 5,860,650
2,850,000 Royal Caribbean Cruises, Ltd.(b) 8.750 2/2/2011 3,156,375
3,000,000 Schuler Homes, Inc. 9.375 7/15/2009 3,292,500
4,550,000 Station Casinos, Inc. 6.875 3/1/2016 4,379,375
2,300,000 Stewart Enterprises, Inc. 10.750 7/1/2008 2,555,875
5,500,000 Tenneco Automotive, Inc. 10.250 7/15/2013 6,215,000
2,500,000 TravelCenters of America, Inc. 12.750 5/1/2009 2,900,000
2,300,000 TRW Automotive, Inc. 9.375 2/15/2013 2,593,250
2,902,000 TRW Automotive, Inc.(b) 11.000 2/15/2013 3,424,360
3,000,000 Vicar Operating, Inc. 9.875 12/1/2009 3,300,000
3,400,000 VICORP Restraunts, Inc. 10.500 4/15/2011 3,383,000
3,350,000 Warnaco, Inc. 8.875 6/15/2013 3,601,250
2,243,000 William Carter Company 10.875 8/15/2011 2,540,198
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 133,433,790
=========================================================================================================================
Consumer Non-Cyclical (7.7%)
- -------------------------------------------------------------------------------------------------------------------------
1,996,000 Advanced Medical Optics, Inc., Convertible 2.500 7/15/2024 2,183,125
580,000 Amscan Holdings, Inc. 8.750 5/1/2014 569,850
4,000,000 Ardent Health Services, Inc. 10.000 8/15/2013 4,280,000
2,700,000 Armkel Finance, Inc. 9.500 8/15/2009 2,949,750
3,000,000 Beverly Enterprises, Inc. 7.875 6/15/2014 2,951,250
1,150,000 Del Monte Corporation 9.250 5/15/2011 1,256,375
6,300,000 Fisher Scientific International, Inc. 8.000 9/1/2013 6,741,000
4,100,000 HMP Equity Holdings Corporation Zero Coupon 5/15/2008 2,378,000
4,500,000 IASIS Healthcare, LLC/IASIS Capital Corporation 8.750 6/15/2014 4,601,250
5,800,000 Jostens Holding Corporation(d) Zero Coupon 12/1/2008 3,944,000
3,950,000 Michael Foods, Inc. 8.000 11/15/2013 4,078,375
4,300,000 Omnicare, Inc. 8.125 3/15/2011 4,601,000
3,913,000 Revlon Consumer Products Corporation 8.625 2/1/2008 3,463,005
5,250,000 Roundy's, Inc. 8.875 6/15/2012 5,565,000
4,550,000 Seminis Vegetable Seeds, Inc. 10.250 10/1/2013 4,948,125
3,000,000 Smithfield Foods, Inc. 8.000 10/15/2009 3,232,500
1,690,000 Stater Brothers Holdings, Inc.(c) 5.060 9/15/2004 1,717,462
4,510,000 Stater Brothers Holdings, Inc. 8.125 6/15/2012 4,526,912
2,500,000 Tenet Healthcare Corporation 9.875 7/1/2014 2,543,750
1,650,000 Teva Pharmaceutical Finance NV, Convertible 0.250 2/1/2024 1,753,125
4,050,000 Triad Hospitals, Inc. 7.000 5/15/2012 4,080,375
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 72,364,229
=========================================================================================================================
Energy (4.6%)
- -------------------------------------------------------------------------------------------------------------------------
5,200,000 BRL Universal Equipment Corporation 8.875 2/15/2008 5,570,500
5,400,000 Chesapeake Energy Corporation 9.000 8/15/2012 6,075,000
2,250,000 Citgo Petroleum Corporation 11.375 2/1/2011 2,610,000
3,000,000 Compton Petroleum Corporation 9.900 5/15/2009 3,277,500
2,300,000 EXCO Resources, Inc. 7.250 1/15/2011 2,334,500
2,700,000 Magnum Hunter Resources, Inc. 9.600 3/15/2012 2,970,000
2,800,000 Petroleum Geo-Services ASA 10.000 11/5/2010 2,898,000
3,500,000 Pogo Producing Company(b) 8.250 4/15/2011 3,832,500
5,250,960 Port Arthur Finance Corporation 12.500 1/15/2009 6,064,859
3,480,000 Pride International, Inc.(g) 7.375 7/15/2014 3,514,800
3,800,000 Western Oil Sands, Inc.(f) 8.375 5/1/2012 4,123,000
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 43,270,659
=========================================================================================================================
Financials (4.0%)
- -------------------------------------------------------------------------------------------------------------------------
4,000,000 Alamosa Delaware, Inc.(f) 8.500 1/31/2012 3,920,000
6,760,000 BCP Caylux Holdings Luxembourg SCA 9.625 6/15/2014 7,005,050
3,600,000 CSAM Funding Corporation(h) 12.780 10/15/2016 3,600,000
2,890,000 Dollar Financial Group, Inc. 9.750 11/15/2011 3,020,050
3,633,915 FINOVA Group, Inc.(b) 7.500 11/15/2009 1,989,568
2,900,000 IPCS Escrow Company 11.500 5/1/2012 2,972,500
2,550,000 Katonah, Ltd.(h) 12.015 2/20/2015 2,550,000
2,800,000 NTL Cable, plc(b,c) 6.610 7/15/2004 2,884,000
2,260,000 NTL Cable, plc(b) 8.750 4/15/2014 2,316,500
4,000,000 Riggs Capital Trust II 8.875 3/15/2027 4,010,000
9,000,000 SIG Capital Trust I (i,j) 9.500 8/15/2027 0
10,060,000 United Companies Financial Corporation(e) 8.375 7/1/2005 75,450
3,000,000 Venture CDO 2002, Ltd.(h) 13.060 3/15/2015 2,970,000
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 37,313,118
=========================================================================================================================
Foreign (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
1,650,000 Federal Republic of Brazil(b) 11.000 1/11/2012 1,659,900
- -------------------------------------------------------------------------------------------------------------------------
Total Foreign 1,659,900
=========================================================================================================================
Other (0.9%)
- -------------------------------------------------------------------------------------------------------------------------
3,400,000 Da-Lite Screen Company, Inc. 9.500 5/15/2011 3,536,000
4,600,000 UGS Corporation 10.000 6/1/2012 4,899,000
- -------------------------------------------------------------------------------------------------------------------------
Total Other 8,435,000
=========================================================================================================================
Technology (2.6%)
- -------------------------------------------------------------------------------------------------------------------------
2,210,000 AMI Semiconductor, Inc. 10.750 2/1/2013 2,580,175
3,700,000 Amkor Technology, Inc.(b) 7.125 3/15/2011 3,468,750
2,250,000 Amkor Technology, Inc.(b) 7.750 5/15/2013 2,131,875
3,940,000 Celestica, Inc. 7.875 7/1/2011 4,018,800
2,750,000 Sanmina-SCI Corporation 10.375 1/15/2010 3,148,750
1,700,000 Thomas & Betts Corporation 7.250 6/1/2013 1,800,672
2,200,000 Unisys Corporation 8.125 6/1/2006 2,337,500
4,550,000 Xerox Corporation 7.625 6/15/2013 4,652,375
- -------------------------------------------------------------------------------------------------------------------------
Total Technology 24,138,897
=========================================================================================================================
Transportation (2.1%)
- -------------------------------------------------------------------------------------------------------------------------
3,200,000 Delta Air Lines, Inc. 8.300 12/15/2029 1,328,000
1,740,000 Horizon Lines, LLC 9.000 11/1/2012 1,772,625
3,800,000 Hornbeck Offshore Services, Inc. 10.625 8/1/2008 4,146,750
4,400,000 OMI Corporation 7.625 12/1/2013 4,312,000
3,000,000 United Air Lines, Inc. (k) 7.730 7/1/2010 2,449,932
5,200,000 Windsor Petroleum Transport Corporation(d) 7.840 1/15/2021 5,265,000
- -------------------------------------------------------------------------------------------------------------------------
Total Transportation 19,274,307
=========================================================================================================================
Utilities (10.0%)
- -------------------------------------------------------------------------------------------------------------------------
1,700,000 AES Corporation(b) 8.875 2/15/2011 1,763,750
3,900,000 AES Corporation 8.750 5/15/2013 4,177,875
3,400,000 Calpine Generating Corporation LLC(b,c) 7.350 7/1/2004 3,247,000
6,001,188 CE Generation, LLC 7.416 12/15/2018 6,397,686
3,100,000 CMS Energy Corporation(b) 7.500 1/15/2009 3,084,500
4,000,000 Dynegy Holdings, Inc. 9.875 7/15/2010 4,300,000
7,500,000 Edison Mission Energy(b) 9.875 4/15/2011 7,818,750
5,850,000 El Paso Corporation(b) 7.000 5/15/2011 5,118,750
4,250,000 El Paso Production Holding Company 7.750 6/1/2013 3,899,375
1,700,000 Ferrellgas Partners, LP 8.750 6/15/2012 1,814,750
2,880,000 Itron, Inc. 7.750 5/15/2012 2,887,200
2,850,000 Legrand SA 10.500 2/15/2013 3,249,000
3,253,369 Midland Funding Corporation II 11.750 7/23/2005 3,367,237
4,450,000 Midland Funding Corporation II 13.250 7/23/2006 5,117,500
2,350,000 Midwest Generation, LLC 8.750 5/1/2034 2,373,500
3,820,000 Mission Energy Holding Company 13.500 7/15/2008 4,273,625
4,200,000 NRG Energy, Inc. 8.000 12/15/2013 4,242,000
3,400,000 Orion Power Holdings, Inc. 12.000 5/1/2010 4,148,000
2,250,000 Pacific Energy Partners, LP/Pacific Energy Finance
Corporation 7.125 6/15/2014 2,283,750
2,000,000 Southern Natural Gas Company 8.875 3/15/2010 2,185,000
2,850,000 Southern Star Cent Corporation 8.500 8/1/2010 3,021,000
3,400,000 TNP Enterprises, Inc. 10.250 4/1/2010 3,519,000
2,300,000 Williams Companies, Inc. 8.625 6/1/2010 2,530,000
8,500,000 Williams Companies, Inc.(b) 8.125 3/15/2012 9,073,752
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 93,893,000
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $759,685,138) 776,973,083
=========================================================================================================================
Shares Preferred Stock (2.3%) Value
- -------------------------------------------------------------------------------------------------------------------------
105,000 Chevy Chase Preferred Capital Corporation,
Convertible(b) $6,079,500
11,500 Goldman Sachs Preferred Stock, Convertible (l) 1,083,760
34,000 Omnicare, Inc., Convertible(b) 2,109,020
18,500 PRIMEDIA, Inc., Series D 1,739,000
23,000 PRIMEDIA, Inc., Series H 1,978,000
5,000 Sovereign Real Estate Investment Corporation 7,300,000
30,000 Washington Mutual, Inc., Convertible 1,601,100
- -------------------------------------------------------------------------------------------------------------------------
Total Preferred Stock (cost $18,405,666) 21,890,380
=========================================================================================================================
Shares Common Stock (0.3%) Value
- -------------------------------------------------------------------------------------------------------------------------
5,000 Aavid Thermal Technology, Inc., Stock Warrants (l) $50,000
1,996 Arch Wireless, Inc. (l) 56,866
4,600 ASAT Finance, LLC, Stock Warrants (h,i,l) 0
18,783 Birch Telecom, Inc. (i,l) 301
52,837 Completel Europe NV (l) 1,478,587
4,100 Huntsman Company, LLC Stock Warrants (l) 779,000
6,000 Pliant Corporation, Stock Warrants (h,l) 60
23,840 Protection One, Inc., Stock Warrants (i,l) 238
121,520 TVMAX Holdings, Inc. (l) 467,852
27,227 XO Communications, Inc., Stock Warrants, Series A (l) 40,840
20,420 XO Communications, Inc., Stock Warrants, Series B
(b,l) 21,441
20,420 XO Communications, Inc., Stock Warrants, Series C (l) 14,294
80,000 ZSC Specialty Chemical plc, Preferred Stock Warrants
(h,i,l) 800
80,000 ZSC Specialty Chemical plc, Stock Warrants (h,i,l) 800
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $15,726,205) 2,911,079
=========================================================================================================================
Shares Collateral Held for Securities Loaned (11.0%) Interest Rate(m) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
103,490,315 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $103,490,315
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $103,490,315) 103,490,315
=========================================================================================================================
Principal
Amount Short-Term Investments (3.4%) Interest Rate(m) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$4,000,000 Edison Asset Securitization, LLC 1.070% 7/1/2004 $4,000,000
22,395,000 New Center Asset Trust 1.460 7/1/2004 22,395,000
5,000,000 Park Avenue Receivables Corporation 1.400 7/2/2004 4,999,806
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 31,394,806
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $928,702,130) $936,659,663
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) All or a portion of the security is on loan as
discussed in item 2(L) of the Notes to Financial
Statements.
(c) Denotes variable rate obligations for which the
current yield and next scheduled reset date are
shown.
(d) Denotes step coupon bonds for which the current
interest rate and next scheduled reset date are
shown.
(e) Non-income producing and in bankruptcy.
(f) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(g) Denotes investments purchased on a when-issued basis.
(h) 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 April 30,
2004, by obtaining quotations from brokers active
with these securities. The following table indicates
the acquisition date and cost of restricted
securities the Portfolio owned as of April 30, 2004.
Acquisition
Security Date Cost
- -------------------------------------------------------------------------------------------------------------------------
ASAT Finance, Stock Warrants 10/20/1999 $111,508
CSAM Funding Corporation 5/10/2002 3,590,880
Katonah, Ltd. 2/7/2003 2,439,277
Pliant Corporation, Stock Warrants 5/25/2000 136,483
Venture CDO 2002, Ltd. 3/13/2002 3,000,000
ZSC Specialty Chemical plc, Preferred Stock Warrants 6/24/1999 47,568
ZSC Specialty Chemical plc, Stock Warrants 6/24/1999 11,712
(i) Security is fair valued as discussed in the notes to
the financial statements.
(j) In default.
(k) In bankruptcy.
(l) Non-income producing security.
(m) 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.
Partner High Yield Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Principal
Amount Long-Term Fixed Income (83.8%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Basic Materials (8.8%)
- -------------------------------------------------------------------------------------------------------------------------
$400,000 Abitibi-Consolidated, Inc. 6.950% 12/15/2006 $409,948
50,000 Abitibi-Consolidated, Inc.(b) 6.950 4/1/2008 50,650
100,000 Abitibi-Consolidated, Inc. 5.250 6/20/2008 94,904
75,000 Abitibi-Consolidated, Inc. 8.550 8/1/2010 79,082
330,000 Abitibi-Consolidated, Inc. 8.850 8/1/2030 321,562
470,000 Ainsworth Lumber Company, Ltd. 6.750 3/15/2014 440,625
130,000 Appleton Papers, Inc. 8.125 6/15/2011 131,625
130,000 Appleton Papers, Inc. 9.750 6/15/2014 130,325
70,000 ARCO Chemical Company 10.250 11/1/2010 71,050
190,000 Buckeye Technologies, Inc. 8.000 10/15/2010 174,325
190,000 Buckeye Technologies, Inc. 8.500 10/1/2013 191,900
100,000 Compass Minerals Group, Inc. 10.000 8/15/2011 111,000
50,000 Equistar Chemicals, LP/Equistar Funding 10.125 9/1/2008 54,750
170,000 Equistar Chemicals, LP/Equistar Funding 8.750 2/15/2009 177,225
150,000 Equistar Chemicals, LP/Equistar Funding 10.625 5/1/2011 166,500
100,000 Georgia-Pacific Corporation 8.000 1/15/2024 100,000
200,000 Hercules, Inc. 11.125 11/15/2007 234,000
580,000 Huntsman International, LLC(b) 10.125 7/1/2009 591,600
400,000 International Steel Group, Inc. 6.500 4/15/2014 375,000
350,000 ISP Holdings, Inc. 10.625 12/15/2009 385,000
400,000 Ispat Inland ULC(c) 8.350 7/1/2004 407,000
200,000 Ispat Inland ULC 9.750 4/1/2014 206,000
350,000 Kappa Beheer BV 10.625 7/15/2009 365,750
400,000 Lyondell Chemical Company 10.500 6/1/2013 433,000
650,000 MDP Acquisitions plc 9.625 10/1/2012 711,750
450,000 Nalco Company 7.750 11/15/2011 471,375
425,000 Nalco Company 8.875 11/15/2013 445,188
400,000 NOVA Chemicals Corporation 6.500 1/15/2012 394,000
550,000 Peabody Energy Corporation 6.875 3/15/2013 556,875
375,000 Stone Container Corporation 8.375 7/1/2012 391,875
- -------------------------------------------------------------------------------------------------------------------------
Total Basic Materials 8,673,884
=========================================================================================================================
Capital Goods (10.3%)
- -------------------------------------------------------------------------------------------------------------------------
550,000 Allied Waste North America, Inc. 8.500 12/1/2008 601,562
200,000 Allied Waste North America, Inc. 6.500 11/15/2010 198,000
400,000 Allied Waste North America, Inc. 6.375 4/15/2011 392,000
150,000 Allied Waste North America, Inc. 9.250 9/1/2012 168,000
260,000 Ames True Temper, Inc. 10.000 7/15/2012 260,650
390,000 Amsted Industries, Inc. 10.250 10/15/2011 423,150
100,000 Building Materials Corporation of America 7.750 7/15/2005 100,500
400,000 Case New Holland, Inc. 9.250 8/1/2011 420,000
450,000 Crown Euro Holdings SA 9.500 3/1/2011 490,500
150,000 Crown Euro Holdings SA 10.875 3/1/2013 171,000
373,000 Dunlop Standard Aerospace Holdings plc 11.875 5/15/2009 396,312
350,000 Eircom Funding 8.250 8/15/2013 364,000
400,000 Euramax International, Inc. 8.500 8/15/2011 416,000
390,000 Fastentech, Inc. 11.500 5/1/2011 431,925
260,000 Invensys plc 9.875 3/15/2011 258,700
350,000 K & F Industries, Inc. 9.625 12/15/2010 383,688
400,000 KRATON Polymers, LLC/Capital Corporation 8.125 1/15/2014 404,000
100,000 Legrand SA 8.500 2/15/2025 103,000
290,000 Mueller Group, Inc. 10.000 5/1/2012 301,600
400,000 Nortek Holdings, Inc.(d) Zero Coupon 11/15/2007 320,000
410,000 North American Energy Partnership 8.750 12/1/2011 405,900
60,000 Owens-Brockway Glass Container, Inc. 7.750 5/15/2011 62,400
375,000 Owens-Brockway Glass Container, Inc. 8.750 11/15/2012 406,875
180,000 Owens-Brockway Glass Container, Inc. 8.250 5/15/2013 185,850
210,000 Owens-Illinois, Inc. 7.500 5/15/2010 205,800
390,000 Plastipak Holdings, Inc. 10.750 9/1/2011 419,250
390,000 Pliant Corporation(d) Zero Coupon 11/15/2006 328,575
255,702 Rocky River Private Placement(e,f) 8.810 4/14/2007 270,718
480,000 Texas Industries, Inc. 10.250 6/15/2011 535,200
375,000 Trinity Industries, Inc. 6.500 3/15/2014 343,125
390,000 United Rentals North America, Inc. 6.500 2/15/2012 368,550
- -------------------------------------------------------------------------------------------------------------------------
Total Capital Goods 10,136,830
=========================================================================================================================
Communications Services (17.3%)
- -------------------------------------------------------------------------------------------------------------------------
575,000 ACC Escrow Corporation 10.000 8/1/2011 495,938
400,000 Adelphia Communications Corporation(g) 8.875 1/15/2007 438,000
575,000 American Media Operations, Inc. 10.250 5/1/2009 596,562
625,000 American Tower Escrow Corporation Zero Coupon 8/1/2008 456,250
600,000 Cablevision Systems Corporation 8.000 4/15/2012 591,000
565,000 Canwest Media, Inc. 10.625 5/15/2011 633,506
150,000 CF Cable TV, Inc. 9.125 7/15/2007 158,639
50,000 Charter Communications Holdings, LLC(b) 10.000 4/1/2009 41,750
925,000 Charter Communications Holdings, LLC 10.250 9/15/2010 931,938
420,000 Charter Communications Holdings, LLC 8.750 11/15/2013 402,150
200,000 Charter Communications Operating, LLC 8.000 4/30/2012 193,500
200,000 Charter Communications Operating, LLC 8.375 4/30/2014 193,500
260,000 Crown Castle International Corporation 9.375 8/1/2011 286,000
240,000 Crown Castle International Corporation(b) 10.750 8/1/2011 268,800
350,000 CSC Holdings, Inc.(b) 7.625 4/1/2011 350,875
325,000 Dex Media West, LLC 8.500 8/15/2010 354,250
430,000 Dex Media West, LLC 9.875 8/15/2013 471,925
390,000 Dex Media, Inc. 8.000 11/15/2013 374,400
535,000 DIRECTV Holdings, LLC 8.375 3/15/2013 591,844
150,000 EchoStar DBS Corporation 5.750 10/1/2008 147,938
250,000 Gaylord Entertainment Company 8.000 11/15/2013 253,438
220,000 General Cable Corporation 9.500 11/15/2010 236,500
335,000 Hollinger International Publishing, Inc. 9.000 12/15/2010 386,925
225,000 Mail-Well I Corporation 9.625 3/15/2012 241,875
1,000 MCI, Inc. 5.908 5/1/2007 970
1,000 MCI, Inc. 6.688 5/1/2009 925
1,000 MCI, Inc. 7.735 5/1/2014 895
420,000 Mediacom Broadband, LLC(b) 11.000 7/15/2013 447,300
21,428 Nextel Communications, Inc. 9.500 2/1/2011 23,999
1,015,000 Nextel Communications, Inc. 6.875 10/31/2013 1,006,119
425,000 Nextel Communications, Inc. 7.375 8/1/2015 429,250
390,000 Nextel Partners, Inc. 8.125 7/1/2011 397,800
490,000 Paxson Communications Corporation(d) Zero Coupon 1/15/2006 426,300
125,000 PRIMEDIA, Inc.(c) 6.615 8/16/2004 126,719
350,000 PRIMEDIA, Inc. 8.000 5/15/2013 329,000
120,000 Primus Telecommunications Group, Inc. 8.000 1/15/2014 105,600
330,000 Quebecor Media, Inc. 11.125 7/15/2011 376,612
500,000 Qwest Communications International, Inc. 7.250 2/15/2011 466,250
760,000 Qwest Communications International, Inc. 7.500 2/15/2014 685,900
500,000 Qwest Corporation 9.125 3/15/2012 540,000
500,000 Qwest Services Corporation 13.500 12/15/2010 581,250
390,000 Sinclair Broadcast Group, Inc. 8.000 3/15/2012 398,775
355,000 Spectrasite, Inc. 8.250 5/15/2010 365,650
275,000 Superior Essex Communications LLC/Essex Group, Inc. 9.000 4/15/2012 262,625
70,000 US Unwired, Inc. 10.000 6/15/2012 70,700
150,000 Vertis, Inc. 10.875 6/15/2009 161,250
390,000 XM Satellite Radio, Inc.(c) 7.194 8/1/2004 390,488
365,000 Young Broadcasting, Inc.(b) 10.000 3/1/2011 371,388
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 17,063,268
=========================================================================================================================
Consumer Cyclical (14.2%)
- -------------------------------------------------------------------------------------------------------------------------
300,000 Aearo Company I 8.250 4/15/2012 306,000
400,000 Alderwoods Group, Inc. 12.250 1/2/2009 442,000
112,500 Amerigas Partners, LP(e,f) 8.830 4/19/2010 120,740
175,000 AmeriGas Partners, LP/AmeriGas Eagle Finance
Corporation 10.000 4/15/2006 189,000
175,000 AmeriGas Partners, LP/AmeriGas Eagle Finance
Corporation 8.875 5/20/2011 186,375
400,000 Armor Holdings, Inc. 8.250 8/15/2013 428,000
375,000 ArvinMeritor, Inc. 6.625 6/15/2007 383,438
450,000 Beazer Homes USA, Inc. 8.625 5/15/2011 474,750
290,000 Boyd Gaming Corporation 7.750 12/15/2012 292,900
200,000 Circus & Eldorado Joint Venture/Silver Legacy Capital
Corporation(b) 10.125 3/1/2012 201,000
450,000 Dura Operating Corporation 8.625 4/15/2012 459,000
200,000 Ferrellgas Partners, LP 6.750 5/1/2014 193,000
300,000 Fiat Finance Luxembourg SA, Convertible 3.250 1/9/2007 300,750
500,000 Group 1 Automotive, Inc. 8.250 8/15/2013 523,750
425,000 Hilton Hotels Corporation(b) 7.625 12/1/2012 456,875
195,000 HMH Properties, Inc. 7.875 8/1/2008 199,875
75,000 Host Marriott, LP 9.500 1/15/2007 81,938
125,000 Host Marriott, LP 9.250 10/1/2007 137,812
75,000 Host Marriott, LP 7.125 11/1/2013 73,500
580,000 John Q. Hammons Hotels, LP 8.875 5/15/2012 629,300
390,000 La Quinta Properties, Inc. 8.875 3/15/2011 419,250
450,000 MGM Mirage, Inc.(b) 8.375 2/1/2011 470,250
390,000 NationsRent, Inc. 9.500 10/15/2010 415,350
390,000 Nebraska Book Company, Inc. 8.625 3/15/2012 382,200
190,000 Park Place Entertainment Corporation 8.875 9/15/2008 206,150
375,000 Park Place Entertainment Corporation(b) 7.875 3/15/2010 395,625
490,000 Penn National Gaming, Inc. 6.875 12/1/2011 480,812
480,000 Rent-Way, Inc. 11.875 6/15/2010 526,800
490,000 Schuler Homes, Inc. 9.375 7/15/2009 537,775
230,000 Seneca Gaming Corporation 7.250 5/1/2012 229,712
150,000 SPX Corporation 6.250 6/15/2011 145,875
350,000 SPX Corporation 7.500 1/1/2013 358,750
175,000 Starwood Hotels & Resorts Worldwide, Inc.(d) 7.875 5/1/2007 184,188
200,000 Starwood Hotels & Resorts Worldwide, Inc. 7.875 5/1/2012 214,000
400,000 Station Casinos, Inc. 6.000 4/1/2012 387,000
690,000 Tenneco Automotive, Inc. 10.250 7/15/2013 779,700
190,000 TravelCenters of America, Inc. 12.750 5/1/2009 220,400
150,000 True Temper Sports, Inc. 8.375 9/15/2011 150,000
653,000 TRW Automotive, Inc. 9.375 2/15/2013 736,258
400,000 Warnaco, Inc. 8.875 6/15/2013 430,000
300,000 Warner Music Group 7.375 4/15/2014 289,500
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 14,039,598
=========================================================================================================================
Consumer Non-Cyclical (8.1%)
- -------------------------------------------------------------------------------------------------------------------------
204,000 Advanced Medical Optics, Inc., Convertible 2.500 7/15/2024 223,125
390,000 Armkel Finance, Inc. 9.500 8/15/2009 426,075
300,000 Beverly Enterprises, Inc. 7.875 6/15/2014 295,125
75,000 Commonwealth Brands, Inc. 9.750 4/15/2008 80,250
275,000 Commonwealth Brands, Inc. 10.625 9/1/2008 294,250
450,000 Delhaize America, Inc. 8.125 4/15/2011 491,189
290,000 DIMON, Inc. 9.625 10/15/2011 292,900
100,000 Dimon, Inc. 7.750 6/1/2013 93,000
475,000 Domino's, Inc. 8.250 7/1/2011 503,500
150,000 Extendicare Health Services, Inc.(b) 9.500 7/1/2010 166,500
350,000 Fisher Scientific International, Inc. 8.000 9/1/2013 374,500
325,000 Fresenius Medical Care Capital Trust II 7.875 2/1/2008 342,875
220,000 IASIS Healthcare, LLC/IASIS Capital Corporation 8.750 6/15/2014 224,950
325,000 Ingles Markets, Inc.(b) 8.875 12/1/2011 333,938
325,000 Johnsondiversey, Inc. 9.625 5/15/2012 354,250
540,000 Jostens Holding Corporation(d) Zero Coupon 12/1/2008 367,200
100,000 Merisant Company 9.500 7/15/2013 106,500
250,000 Neighborcare, Inc. 6.875 11/15/2013 265,000
625,000 North Atlantic Holding Company, Inc.(d) Zero Coupon 3/1/2008 346,875
98,000 PacifiCare Health Systems, Inc. 10.750 6/1/2009 111,720
275,000 Rayovac Corporation 8.500 10/1/2013 288,750
425,000 Roundy's, Inc. 8.875 6/15/2012 450,500
80,000 Stater Brothers Holdings, Inc.(c) 5.060 9/15/2004 81,300
210,000 Stater Brothers Holdings, Inc. 8.125 6/15/2012 210,788
150,000 Stone Container Corporation 11.500 8/15/2006 151,312
685,000 Tenet Healthcare Corporation(b) 7.375 2/1/2013 619,925
250,000 Tenet Healthcare Corporation(b) 9.875 7/1/2014 254,375
200,000 Triad Hospitals, Inc. 7.000 5/15/2012 201,500
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 7,952,172
=========================================================================================================================
Energy (5.3%)
- -------------------------------------------------------------------------------------------------------------------------
580,000 Chesapeake Energy Corporation 9.000 8/15/2012 652,500
650,000 Dresser, Inc. 9.375 4/15/2011 695,500
50,000 Evergreen Resources, Inc. 5.875 3/15/2012 50,500
400,000 EXCO Resources, Inc. 7.250 1/15/2011 406,000
675,000 Hanover Equipment Trust(b) 8.500 9/1/2008 713,812
260,000 Newpark Resources, Inc. 8.625 12/15/2007 263,900
215,000 Pride International, Inc.(b) 9.375 5/1/2007 219,300
370,000 Pride International, Inc.(h) 7.375 7/15/2014 373,700
300,000 SESI, LLC 8.875 5/15/2011 323,250
415,000 TransMontaigne, Inc. 9.125 6/1/2010 427,450
200,000 Valero Energy Corporation 7.800 6/14/2010 192,500
325,000 Vintage Petroleum, Inc. 7.875 5/15/2011 333,125
150,000 Vintage Petroleum, Inc. 8.250 5/1/2012 159,000
390,000 Western Oil Sands, Inc. (i) 8.375 5/1/2012 423,150
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 5,233,687
=========================================================================================================================
Financials (5.6%)
- -------------------------------------------------------------------------------------------------------------------------
390,000 Alamosa Delaware, Inc. 8.500 1/31/2012 382,200
320,000 BCP Caylux Holdings Luxembourg SCA 9.625 6/15/2014 331,600
450,000 Bluewater Finance, Ltd. 10.250 2/15/2012 474,750
536,994 Calpoint Receivable Structured Trust 7.440 12/10/2006 538,337
430,000 Choctaw Resort Development Enterprise 9.250 4/1/2009 462,250
367,991 FINOVA Group, Inc. 7.500 11/15/2009 201,475
225,000 Fresenius Medical Care Capital Trust IV 7.875 6/15/2011 238,500
550,000 Gemstone Investor, Ltd. 7.710 10/31/2004 554,125
390,000 IPCS Escrow Company 11.500 5/1/2012 399,750
400,000 NTL Cable, plc(c) 6.610 7/15/2004 412,000
100,000 NTL Cable, plc(b) 8.750 4/15/2014 102,500
450,000 Riggs Capital Trust II 8.875 3/15/2027 451,124
200,000 Sheridan Group, Inc. 10.250 8/15/2011 210,500
475,000 Ventas Realty, LP, Capital Corporation 8.750 5/1/2009 513,000
250,000 VWR International, Inc. 8.000 4/15/2014 256,250
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 5,528,361
=========================================================================================================================
Foreign (0.4%)
- -------------------------------------------------------------------------------------------------------------------------
383,032 Marconi Corporation plc (f) 8.000 4/30/2008 413,674
- -------------------------------------------------------------------------------------------------------------------------
Total Foreign 413,674
=========================================================================================================================
Technology (1.8%)
- -------------------------------------------------------------------------------------------------------------------------
400,000 Amkor Technology, Inc. 7.125 3/15/2011 375,000
190,000 Celestica, Inc. 7.875 7/1/2011 193,800
400,000 Sanmina-SCI Corporation 10.375 1/15/2010 458,000
325,000 Universal City Development Services 11.750 4/1/2010 376,188
400,000 Xerox Corporation 7.625 6/15/2013 409,000
- -------------------------------------------------------------------------------------------------------------------------
Total Technology 1,811,988
=========================================================================================================================
Transportation (0.9%)
- -------------------------------------------------------------------------------------------------------------------------
256,270 Continental Airlines, Inc. 7.373 12/15/2015 204,878
253,258 Continental Airlines, Inc. 6.545 2/2/2019 236,981
180,000 Horizon Lines, LLC 9.000 11/1/2012 183,375
150,000 United Air Lines, Inc. (j) 7.730 7/1/2010 122,497
150,000 United Air Lines, Inc. (j) 6.602 9/1/2013 124,946
42,316 United Air Lines, Inc. (j) 7.783 1/1/2014 34,881
- -------------------------------------------------------------------------------------------------------------------------
Total Transportation 907,558
=========================================================================================================================
Utilities (11.1%)
- -------------------------------------------------------------------------------------------------------------------------
200,000 AES Corporation(b) 8.875 2/15/2011 207,500
880,000 AES Corporation 8.750 5/15/2013 942,700
226,975 Cedar Brakes II, LLC 9.875 9/1/2013 226,408
500,000 CMS Energy Corporation 7.000 1/15/2005 502,500
650,000 CMS Energy Corporation 7.500 1/15/2009 646,750
200,000 DPL, Inc. 6.875 9/1/2011 201,500
440,000 Dynegy Holdings, Inc. 9.875 7/15/2010 473,000
650,000 Edison International, Inc. 6.875 9/15/2004 654,875
850,000 Edison Mission Energy 9.875 4/15/2011 886,125
50,000 El Paso CGP Company 9.625 5/15/2012 47,500
450,000 El Paso Corporation 7.375 12/15/2012 390,375
101,000 El Paso Energy Partners, LP 8.500 6/1/2011 109,332
175,000 El Paso Natural Gas Corporation 7.625 8/1/2010 179,375
500,000 El Paso Production Holding Company 7.750 6/1/2013 458,750
450,000 Ferrellgas Partners, LP 8.750 6/15/2012 480,375
54,000 Gulfterra Energy Partner 8.500 6/1/2010 58,725
400,000 Ipalco Enterprises, Inc. 8.375 11/14/2008 434,000
160,000 Ipalco Enterprises, Inc. 8.625 11/14/2011 173,600
640,000 Legrand SA 10.500 2/15/2013 729,600
275,000 Midwest Generation, LLC 8.750 5/1/2034 277,750
230,000 Mission Energy Holding Company 13.500 7/15/2008 257,312
150,000 MSW Energy Holdings 8.500 9/1/2010 158,625
700,000 NRG Energy, Inc. 8.000 12/15/2013 707,000
110,000 Pacific Energy Partners, LP/ Pacific Energy Finance
Corporation 7.125 6/15/2014 111,650
350,000 Sonat, Inc. 7.625 7/15/2011 312,375
850,000 Williams Companies, Inc. 8.625 6/1/2010 935,000
210,000 Williams Companies, Inc. 7.625 7/15/2019 202,125
225,000 Williams Companies, Inc.(b) 7.875 9/1/2021 216,562
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 10,981,389
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $82,262,355) 82,742,409
=========================================================================================================================
Shares Preferred Stock (0.9%) Value
- -------------------------------------------------------------------------------------------------------------------------
550 Dobson Communications Corporation, Convertible $53,404
582 Sovereign Real Estate Investment Corporation 849,720
- -------------------------------------------------------------------------------------------------------------------------
Total Preferred Stock (cost $953,050) 903,124
=========================================================================================================================
Shares Common Stock(l) Value
- -------------------------------------------------------------------------------------------------------------------------
1 Orion Refining Corporation (e,f,l) $0
1 Pathmark Stores, Inc. (b,l) 8
- -------------------------------------------------------------------------------------------------------------------------
Total Common Stock (cost $17) 8
=========================================================================================================================
Shares Collateral Held for Securities Loaned (6.5%) Interest Rate(m) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
6,406,950 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $6,406,950
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $6,406,950) 6,406,950
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (8.8%) Interest Rate(m) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$200,000 Federal National Mortgage Association 1.200% 9/8/2004 $199,540
1,000,000 Fountain Square Commercial Funding Corporation 1.500 7/1/2004 1,000,000
800,000 General Electric Capital Corporation 1.044 7/8/2004 799,838
1,300,000 General Electric Capital Corporation 1.144 9/3/2004 1,297,366
875,000 Royal Caribbean Cruises, Ltd. 8.125 7/28/2004 878,533
4,544,083 Thrivent Money Market Portfolio 0.768 N/A 4,544,083
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 8,719,360
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $98,341,732) $98,771,851
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) All or a portion of the security is on loan as
discussed in item 2(L) of the Notes to Financial
Statements.
(c) Denotes variable rate obligations for which the
current yield and next scheduled reset date are
shown.
(d) Denotes step coupon bonds for which the current
interest rate and next scheduled reset date are
shown.
(e) Security is fair valued as discussed in the notes to
the financial statements.
(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 April 30,
2004, by obtaining quotations from brokers active
with these securities. The following table indicates
the acquisition date and cost of restricted
securities the Portfolio owned as of April 30, 2004.
Acquisition
Security Date Cost
- -------------------------------------------------------------------------------------------------------------------------
Amerigas Partners, LP 4/17/2002 $115,088
Marconi Corporation plc 7/16/2003 224,925
Marconi Corporation plc 11/5/2003 142,873
Orion Refining Corporation 8/3/2001 0
Rocky River Private Placement 11/22/2000 253,172
(g) Non-income producing and in bankruptcy.
(h) Denotes investments purchased on a when-issued basis.
(i) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(j) In bankruptcy.
(k) The market value of the denoted categories of
investments represents less than 0.1% of the total
investments of the Partner High Yield Portfolio.
(l) Non-income producing security.
(m) 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.
Income Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Principal
Amount Long-Term Fixed Income (75.2%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities (5.4%)
- -------------------------------------------------------------------------------------------------------------------------
$13,000,000 Chase Credit Card Master Trust(b,c) 5.500% 11/17/2008 $13,593,762
9,000,000 Citibank Credit Card Issuance Trust(b) 2.550 1/20/2009 8,814,870
9,000,000 CPL Transition Funding, LLC 5.010 1/15/2010 9,299,214
4,000,000 Daimler Chrysler Motor Company(d) 1.289 7/15/2004 4,001,840
5,000,000 First National Master Note Trust(d) 1.339 7/15/2004 5,006,690
4,500,000 GMAC Mortgage Corporation Loan Trust(d) 1.430 7/26/2004 4,509,009
5,000,000 Honda Auto Receivables Owner Trust 2.960 4/18/2009 4,932,610
8,000,000 MBNA Credit Card Master Note Trust(b) 1.349 7/15/2004 8,014,928
4,000,000 Residential Asset Securities Corporation 3.250 5/25/2029 3,948,088
6,500,000 Toyota Auto Receivables Owner Trust 4.390 5/15/2009 6,628,037
- -------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities 68,749,048
=========================================================================================================================
Basic Materials (1.4%)
- -------------------------------------------------------------------------------------------------------------------------
4,000,000 Georgia-Pacific Corporation(b) 8.875 2/1/2010 4,530,000
1,750,000 ICI Wilmington, Inc. 4.375 12/1/2008 1,716,648
2,500,000 ICI Wilmington, Inc.(e) 5.625 12/1/2013 2,443,722
4,000,000 International Steel Group, Inc. 6.500 4/15/2014 3,750,000
1,250,000 NOVA Chemicals Corporation 6.500 1/15/2012 1,231,250
1,125,000 Peabody Energy Corporation(e) 6.875 3/15/2013 1,139,062
3,500,000 Precision Castparts Corporation 5.600 12/15/2013 3,407,408
- -------------------------------------------------------------------------------------------------------------------------
Total Basic Materials 18,218,090
=========================================================================================================================
Capital Goods (5.0%)
- -------------------------------------------------------------------------------------------------------------------------
4,250,000 Allied Waste North America, Inc.(b) 8.875 4/1/2008 4,653,750
5,250,000 Allied Waste North America, Inc. 6.375 4/15/2011 5,145,000
900,000 Ball Corporation 6.875 12/15/2012 913,500
9,000,000 Boeing Capital Corporation 5.800 1/15/2013 9,268,029
6,000,000 Bombardier Capital, Inc.(c,e) 6.300 5/1/2014 5,096,088
9,000,000 Caterpillar, Inc.(b,c) 4.500 6/15/2009 9,039,330
3,000,000 Crown Euro Holdings SA(e) 9.500 3/1/2011 3,270,000
7,000,000 Dow Jones "CDX" Index Bonds(e) 6.050 3/25/2009 6,825,000
6,000,000 Raytheon Company(e) 5.375 4/1/2013 5,983,050
5,032,055 Systems 2001 Asset Trust, LLC(b) 6.664 9/15/2013 5,426,920
6,000,000 Tyco International Group SA(e) 6.000 11/15/2013 6,168,072
1,800,000 Tyco International Group SA, Convertible 2.750 1/15/2018 2,704,500
- -------------------------------------------------------------------------------------------------------------------------
Total Capital Goods 64,493,239
=========================================================================================================================
Commercial Mortgage-Backed Securities (2.5%)
- -------------------------------------------------------------------------------------------------------------------------
1,885,513 Banc of America Commercial Mortgage, Inc. 3.366 7/11/2043 1,885,371
3,000,000 Banc of America Commercial Mortgage, Inc. 5.118 7/11/2043 3,011,019
6,000,000 J.P. Morgan Chase Commercial Mortgage Securities
Corporation(d) 1.531 7/14/2004 6,001,956
6,000,000 J.P. Morgan Chase Commercial Mortgage Securities
Corporation 4.302 1/15/2038 5,762,970
10,250,000 LB-UBS Commercial Mortgage Trust 3.323 3/15/2027 9,970,482
5,821,134 Lehman Brothers "CALSTRS" Mortgage Trust 3.988 11/20/2012 5,817,269
- -------------------------------------------------------------------------------------------------------------------------
Total Commercial Mortgage-Backed Securities 32,449,067
=========================================================================================================================
Communications Services (6.1%)
- -------------------------------------------------------------------------------------------------------------------------
4,500,000 AT&T Wireless Services, Inc.(c) 8.125 5/1/2012 5,202,680
1,500,000 British Sky Broadcasting Group plc 8.200 7/15/2009 1,728,255
5,000,000 Comcast Corporation(c) 6.500 1/15/2015 5,182,245
2,600,000 CSC Holdings, Inc.(e) 7.625 4/1/2011 2,606,500
2,000,000 CSC Holdings, Inc. 6.750 4/15/2012 1,920,000
5,000,000 Deutsche Telekom International Finance BV(e) 5.250 7/22/2013 4,867,655
3,250,000 EchoStar DBS Corporation(b) 5.750 10/1/2008 3,205,312
6,000,000 Interpublic Group of Companies, Inc. 7.250 8/15/2011 6,418,674
3,500,000 News America Holdings 8.150 10/17/2036 4,193,354
1,500,000 Nextel Communications, Inc. 5.950 3/15/2014 1,380,000
3,000,000 Nextel Communications, Inc. 7.375 8/1/2015 3,030,000
3,000,000 Qwest Corporation 9.125 3/15/2012 3,240,000
4,500,000 Rogers Cable, Inc. 6.250 6/15/2013 4,236,394
7,500,000 Sprint Capital Corporation(e) 7.625 1/30/2011 8,291,168
6,500,000 Telecom Italia Capital SA(e) 5.250 11/15/2013 6,290,999
9,000,000 Verizon Pennsylvania, Inc. 5.650 11/15/2011 9,130,644
750,000 Vivendi Universal SA 9.250 4/15/2010 886,462
6,000,000 WPP Finance USA Corporation 5.875 6/15/2014 6,024,582
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 77,834,924
=========================================================================================================================
Consumer Cyclical (5.6%)
- -------------------------------------------------------------------------------------------------------------------------
3,000,000 Aztar Corporation 7.875 6/15/2014 3,030,000
1,000,000 Best Buy Company, Inc., Convertible 2.250 1/15/2022 1,036,250
2,200,000 Costco Wholesale Corporation, Convertible(b) Zero Coupon 8/19/2017 2,070,750
4,500,000 D.R. Horton, Inc.(c) 7.500 12/1/2007 4,860,000
4,500,000 DaimlerChrysler North American Holdings
Corporation(c) 4.750 1/15/2008 4,537,292
5,000,000 DaimlerChrysler North American Holdings
Corporation(e) 6.500 11/15/2013 5,126,200
3,250,000 Dana Corporation 9.000 8/15/2011 3,802,500
1,800,000 Ferrellgas Partners, LP 6.750 5/1/2014 1,737,000
4,500,000 Ford Motor Credit Company(e) 7.375 2/1/2011 4,746,452
4,500,000 General Motors Acceptance Corporation(e) 5.125 5/9/2008 4,516,632
8,500,000 Harrahs Operating Company, Inc(e) 5.375 12/15/2013 8,021,484
3,000,000 KB Home 6.375 8/15/2011 2,970,000
950,000 Kerzner International, Convertible 2.375 4/15/2024 966,625
3,000,000 Lear Corporation(e) 8.110 5/15/2009 3,417,144
3,000,000 Liberty Media Corporation(e) 8.500 7/15/2029 3,474,921
2,400,000 Liberty Media Corporation, Convertible 0.750 3/30/2023 2,739,000
1,700,000 Liberty Media Corporation, Convertible 3.250 3/15/2031 1,521,500
3,300,000 Mohegan Tribal Gaming Authority(e) 6.375 7/15/2009 3,308,250
2,700,000 Royal Caribbean Cruises, Ltd.(e) 8.000 5/15/2010 2,909,250
2,150,000 Station Casinos, Inc.(e) 6.500 2/1/2014 2,069,375
4,000,000 Yum! Brands, Inc.(c) 7.650 5/15/2008 4,466,300
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 71,326,925
=========================================================================================================================
Consumer Non-Cyclical (2.4%)
- -------------------------------------------------------------------------------------------------------------------------
1,350,000 Amgen, Inc., Convertible Zero Coupon 3/1/2032 992,250
7,000,000 Bunge Limited Finance Corporation(c) 7.800 10/15/2012 7,972,202
2,750,000 Fisher Scientific International, Inc. 8.125 5/1/2012 2,942,500
5,000,000 HCA Healthcare Company 7.875 2/1/2011 5,483,870
7,000,000 Hospira, Inc. 4.950 6/15/2009 7,039,361
1,325,000 Omnicare, Inc.(e) 6.125 6/1/2013 1,265,375
3,000,000 Stater Brothers Holdings, Inc.(e) 8.125 6/15/2012 3,011,250
2,400,000 Teva Pharmaceutical Finance NV, Convertible 0.250 2/1/2024 2,550,000
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 31,256,808
=========================================================================================================================
Energy (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
2,000,000 Plains Exploration & Production Company 7.125 6/15/2014 2,035,000
3,525,000 Premcor Refining Group(e) 9.250 2/1/2010 3,974,438
1,300,000 Premcor Refining Group 6.125 5/1/2011 1,293,500
2,000,000 XTO Energy, Inc. 6.250 4/15/2013 2,080,514
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 9,383,452
=========================================================================================================================
Financials (14.7%)
- -------------------------------------------------------------------------------------------------------------------------
3,000,000 Bank of America Corporation 5.375 6/15/2014 2,973,309
3,000,000 Bank One Issuance Trust(d) 1.289 7/15/2004 3,001,380
3,000,000 BCP Caylux Holdings Luxembourg SCA(e) 9.625 6/15/2014 3,108,750
5,000,000 Capital One Bank 4.250 12/1/2008 4,903,145
5,000,000 Capital One Financial Corporation 6.250 11/15/2013 5,053,685
8,000,000 CIT Group, Inc.(e) 4.000 5/8/2008 7,933,256
5,000,000 Citigroup, Inc.(d) 1.250 8/9/2004 5,002,040
5,250,000 Credit Suisse First Boston Mortgage Securities
Corporation(b) 3.861 3/15/2036 5,154,870
9,000,000 Credit Suisse First Boston Mortgage Securities
Corporation 2.843 5/15/2038 8,584,353
6,000,000 Danske Bank A/S(e) 5.914 12/29/2049 6,081,372
6,500,000 Dresdner Funding Trust I(c) 8.151 6/30/2031 7,241,072
10,000,000 Equitable Life Assurance Society USA 6.950 12/1/2005 10,577,230
6,000,000 General Electric Capital Corporation(d) 2.255 8/2/2004 6,000,000
7,500,000 General Motors Acceptance Corporation(e) 5.625 5/15/2009 7,484,970
1,200,000 Goldman Sachs Group, Inc., Convertible(d) Zero Coupon 8/20/2004 1,151,628
8,000,000 HBOS Capital Funding, LP(e) 6.071 6/30/2049 8,031,944
7,500,000 Honda Auto Receivables Owner Trust(b) 2.790 3/16/2009 7,381,545
7,000,000 HSBC Capital Funding, LP 9.547 12/29/2049 8,543,822
4,250,000 International Lease Finance Corporation 5.625 6/1/2007 4,460,026
26,040,000 Lehman Brothers, Inc.(b) 6.539 8/15/2008 27,549,539
7,000,000 Montpelier Reinsurance Holdings, Ltd. 6.125 8/15/2013 7,011,543
4,495,000 Morgan Stanley and Company 7.252 9/15/2011 4,962,525
6,000,000 Popular North America, Inc. 4.700 6/30/2009 6,005,244
9,000,000 RBS Capital Trust I(e) 4.709 12/29/2049 8,297,775
5,500,000 Southtrust Corporation 5.800 6/15/2014 5,604,032
3,250,000 Sovereign Bancorp, Inc. 10.500 11/15/2006 3,723,450
6,000,000 Washington Mutual, Inc.(e) 8.250 4/1/2010 6,986,400
6,000,000 Wells Fargo Financial, Inc.(c) 7.730 12/1/2026 6,516,954
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 189,325,859
=========================================================================================================================
Foreign (2.2%)
- -------------------------------------------------------------------------------------------------------------------------
9,250,000 Corporacion Andina de Fomento 6.875 3/15/2012 9,943,806
1,260,417 Pemex Finance, Ltd. 8.450 2/15/2007 1,349,730
6,000,000 Pemex Finance, Ltd.(b) 9.030 2/15/2011 6,980,940
4,000,000 Republic of South Africa(e) 6.500 6/2/2014 4,040,000
4,000,000 United Mexican States 9.875 2/1/2010 4,806,000
1,500,000 United Mexican States 6.375 1/16/2013 1,497,000
- -------------------------------------------------------------------------------------------------------------------------
Total Foreign 28,617,476
=========================================================================================================================
Mortgage-Backed Securities (5.0%)
- -------------------------------------------------------------------------------------------------------------------------
15,750,000 Federal National Mortgage Association 15-YR
Conventional(f) 5.500 7/1/2019 16,104,375
47,750,000 Federal National Mortgage Association 30-Yr.
Conventional(f) 6.000 7/1/2034 48,734,841
- -------------------------------------------------------------------------------------------------------------------------
Total Mortgage-Backed Securities 64,839,216
=========================================================================================================================
Other (0.6%)
- -------------------------------------------------------------------------------------------------------------------------
8,000,000 Glencore Funding, LLC 6.000 4/15/2014 7,420,320
- -------------------------------------------------------------------------------------------------------------------------
Total Other 7,420,320
=========================================================================================================================
Technology (0.8%)
- -------------------------------------------------------------------------------------------------------------------------
7,000,000 Electronic Data Systems(e) 6.000 8/1/2013 6,685,616
2,500,000 Flextronics International, Ltd.(e) 6.500 5/15/2013 2,437,500
1,650,000 Unisys Corporation(e) 6.875 3/15/2010 1,699,500
- -------------------------------------------------------------------------------------------------------------------------
Total Technology 10,822,616
=========================================================================================================================
Transportation (4.0%)
- -------------------------------------------------------------------------------------------------------------------------
7,000,000 American Airlines, Inc. 7.250 2/5/2009 6,658,750
5,500,000 CNF, Inc. 8.875 5/1/2010 6,378,878
3,500,000 CSX Corporation(e) 6.750 3/15/2011 3,796,342
4,343,664 Federal Express Corporation 6.845 1/15/2019 4,585,432
4,340,511 Federal Express Corporation 6.720 1/15/2022 4,649,381
2,000,000 FedEx Corporation 3.500 4/1/2009 1,919,556
4,250,000 Hertz Corporation 7.400 3/1/2011 4,461,986
3,500,000 MISC Capital Ltd.(f) 5.000 7/1/2009 3,504,711
6,500,000 Southwest Airlines Company 5.496 11/1/2006 6,736,613
3,000,000 Southwest Airlines Company 6.500 3/1/2012 3,186,777
5,889,461 United Air Lines, Inc.(g) 7.186 4/1/2011 4,900,267
- -------------------------------------------------------------------------------------------------------------------------
Total Transportation 50,778,693
=========================================================================================================================
U.S. Government (13.1%)
- -------------------------------------------------------------------------------------------------------------------------
15,000,000 Federal Home Loan Mortgage Corporation(c,d,e) 1.365 9/9/2004 14,997,945
9,000,000 Federal National Mortgage Association(c) 2.375 12/15/2005 8,968,986
12,000,000 Student Loan Marketing Association(c) 2.000 3/15/2005 12,007,152
12,750,000 U.S. Government Zero Coupon Bonds(e) Zero Coupon 2/15/2013 8,498,768
38,000,000 U.S. Government Zero Coupon Bonds Zero Coupon 11/15/2022 13,579,870
30,750,000 U.S. Treasury Bonds(e) 6.125 8/15/2029 33,825,000
7,000,000 U.S. Treasury Notes(c) 2.125 10/31/2004 7,013,398
34,675,000 U.S. Treasury Notes(c,e) 1.250 5/31/2005 34,433,905
12,000,000 U.S. Treasury Notes(e) 1.500 7/31/2005 11,919,840
6,000,000 U.S. Treasury Notes(e) 2.375 8/15/2006 5,948,670
7,500,000 U.S. Treasury Notes(e) 3.250 8/15/2008 7,407,128
10,500,000 U.S. Treasury Notes(e) 2.625 3/15/2009 9,990,582
- -------------------------------------------------------------------------------------------------------------------------
Total U.S. Government 168,591,244
=========================================================================================================================
Utilities (5.7%)
- -------------------------------------------------------------------------------------------------------------------------
2,250,000 ANR Pipeline Company(e) 8.875 3/15/2010 2,458,125
12,000,000 CalEnergy Company, Inc.(b) 7.630 10/15/2007 13,208,232
5,500,000 Centerpoint Energy, Inc.(e) 7.250 9/1/2010 5,849,349
1,000,000 Ferrellgas Partners, LP 8.750 6/15/2012 1,067,500
4,500,000 FirstEnergy Corporation(e) 6.450 11/15/2011 4,665,416
4,000,000 Kinder Morgan Energy Partners, LP(b) 7.500 11/1/2010 4,490,228
3,000,000 Kinder Morgan Energy Partners, LP(e) 7.750 3/15/2032 3,328,629
2,000,000 Pacific Energy Partners, LP/Pacific Energy Finance
Corporation 7.125 6/15/2014 2,030,000
5,000,000 Pacific Gas & Electric Company(e) 6.050 3/1/2034 4,702,780
2,182,648 Power Contract Financing, LLC 5.200 2/1/2006 2,196,093
3,000,000 Power Contract Financing, LLC 6.256 2/1/2010 3,054,960
4,606,949 Power Receivables Finance, LLC 6.290 1/1/2012 4,691,118
2,750,000 Public Service Company of New Mexico 4.400 9/15/2008 2,741,519
2,250,000 Southern Natural Gas Company(e) 8.875 3/15/2010 2,458,125
5,500,000 Texas-New Mexico Power Company 6.125 6/1/2008 5,515,477
3,000,000 Transcontinental Gas Pipe Corporation 8.875 7/15/2012 3,390,000
7,000,000 Western Resources, Inc. 7.875 5/1/2007 7,705,250
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 73,552,801
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $960,305,852) 967,659,778
=========================================================================================================================
Shares Preferred Stock (0.4%) Value
- -------------------------------------------------------------------------------------------------------------------------
22,500 Goldman Sachs Preferred Stock, Convertible(h) $2,351,858
36,868 Morgan Stanley and Company, Convertible(h) 1,140,696
20,000 Washington Mutual, Inc., Convertible 1,067,400
- -------------------------------------------------------------------------------------------------------------------------
Total Preferred Stock (cost $4,687,487) 4,559,954
=========================================================================================================================
Shares Collateral Held for Securities Loaned (17.2%) Interest Rate(i) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
221,624,335 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $221,624,335
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned
(cost $221,624,335) 221,624,335
=========================================================================================================================
Principal
Amount Short-Term Investments (7.2%) Interest Rate(i) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$10,000,000 Barton Capital Corporation(b) 1.151% 7/6/2004 $9,998,403
20,000,000 Blue Spice, LLC 1.550 7/1/2004 20,000,000
9,000,000 Federal Home Loan Mortgage Corporation 4.500 8/15/2004 9,000,000
19,850,000 Johnson Controls, Inc. 1.500 7/1/2004 19,850,000
16,000,000 Kitty Hawk Funding Corporation 1.301 7/14/2004 15,992,489
17,500,000 Preferred Receivables Funding Corporation(c) 1.281 7/20/2004 17,488,178
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 92,329,070
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $1,278,946,744) $1,286,173,137
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(c) At June 30, 2004, all or a portion of the denoted
U.S. Treasury Notes and other securities, valued at
$88,667,480, 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 720 September 2004 Short $78,716,255 $77,626,569 $1,089,686
(d) Denotes variable rate obligations for which the
current yield 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) Non-income producing security.
(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.
Bond Index Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Principal
Amount Long-Term Fixed Income (66.5%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities (0.6%)
- -------------------------------------------------------------------------------------------------------------------------
$1,000,000 Citibank Credit Card Issuance Trust(b) 4.100% 12/7/2006 $1,009,794
450,000 GMAC Mortgage Corporation Loan Trust(c) 1.430 7/26/2004 450,901
82,532 Green Tree Financial Corporation 6.330 11/1/2029 83,153
450,000 MBNA Credit Card Master Note Trust(b,c) 1.349 7/15/2004 450,840
250,000 PECO Energy Transition Trust(b) 6.050 3/1/2009 263,713
272,583 Vanderbilt Mortgage Finance Corporation 7.820 11/7/2017 280,595
- -------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities 2,538,996
=========================================================================================================================
Basic Materials (0.6%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 Alcan, Inc.(b) 5.200 1/15/2014 488,982
300,000 Codelco, Inc.(b) 6.375 11/30/2012 317,511
350,000 Dow Chemical Company 5.750 11/15/2009 365,244
650,000 International Paper Company(d) 5.850 10/30/2012 660,195
300,000 Potash Corporation of Saskatchewan, Inc.(b) 7.750 5/31/2011 343,913
- -------------------------------------------------------------------------------------------------------------------------
Total Basic Materials 2,175,845
=========================================================================================================================
Capital Goods (1.2%)
- -------------------------------------------------------------------------------------------------------------------------
625,000 Boeing Capital Corporation(b) 6.100 3/1/2011 661,281
250,000 Caterpillar, Inc.(b) 9.000 4/15/2006 275,758
1,400,000 General Electric Company(b) 5.000 2/1/2013 1,377,842
250,000 Hanson plc(b) 6.750 9/15/2005 261,360
225,000 Hutchison Whampoa International, Ltd. 5.450 11/24/2010 220,844
250,000 Hutchison Whampoa International, Ltd.(d) 6.250 1/24/2014 242,368
500,000 Lockheed Martin Corporation(b) 8.200 12/1/2009 585,911
200,000 Northrop Grumman Corporation 7.125 2/15/2011 224,754
875,000 Raytheon Company(b) 5.500 11/15/2012 882,972
- -------------------------------------------------------------------------------------------------------------------------
Total Capital Goods 4,733,090
=========================================================================================================================
Commercial Mortgage-Backed Securities (1.4%)
- -------------------------------------------------------------------------------------------------------------------------
700,000 Banc of America Commercial Mortgage, Inc. 5.118 7/11/2043 702,571
400,000 Bear Stearns Commercial Mortgage Securities 3.869 2/11/2041 386,557
600,000 General Electric Capital Commercial Mortgage
Corporation 4.641 9/10/2013 581,762
400,000 GMAC Commercial Mortgage Securities, Inc. 6.175 5/15/2033 428,593
1,000,000 J.P. Morgan Chase Commercial Mortgage Securities
Corporation(b,c) 1.531 7/14/2004 1,000,326
1,000,000 LB-UBS Commercial Mortgage Trust(b) 3.086 5/15/2027 961,187
154,663 Morgan Stanley Capital I, Inc. 6.250 3/15/2030 156,338
500,000 Morgan Stanley Capital I, Inc. 6.550 3/15/2030 537,298
249,357 Morgan Stanley Capital I, Inc. 6.120 3/15/2031 258,955
441,706 Nationslink Funding Corporation 6.316 1/20/2031 470,541
- -------------------------------------------------------------------------------------------------------------------------
Total Commercial Mortgage-Backed Securities 5,484,128
=========================================================================================================================
Communications Services (2.1%)
- -------------------------------------------------------------------------------------------------------------------------
700,000 AT&T Wireless Services, Inc.(b) 7.875 3/1/2011 796,224
650,000 BellSouth Corporation 6.875 10/15/2031 677,111
200,000 British Telecom plc 8.375 12/15/2010 233,563
400,000 Cingular Wireless, Inc.(b) 6.500 12/15/2011 427,238
225,000 Comcast Corporation(b) 5.500 3/15/2011 227,148
475,000 Cox Communications, Inc. 3.875 10/1/2008 463,104
500,000 Cox Communications, Inc.(d) 4.625 6/1/2013 461,534
200,000 Deutsche Telekom International Finance BV(e) 8.500 6/15/2010 233,712
500,000 Deutsche Telekom International Finance BV 5.250 7/22/2013 486,766
200,000 France Telecom SA(b,e) 8.750 3/1/2011 231,764
250,000 Pacific Bell(d) 7.125 3/15/2026 266,973
400,000 SBC Communications, Inc. 5.875 2/1/2012 411,734
1,150,000 Sprint Capital Corporation(b) 7.625 1/30/2011 1,271,312
425,000 Tele-Communications, Inc. (TCI Group)(b) 7.875 8/1/2013 484,183
600,000 Telecom Italia Capital SA(b) 5.250 11/15/2013 580,708
500,000 Verizon Global Funding Corporation(d) 7.375 9/1/2012 562,383
500,000 Verizon Global Funding Corporation(b) 7.750 12/1/2030 561,590
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 8,377,047
=========================================================================================================================
Consumer Cyclical (1.8%)
- -------------------------------------------------------------------------------------------------------------------------
750,000 AOL Time Warner, Inc.(b) 6.875 5/1/2012 810,445
1,000,000 DaimlerChrysler North American Holdings
Corporation(b) 4.750 1/15/2008 1,008,287
750,000 Ford Motor Credit Company 5.800 1/12/2009 757,049
1,550,000 Ford Motor Credit Company(b) 7.250 10/25/2011 1,618,651
1,000,000 General Motors Acceptance Corporation 6.875 8/28/2012 1,017,258
600,000 General Motors Acceptance Corporation 8.000 11/1/2031 614,752
910,000 Target Corporation(b) 6.350 1/15/2011 992,189
525,000 Toyota Motor Credit Corporation(b) 2.875 8/1/2008 501,817
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 7,320,448
=========================================================================================================================
Consumer Non-Cyclical (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
650,000 Bunge Limited Finance Corporation 7.800 10/15/2012 740,276
475,000 Coca-Cola HBC Finance BV(b) 5.125 9/17/2013 468,293
650,000 ConAgra Foods, Inc.(b) 6.000 9/15/2006 683,927
750,000 General Mills, Inc. 6.000 2/15/2012 785,345
300,000 GlaxoSmithKline Capital, Inc.(b) 5.375 4/15/2034 272,934
250,000 Kimberly-Clark Corporation 6.375 1/1/2028 264,330
650,000 Kraft Foods, Inc.(b) 6.250 6/1/2012 684,443
650,000 Merck & Company, Inc.(b) 5.950 12/1/2028 650,918
475,000 Safeway, Inc.(b) 4.125 11/1/2008 464,949
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 5,015,415
=========================================================================================================================
Energy (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 Anadarko Finance Company(b) 6.750 5/1/2011 549,938
500,000 Burlington Resources, Inc. 6.500 12/1/2011 546,210
650,000 ConocoPhillips Company(b) 4.750 10/15/2012 635,178
425,000 Pemex Project Funding Master Trust(b) 9.125 10/13/2010 486,625
650,000 Union Oil Company of California(b) 5.050 10/1/2012 638,164
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 2,856,115
=========================================================================================================================
Financials (6.6%)
- -------------------------------------------------------------------------------------------------------------------------
660,000 Allstate Corporation 7.200 12/1/2009 752,517
250,000 Associates Corporation of North America(b) 6.250 11/1/2008 268,836
475,000 Australia & New Zealand Banking Group, Ltd. Capital
Trust I(b) 5.360 12/29/2049 454,396
250,000 Avalon Properties, Inc. 6.625 1/15/2005 255,516
1,075,000 Bank of America Corporation(b) 3.875 1/15/2008 1,073,264
425,000 Bank One Corporation(b) 5.900 11/15/2011 441,650
600,000 BB&T Corporation(b) 6.500 8/1/2011 651,541
725,000 CIT Group, Inc.(b) 4.750 12/15/2010 711,400
450,000 Citigroup, Inc.(b) 3.500 2/1/2008 443,809
500,000 Citigroup, Inc. 7.250 10/1/2010 563,102
900,000 Countrywide Home Loans, Inc.(b) 4.000 3/22/2011 839,430
1,000,000 Credit Suisse First Boston Mortgage Securities
Corporation(b) 3.861 3/15/2036 981,880
250,000 Credit Suisse First Boston Mortgage Securities
Corporation 2.843 5/15/2038 238,454
725,000 Credit Suisse First Boston USA, Inc. 3.875 1/15/2009 707,029
265,000 CS First Boston Mortgage Securities Corporation 6.480 5/17/2040 285,936
475,000 EOP Operating Limited Partnership 4.750 3/15/2014 437,627
500,000 First Union National Bank(b) 7.800 8/18/2010 577,784
275,000 General Motors Acceptance Corporation 5.625 5/15/2009 274,449
950,000 Goldman Sachs Group, Inc.(b) 6.600 1/15/2012 1,022,285
725,000 Honda Auto Receivables Owner Trust(b) 2.480 7/18/2008 718,686
500,000 Household Finance Corporation 4.750 5/15/2009 502,768
650,000 Household Finance Corporation(b) 6.375 11/27/2012 689,183
850,000 International Lease Finance Corporation(b) 5.875 5/1/2013 871,451
725,000 J.P. Morgan Chase & Company(b) 4.500 11/15/2010 705,666
350,000 John Deere Capital(b) 7.000 3/15/2012 391,689
575,000 Lehman Brothers Holdings, Inc.(d) 3.500 8/7/2008 557,514
3,000,000 MBIA Global Funding, LLC(b) 1.240 10/8/2004 3,000,180
475,000 Merrill Lynch & Company, Inc. 5.000 2/3/2014 456,457
1,856,000 Morgan Stanley and Company(b) 5.878 3/1/2007 1,943,455
650,000 Morgan Stanley and Company 3.875 1/15/2009 632,846
496,000 Morgan Stanley and Company 7.252 9/15/2011 547,589
567,000 Morgan Stanley and Company(b) 7.700 3/1/2032 632,551
300,000 PNC Funding Corporation 6.875 7/15/2007 325,792
600,000 ProLogis Trust(b) 5.500 3/1/2013 594,659
500,000 Southtrust Corporation 5.800 6/15/2014 509,458
475,000 Union Planters Corporation 4.375 12/1/2010 460,090
500,000 Washington Mutual Bank FA 5.500 1/15/2013 499,654
1,000,000 Wells Fargo Company(d) 3.500 4/4/2008 985,465
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 26,006,058
=========================================================================================================================
Foreign (1.4%)
- -------------------------------------------------------------------------------------------------------------------------
350,000 Canadian Government(b) 5.250 11/5/2008 369,512
650,000 European Investment Bank(d) 3.000 6/16/2008 634,759
475,000 Export-Import Bank of Korea 4.125 2/10/2009 460,779
750,000 International Bank for Reconstruction and
Development(d) 5.000 3/28/2006 778,628
250,000 Province of Nova Scotia(b) 7.250 7/27/2013 290,031
250,000 Province of Ontario 6.000 2/21/2006 262,295
400,000 Province of Quebec 4.875 5/5/2014 389,255
300,000 Province of Quebec 7.500 7/15/2023 360,479
500,000 Republic of Italy 6.000 2/22/2011 537,825
200,000 Republic of Italy(d) 4.375 6/15/2013 193,916
1,175,000 United Mexican States(b) 7.500 1/14/2012 1,266,062
- -------------------------------------------------------------------------------------------------------------------------
Total Foreign 5,543,541
=========================================================================================================================
Mortgage-Backed Securities (22.9%)
- -------------------------------------------------------------------------------------------------------------------------
723,410 Federal Home Loan Mortgage Corporation 6.500 10/1/2032 754,534
7,000,000 Federal Home Loan Mortgage Corporation 30-Yr. Gold
Conventional(f) 5.000 7/1/2034 6,755,000
9,000,000 Federal Home Loan Mortgage Corporation 30-Yr. Gold
Conventional(f) 6.000 7/1/2034 9,188,442
28,440 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.500 12/1/2009 30,230
22,292 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.000 1/1/2011 23,671
25,625 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 10/1/2012 27,123
25,771 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 1/1/2013 27,268
67,490 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 9/1/2013 70,571
116,748 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 5.500 3/1/2014 120,023
95,415 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 4/1/2014 99,771
31,963 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.000 10/1/2014 33,914
267,690 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.500 1/1/2015 285,316
53,169 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 3/1/2016 56,194
116,282 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 9/1/2016 121,379
276,352 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.500 10/1/2016 292,026
807,508 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 7.000 6/1/2017 856,722
988,273 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 6.000 7/1/2017 1,031,241
1,366,599 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Pass Through 5.500 12/1/2017 1,399,807
85,717 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 6/1/2016 89,474
13,901 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 4/1/2024 14,588
23,381 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 5/1/2024 24,837
7,226 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 8/1/2025 7,806
34,873 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.500 11/1/2025 38,276
8,900 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 1/1/2026 9,747
3,098 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 6/1/2026 3,285
15,047 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 4/1/2027 15,949
108,494 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 8.000 5/1/2027 118,818
14,735 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 7/1/2027 15,917
32,573 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 8/1/2027 34,525
12,931 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 10/1/2027 13,960
17,541 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 5/1/2028 18,581
49,263 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 8/1/2028 50,563
45,348 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 10/1/2028 47,390
33,379 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 2/1/2029 34,882
79,759 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 3/1/2029 81,806
59,058 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 7/1/2029 62,520
55,931 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 10/1/2029 60,277
31,058 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.500 11/1/2029 33,472
64,923 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 5/1/2031 67,771
182,054 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 6/1/2031 186,514
108,450 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 6/1/2031 114,681
182,898 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 7/1/2031 187,379
57,003 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 9/1/2031 60,278
105,875 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 10/1/2031 110,520
861,512 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 1/1/2032 882,617
170,365 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 5/1/2032 179,816
700,955 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 7.000 8/1/2032 739,838
1,148,833 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.000 11/1/2032 1,175,482
956,684 Federal Home Loan Mortgage Corporation Gold 30-Yr.
Pass Through 6.500 7/1/2032 997,844
7,900,000 Federal National Mortgage Association 15-Yr.
Conventional(f) 4.500 7/1/2019 7,717,312
12,000,000 Federal National Mortgage Association 15-Yr.
Conventional(f) 5.000 7/1/2019 12,011,256
29,800,000 Federal National Mortgage Association 30-Yr.
Conventional(f) 5.500 7/1/2034 29,651,000
22,194 Federal National Mortgage Association 30-Yr. Pass
Through 6.500 5/1/2026 23,226
10,977 Federal National Mortgage Association 30-Yr. Pass
Through 8.000 9/1/2026 12,009
1,160,654 Federal National Mortgage Association 30-Yr. Pass
Through 6.500 12/1/2032 1,209,388
16,807 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.000 4/1/2011 17,573
15,884 Federal National Mortgage Association Conventional
15-Yr. Pass Through 7.500 7/1/2011 16,956
15,399 Federal National Mortgage Association Conventional
15-Yr. Pass Through 8.000 7/1/2012 16,459
24,160 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.500 12/1/2012 25,578
50,567 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.500 6/1/2013 53,530
80,685 Federal National Mortgage Association Conventional
15-Yr. Pass Through 6.000 12/1/2013 84,324
13,779 Federal National Mortgage Association Conventional
30-Yr. Pass Through 10.500 8/1/2020 15,452
19,188 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 12/1/2024 21,009
21,555 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 10/1/2025 22,878
82,564 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 11/1/2025 86,559
10,334 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.500 12/1/2025 11,335
22,921 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 1/1/2026 24,637
15,140 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 2/1/2026 16,056
17,449 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 2/1/2027 18,754
8,629 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 3/1/2027 9,151
17,752 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 8/1/2027 18,557
9,197 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 11/1/2027 9,878
22,567 Federal National Mortgage Association Conventional
30-Yr. Pass Through 9.000 11/1/2027 25,295
8,089 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 1/1/2028 8,574
238,184 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 2/1/2028 255,834
33,511 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 5/1/2028 34,380
23,296 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 9/1/2028 24,321
48,064 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 10/1/2028 50,914
142,738 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 11/1/2028 153,414
113,789 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 12/1/2028 116,740
28,151 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 12/1/2028 29,819
36,958 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 2/1/2029 38,584
110,899 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 3/1/2029 113,775
60,945 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 3/1/2029 64,519
152,510 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 4/1/2029 159,144
39,227 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 8/1/2029 40,934
55,198 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 8/1/2029 59,190
55,012 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 10/1/2029 58,237
44,860 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 12/1/2029 48,105
30,209 Federal National Mortgage Association Conventional
30-Yr. Pass Through 8.000 4/1/2030 32,846
16,547 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.500 12/1/2030 17,739
261,522 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.000 5/1/2031 267,817
526,978 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 4/1/2032 549,104
525,077 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 5/1/2032 547,124
285,907 Federal National Mortgage Association Conventional
30-Yr. Pass Through 7.000 5/1/2032 301,750
2,043,224 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 7/1/2032 2,129,015
613,349 Federal National Mortgage Association Conventional
30-Yr. Pass Through 6.500 8/1/2032 639,102
28,622 Government National Mortgage Association 15-Yr. Pass
Through 6.500 6/15/2009 30,407
54,431 Government National Mortgage Association 15-Yr. Pass
Through 7.000 9/15/2013 58,035
15,446 Government National Mortgage Association 30-Yr. Pass
Through 7.500 3/15/2023 16,733
19,824 Government National Mortgage Association 30-Yr. Pass
Through 7.000 1/15/2024 21,171
8,399 Government National Mortgage Association 30-Yr. Pass
Through 9.000 9/15/2024 9,435
10,543 Government National Mortgage Association 30-Yr. Pass
Through 8.000 6/15/2025 11,609
58,205 Government National Mortgage Association 30-Yr. Pass
Through 8.000 7/15/2026 64,020
10,530 Government National Mortgage Association 30-Yr. Pass
Through 8.000 9/15/2026 11,582
10,714 Government National Mortgage Association 30-Yr. Pass
Through 8.000 10/15/2026 11,784
26,696 Government National Mortgage Association 30-Yr. Pass
Through 7.500 3/15/2027 28,823
16,775 Government National Mortgage Association 30-Yr. Pass
Through 7.500 10/15/2027 18,112
86,230 Government National Mortgage Association 30-Yr. Pass
Through 7.000 11/15/2027 91,869
40,919 Government National Mortgage Association 30-Yr. Pass
Through 7.000 1/15/2028 43,549
6,001 Government National Mortgage Association 30-Yr. Pass
Through 8.000 4/15/2028 6,585
39,893 Government National Mortgage Association 30-Yr. Pass
Through 6.500 7/15/2028 41,792
49,956 Government National Mortgage Association 30-Yr. Pass
Through 7.000 8/15/2028 53,167
68,155 Government National Mortgage Association 30-Yr. Pass
Through 7.500 11/15/2028 73,565
30,232 Government National Mortgage Association 30-Yr. Pass
Through 6.500 12/15/2028 31,671
124,186 Government National Mortgage Association 30-Yr. Pass
Through 6.500 3/15/2029 130,005
69,994 Government National Mortgage Association 30-Yr. Pass
Through 6.500 4/15/2029 73,273
62,391 Government National Mortgage Association 30-Yr. Pass
Through 8.000 10/15/2030 68,398
48,931 Government National Mortgage Association 30-Yr. Pass
Through 7.500 1/15/2031 52,737
47,837 Government National Mortgage Association 30-Yr. Pass
Through 7.000 4/15/2031 50,848
156,718 Government National Mortgage Association 30-Yr. Pass
Through 6.500 6/15/2031 163,979
141,302 Government National Mortgage Association 30-Yr. Pass
Through 6.500 7/15/2031 147,849
181,177 Government National Mortgage Association 30-Yr. Pass
Through 7.000 9/15/2031 192,584
862,009 Government National Mortgage Association 30-Yr. Pass
Through 6.500 1/15/2032 901,752
218,696 Government National Mortgage Association 30-Yr. Pass
Through 6.500 4/15/2032 228,779
1,041,866 Government National Mortgage Association 30-Yr. Pass
Through 6.500 7/15/2032 1,089,901
3,350,000 Government National Mortgage Corporation 30-Yr. Pass
Through(e) 6.500 7/1/2034 3,497,608
- -------------------------------------------------------------------------------------------------------------------------
Total Mortgage-Backed Securities 90,733,420
=========================================================================================================================
Technology (0.1%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 International Business Machines Corporation(d) 4.250 9/15/2009 499,016
- -------------------------------------------------------------------------------------------------------------------------
Total Technology 499,016
=========================================================================================================================
Transportation (0.4%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 CSX Corporation(b) 5.500 8/1/2013 493,666
273,620 Delta Air Lines, Inc. 6.619 3/18/2011 258,635
475,000 FedEx Corporation 3.500 4/1/2009 455,895
500,000 Union Pacific Corporation(b) 7.000 2/1/2016 553,321
- -------------------------------------------------------------------------------------------------------------------------
Total Transportation 1,761,517
=========================================================================================================================
U.S. Government (24.3%)
- -------------------------------------------------------------------------------------------------------------------------
250,000 African Development Bank(b) 6.875 10/15/2015 281,555
500,000 Federal Home Loan Bank(d) 4.125 1/14/2005 506,345
250,000 Federal Home Loan Bank 6.500 11/29/2005 263,693
600,000 Federal Home Loan Bank(d) 5.250 8/15/2006 626,279
500,000 Federal Home Loan Bank 6.625 8/27/2007 545,024
2,000,000 Federal Home Loan Bank 3.375 2/15/2008 1,970,864
500,000 Federal Home Loan Bank 2.750 3/14/2008 482,552
700,000 Federal Home Loan Bank(b) 5.925 4/9/2008 752,670
500,000 Federal Home Loan Bank 4.500 11/15/2012 484,274
850,000 Federal Home Loan Bank 4.500 9/16/2013 813,667
1,000,000 Federal Home Loan Mortgage Corporation 3.875 2/15/2005 1,012,578
500,000 Federal Home Loan Mortgage Corporation(d) 7.000 7/15/2005 524,079
3,000,000 Federal Home Loan Mortgage Corporation(d) 2.875 9/15/2005 3,016,275
500,000 Federal Home Loan Mortgage Corporation 7.100 4/10/2007 548,740
1,000,000 Federal Home Loan Mortgage Corporation(d) 3.500 9/15/2007 997,155
1,150,000 Federal Home Loan Mortgage Corporation 5.750 4/15/2008 1,227,246
1,050,000 Federal Home Loan Mortgage Corporation(d) 6.000 6/15/2011 1,127,444
1,750,000 Federal Home Loan Mortgage Corporation 5.125 7/15/2012 1,768,249
1,000,000 Federal Home Loan Mortgage Corporation(d) 4.500 1/15/2013 963,132
3,800,000 Federal National Mortgage Association(d) 3.875 3/15/2005 3,853,804
700,000 Federal National Mortgage Association(d) 5.500 5/2/2006 730,841
1,000,000 Federal National Mortgage Association(d) 4.250 7/15/2007 1,018,445
1,000,000 Federal National Mortgage Association(d) 3.250 1/15/2008 982,764
1,500,000 Federal National Mortgage Association 5.750 2/15/2008 1,598,385
500,000 Federal National Mortgage Association(d) 6.000 5/15/2008 538,543
1,000,000 Federal National Mortgage Association(d) 5.250 1/15/2009 1,047,487
1,000,000 Federal National Mortgage Association 6.250 2/1/2011 1,073,641
2,000,000 Federal National Mortgage Association 6.125 3/15/2012 2,156,638
500,000 Federal National Mortgage Association 5.960 9/11/2028 505,724
100,000 Federal National Mortgage Association(d) 6.250 5/15/2029 105,200
350,000 Inter-American Development Bank 5.375 11/18/2008 372,230
200,000 Resolution Funding Corporation(b) 8.125 10/15/2019 252,267
250,000 Tennessee Valley Authority(b) 6.000 3/15/2013 266,756
1,800,000 U.S. Treasury Bonds(d) 7.500 11/15/2016 2,218,991
350,000 U.S. Treasury Bonds 8.750 5/15/2017 474,414
400,000 U.S. Treasury Bonds(d) 8.875 2/15/2019 553,812
475,000 U.S. Treasury Bonds(d) 8.125 8/15/2019 622,102
250,000 U.S. Treasury Bonds(d) 8.125 8/15/2021 330,810
290,000 U.S. Treasury Bonds(d) 7.625 11/15/2022 368,765
1,000,000 U.S. Treasury Bonds(d) 6.250 8/15/2023 1,107,344
260,000 U.S. Treasury Bonds(d) 7.500 11/15/2024 329,266
350,000 U.S. Treasury Bonds(d) 6.875 8/15/2025 416,227
465,000 U.S. Treasury Bonds(d) 6.625 2/15/2027 539,564
500,000 U.S. Treasury Bonds 6.375 8/15/2027 564,356
1,000,000 U.S. Treasury Bonds(d) 5.500 8/15/2028 1,013,086
4,325,000 U.S. Treasury Bonds(d) 5.250 11/15/2028 4,237,319
1,500,000 U.S. Treasury Bonds(d) 5.250 2/15/2029 1,470,704
800,000 U.S. Treasury Bonds 6.125 8/15/2029 880,000
475,000 U.S. Treasury Notes(d) 7.875 11/15/2004 486,021
460,000 U.S. Treasury Notes(d) 7.500 2/15/2005 476,136
2,200,000 U.S. Treasury Notes(d) 1.625 3/31/2005 2,195,703
400,000 U.S. Treasury Notes(d) 6.750 5/15/2005 416,203
3,500,000 U.S. Treasury Notes(d) 2.000 8/31/2005 3,492,342
700,000 U.S. Treasury Notes(d) 5.875 11/15/2005 733,114
500,000 U.S. Treasury Notes(d) 5.625 2/15/2006 524,980
4,000,000 U.S. Treasury Notes(d) 2.000 5/15/2006 3,952,656
2,550,000 U.S. Treasury Notes(d) 7.000 7/15/2006 2,762,866
2,050,000 U.S. Treasury Notes(d) 6.500 10/15/2006 2,212,959
4,000,000 U.S. Treasury Notes(d) 3.500 11/15/2006 4,051,720
13,750,000 U.S. Treasury Notes(d) 4.375 5/15/2007 14,211,918
1,175,000 U.S. Treasury Notes(d) 6.125 8/15/2007 1,274,738
1,500,000 U.S. Treasury Notes(d) 3.375 11/15/2008 1,483,593
150,000 U.S. Treasury Notes(d) 5.500 5/15/2009 161,531
2,175,000 U.S. Treasury Notes(d) 6.000 8/15/2009 2,390,036
500,000 U.S. Treasury Notes(d) 6.500 2/15/2010 563,398
4,250,000 U.S. Treasury Notes(d) 5.000 2/15/2011 4,448,556
650,000 U.S. Treasury Notes(d) 4.875 2/15/2012 671,328
2,275,000 U.S. Treasury Notes(d) 4.250 8/15/2013 2,220,791
- -------------------------------------------------------------------------------------------------------------------------
Total U.S. Government 96,271,895
=========================================================================================================================
Utilities (1.1%)
- -------------------------------------------------------------------------------------------------------------------------
525,000 Alliant Energy Resources, Inc.(b) 7.375 11/9/2009 583,703
400,000 CenterPoint Energy Houston Electric, LLC 5.600 7/1/2023 370,323
250,000 Columbia Energy Group(b) 7.320 11/28/2010 263,314
475,000 Duke Capital Corporation(d) 7.500 10/1/2009 523,883
475,000 FirstEnergy Corporation(b) 6.450 11/15/2011 492,461
400,000 Niagara Mohawk Power Corporation(b) 7.750 10/1/2008 450,264
375,000 Oncor Electric Delivery Company(b) 6.375 1/15/2015 394,912
250,000 Pacific Gas & Electric Company 6.050 3/1/2034 235,139
600,000 Public Service Company of Colorado 7.875 10/1/2012 708,243
225,000 Southern California Edison Company(b) 5.000 1/15/2014 218,901
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 4,241,143
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $264,920,102) 263,557,674
=========================================================================================================================
Shares Collateral Held for Securities Loaned (16.9%) Interest Rate(g) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
67,112,643 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $67,112,643
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$67,112,643) 67,112,643
=========================================================================================================================
Shares or
Principal
Amount Short-Term Investments (16.6%) Rate(g) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$7,000,000 Amsterdam Funding Corporation 1.231% 7/13/2004 $6,997,130
6,000,000 Fountain Square Commercial Funding Corporation 1.151 7/7/2004 5,998,850
6,000,000 Independence Funding, LLC(b) 1.230 7/6/2004 5,998,975
3,000,000 Kitty Hawk Funding Corporation 1.221 7/12/2004 2,998,882
6,250,000 Nestle Capital Corporation(b) 1.040 7/1/2004 6,250,000
7,000,000 Nieuw Amsterdam Receivables Corporation(b) 1.071 7/1/2004 7,000,000
6,500,000 Preferred Receivables Funding Corporation(b) 1.191 7/9/2004 6,498,281
7,750,000 Starfish Global Funding, LLC 1.500 7/1/2004 7,750,000
7,348,051 Thrivent Money Market Portfolio 0.768 N/A 7,348,051
9,025,000 Triple A-1 Funding Corporation 1.500 7/1/2004 9,025,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 65,865,169
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $397,897,914) $396,535,486
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(c) Denotes variable rate obligations for which the
current yield and next scheduled reset date are
shown.
(d) 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) 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.
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Principal
Amount Long-Term Fixed Income (69.7%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities (4.4%)
- -------------------------------------------------------------------------------------------------------------------------
$1,500,000 American Express Credit Account Master Trust(b,c) 1.359% 7/15/2004 $1,502,721
1,643,044 Capital Auto Receivables Asset Trust(b,c) 1.470 7/15/2004 1,643,837
1,500,000 Citibank Credit Card Issuance Trust 4.100 12/7/2006 1,514,691
500,000 Citibank Credit Card Master Trust 6.100 5/15/2008 527,506
500,000 CPL Transition Funding, LLC(b) 5.010 1/15/2010 516,623
1,500,000 Daimler Chrysler Motor Company(c) 1.289 7/15/2004 1,500,690
1,000,000 Federal Home Loan Mortgage Corporation 3.158 12/27/2029 1,004,133
1,000,000 First National Master Note Trust(c) 1.339 7/15/2004 1,001,338
1,500,000 GMAC Mortgage Corporation Loan Trust(b,c) 1.430 7/26/2004 1,503,003
1,500,000 Honda Auto Receivables Owner Trust 2.960 4/18/2009 1,479,783
500,000 MBNA Credit Card Master Note Trust 4.950 6/15/2009 520,368
1,000,000 MBNA Credit Card Master Note Trust(c) 1.349 7/15/2004 1,001,866
2,000,000 Residential Asset Securities Corporation(d) 3.250 5/25/2029 1,974,044
750,000 Toyota Auto Receivables Owner Trust 4.390 5/15/2009 764,774
- -------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities 16,455,377
=========================================================================================================================
Basic Materials (0.9%)
- -------------------------------------------------------------------------------------------------------------------------
1,500,000 E. I. Du Pont De Nemours(b) 4.125 4/30/2010 1,474,066
900,000 ICI Wilmington, Inc. 4.375 12/1/2008 882,848
125,000 Peabody Energy Corporation 6.875 3/15/2013 126,562
750,000 Precision Castparts Corporation 5.600 12/15/2013 730,159
- -------------------------------------------------------------------------------------------------------------------------
Total Basic Materials 3,213,635
=========================================================================================================================
Capital Goods (1.3%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 Allied Waste North America, Inc.(b) 8.875 4/1/2008 547,500
300,000 Allied Waste North America, Inc., Convertible 4.250 4/15/2034 295,500
300,000 Ball Corporation(d) 6.875 12/15/2012 304,500
1,400,000 Caterpillar, Inc. 4.500 6/15/2009 1,406,118
1,000,000 Dow Jones "CDX" Index Bonds(b) 6.050 3/25/2009 975,000
700,000 Textron Financial Corporation 2.750 6/1/2006 694,033
300,000 Tyco International Group SA, Convertible 2.750 1/15/2018 450,750
- -------------------------------------------------------------------------------------------------------------------------
Total Capital Goods 4,673,401
=========================================================================================================================
Commercial Mortgage-Backed Securities (1.8%)
- -------------------------------------------------------------------------------------------------------------------------
452,523 Banc of America Commercial Mortgage, Inc. 3.366 7/11/2043 452,489
1,300,000 Bear Stearns Commercial Mortgage Securities(b) 3.869 2/11/2041 1,256,310
1,500,000 J.P. Morgan Chase Commercial Mortgage Securities
Corporation(b,c) 1.531 7/14/2004 1,500,489
1,300,000 J.P. Morgan Chase Commercial Mortgage Securities
Corporation 4.302 1/15/2038 1,248,644
1,500,000 LB-UBS Commercial Mortgage Trust(b) 3.323 3/15/2027 1,459,095
873,171 Lehman Brothers "CALSTRS" Mortgage Trust 3.988 11/20/2012 872,591
- -------------------------------------------------------------------------------------------------------------------------
Total Commercial Mortgage-Backed Securities 6,789,618
=========================================================================================================================
Communications Services (2.0%)
- -------------------------------------------------------------------------------------------------------------------------
300,000 AT&T Wireless Services, Inc. 8.125 5/1/2012 346,845
275,000 British Sky Broadcasting Group plc 8.200 7/15/2009 316,847
500,000 CSC Holdings, Inc. 6.750 4/15/2012 480,000
750,000 Deutsche Telekom International Finance BV 8.250 6/15/2005 788,570
500,000 EchoStar DBS Corporation 5.750 10/1/2008 493,125
600,000 News America, Inc. 4.750 3/15/2010 596,245
500,000 Nextel Communications, Inc. 5.950 3/15/2014 460,000
1,300,000 RR Donnelley & Sons Company 3.750 4/1/2009 1,256,037
1,250,000 Sprint Capital Corporation(b) 7.625 1/30/2011 1,381,861
675,000 Verizon Pennsylvania, Inc. 5.650 11/15/2011 684,798
500,000 Vivendi Universal SA 9.250 4/15/2010 590,975
- -------------------------------------------------------------------------------------------------------------------------
Total Communications Services 7,395,303
=========================================================================================================================
Consumer Cyclical (3.7%)
- -------------------------------------------------------------------------------------------------------------------------
900,000 American Honda Finance Corporation 3.850 11/6/2008 884,038
1,400,000 American Honda Finance Corporation 4.500 5/26/2009 1,400,858
1,250,000 Carnival Corporation 3.750 11/15/2007 1,235,861
250,000 Costco Wholesale Corporation, Convertible Zero Coupon 8/19/2017 235,312
500,000 D.R. Horton, Inc. 7.500 12/1/2007 540,000
300,000 DaimlerChrysler North American Holdings Corporation 4.750 1/15/2008 302,486
500,000 Dana Corporation 9.000 8/15/2011 585,000
1,500,000 Ford Credit Floorplan Master Owner Trust(c) 1.379 7/15/2004 1,503,334
1,000,000 Ford Motor Credit Company(b) 7.375 2/1/2011 1,054,767
1,000,000 General Motors Acceptance Corporation 4.500 7/15/2006 1,010,667
700,000 Harrahs Operating Company, Inc 5.375 12/15/2013 660,593
200,000 Kerzner International, Convertible 2.375 4/15/2024 203,500
150,000 Liberty Media Corporation, Convertible 3.250 3/15/2031 134,250
350,000 Mohegan Tribal Gaming Authority 6.375 7/15/2009 350,875
1,500,000 NIKE, Inc. 5.500 8/15/2006 1,578,063
250,000 Royal Caribbean Cruises, Ltd. 8.000 5/15/2010 269,375
1,250,000 Toyota Motor Credit Corporation 2.875 8/1/2008 1,194,802
500,000 Yum! Brands, Inc. 7.650 5/15/2008 558,288
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 13,702,069
=========================================================================================================================
Consumer Non-Cyclical (2.3%)
- -------------------------------------------------------------------------------------------------------------------------
200,000 Amgen, Inc., Convertible Zero Coupon 3/1/2032 147,000
1,250,000 Bottling Group, LLC(e) 2.450 10/16/2006 1,230,896
600,000 Bunge Limited Finance Corporation(b) 7.800 10/15/2012 683,332
1,250,000 Coca-Cola Enterprises, Inc.(d) 2.500 9/15/2006 1,231,536
350,000 Fisher Scientific International, Inc. 8.125 5/1/2012 374,500
1,000,000 General Mills, Inc. 2.625 10/24/2006 978,436
750,000 Gillette Company 3.500 10/15/2007 753,084
1,000,000 Hospira, Inc. 4.950 6/15/2009 1,005,623
500,000 Kellogg Company 6.000 4/1/2006 524,760
225,000 Omnicare, Inc. 6.125 6/1/2013 214,875
1,400,000 UnitedHealth Group, Inc. 3.300 1/30/2008 1,368,415
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 8,512,457
=========================================================================================================================
Energy (0.3%)
- -------------------------------------------------------------------------------------------------------------------------
700,000 Premco Refining Group 9.250 2/1/2010 789,250
375,000 XTO Energy, Inc. 6.250 4/15/2013 390,096
- -------------------------------------------------------------------------------------------------------------------------
Total Energy 1,179,346
=========================================================================================================================
Financials (15.7%)
- -------------------------------------------------------------------------------------------------------------------------
1,500,000 Bank One Issuance Trust(b,c) 1.289 7/15/2004 1,500,690
750,000 Bear Stearns Company, Inc. 3.000 3/30/2006 749,278
1,000,000 Capital One Bank(b) 4.250 12/1/2008 980,629
750,000 Capital One Financial Corporation 7.250 5/1/2006 795,772
600,000 CIT Group, Inc. 4.000 5/8/2008 594,994
900,000 Citigroup, Inc.(c) 1.250 8/9/2004 900,367
1,750,000 Countrywide Home Loans, Inc.(d) 4.000 3/22/2011 1,632,225
900,000 Credit Suisse First Boston Mortgage Securities
Corporation 3.861 3/15/2036 883,692
1,400,000 Credit Suisse First Boston USA, Inc. 3.875 1/15/2009 1,365,297
2,000,000 General Electric Capital Corporation(b,c) 2.255 8/2/2004 2,000,000
1,000,000 General Motors Acceptance Corporation 5.625 5/15/2009 997,996
1,300,000 Goldman Sachs Group, Inc. 3.875 1/15/2009 1,267,682
750,000 Honda Auto Receivables Owner Trust 2.480 7/18/2008 743,468
2,000,000 Honda Auto Receivables Owner Trust 2.790 3/16/2009 1,968,412
1,000,000 HSBC Capital Funding, LP 9.547 12/29/2049 1,220,546
1,400,000 International Lease Finance Corporation 3.300 1/23/2008 1,359,644
900,000 John Hancock Global Funding II 3.750 9/30/2008 883,444
1,680,000 Lehman Brothers, Inc. 6.539 8/15/2008 1,777,390
1,000,000 Monumental Global Funding II 3.850 3/3/2008 997,704
15,544,000 Morgan Stanley and Company 5.878 3/1/2007 16,276,433
1,300,000 Morgan Stanley and Company 3.875 1/15/2009 1,265,692
1,500,000 National City Credit Card Master Trust(b) 1.389 8/15/2007 1,502,322
1,300,000 New York Life Global Funding 3.875 1/15/2009 1,278,347
1,300,000 Pacific Life Global Funding 3.750 1/15/2009 1,274,916
1,400,000 Pearson Dollar Finance plc 4.700 6/1/2009 1,401,823
1,500,000 Popular North America, Inc. 4.700 6/30/2009 1,501,311
1,400,000 Pricoa Global Funding I(d) 4.350 6/15/2008 1,406,413
1,250,000 SLM Corporation 4.000 1/15/2009 1,227,748
500,000 Sovereign Bancorp, Inc. 10.500 11/15/2006 572,838
750,000 TIAA Global Markets 4.125 11/15/2007 758,466
750,000 U.S. Bancorp 2.750 3/30/2006 748,433
750,000 Union Planters Bank(d) 5.125 6/15/2007 786,358
1,300,000 Washington Mutual, Inc. 8.250 4/1/2010 1,513,720
2,000,000 Westpac Banking Corporation(c) 1.350 8/25/2004 1,997,790
2,000,000 World Savings Bank FSB(c) 1.375 9/1/2004 1,997,692
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 58,129,532
=========================================================================================================================
Foreign (1.8%)
- -------------------------------------------------------------------------------------------------------------------------
750,000 Corporacion Andina de Fomento(d) 6.875 3/15/2012 806,254
1,400,000 European Investment Bank 2.700 4/20/2007 1,372,123
750,000 Export Development Canada(b) 2.750 12/12/2005 752,890
750,000 Nordic Investment Bank(e) 2.750 1/11/2006 750,064
229,167 Pemex Finance, Ltd. 8.450 2/15/2007 245,405
1,500,000 Republic of Italy 2.750 12/15/2006 1,478,220
1,000,000 United Mexican States 9.875 2/1/2010 1,201,500
- -------------------------------------------------------------------------------------------------------------------------
Total Foreign 6,606,456
=========================================================================================================================
Mortgage-Backed Securities (6.6%)
- -------------------------------------------------------------------------------------------------------------------------
18,000,000 Federal National Mortgage Association 15-YR
Conventional(f) 5.500 7/1/2019 18,405,000
6,000,000 Federal National Mortgage Association 30-Yr.
Conventional(f) 6.000 7/1/2034 6,123,750
- -------------------------------------------------------------------------------------------------------------------------
Total Mortgage-Backed Securities 24,528,750
=========================================================================================================================
Municipal Bonds (0.5%)
- -------------------------------------------------------------------------------------------------------------------------
500,000 Minneapolis & St. Paul Metropolitan Airports
Commission 4.850 1/1/2006 513,200
600,000 Oregon School Boards Association Taxable Pension
Bonds Zero Coupon 6/30/2005 583,476
750,000 Washington State Office of the State Treasurer 4.500 7/1/2007 768,308
- -------------------------------------------------------------------------------------------------------------------------
Total Municipal Bonds 1,864,984
=========================================================================================================================
Other (0.2%)
- -------------------------------------------------------------------------------------------------------------------------
750,000 Harvard University(b) 8.125 4/15/2007 844,515
- -------------------------------------------------------------------------------------------------------------------------
Total Other 844,515
=========================================================================================================================
Technology (0.4%)
- -------------------------------------------------------------------------------------------------------------------------
250,000 Flextronics International, Ltd. 6.500 5/15/2013 243,750
1,200,000 International Business Machines Corporation(e) 2.375 11/1/2006 1,181,286
150,000 Unisys Corporation 6.875 3/15/2010 154,500
- -------------------------------------------------------------------------------------------------------------------------
Total Technology 1,579,536
=========================================================================================================================
Transportation (1.8%)
- -------------------------------------------------------------------------------------------------------------------------
700,000 American Airlines, Inc. 7.250 2/5/2009 665,875
1,300,000 CSX Corporation(b) 6.750 3/15/2011 1,410,070
1,300,000 FedEx Corporation 3.500 4/1/2009 1,247,711
250,000 Hertz Corporation 7.400 3/1/2011 262,470
1,500,000 MISC Capital Ltd.(f) 5.000 7/1/2009 1,502,019
1,000,000 Union Pacific Company(b) 3.625 6/1/2010 940,410
736,183 United Air Lines, Inc.(g) 7.186 4/1/2011 612,533
- -------------------------------------------------------------------------------------------------------------------------
Total Transportation 6,641,088
=========================================================================================================================
U.S. Government (22.8%)
- -------------------------------------------------------------------------------------------------------------------------
5,000,000 Federal Home Loan Mortgage Corporation(e) 1.500 8/15/2005 4,953,285
1,500,000 Federal Home Loan Mortgage Corporation(e) 2.750 8/15/2006 1,489,654
1,000,000 Federal National Mortgage Association(d) 2.375 12/15/2005 996,554
1,200,000 Federal National Mortgage Association(e) 4.000 9/2/2008 1,193,194
1,250,000 Student Loan Marketing Association 2.000 3/15/2005 1,250,745
1,000,000 U.S. Department of Housing and Urban Development 3.450 8/1/2006 1,007,365
750,000 U.S. Treasury Notes(e) 2.125 10/31/2004 751,436
1,050,000 U.S. Treasury Notes(e) 1.625 1/31/2005 1,049,385
5,000,000 U.S. Treasury Notes(e) 1.625 3/31/2005 4,990,235
7,750,000 U.S. Treasury Notes(e) 1.250 5/31/2005 7,696,114
28,400,000 U.S. Treasury Notes(e) 1.500 7/31/2005 28,210,294
18,600,000 U.S. Treasury Notes(d) 1.875 1/31/2006 18,422,723
3,250,000 U.S. Treasury Notes(e) 2.375 8/15/2006 3,222,196
900,000 U.S. Treasury Notes(e) 2.250 2/15/2007 882,457
750,000 U.S. Treasury Notes(e) 4.375 5/15/2007 775,196
4,000,000 U.S. Treasury Notes(e) 3.250 8/15/2008 3,950,468
3,700,000 U.S. Treasury Notes(e) 2.625 3/15/2009 3,520,491
- -------------------------------------------------------------------------------------------------------------------------
Total U.S. Government 84,361,792
=========================================================================================================================
Utilities (3.2%)
- -------------------------------------------------------------------------------------------------------------------------
225,000 Ferrellgas Partners, LP 8.750 6/15/2012 240,188
600,000 FirstEnergy Corporation 5.500 11/15/2006 620,714
500,000 Indiana Michigan Power Company 6.125 12/15/2006 529,004
750,000 Kinder Morgan Energy Partners, LP 7.500 11/1/2010 841,918
1,250,000 Midamerican Energy Holdings Company 3.500 5/15/2008 1,205,740
2,000,000 Pacific Gas & Electric Company(d) 3.600 3/1/2009 1,925,186
1,500,000 Panhandle Eastern Pipe Line(d) 2.750 3/15/2007 1,439,396
698,447 Power Contract Financing, LLC 5.200 2/1/2006 702,750
727,413 Power Receivables Finance, LLC 6.290 1/1/2012 740,703
1,400,000 Sempra Energy(d) 4.750 5/15/2009 1,408,428
600,000 Texas-New Mexico Power Company 6.125 6/1/2008 601,688
1,400,000 Western Resources, Inc.(d) 7.875 5/1/2007 1,541,050
- -------------------------------------------------------------------------------------------------------------------------
Total Utilities 11,796,765
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $260,024,164) 258,274,624
=========================================================================================================================
Shares Preferred Stock(h) Value
- -------------------------------------------------------------------------------------------------------------------------
3,500 Goldman Sachs Preferred Stock, Convertible(i) $365,844
- -------------------------------------------------------------------------------------------------------------------------
Total Preferred Stock (cost $350,000) 365,844
=========================================================================================================================
Shares Collateral Held for Securities Loaned (17.1%) Interest Rate (j) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
63,365,410 State Street Navigator Securities Lending Prime
Portfolio 1.230% N/A $63,365,410
- -------------------------------------------------------------------------------------------------------------------------
Total Collateral Held for Securities Loaned (cost
$63,365,410) 63,365,410
=========================================================================================================================
Principal
Amount Short-Term Investments (13.1%) Interest Rate(j) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$7,000,000 Duke University(d) 1.141% 7/6/2004 $6,998,892
3,700,000 Federal Home Loan Mortgage Corporation 1.120 7/6/2004 3,699,424
7,575,000 Fountain Square Commercial Funding Corporation 1.500 7/1/2004 7,575,000
10,000,000 Harvard University 1.450 7/1/2004 10,000,000
6,500,000 Nestle Capital Corporation(b,d) 1.040 7/1/2004 6,500,000
5,500,000 Preferred Receivables Funding Corporation(b,d) 1.261 7/20/2004 5,496,342
5,000,000 Thunder Bay Funding, Inc. 1.180 7/2/2004 4,999,836
3,350,000 Windmill Funding Corporation 1.281 7/21/2004 3,347,618
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 48,617,112
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $372,356,686) $370,622,990
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) Earmarked as collateral for long settling trades as
discussed in the notes to the financial statements.
(c) Denotes variable rate obligations for which the
current yield and next scheduled reset date are
shown.
(d) At June 30, 2004, all or a portion of the denoted
U.S. Treasury Notes and other securities, valued at
$34,011,877, 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 210 September 2004 Short $22,824,375 $22,621,564 $202,811
(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 market value of the denoted categories of
investments represents less than 0.1% of the total
investments of the Limited Maturity Bond Portfolio.
(i) Non-income producing security.
(j) 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.
Mortgage Securities Portfolio
Schedule of Investments as of June 30, 2004 (unaudited)(a)
Principal
Amount Long-Term Fixed Income (84.3%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities (26.2%)
- -------------------------------------------------------------------------------------------------------------------------
$270,868 Capital Auto Receivables Asset Trust(b) 1.259% 5/16/2005 $270,856
2,000,000 Chase Credit Card Master Trust(b) 1.130 5/15/2009 1,999,454
2,000,000 Chase Credit Card Master Trust 1.349 2/15/2011 2,002,535
1,836,328 Countrywide Home Loans, Inc.(b) 1.390 6/25/2022 1,836,249
1,000,000 First National Master Note Trust(b) 1.349 4/15/2009 1,001,400
2,000,000 GMAC Mortgage Corporation Loan Trust(b) 1.180 1/20/2034 1,999,912
1,000,000 MBNA Credit Card Master Note Trust(b) 1.349 5/16/2011 1,001,317
2,000,000 New Century Home Equity Loan Trust 1.570 4/25/2034 2,000,000
2,000,000 Providian Gateway Master Trust(b) 1.469 3/15/2011 2,000,000
1,978,448 Residential Asset Securities Corporation(b) 1.200 1/25/2023 1,978,205
2,500,000 Residential Asset Securities Corporation(b) 3.250 5/25/2029 2,467,555
1,895,063 Structured Asset Securities Corporation(b) 1.250 6/25/2034 1,895,063
- -------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities 20,452,546
=========================================================================================================================
Commercial Mortgage-Backed Securities (4.4%)
- -------------------------------------------------------------------------------------------------------------------------
2,000,000 Bear Stearns Commercial Mortgage 1.500 5/14/2016 2,000,000
500,000 LB-UBS Commercial Mortgage Trust(b) 3.086 5/15/2027 480,594
1,000,000 Wachovia Bank Commercial Mortgage Trust(b) 3.894 11/15/2035 982,391
- -------------------------------------------------------------------------------------------------------------------------
Total Commercial Mortgage-Backed Securities 3,462,985
=========================================================================================================================
Financials (11.6%)
- -------------------------------------------------------------------------------------------------------------------------
1,200,000 American Express Credit Corporation(b) 1.290 7/20/2005 1,200,407
1,000,000 Ball Corporation 2003 BBA2(b) 1.439 11/15/2015 1,000,105
1,882,707 Credit Suisse First Boston Mortgage Securities
Corporation(b) 1.670 5/25/2034 1,866,807
800,000 General Electric Capital Corporation(b) 1.320 5/12/2005 800,588
1,000,000 MBIA Global Funding, LLC(b) 1.120 12/6/2004 1,000,047
1,200,000 Merrill Lynch & Company, Inc.(b) 1.521 1/14/2005 1,201,836
2,000,000 Navistar Financial Corporation(b) 1.331 5/25/2010 1,999,408
- -------------------------------------------------------------------------------------------------------------------------
Total Financials 9,069,198
=========================================================================================================================
Mortgage-Backed Securities (42.1%)
- -------------------------------------------------------------------------------------------------------------------------
4,000,000 Federal Home Loan Mortgage Corporation 15-Yr. Gold
Conventional(c) 5.500 7/1/2018 4,086,248
3,000,000 Federal Home Loan Mortgage Corporation Gold 15-Yr.
Conventional(c) 6.500 7/4/2019 3,165,000
13,000,000 Federal National Mortgage Association 30-Yr.
Conventional(c) 5.500 7/1/2034 12,935,000
12,500,000 Federal National Mortgage Association 30-Yr.
Conventional(c) 6.000 7/1/2034 12,757,813
- -------------------------------------------------------------------------------------------------------------------------
Total Mortgage-Backed Securities 32,944,061
- -------------------------------------------------------------------------------------------------------------------------
Total Long-Term Fixed Income (cost $66,267,155) 65,928,790
=========================================================================================================================
Principal
Amount Short-Term Investments (15.7%) Interest Rate(d) Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
$1,575,000 Barton Capital Corporation(b) 1.151% 7/6/2004 $1,574,748
1,420,000 Corporate Receivables Corporation Funding, LLC 1.062 7/2/2004 1,419,958
1,450,000 Edison Asset Securitization, LLC(b) 1.070 7/1/2004 1,450,000
1,530,000 Govco, Inc.(b) 1.102 7/13/2004 1,529,439
1,950,000 Independence Funding, LLC(b) 1.230 7/6/2004 1,949,667
1,714,000 Kitty Hawk Funding Corporation 1.301 7/12/2004 1,713,319
1,875,000 Sheffield Receivables Corporation(b) 1.181 7/7/2004 1,874,631
775,000 Triple A-1 Funding Corporation 1.500 7/1/2004 775,000
- -------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (at amortized cost) 12,286,762
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $78,553,917) $78,215,552
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) Earmarked as collateral for options, futures or long
settling trades as discussed in the notes to the
financial statements.
(c) Denotes investments purchased on a when-issued basis.
(d) 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 June 30, 2004 (unaudited)(a)
Principal
Amount Certificates of Deposit (9.9%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Banking - Domestic (2.8%)
- -------------------------------------------------------------------------------------------------------------------------
$7,200,000 Royal Bank of Scotland New York 1.345% 1/31/2005 $7,199,790
- -------------------------------------------------------------------------------------------------------------------------
Total Banking - Domestic 7,199,790
=========================================================================================================================
Banking - Foreign (2.5%)
- -------------------------------------------------------------------------------------------------------------------------
6,250,000 Royal Bank of Canada NY 1.480 11/19/2004 6,249,678
- -------------------------------------------------------------------------------------------------------------------------
Total Banking - Foreign 6,249,678
=========================================================================================================================
Brokerage (4.6%)
- -------------------------------------------------------------------------------------------------------------------------
5,875,000 Goldman Sachs Group, Inc.(c) 1.120 7/19/2004 5,875,366
5,675,000 Goldman Sachs Group, Inc.(c) 1.260 7/23/2004 5,675,000
- -------------------------------------------------------------------------------------------------------------------------
Total Brokerage 11,550,366
- -------------------------------------------------------------------------------------------------------------------------
Total Certificates of Deposit 24,999,834
=========================================================================================================================
Principal
Amount Commercial Paper (48.6%) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
Asset-Backed Commercial Paper (36.1%)
- -------------------------------------------------------------------------------------------------------------------------
$5,775,000 Amsterdam Funding Corporation 1.221% 7/14/2004 $5,772,456
6,900,000 Barton Capital Corporation 1.151 7/6/2004 6,898,898
5,775,000 Barton Capital Corporation 1.101 7/7/2004 5,773,941
11,840,000 Blue Spice, LLC 1.550 7/1/2004 11,840,000
4,620,000 Blue Spice, LLC 1.311 7/19/2004 4,616,974
5,313,000 Falcon Asset Securitization Corporation 1.101 7/7/2004 5,312,026
6,930,000 Independence Funding, LLC 1.171 7/7/2004 6,928,649
6,240,000 Kitty Hawk Funding Corporation 1.301 7/14/2004 6,237,071
9,340,000 Nieuw Amsterdam Receivables Corporation 1.221 7/13/2004 9,336,202
5,525,000 Sheffield Receivables Corporation 1.091 7/6/2004 5,524,163
5,775,000 Sheffield Receivables Corporation 1.250 1/25/2005 5,774,667
5,500,000 Starfish Global Funding, LLC 1.181 7/8/2004 5,498,738
6,000,000 Starfish Global Funding, LLC 1.201 7/12/2004 5,997,800
5,750,000 Tulip Funding Corporation 1.341 7/30/2004 5,743,793
- -------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Commercial Paper 91,255,378
=========================================================================================================================
Banking - Domestic (3.8%)
- -------------------------------------------------------------------------------------------------------------------------
4,880,000 River Fuel Trust Funding Company, Inc. 1.081 7/1/2004 4,880,000
4,620,000 Society of New York Hospital Fund 1.141 7/1/2004 4,620,000
- -------------------------------------------------------------------------------------------------------------------------
Total Banking-Domestic 9,500,000
=========================================================================================================================
Consumer Cyclical (2.7%)
- -------------------------------------------------------------------------------------------------------------------------
6,930,000 Yale University 1.091 7/2/2004 6,929,790
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 6,929,790
=========================================================================================================================
Education (0.4%)
- -------------------------------------------------------------------------------------------------------------------------
1,070,000 Northwestern University 1.201 7/7/2004 1,069,786
- -------------------------------------------------------------------------------------------------------------------------
Total Education 1,069,786
=========================================================================================================================
Finance (2.7%)
- -------------------------------------------------------------------------------------------------------------------------
6,930,000 Jupiter Securitization Corporation 1.287 7/28/2004 6,923,321
- -------------------------------------------------------------------------------------------------------------------------
Total Finance 6,923,321
=========================================================================================================================
Insurance (2.9%)
- -------------------------------------------------------------------------------------------------------------------------
2,000,000 Torchmark Corporation 1.086 7/2/2004 1,999,937
2,100,000 Torchmark Corporation 1.351 7/13/2004 2,099,055
3,234,000 Torchmark Corporation 1.281 7/15/2004 3,232,390
- -------------------------------------------------------------------------------------------------------------------------
Total Insurance 7,331,382
- -------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper 123,009,657
=========================================================================================================================
Principal
Amount Variable Rate Notes (41.5%)(c) Interest Rate Maturity Date Value
- -------------------------------------------------------------------------------------------------------------------------
U.S. Government (8.1%)
- -------------------------------------------------------------------------------------------------------------------------
$5,675,000 Federal Home Loan Bank 1.500% 5/4/2005 $5,674,716
3,400,000 Federal Home Loan Bank 2.020 6/8/2005 3,400,000
4,800,000 Federal Home Loan Mortgage Corporation 1.306 1/11/2005 4,766,728
2,400,000 Federal Home Loan Mortgage Corporation 3.250 11/15/2004 2,415,364
4,200,000 Federal National Mortgage Association 7.125 2/15/2005 4,347,834
- -------------------------------------------------------------------------------------------------------------------------
Total U.S. Government 20,604,642
=========================================================================================================================
Banking - Domestic (5.4%)
- -------------------------------------------------------------------------------------------------------------------------
2,200,000 US Bank National Association 1.390 7/6/2004 2,202,212
5,775,000 Wells Fargo Bank & Company 1.300 7/15/2004 5,775,000
5,675,000 Wells Fargo Bank NA 1.130 7/11/2004 5,675,000
- -------------------------------------------------------------------------------------------------------------------------
Total Banking - Domestic 13,652,212
=========================================================================================================================
Banking - Foreign (2.0%)
- -------------------------------------------------------------------------------------------------------------------------
5,000,000 Royal Bank of Canada NY 1.040 7/1/2004 4,998,428
- -------------------------------------------------------------------------------------------------------------------------
Total Banking - Foreign 4,998,428
=========================================================================================================================
Brokerage (3.9%)
- -------------------------------------------------------------------------------------------------------------------------
1,860,000 Lehman Brothers Holdings 1.440 7/15/2004 1,864,869
5,675,000 Lehman Brothers Holdings 1.250 7/19/2004 5,675,000
2,400,000 Merrill Lynch & Company, Inc.(c) 1.521 7/16/2004 2,404,452
- -------------------------------------------------------------------------------------------------------------------------
Total Brokerage 9,944,321
=========================================================================================================================
Consumer Cyclical (3.7%)
- -------------------------------------------------------------------------------------------------------------------------
9,280,000 American Honda Finance Corporation 1.470 9/7/2004 9,290,322
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Cyclical 9,290,322
=========================================================================================================================
Consumer Non-Cyclical (0.7%)
- -------------------------------------------------------------------------------------------------------------------------
1,680,000 UnitedHealth Group, Inc. 1.780 8/11/2004 1,683,343
- -------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Cyclical 1,683,343
=========================================================================================================================
Finance (4.1%)
- -------------------------------------------------------------------------------------------------------------------------
$5,675,000 American Express Credit Corporation 1.373% 7/16/2004 $5,679,558
4,620,000 American Express Credit Corporation 1.249 7/15/2004 4,622,676
- -------------------------------------------------------------------------------------------------------------------------
Total Finance 10,302,234
=========================================================================================================================
Insurance (4.5%)
- -------------------------------------------------------------------------------------------------------------------------
5,675,000 Allstate Life Global Funding 1.150 7/8/2004 5,675,000
5,775,000 Allstate Life Global Funding II 1.275 7/15/2004 5,775,000
- -------------------------------------------------------------------------------------------------------------------------
Total Insurance 11,450,000
=========================================================================================================================
U.S. Municipal (9.1%)
- -------------------------------------------------------------------------------------------------------------------------
8,080,000 Alaska State Housing Finance Corporation 1.000 7/1/2004 8,079,758
2,500,000 Alaska State Housing Finance Corporation 1.400 9/1/2004 2,500,000
2,300,000 Illinois Student Assistance Commission 1.370 7/7/2004 2,300,000
3,000,000 Ohio State Air Quality Development Authority
Revenue Bonds (Columbus and Southern) 1.120 7/7/2004 3,000,000
7,270,000 Texas State Veterans Housing General Obligation 1.340 7/7/2004 7,270,000
- -------------------------------------------------------------------------------------------------------------------------
Total U.S. Municipal 23,149,758
- -------------------------------------------------------------------------------------------------------------------------
Total Variable Rate Notes 84,470,618
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (at amortized cost) 253,084,751
=========================================================================================================================
(a) The categories of investments are shown as a percentage of
total investments.
(b) The interest rate shown reflects the 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.
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities
Partner Partner
Small Cap Small Cap Small Cap
Technology Growth Value Stock
As of June 30, 2004 (unaudited) Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $52,023,907 $59,363,248 $44,040,789 $185,648,147
Investments at value 55,479,350 61,350,047 46,855,386 216,728,880
Cash 10,000 242,633 4,612 3,210
Initial margin deposit on open futures contracts -- -- -- --
Dividends and interest receivable 11,829 3,482 35,378 130,790
Prepaid expenses 799 1,448 743 1,093
Receivable for investments sold -- 258,734 -- 2,111,500
Receivable for fund shares sold 82,495 18,838 99,910 350,631
Receivable for forward contracts -- -- -- --
Receivable for variation margin -- -- -- --
Total Assets 55,584,473 61,875,182 46,996,029 219,326,104
Liabilities
Cash overdraft payable -- -- -- --
Accrued expenses 14,413 11,885 10,751 31,659
Payable for investments purchased -- 111,700 8,006 2,150,943
Payable upon return of collateral for securities loaned 3,322,545 12,847,971 2,398,218 31,300,313
Payable for fund shares redeemed 7,751 6,412 16 534
Payable for forward contracts -- -- -- --
Payable to affiliate 19,676 32,502 20,167 107,879
Total Liabilities 3,364,385 13,010,470 2,437,158 33,591,328
Net Assets
Capital stock (beneficial interest) 48,790,384 43,432,880 39,402,291 142,768,603
Accumulated undistributed net investment income/(loss) (85,410) (154,154) 37,629 13,912
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions 59,671 3,599,187 2,304,354 11,871,528
Net unrealized appreciation/(depreciation) on:
Investments 3,455,443 1,986,799 2,814,597 31,080,733
Futures contracts -- -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Total Net Assets $52,220,088 $48,864,712 $44,558,871 $185,734,776
Capital shares outstanding 7,463,566 4,241,930 3,011,659 14,091,073
Net asset value per share $7.00 $11.52 $14.80 $13.18
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities - continued
Small Cap Mid Cap Mid Cap Mid Cap
Index Growth Growth Stock
As of June 30, 2004 (unaudited) Portfolio Portfolio Portfolio II Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $468,720,103 $792,839,013 $38,600,987 $90,733,826
Investments at value 547,321,536 875,177,482 39,843,669 99,451,335
Cash -- 5,691 -- 1,376
Initial margin deposit on open futures contracts 294,000 -- -- --
Dividends and interest receivable 296,123 192,725 9,035 45,000
Prepaid expenses 1,922 6,007 1,433 880
Receivable for investments sold 3,364,791 19,715,901 926,171 240,907
Receivable for fund shares sold 205,190 136,278 55,181 61,571
Receivable for forward contracts -- -- -- --
Receivable for variation margin 40,425 -- -- --
Total Assets 551,523,987 895,234,084 40,835,489 99,801,069
Liabilities
Cash overdraft payable -- -- 15 --
Accrued expenses 25,937 64,931 4,772 24,666
Payable for investments purchased 2,247,480 9,460,477 446,794 --
Payable upon return of collateral for securities loaned 110,597,355 115,116,511 3,950,587 8,873,116
Payable for fund shares redeemed 115,411 434,881 6,433 3,413
Payable for forward contracts -- -- -- --
Payable to affiliate 122,227 270,278 10,642 30,365
Total Liabilities 113,108,410 125,347,078 4,419,243 8,931,560
Net Assets
Capital stock (beneficial interest) 343,380,133 926,079,766 36,158,013 77,746,692
Accumulated undistributed net investment income/(loss) 1,319,670 (236,312) (39,564) 83,871
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions 14,839,942 (238,294,917) (944,885) 4,321,437
Net unrealized appreciation/(depreciation) on:
Investments 78,601,433 82,338,469 1,242,682 8,717,509
Futures contracts 274,399 -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Total Net Assets $438,415,577 $769,887,006 $36,416,246 $90,869,509
Capital shares outstanding 25,315,839 57,044,863 4,132,079 8,600,896
Net asset value per share $17.32 $13.50 $8.81 $10.57
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities - continued
Partner
Mid Cap International Partner
Index Stock All Cap
As of June 30, 2004 (unaudited) Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $105,311,198 $728,164,803 $52,332,272
Investments at value 121,066,449 723,528,676 56,246,466
Cash -- 3,723,133 a 628
Initial margin deposit on open futures contracts 75,600 -- --
Dividends and interest receivable 66,182 1,201,835 30,821
Prepaid expenses 876 3,836 1,478
Receivable for investments sold 2,612,842 81,016 1,092,621
Receivable for fund shares sold 173,715 427,339 27,589
Receivable for forward contracts -- 1,105,811 --
Receivable for variation margin 15,212 -- --
Total Assets 124,010,876 730,071,646 57,399,603
Liabilities
Cash overdraft payable -- -- --
Accrued expenses 26,218 89,366 14,948
Payable for investments purchased 929,675 242,375 1,160,721
Payable upon return of collateral for securities loaned 16,497,944 129,047,783 3,174,263
Payable for fund shares redeemed -- 61,283 44,567
Payable for forward contracts -- 1,111,676 --
Payable to affiliate 29,236 441,584 31,204
Total Liabilities 17,483,073 130,994,067 4,425,703
Net Assets
Capital stock (beneficial interest) 90,581,460 686,787,550 59,341,261
Accumulated undistributed net investment income/(loss) 331,996 4,726,926 62,159
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions (168,403) (87,813,122) (10,343,714)
Net unrealized appreciation/(depreciation) on:
Investments 15,755,251 (4,636,127) 3,914,194
Futures contracts 27,499 -- --
Foreign currency forward contracts -- (5,865) --
Foreign currency transactions -- 18,217 --
Total Net Assets $106,527,803 $599,077,579 $52,973,900
Capital shares outstanding 8,743,114 55,816,844 6,512,131
Net asset value per share $12.18 $10.73 $8.13
a) Includes foreign currency holdings of $3,714,600 (cost $3,718,788).
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities - continued
Large Cap Large Cap Partner Large Cap
Growth Growth Growth Stock Value
As of June 30, 2004 (unaudited) Portfolio Portfolio II Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $2,353,957,410 $41,313,281 $83,467,917 $254,296,645
Investments at value 2,571,291,657 42,490,530 94,204,188 285,837,165
Cash 4,842 -- 784 6,306
Initial margin deposit on open futures contracts -- -- -- --
Dividends and interest receivable 1,379,412 23,964 75,191 326,316
Prepaid expenses 20,207 1,454 1,515 1,962
Receivable for investments sold 29,912,494 507,503 766,142 --
Receivable for fund shares sold 299,304 6,828 186,851 284,095
Receivable for variation margin -- -- -- --
Total Assets 2,602,907,916 43,030,279 95,234,671 286,455,844
Liabilities
Accrued expenses 103,253 7,738 10,895 17,630
Payable for investments purchased 25,616,894 458,754 1,002,043 --
Payable upon return of collateral for securities loaned 113,483,191 253,900 2,731,517 6,268,086
Payable for fund shares redeemed 615,077 10,655 76 377
Open options written, at value 221,770 a -- -- --
Payable for variation margin -- -- -- --
Payable to affiliate 880,663 9,352 54,799 145,645
Mortgage dollar roll deferred revenue -- -- -- --
Total Liabilities 140,920,848 740,399 3,799,330 6,431,738
Net Assets
Capital stock (beneficial interest) 3,709,000,817 41,656,824 83,696,612 259,473,830
Accumulated undistributed net investment income/(loss) 4,407,765 54,579 82,040 1,622,632
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions (1,468,609,126) (598,787) (3,080,160) (12,612,876)
Net unrealized appreciation/(depreciation) on:
Investments 217,334,247 1,177,249 10,736,271 31,540,520
Written Options contracts (146,635) -- -- --
Futures contracts -- -- -- --
Foreign currency transactions -- 15 578 --
Total Net Assets $2,461,987,068 $42,289,880 $91,435,341 $280,024,106
Capital shares outstanding 175,145,387 4,548,942 8,752,513 27,642,614
Net asset value per share $14.06 $9.30 $10.45 $10.13
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities - continued
Large Cap Large Cap Real Estate
Stock Index Securities Balanced
As of June 30, 2004 (unaudited) Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $368,843,239 $710,630,275 $94,924,400 $825,515,676
Investments at value 384,940,974 795,828,909 100,236,160 880,289,922
Cash 2,008 2,596 3,314 7,576
Initial margin deposit on open futures contracts -- 1,424,000 -- --
Dividends and interest receivable 272,472 855,459 454,479 2,625,026
Prepaid expenses 1,304 2,980 791 3,099
Receivable for investments sold -- -- 1,499,541 231,964
Receivable for fund shares sold 369,637 244,980 467,109 230,086
Receivable for variation margin -- 103,119 -- --
Total Assets 385,586,395 798,462,043 102,661,394 883,387,673
Liabilities
Accrued expenses 29,975 50,349 10,345 48,367
Payable for investments purchased 1,778,286 1,591,962 952,606 57,641,793
Payable upon return of collateral for securities loaned 11,333,224 17,877,008 2,764,279 87,942,440
Payable for fund shares redeemed 281 316,372 196 19,173
Open options written, at value -- -- -- --
Payable for variation margin -- -- -- --
Payable to affiliate 208,090 214,187 58,215 204,311
Mortgage dollar roll deferred revenue -- -- -- 94,052
Total Liabilities 13,349,856 20,049,878 3,785,641 145,950,136
Net Assets
Capital stock (beneficial interest) 352,313,147 741,037,005 89,474,561 733,938,500
Accumulated undistributed net investment income/(loss) 951,987 4,700,015 1,568,068 8,162,299
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions 2,873,670 (52,700,337) 2,521,364 (59,437,508)
Net unrealized appreciation/(depreciation) on:
Investments 16,097,735 85,198,634 5,311,760 54,774,246
Written Options contracts -- -- -- --
Futures contracts -- 176,848 -- --
Foreign currency transactions -- -- -- --
Total Net Assets $372,236,539 $778,412,165 $98,875,753 $737,437,537
Capital shares outstanding 42,950,787 38,532,431 7,344,156 51,161,169
Net asset value per share $8.67 $20.20 $13.46 $14.41
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities - continued
High Partner
Yield High Yield Income
As of June 30, 2004 (unaudited) Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $928,702,130 $98,341,732 $1,278,946,744
Investments at value 936,659,663 98,771,851 1,286,173,137
Cash 5,559 42 26,236
Initial margin deposit on open futures contracts -- -- --
Dividends and interest receivable 15,409,239 1,670,556 10,148,567
Prepaid expenses 4,830 594 5,910
Receivable for investments sold 7,587,179 1,061,930 3,409,103
Receivable for fund shares sold 50,369 140,013 156,337
Receivable for variation margin -- -- --
Total Assets 959,716,839 101,644,986 1,299,919,290
Liabilities
Accrued expenses 36,472 15,297 31,883
Payable for investments purchased 11,556,197 1,702,286 67,939,297
Payable upon return of collateral for securities loaned 103,490,315 6,406,950 221,624,335
Payable for fund shares redeemed 318,490 14,471 731,914
Open options written, at value -- -- --
Payable for variation margin -- -- 517,500
Payable to affiliate 301,814 27,923 363,077
Mortgage dollar roll deferred revenue -- -- 119,147
Total Liabilities 115,703,288 8,166,927 291,327,153
Net Assets
Capital stock (beneficial interest) 1,743,840,926 105,483,769 1,008,803,226
Accumulated undistributed net investment income/(loss) 2,265,783 (5,058) --
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions (910,050,691) (12,430,771) (6,347,796)
Net unrealized appreciation/(depreciation) on:
Investments 7,957,533 430,119 7,226,393
Written Options contracts -- -- --
Futures contracts -- -- (1,089,686)
Foreign currency transactions -- -- --
Total Net Assets $844,013,551 $93,478,059 $1,008,592,137
Capital shares outstanding 168,405,069 14,394,910 101,020,449
Net asset value per share $5.01 $6.49 $9.98
a) Premium received on written options of $75,135.
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities - continued
Bond Limited Mortgage Money
Index Maturity Securities Market
As of June 30, 2004 (unaudited) Portfolio Bond Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
Investments at cost $397,897,914 $372,356,686 $78,553,917 $253,084,751
Investments at value 396,535,486 370,622,990 78,215,552 253,084,751
Cash 21,730 11,597 15,417 4,376
Dividends and interest receivable 2,464,883 1,894,266 27,770 358,172
Prepaid expenses 1,123 2,041 472 2,356
Receivable for investments sold 206,190 980,230 1,447,209 --
Receivable for fund shares sold 321,348 733,891 11,119 1,318,364
Total Assets 399,550,760 374,245,015 79,717,539 254,768,019
Liabilities
Accrued expenses 21,548 14,412 9,432 21,793
Payable for investments purchased 68,478,679 32,901,146 34,568,917 --
Payable upon return of collateral for securities loaned 67,112,643 63,365,410 -- --
Payable for fund shares redeemed 476,014 170 1,512 992,955
Payable for variation margin -- 105,000 -- --
Payable to affiliate 75,771 96,365 10,845 90,117
Mortgage dollar roll deferred revenue 116,358 47,373 56,445 --
Total Liabilities 136,281,013 96,529,876 34,647,151 1,104,865
Net Assets
Capital stock (beneficial interest) 265,316,346 279,140,402 45,570,404 253,663,154
Accumulated undistributed net investment income/(loss) (166,576) 39,569 -- --
Accumulated undistributed net realized gain/(loss) on
investments and foreign currency transactions (517,595) 471,675 (161,651) --
Net unrealized depreciation on:
Investments (1,362,428) (1,733,696) (338,365) --
Futures contracts -- (202,811) -- --
Total Net Assets $263,269,747 $277,715,139 $45,070,388 $253,663,154
Capital shares outstanding 25,508,486 27,664,252 4,575,306 253,663,154
Net asset value per share $10.32 $10.04 $9.85 $1.00
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Operations
Partner Partner
Small Cap Small Cap Small Cap
Technology Growth Value Stock
For the six months ended June 30, 2004 (unaudited) Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $85,100 $50,077 $150,855 $624,846
Taxable interest 3,729 12,157 10,207 14,122
Income from securities loaned 5,416 9,499 4,984 32,644
Foreign dividend tax withholding (3,110) (343) (230) (1,767)
Total Investment Income 91,135 71,390 165,816 669,845
Expenses
Adviser fees 180,397 91,289 87,578 595,946
Sub-Adviser fees -- 134,255 40,460 --
Accounting and pricing fees 7,459 7,675 7,230 11,915
Administrative service fees 5,632 6,766 3,864 19,936
Custody fees 12,727 15,333 19,747 22,211
Printing and postage expenses 5,543 1,065 905 10,321
Audit and legal fees 7,323 8,323 6,758 9,417
Directors' fees and insurance expenses 1,816 3,118 1,331 3,431
Other expenses 2,761 2,746 1,775 3,736
Total Expenses Before Reimbursement 223,658 270,570 169,648 676,913
Less:
Reimbursement from adviser (47,347) (44,723) (41,513) (21,664)
Fees paid indirectly (54) (303) (97) (43)
Total Net Expenses 176,257 225,544 128,038 655,206
Net Investment Income/(Loss) (85,122) (154,154) 37,778 14,639
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains on:
Investments 273,165 6,167,633 2,304,973 12,684,801
Change in net unrealized appreciation/
(depreciation) on:
Investments (77,812) (4,340,074) 449,533 639,093
Net Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions 195,353 1,827,559 2,754,506 13,323,894
Net Increase in Net Assets Resulting
From Operations $110,231 $1,673,405 $2,792,284 $13,338,533
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Operations - continued
Small Cap Mid Cap Mid Cap Mid Cap
Index Growth Growth Stock
For the six months ended June 30, 2004 (unaudited) Portfolio Portfolio Portfolio II Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $1,999,348 $937,319 $55,181 $349,039
Taxable interest 11,791 90,638 2,160 4,043
Income from securities loaned 113,139 86,790 4,895 11,872
Foreign dividend tax withholding (882) (1,873) (54) (1,502)
Total Investment Income 2,123,396 1,112,874 62,182 363,452
Expenses
Adviser fees 681,076 1,160,145 130,295 286,262
Subadviser fees -- -- 27,117 --
Accounting and pricing fees 21,491 26,852 7,581 8,943
Administrative service fees 48,160 87,011 5,247 9,603
Custody fees 9,719 16,177 27,749 31,065
Printing and postage expenses 25,560 53,753 6,753 7,108
Audit and legal fees 9,291 14,709 8,323 7,323
Directors' fees and insurance expenses 6,029 12,229 2,994 2,406
Other expenses 4,262 13,271 2,728 2,871
Total Expenses Before Reimbursement 805,588 1,384,147 218,787 355,581
Less:
Reimbursement from adviser (11,836) (34,915) (117,033) (76,393)
Fees paid indirectly (205) (46) (8) (42)
Total Net Expenses 793,547 1,349,186 101,746 279,146
Net Investment Income/(Loss) 1,329,849 (236,312) (39,564) 84,306
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains/(losses) on:
Investments 20,494,943 33,585,964 5,688,127 4,337,916
Written option contracts -- -- -- --
Futures contracts 204,648 -- -- --
Foreign currency transactions -- -- 278 --
Change in net unrealized appreciation/
(depreciation) on:
Investments 16,644,256 (7,250,769) (3,263,426) 564,383
Written option contracts -- -- -- --
Futures contracts 216,327 -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- (43) --
Net Realized and Unrealized Gains on
Investments and Foreign Currency Transactions 37,560,174 26,335,195 2,424,936 4,902,299
Net Increase in Net Assets Resulting
From Operations $38,890,023 $26,098,883 $2,385,372 $4,986,605
Thrivent Series Fund, Inc.
Statement of Operations - continued
Mid Cap Partner Partner Large Cap
Index International All Cap Growth
For the six months ended June 30, 2004 (unaudited) Portfolio Stock Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $539,623 $7,841,053 $294,499 $9,872,155
Taxable interest 1,862 (54,309) 4,959 101,746
Income from securities loaned 9,439 285,818 3,052 125,368
Foreign dividend tax withholding -- (1,028,403) (167) (55,359)
Total Investment Income 550,924 7,044,159 302,343 10,043,910
Expenses
Adviser fees 159,981 937,459 88,489 4,936,306
Subadviser fees -- 1,123,375 151,695 --
Accounting and pricing fees 11,159 39,726 9,929 98,451
Administrative service fees 10,790 72,735 7,585 370,223
Custody fees 27,164 106,500 8,354 37,771
Printing and postage expenses 4,766 12,222 15,176 75,420
Audit and legal fees 9,417 10,370 8,323 25,110
Directors' fees and insurance expenses 2,143 9,836 3,270 42,684
Other expenses 3,866 5,035 2,778 27,244
Total Expenses Before Reimbursement 229,286 2,317,258 295,599 5,613,209
Less:
Reimbursement from adviser (10,724) -- (55,413) (43,177)
Fees paid indirectly (51) (23) (2) (49)
Total Net Expenses 218,511 2,317,235 240,184 5,569,983
Net Investment Income/(Loss) 332,413 4,726,924 62,159 4,473,927
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains/(losses) on:
Investments 1,912,191 43,744,870 2,653,122 74,461,724
Written option contracts -- -- -- 4,677
Futures contracts 138,408 -- -- --
Foreign currency transactions -- (237,161) -- --
Change in net unrealized appreciation/
(depreciation) on:
Investments 2,616,607 (28,852,849) (738,809) (16,854,623)
Written option contracts -- -- -- (146,635)
Futures contracts (25,922) -- -- --
Foreign currency forward contracts -- (5,865) -- --
Foreign currency transactions -- (49,930) -- --
Net Realized and Unrealized Gains on
Investments and Foreign Currency Transactions 4,641,284 14,599,065 1,914,313 57,465,143
Net Increase in Net Assets Resulting
From Operations $4,973,697 $19,325,989 $1,976,472 $61,939,070
Thrivent Series Fund, Inc.
Statement of Operations - continued
Large Cap Partner Large Cap
Growth Growth Stock Value
For the six months ended June 30, 2004 (unaudited) Portfolio II Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $162,302 $399,191 $2,411,743
Taxable interest 3,123 9,083 47,457
Income from securities loaned 2,674 5,580 8,621
Foreign dividend tax withholding (1,056) (7,762) (17,437)
Total Investment Income 167,043 406,092 2,450,384
Expenses
Adviser fees 135,207 153,761 744,816
Subadviser fees 29,632 170,291 --
Accounting and pricing fees 9,711 9,571 13,097
Administrative service fees 6,182 12,152 37,241
Custody fees 49,624 11,694 11,576
Printing and postage expenses 2,397 5,696 2,543
Audit and legal fees 8,323 8,323 15,917
Directors' fees and insurance expenses 3,121 3,621 5,523
Other expenses 2,744 2,822 5,697
Total Expenses Before Reimbursement 246,941 377,931 836,410
Less:
Reimbursement from adviser (134,465) (53,877) (8,660)
Fees paid indirectly (12) (2) (36)
Total Net Expenses 112,464 324,052 827,714
Net Investment Income/(Loss) 54,579 82,040 1,622,670
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains/(losses) on:
Investments 1,952,069 1,278,684 7,549,741
Written option contracts -- -- --
Futures contracts -- -- --
Foreign currency transactions 120 (13,888) --
Change in net unrealized appreciation/
(depreciation) on:
Investments (1,088,337) 568,487 148,022
Written option contracts -- -- --
Futures contracts -- -- --
Foreign currency forward contracts -- -- --
Foreign currency transactions (74) 617 --
Net Realized and Unrealized Gains on
Investments and Foreign Currency Transactions 863,778 1,833,900 7,697,763
Net Increase in Net Assets Resulting
From Operations $918,357 $1,915,940 $9,320,433
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Operations - continued
Large Cap Large Cap Real Estate
Stock Index Securities Balanced
For the six months ended June 30, 2004 (unaudited) Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $2,064,597 $6,036,207 $1,850,648 $3,503,833
Taxable interest 71,818 62,040 16,073 4,904,654
Tax exempt interest -- -- -- --
Income from mortgage dollar rolls -- -- -- 1,089,854
Income from securities loaned 7,110 12,422 4,747 42,680
Foreign dividend tax withholding (4,500) -- (2,264) --
Total Investment Income 2,139,025 6,110,669 1,869,204 9,541,021
Expenses
Adviser fees 1,075,812 1,189,220 300,987 1,155,856
Subadviser fees -- -- -- --
Accounting and pricing fees 13,959 34,071 7,545 42,934
Administrative service fees 39,041 87,794 8,998 85,035
Custody fees 49,625 15,809 13,351 21,804
Printing and postage expenses 13,444 37,331 1,345 26,346
Audit and legal fees 9,417 15,053 6,908 16,175
Directors' fees and insurance expenses 4,514 10,542 1,785 11,252
Other expenses 3,928 5,814 1,835 6,027
Total Expenses Before Reimbursement 1,209,740 1,395,634 342,754 1,365,429
Less:
Reimbursement from adviser (23,606) (12,320) (41,718) (12,173)
Fees paid indirectly (47) (110) (49) (42)
Total Net Expenses 1,186,087 1,383,204 300,987 1,353,214
Net Investment Income 952,938 4,727,465 1,568,217 8,187,807
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains/(losses) on:
Investments 4,228,519 232,069 2,575,693 (838,577)
Written option contracts -- -- -- --
Futures contracts -- 1,339,603 -- --
Change in net unrealized appreciation/
(depreciation) on:
Investments (1,353,323) 18,069,532 640,273 6,590,097
Futures contracts -- (459,487) -- --
Net Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions 2,875,196 19,181,717 3,215,966 5,751,520
Net Increase/(Decrease) in Net Assets Resulting
From Operations $3,828,134 $23,909,182 $4,784,183 $13,939,327
Thrivent Series Fund, Inc.
Statement of Operations - continued
High Partner Bond
Yield High Yield Income Index
For the six months ended June 30, 2004 (unaudited) Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $1,324,316 $8,909 $57,863 $25,333
Taxable interest 35,379,886 3,125,192 23,041,561 4,336,761
Tax exempt interest -- -- -- --
Income from mortgage dollar rolls -- -- -- 1,275,148
Income from securities loaned 128,373 12,386 1,380,508 36,069
Foreign dividend tax withholding -- -- 116,010 --
Total Investment Income 36,832,575 3,146,487 24,595,942 5,673,311
Expenses
Adviser fees 1,700,656 82,856 2,079,276 446,566
Subadviser fees -- 87,788 -- --
Accounting and pricing fees 51,086 20,283 56,335 23,716
Administrative service fees 127,549 10,044 155,946 29,983
Custody fees 13,806 5,188 19,270 9,472
Printing and postage expenses 16,673 2,084 8,234 8,751
Audit and legal fees 9,856 9,417 13,504 9,149
Directors' fees and insurance expenses 16,650 2,387 22,296 5,765
Other expenses 5,187 3,353 8,522 4,431
Total Expenses Before Reimbursement 1,941,463 223,400 2,363,383 537,833
Less:
Reimbursement from adviser -- (4,957) (6,748) (21,346)
Fees paid indirectly (478) (165) (203) (35)
Total Net Expenses 1,940,985 218,278 2,356,432 516,452
Net Investment Income 34,891,590 2,928,209 22,239,510 5,156,859
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains/(losses) on:
Investments (11,906,500) 142,912 11,832,176 (123,832)
Written option contracts -- -- 228,999 --
Futures contracts -- -- 531,602 --
Change in net unrealized appreciation/
(depreciation) on:
Investments (10,557,633) (3,442,662) (33,736,064) (5,447,405)
Futures contracts -- -- (896,261) --
Net Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions (22,464,133) (3,299,750) (22,039,548) (5,571,237)
Net Increase/(Decrease) in Net Assets Resulting
From Operations $12,427,457 $(371,541) $199,962 $(414,378)
Thrivent Series Fund, Inc.
Statement of Operations - continued
Limited Mortgage Money
Maturity Securities Market
For the six months ended June 30, 2004 (unaudited) Bond Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income
Dividends $1,744 $ -- $ --
Taxable interest 3,487,694 219,210 1,423,141
Tax exempt interest 29,005 -- 52,439
Income from mortgage dollar rolls 438,301 543,106 --
Income from securities loaned 35,805 -- --
Foreign dividend tax withholding -- -- --
Total Investment Income 3,992,549 762,316 1,475,580
Expenses
Adviser fees 489,892 90,987 522,316
Subadviser fees -- -- --
Accounting and pricing fees 18,288 7,376 20,594
Administrative service fees 36,742 4,349 39,174
Custody fees 6,425 4,411 8,551
Printing and postage expenses 4,646 651 2,670
Audit and legal fees 10,678 6,908 14,479
Directors' fees and insurance expenses 6,040 1,406 8,566
Other expenses 4,465 1,130 7,033
Total Expenses Before Reimbursement 577,176 117,218 623,383
Less:
Reimbursement from adviser (6,763) (26,124) (5,686)
Fees paid indirectly (58) (107) (50)
Total Net Expenses 570,355 90,987 617,647
Net Investment Income 3,422,194 671,329 857,933
Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions
Net realized gains/(losses) on:
Investments 386,862 (161,651) --
Written option contracts -- -- --
Futures contracts 94,861 -- --
Change in net unrealized appreciation/
(depreciation) on:
Investments (4,336,699) (419,803) --
Futures contracts (202,811) -- --
Net Realized and Unrealized Gains/(Losses) on
Investments and Foreign Currency Transactions (4,057,787) (581,454) --
Net Increase/(Decrease) in Net Assets Resulting
From Operations $(635,593) $89,875 $857,933
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets
Technology Partner Small Cap
Portfolio Growth Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income/(loss) $(85,122) $(86,891) $(154,154) $(150,457)
Net realized gains/(losses) on:
Investments 273,165 2,137,936 6,167,633 (146,164)
Futures contracts -- -- -- --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments (77,812) 7,853,486 (4,340,074) 10,301,755
Futures contracts -- -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Net Change in Net Assets Resulting From Operations 110,231 9,904,531 1,673,405 10,005,134
Distributions to Shareholders
From net investment income -- -- -- --
From net realized gains -- -- -- --
Total Distributions to Shareholders -- -- -- --
Capital Stock Transactions 10,950,866 17,975,103 7,135,579 9,726,317
Net Increase in Net Assets 11,061,097 27,879,634 8,808,984 19,731,451
Net Assets, Beginning of Period 41,158,991 13,279,357 40,055,728 20,324,277
Net Assets, End of Period $52,220,088 $41,158,991 $48,864,712 $40,055,728
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Partner Small Cap Small Cap
Value Portfolio Stock Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 a (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income/(loss) $37,778 $7,979 $14,639 $3,844
Net realized gains/(losses) on:
Investments 2,304,973 961,047 12,684,801 5,888,707
Futures contracts -- -- -- --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments 449,533 2,365,064 639,093 34,989,443
Futures contracts -- -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Net Change in Net Assets Resulting From Operations 2,792,284 3,334,090 13,338,533 40,881,994
Distributions to Shareholders
From net investment income (187) (7,941) (4,527) (12,405)
From net realized gains (375,046) (586,620) (2,216,034) --
Total Distributions to Shareholders (375,233) (594,561) (2,220,561) (12,405)
Capital Stock Transactions 22,368,565 17,033,726 17,737,994 28,111,423
Net Increase in Net Assets 24,785,616 19,773,255 28,855,966 68,981,012
Net Assets, Beginning of Period 19,773,255 -- 156,878,810 87,897,798
Net Assets, End of Period $44,558,871 $19,773,255 $185,734,776 $156,878,810
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Small Cap Mid Cap
Index Portfolio Growth Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income/(loss) $1,329,849 $1,620,719 $(236,312) $(124,530)
Net realized gains/(losses) on:
Investments 20,494,943 (1,960,875) 33,585,964 (12,880,636)
Futures contracts 204,648 1,808,374 -- --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments 16,644,256 104,587,686 (7,250,769) 134,389,619
Futures contracts 216,327 58,072 -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Net Change in Net Assets Resulting From Operations 38,890,023 106,113,976 26,098,883 121,384,453
Distributions to Shareholders
From net investment income (1,587,468) (1,225,992) -- --
From net realized gains -- -- -- --
Total Distributions to Shareholders (1,587,468) (1,225,992) -- --
Capital Stock Transactions 6,266,113 16,569,507 264,945,868 8,664,711
Net Increase in Net Assets 43,568,668 121,457,491 291,044,751 130,049,164
Net Assets, Beginning of Period 394,846,909 273,389,418 478,842,255 348,793,091
Net Assets, End of Period $438,415,577 $394,846,909 $769,887,006 $478,842,255
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets
Mid Cap Mid Cap
Growth Portfolio II Stock Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income/(loss) $(39,564) $(106,096) $84,306 $151,528
Net realized gains/(losses) on:
Investments 5,688,127 2,431,414 4,337,916 3,305,876
Written option contracts -- -- -- --
Futures contracts -- -- -- --
Foreign currency transactions 278 (134) -- --
Change in net unrealized appreciation/(depreciation) on:
Investments (3,263,426) 4,799,413 564,383 11,864,462
Written option contracts -- -- -- --
Futures contracts -- -- -- --
Foreign currency forward contracts -- 35 -- --
Foreign currency transactions (43) 8 -- --
Net Change in Net Assets Resulting From Operations 2,385,372 7,124,640 4,986,605 15,321,866
Distributions to Shareholders
From net investment income -- -- -- (147,354)
From net realized gains -- -- (751,663) --
Distributions to Shareholders -- -- (751,663) (147,354)
Capital Stock Transactions 3,573,602 5,770,697 13,271,783 26,885,277
Net Increase/(Decrease) in Net Assets 5,958,974 12,895,337 17,506,725 42,059,789
Net Assets, Beginning of Period 30,457,272 17,561,935 73,362,784 31,302,995
Net Assets, End of Period $36,416,246 $30,457,272 $90,869,509 $73,362,784
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Mid Cap Partner International
Index Portfolio Stock Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income/(loss) $332,413 $415,861 $4,726,924 $4,407,170
Net realized gains/(losses) on:
Investments 1,912,191 (2,035,104) 43,744,870 (28,678,627)
Written option contracts -- -- --
Futures contracts 138,408 521,285 --
Foreign currency transactions -- -- (237,161) 1,603,182
Change in net unrealized appreciation/(depreciation) on:
Investments 2,616,607 16,559,477 (28,852,849) 121,385,043
Written option contracts -- -- --
Futures contracts (25,922) 57,270 --
Foreign currency forward contracts -- -- (5,865) (1,475)
Foreign currency transactions -- -- (49,930) (17,140)
Net Change in Net Assets Resulting From Operations 4,973,697 15,518,789 19,325,989 98,698,153
Distributions to Shareholders
From net investment income (373) (410,410) (6,011,108) (5,007,543)
From net realized gains (46,648) (424,655) -- --
Distributions to Shareholders (47,021) (835,065) (6,011,108) (5,007,543)
Capital Stock Transactions 25,413,660 30,927,563 165,050,521 3,726,676
Net Increase/(Decrease) in Net Assets 30,340,336 45,611,287 178,365,402 97,417,286
Net Assets, Beginning of Period 76,187,467 30,576,180 420,712,177 323,294,891
Net Assets, End of Period $106,527,803 $76,187,467 $599,077,579 $420,712,177
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Partner All Cap Large Cap
Portfolio Growth Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income/(loss) $62,159 $105,135 $4,473,927 $12,376,659
Net realized gains/(losses) on:
Investments 2,653,122 2,171,327 74,461,724 (148,836,870)
Written option contracts -- -- 4,677 193,823
Futures contracts -- (40,531) -- --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments (738,809) 6,480,963 (16,854,623) 724,198,418
Written option contracts -- -- (146,635) --
Futures contracts -- -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Net Change in Net Assets Resulting From Operations 1,976,472 8,716,894 61,939,070 587,932,030
Distributions to Shareholders
From net investment income (36,778) (68,357) (12,368,748) (11,996,303)
From net realized gains -- -- --
Distributions to Shareholders (36,778) (68,357) (12,368,748) (11,996,303)
Capital Stock Transactions 2,386,369 4,449,620 (66,340,045) (101,909,709)
Net Increase/(Decrease) in Net Assets 4,326,063 13,098,157 (16,769,723) 474,026,018
Net Assets, Beginning of Period 48,647,837 35,549,680 2,478,756,791 2,004,730,773
Net Assets, End of Period $52,973,900 $48,647,837 $2,461,987,068 $2,478,756,791
a) Since portfolio inception, April 30, 2003.
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Large Cap Partner Growth
Growth Portfolio II Stock Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $54,579 $29,949 $82,040 $124,320
Net realized gains/(losses) on:
Investments 1,952,069 3,643,618 1,278,684 (1,423,158)
Futures contracts -- -- -- --
Foreign currency transactions 120 59 (13,888) (7,708)
Change in net unrealized appreciation/(depreciation) on:
Investments (1,088,337) 2,661,247 568,487 14,994,582
Futures contracts -- -- --
Foreign currency forward contracts -- -- --
Foreign currency transactions (74) 94 617 (224)
Net Change in Net Assets Resulting From Operations 918,357 6,334,967 1,915,940 13,687,812
Distributions to Shareholders
From net investment income (45) (29,963) (757) (113,741)
From net realized gains -- -- -- --
Total Distributions to Shareholders (45) (29,963) (757) (113,741)
Capital Stock Transactions 2,250,397 8,364,226 19,854,941 19,242,302
Net Increase in Net Assets 3,168,709 14,669,230 21,770,124 32,816,373
Net Assets, Beginning of Period 39,121,171 24,451,941 69,665,217 36,848,844
Net Assets, End of Period $42,289,880 $39,121,171 $91,435,341 $69,665,217
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Large Cap Large Cap
Value Portfolio Stock Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $1,622,670 $2,083,665 $952,938 $1,312,597
Net realized gains/(losses) on:
Investments 7,549,741 (3,138,642) 4,228,519 1,126,423
Futures contracts -- -- -- --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments 148,022 41,595,758 (1,353,323) 32,907,918
Futures contracts -- -- -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Net Change in Net Assets Resulting From Operations 9,320,433 40,540,781 3,828,134 35,346,938
Distributions to Shareholders
From net investment income (270) (2,015,737) (863) (1,312,597)
From net realized gains -- -- -- --
Total Distributions to Shareholders (270) (2,015,737) (863) (1,312,597)
Capital Stock Transactions 50,272,324 86,800,750 85,996,331 171,813,193
Net Increase in Net Assets 59,592,487 125,325,794 89,823,602 205,847,534
Net Assets, Beginning of Period 220,431,619 95,105,825 282,412,937 76,565,403
Net Assets, End of Period $280,024,106 $220,431,619 $372,236,539 $282,412,937
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Large Cap Real Estate
Index Portfolio Securities Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003 a
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $4,727,465 $8,533,146 $1,568,217 $832,141
Net realized gains/(losses) on:
Investments 232,069 (4,969,123) 2,575,693 777,106
Futures contracts 1,339,603 2,798,363 -- --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments 18,069,532 146,466,730 640,273 4,671,487
Futures contracts (459,487) 850,514 -- --
Foreign currency forward contracts -- -- -- --
Foreign currency transactions -- -- -- --
Net Change in Net Assets Resulting From Operations 23,909,182 153,679,630 4,784,183 6,280,734
Distributions to Shareholders
From net investment income (8,496,133) (7,932,231) -- (832,069)
From net realized gains -- -- (305,958) (525,698)
Total Distributions to Shareholders (8,496,133) (7,932,231) (305,958) (1,357,767)
Capital Stock Transactions 38,001,465 44,267,149 42,574,206 46,900,355
Net Increase in Net Assets 53,414,514 190,014,548 47,052,431 51,823,322
Net Assets, Beginning of Period 724,997,651 534,983,103 51,823,322 --
Net Assets, End of Period $778,412,165 $724,997,651 $98,875,753 $51,823,322
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Balanced High Yield
Portfolio Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $8,187,807 $16,230,251 $34,891,590 $71,852,656
Net realized gains/(losses) on:
Investments (838,577) (17,016,047) (11,906,500) (106,685,639)
Written option contracts -- -- --
Futures contracts -- -- -- (20,501)
Foreign currency transactions -- -- -- 542
Change in net unrealized appreciation/(depreciation) on:
Investments 6,590,097 105,402,829 (10,557,633) 225,131,120
Futures contracts -- -- -- --
Net Change in Net Assets Resulting From Operations 13,939,327 104,617,033 12,427,457 190,278,178
Distributions to Shareholders
From net investment income (16,194,049) (19,552,920) (34,161,688) (70,324,837)
From net realized gains -- -- --
Distributions to Shareholders (16,194,049) (19,552,920) (34,161,688) (70,324,837)
Capital Stock Transactions 18,636,400 15,315,986 14,211,389 11,637,580
Net Increase/(Decrease) in Net Assets 16,381,678 100,380,099 (7,522,842) 131,590,921
Net Assets, Beginning of Period 721,055,859 620,675,760 851,536,393 719,945,472
Net Assets, End of Period $737,437,537 $721,055,859 $844,013,551 $851,536,393
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Partner High Yield Income
Portfolio Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $2,928,209 $4,447,999 $22,239,510 $49,874,464
Net realized gains/(losses) on:
Investments 142,912 2,886,926 11,832,176 27,797,304
Written option contracts -- -- 228,999 307,329
Futures contracts -- -- 531,602 (3,967,856)
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments (3,442,662) 5,457,263 (33,736,064) 16,063,263
Futures contracts -- -- (896,261) 976,198
Net Change in Net Assets Resulting From Operations (371,541) 12,792,188 199,962 91,050,702
Distributions to Shareholders
From net investment income (2,903,383) (4,438,738) (22,239,510) (49,881,065)
From net realized gains -- -- -- --
Distributions to Shareholders (2,903,383) (4,438,738) (22,239,510) (49,881,065)
Capital Stock Transactions 20,787,417 26,463,929 (36,503,746) (120,326,205)
Net Increase/(Decrease) in Net Assets 17,512,493 34,817,379 (58,543,294) (79,156,568)
Net Assets, Beginning of Period 75,965,566 41,148,187 1,067,135,431 1,146,291,999
Net Assets, End of Period $93,478,059 $75,965,566 $1,008,592,137 $1,067,135,431
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Bond Index Limited Maturity
Portfolio Bond Portfolio
------------------------------- -------------------------------
6/30/2004 6/30/2004
For the periods ended (unaudited) 12/31/2003 (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $5,156,859 $8,821,685 $3,422,194 $5,464,742
Net realized gains/(losses) on:
Investments (123,832) 2,646,352 386,862 2,234,694
Written option contracts -- -- -- --
Futures contracts -- -- 94,861 --
Foreign currency transactions -- -- -- --
Change in net unrealized appreciation/(depreciation) on:
Investments (5,447,405) (3,781,192) (4,336,699) 493,492
Futures contracts -- -- (202,811) --
Net Change in Net Assets Resulting From Operations (414,378) 7,686,845 (635,593) 8,192,928
Distributions to Shareholders
From net investment income (5,331,838) (9,651,828) (3,422,194) (5,473,053)
From net realized gains (914,395) -- (388,148) (2,138,512)
Distributions to Shareholders (6,246,233) (9,651,828) (3,810,342) (7,611,565)
Capital Stock Transactions 25,196,191 62,772,113 63,387,406 58,914,755
Net Increase/(Decrease) in Net Assets 18,535,580 60,807,130 58,941,471 59,496,118
Net Assets, Beginning of Period 244,734,167 183,927,037 218,773,668 159,277,550
Net Assets, End of Period $263,269,747 $244,734,167 $277,715,139 $218,773,668
a) Since Portfolio inception, April 30, 2003.
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Mortgage
Securities Portfolio
-------------------------------
6/30/2004
For the periods ended (unaudited) 12/31/2003 a
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $671,329 $438,661
Net realized gains/(losses) on:
Investments (161,651) 28,327
Change in net unrealized appreciation/(depreciation) on:
Investments (419,803) 81,438
Net Change in Net Assets Resulting From Operations 89,875 548,426
Distributions to Shareholders
From net investment income (671,329) (438,661)
From net realized gains (28,327) --
Total Distributions to Shareholders (699,656) (438,661)
Capital Stock Transactions 17,808,747 27,761,657
Net Increase in Net Assets 17,198,966 27,871,422
Net Assets, Beginning of Period 27,871,422 --
Net Assets, End of Period $45,070,388 $27,871,422
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
Money Market
Portfolio
-------------------------------
6/30/2004
For the periods ended (unaudited) 12/31/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $857,933 $2,643,168
Net Change in Net Assets Resulting From Operations 857,933 2,643,168
Distributions to Shareholders
From Net Investment Income (857,933) (2,643,168)
Capital Stock Transactions (35,618,767) (29,609,877)
Net Decrease in Net Assets (35,618,767) (29,609,877)
Net Assets, Beginning of Period 289,281,921 318,891,798
Net Assets, End of Period $253,663,154 $289,281,921
a) Since Portfolio inception, April 30, 2003.
The accompanying notes to the financial statements are an integral part of this statement.
Thrivent Series Fund, Inc.
Notes to Financial Statements
June 30, 2004 (unaudited)
(1) ORGANIZATION
The Thrivent Series Fund, Inc. (the "Fund") is registered under the
Investment Company Act of 1940. The Fund is divided into twenty-six
separate series (each a "Portfolio" and, collectively, the "Portfolios"),
each with its own investment objective and policies. The Fund consists of
eighteen equity portfolios, one balanced portfolio and seven fixed-income
portfolios. The assets of each Portfolio are segregated and each has a
separate class of capital stock.
Prior to May 1, 2004, the Fund operated as LB Series Fund, Inc. ("LB SF").
Pursuant to a Reorganization Agreement and Plan of Reorganization
("Reorganization Agreement") between AAL Variable Product Series Fund,
Inc. ("AAL VPSF") and LB SF, the International Portfolio of AAL VPSF
merged with and into the World Growth Portfolio of LB SF at the close of
business on April 30, 2004. Pursuant to a separate Reorganization
Agreement between AAL VPSF and LB SF, each of the other Portfolios of AAL
VPSF merged with and into corresponding newly-created series of LB SF at
the close of business on April 30, 2004. Also at the close of business on
April 30, 2004, the Opportunity Growth Portfolio of LB SF merged with and
into the Mid Cap Growth Portfolio of LB SF pursuant to a Plan of
Reorganization with respect to that transaction. In the reorganizations of
operating investment companies, the World Growth Portfolio of the LB SF
acquired through a tax-free exchange all of the net assets of the
International Portfolio of the AAL VPSF. The International Portfolio
exchanged 13,467,023 shares valued at $123,223,934 for 11,818,908 shares
of the World Growth Portfolio. Net assets of the International Portfolio
included unrealized appreciation of $10,673,404. The Mid Cap Growth
Portfolio of the LB SF acquired through a tax-free exchange all of the net
assets of the Opportunity Growth Portfolio of the LB SF. The Opportunity
Growth Portfolio exchanged 26,749,194 shares valued at $264,788,810 for
20,462,181 shares of the Mid Cap Growth Portfolio. Net assets of the
Opportunity Growth Portfolio included unrealized appreciation of
$8,954,570.
Shares in the Fund are currently sold, without sales charges, only to
separate accounts of Thrivent Financial for Lutherans ("Thrivent
Financial") and Thrivent Life Insurance Company ("Thrivent Life"), which
are used to fund benefits of variable life insurance and variable annuity
contracts issued by Thrivent Financial and Thrivent Life; and retirement
plans sponsored by Thrivent Financial.
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of
their duties to the Fund. In addition, in the normal course of business,
the Fund enters into contracts with service providers that provide general
damage clauses. The Fund's maximum exposure under these contracts in
unknown, as this would involve future claims that may be made against the
Fund. However, based on experience, the Fund expects the risk of loss to
be remote.
(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 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.
Fair valuation of securities -- Because 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. The Board of Directors has authorized the
investment adviser to make fair valuation determinations pursuant to
policies approved by the Board of Directors.
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 June 30, 2004, six securities in the High
Yield Portfolio, three securities in the Partner High Yield Portfolio and
one security in the Small Cap Index Portfolio were valued in good faith by
or under the direction of the Board of Directors. These securities
represented 0.00%, 0.42% and 0.00% of net assets of the High Yield,
Partner High Yield and Small Cap Index Portfolios, respectively.
(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 closing 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. During the six months ended June 30,
2004, The Mid Cap Growth Portfolio II, Partner International Stock
Portfolio, Large Cap Growth Portfolio II and Partner Growth Stock
Portfolio engaged in this type of investment.
(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 after 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, Partner
High Yield, Income, Bond Index, Limited Maturity Bond, Mortgage Securities
and Money Market Portfolios and declared and reinvested annually for all
other Portfolios.
(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 six months ended June 30, 2004, the
Large Cap Growth and Income Portfolios 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 six months ended June 30, 2004, the Small Cap Index,
Mid Cap Index, Large Company Index, Income and Limited Maturity Bond
Portfolios 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 Balanced, Income, Bond Index, Limited Maturity Bond and
Mortgage Securities Portfolios earned $1,089,854, $1,380,508, $1,275,148,
$438,301 and $543,105, respectively, from such fees for the six months
ended June 30, 2004.
(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. Pursuant to the Agreement, all loaned securities are
collateralized by cash, U.S. Government securities, letters of credit and
other types of collateral that are 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 June
30, 2004, all Portfolios except the Mortgage Securities and Money Market
Portfolios had securities on loan. The value of securities on loan is as
follows:
Securities
Portfolio on Loan
- --------------------------------------------------------
Technology $3,225,396
Partner Small Cap Growth 12,568,408
Partner Small Cap Value 2,336,930
Small Cap Stock 30,727,320
Small Cap Index 108,318,876
Mid Cap Growth 112,619,210
Mid Cap Growth II 3,885,899
Mid Cap Stock 8,705,275
Mid Cap Index 16,125,794
Partner International Stock 123,584,008
Partner All Cap 3,118,064
Large Cap Growth 111,683,126
Large Cap Growth II 249,496
Partner Growth Stock 2,668,736
Large Cap Value 6,216,764
Large Cap Stock 11,138,069
Large Cap Index 17,485,640
Real Estate Securities 2,734,970
Balanced 85,690,556
High Yield 98,554,696
Partner High Yield 6,075,778
Income 215,493,382
Bond Index 65,264,169
Limited Maturity Bond 61,778,088
(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" IPO's 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 leverage, 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) 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.
(P) Accounting Estimates -- The preparation of financial statements in
conformity with accounting principles generally accepted in the United
States of America require 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.
(Q) 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:
Advisory Fees
-------------------
Technology Portfolio 0.75%
- ----------------------------
Partner Small Cap Growth Portfolio 1.00%
- ----------------------------------
First $500 million 0.90%
Over $500 million
Partner Small Cap Value Portfolio 0.80%
- ---------------------------------
Small Cap Stock Portfolio
- -------------------------
First $200 million 0.70%
Next $800 million 0.65%
Next $1.5 billion 0.60%
Next $2.5 billion 0.55%
Over $5 billion 0.525%
Small Cap Index Portfolio
- -------------------------
First $250 million 0.35%
Next $250 million 0.30%
Mid Cap Growth Portfolio 0.40%
- ------------------------
Mid Cap Growth Portfolio II
- ---------------------------
First $500 million 0.90%
Over $500 million 0.80%
Mid Cap Stock Portfolio
- -----------------------
First $200 million 0.70%
Next $800 million 0.65%
Next $1.5 billion 0.60%
Next $2.5 billion 0.55%
Over $5 billion 0.525%
Mid Cap Index Portfolio
- -----------------------
First $250 million 0.35%
Over $250 million 0.30%
Partner International Stock Portfolio 0.85%
- -------------------------------------
Partner All Cap
- ---------------
First $500 million 0.95%
Over $500 million 0.90%
Large Cap Growth Portfolio 0.40%
- --------------------------
Large Cap Growth Portfolio II
- -----------------------------
First $500 million 0.80%
Over $500 million 0.70%
Partner Growth Stock Portfolio
- ------------------------------
First $500 million 0.80%
Over $500 million 0.70%
Large Cap Value Portfolio 0.60%
- -------------------------
Large Cap Stock Portfolio
- -------------------------
First $500 million 0.65%
Next $500 million 0.575%
Next $1.5 billion 0.475%
Next $2.5 billion 0.45%
Over $5 billion 0.425%
Large Cap Index Portfolio
- -------------------------
First $250 million 0.35%
Over $250 million 0.30%
Real Estate Securities Portfolio 0.80%
- --------------------------------
Balanced Portfolio
- ------------------
First $250 million 0.35%
Over $250 million 0.30%
High Yield Portfolio 0.40%
- --------------------
Partner High Yield Portfolio 0.40%
- ----------------------------
Income Portfolio 0.40%
- ----------------
Bond Index Portfolio
- --------------------
First $250 million 0.35%
Over $250 million 0.30%
Limited Maturity Bond Portfolio 0.40%
- -------------------------------
Mortgage Securities Portfolio 0.50%
- -----------------------------
Money Market Portfolio 0.40%
- ----------------------
The following subadvisory fees are charged as part of the total investment
advisory fees stated in the table above.
The adviser paid Franklin Advisors, Inc. an annual subadvisory fee for the
performance of subadvisory services for the Partner Small Cap Growth
Portfolio until termination of the subadvisory agreement on May 28, 2004.
The fee payable was 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.
Effective May 28, 2004, the adviser entered into subadvisory agreements
with Turner Investment Partners, Inc. ("Turner") and Westcap Investors,
LLC ("Westcap") for the performance of subadvisory services for the
Partner Small Cap Growth Portfolio. The fee payable is equal to 0.65% and
0.50% of average daily net assets subadvised by Turner and Westcap,
respectively.
Effective May 1, 2004, the adviser entered into a subadvisory agreement
with T. Rowe Price Associates, Inc. for the performance of subadvisory
services for the Partner Small Cap Value Portfolio. The fee payable is
equal to 0.60% of average daily net assets.
The adviser paid Massachusetts Financial Services Company an annual
subadvisory fee for the performance of subadvisory services for the Mid
Cap Growth Portfolio II until termination of the subadvisory agreement on
March 3, 2004. The fee payable was 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 paid Oechsle International Advisors, LLC an annual subadvisory
fee for the performance of subadvisory services for the Partner
International Stock Portfolio until the termination of the subadvisory
agreement on May 1, 2004. The fee payable was equal to 0.54% for the first
$20 million of average daily net assets, 0.45% for the next $30 million of
average daily net assets, and 0.36% of average daily net assets over $50
million.
Effective May 1, 2004, the adviser entered into a subadvisory agreement
with Mercator Asset Management, LP ("Mercator"), in addition to the
existing subadvisory agreement with T. Rowe Price International, Inc.
("Price International") for the performance of subadvisory services for
the Partner International Stock Portfolio. The fee payable is equal to
0.47% of average daily net assets subadvised by Mercator. For assets
subadvised by Price International, the fee payable is equal to 0.75% of
the first $20 million, 0.60% of the next $30 million, and 0.50% of the
next $150 million of average daily net assets, with the fee for all of the
assets subadvised by Price International 0.50% and 0.45% when assets
exceed $200 million and $500 million, respectively. For purposes of
determining breakpoints for the assets managed by Price International,
assets managed by Price International in the Partner International Stock
Fund will be included in determining average daily net assets.
The adviser pays Fidelity Management & Research Company for the
performance of subadvisory services for the Partner All Cap Portfolio. The
fee payable is equal to 0.60% of average daily net assets for the first
$100 million, 0.55% for the next $400 million, 0.50% for the next $250
million and 0.45% for assets over $750 million.
The adviser paid Massachusetts Financial Services Company an annual
subadvisory fee for the performance of subadvisory services for the Large
Cap Growth Portfolio II until the termination of the subadvisory agreement
on March 3, 2004. The fee payable was 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. for the performance of
subadvisory services for the Partner Growth Stock Portfolio. The fee
payable is equal to 0.40% of average daily net assets for the first $500
million and 0.35% for assets over $500 million.
The adviser paid Pacific Investment Management Company, LLC an annual
subadvisory fee for the performance of subadvisory services for the High
Yield Bond Portfolio. The fee payable was equal to 0.25% for average daily
net assets. Effective June 1, 2004, the subadvisory agreement was
terminated.
Each non-money market Portfolio may invest in the Money Market Portfolio,
subject to certain limitations. The following Portfolios invested cash in
the Money Market Portfolio during the six months ended June 30, 2004: the
Technology, Small Cap Stock, Small Cap Index, Mid Cap Growth II, Mid Cap
Stock, Mid Cap Index, Partner International Stock, Large Cap Growth II,
Large Cap Stock, Large Cap Index, Balanced, Partner High Yield and Bond
Index Portfolios. The adviser reimburses advisory fees related to these
investments in the Money Market Portfolio.
(B) Other Expenses -- The adviser has voluntarily agreed to reimburse
certain expenses for the following Portfolios: the Technology, Partner
Small Cap Growth, Partner Small Cap Value, Mid Cap Growth II, Mid Cap
Stock, Partner All Cap, Large Cap Growth II, Partner Growth Stock, Real
Estate Securities and Mortgage Securities Portfolios. The voluntary waiver
of expenses to any Portfolio may be modified or discontinued at any time
by the Adviser.
The adviser has entered into an accounting services agreement to provide
accounting personnel and services. For the six months ended June 30, 2004,
Thrivent Financial received aggregate fees for accounting personnel and
services of $527,154 from the Fund.
Effective January 1, 2004, the Fund entered into an agreement with the
adviser to provide certain administrative personnel and services to the
Portfolios. For the six months ended June 30, 2004, Thrivent Financial
received aggregate fees for administrative personnel and services of
$1,363,342 from the Fund.
Each Director of the Funds who is not affiliated with Thrivent Financial
receives an annual fee of $80,000 for services as a Director. In addition,
the lead independent director and independent chairman each receive an
additional fee of $10,000. Each Director is eligible to participate in a
deferred compensation plan with respect to these fees. Amounts that are
deferred are invested in Thrivent Mutual 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
At December 31, 2003, the following Portfolios had
accumulated net realized capital loss carryovers expiring
as follows:
Capital Loss Expiration
Portfolio Carryover Year
- ------------------------------------------------------------------------
Technology $154,361 2010
=============
Partner Small Cap Growth $2,168,894 2010
108,366 2011
-------------
$2,277,260
=============
Small Cap Index $1,857,588 2010
=============
Mid Cap Growth $62,696,503 2009
75,385,490 2010
30,065,596 2011
-------------
$168,147,589
=============
Mid Cap Growth II $6,470,692 2010
=============
Partner International Stock $10,531,972 2009
50,319,176 2010
35,532,910 2011
-------------
$96,384,058
=============
Partner All Cap $11,053,085 2010
1,857,716 2011
-------------
$12,910,801
=============
Large Cap Growth $304,615,661 2009
893,415,579 2010
198,356,425 2011
-------------
$1,396,387,665
=============
Large Cap Growth II $1,842,815 2010
=============
Partner Growth Stock $1,542,471 2010
1,349,618 2011
-------------
$2,892,089
=============
Large Cap Value $5,353,433 2010
9,825,531 2011
-------------
$15,178,964
=============
Large Cap Stock $1,342,316 2010
=============
Large Cap Index $29,774,828 2010
17,819,758 2011
-------------
$47,594,586
=============
Balanced $11,501,775 2010
18,003,606 2011
-------------
$29,505,381
=============
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
=============
Partner High Yield $6,239,479 2008
3,470,883 2009
2,850,377 2010
-------------
$12,560,739
=============
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, Large Cap Growth and Large Cap 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 tax
law limitations to offset future capital gains, if any, as follows:
Capital Loss Expiration
Portfolio Carryover Year
- ------------------------------------------------------------------------
Large Cap Growth $756,931 2008
1,886,777 2009
86,917 2010
-------------
$2,730,625
=============
Large Cap Value $246,569 2008
1,970,622 2009
1,079,278 2010
-------------
$3,296,469
=============
At April 30, 2004, Mid Cap Growth and Partner International Stock
Portfolio, as the successors of the reorganizations with LB Series Fund,
Inc. -- Opportunity Growth Portfolio and AAL Variable Product Series Fund,
Inc. -- International Portfolio, respectively, had additional accumulated
net realized capital loss carryovers subject to applicable tax law
limitations to offset future capital gains, if any, as follows:
Capital Loss Expiration
Portfolio Carryover Year
- ------------------------------------------------------------------------
Mid Cap Growth $27,790,003 2009
60,021,339 2010
10,789,404 2011
-------------
$98,600,746
=============
Partner International Stock $8,036,809 2009
20,959,608 2010
2,858,197 2011
-------------
$31,854,614
=============
At June 30, 2004, the gross unrealized appreciation and depreciation of
investments were as follows:
Net Unrealized
Federal Unrealized Unrealized Appreciation
Portfolio Tax Cost Appreciation (Depreciation) (Depreciation)
- -------------------------------------------------------------------------------------------
Technology $52,023,907 $5,326,849 $(1,871,406) $3,455,443
Partner Small Cap Growth 59,363,248 3,253,623 (1,266,824) 1,986,799
Partner Small Cap Value 44,040,789 3,407,340 (592,743) 2,814,597
Small Cap Stock 185,648,147 32,909,203 (1,904,970) 31,004,233
Small Cap Index 468,720,103 118,732,979 (40,131,546) 78,601,433
Mid Cap Growth 792,839,013 102,437,684 (20,099,215) 82,338,469
Mid Cap Growth II 38,600,987 2,686,717 (1,455,935) 1,230,782
Mid Cap Stock 90,733,826 10,017,650 (1,300,141) 8,717,509
Mid Cap Index 105,311,198 17,725,124 (1,969,873) 15,755,251
Partner All Cap 52,332,272 4,991,129 (1,079,147) 3,911,982
Large Cap Growth 2,353,957,410 290,239,455 (72,905,208) 217,334,247
Large Cap Growth II 41,313,281 2,557,620 (1,380,371) 1,177,249
Partner Growth Stock 83,467,917 11,962,133 (1,225,862) 10,736,271
Large Cap Value 254,296,645 32,904,866 (1,364,346) 31,540,520
Large Cap Stock 368,843,239 22,553,751 (6,456,016) 16,097,735
Large Cap Index 710,630,275 175,728,197 (90,529,563) 85,198,634
Real Estate Securities 94,924,400 5,701,340 (389,580) 5,311,760
Balanced 825,515,676 97,158,781 (42,384,535) 54,774,246
High Yield 928,702,130 44,716,380 (36,758,847) 7,957,533
Partner High Yield 98,341,732 1,499,509 (1,069,390) 430,119
Income 1,278,946,744 18,640,210 (11,413,817) 7,226,393
Bond Index 397,897,914 3,653,586 (5,016,014) (1,362,428)
Limited Maturity Bond 372,356,686 1,264,698 (2,998,394) (1,733,696)
Mortgage Securities 78,553,917 384,790 (723,155) (338,365)
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities -- For the six months
ended June 30, 2004, 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
- --------------------------------------------------------------------
Technology $26,934 $16,692
Partner Small Cap Growth 98,205 89,692
Partner Small Cap Value 66,047 44,103
Small Cap Stock 82,690 71,742
Small Cap Index 53,163 44,186
Mid Cap Growth 537,556 533,520
Mid Cap Growth II 53,131 50,112
Mid Cap Stock 75,829 63,387
Mid Cap Index 34,822 8,692
Partner International Stock 340,310 304,664
Partner All Cap 56,149 53,455
Large Cap Growth 1,290,351 1,361,961
Large Cap Growth II 52,710 49,444
Partner Growth Stock 31,867 12,152
Large Cap Value 123,336 73,145
Large Cap Stock 261,907 170,039
Large Cap Index 33,853 5,574
Real Estate Securities 85,719 43,472
Balanced 17,093 20,944
High Yield 349,608 340,516
Partner High Yield 68,501 48,303
Income 409,838 440,431
Bond Index 8,784 5,438
Limited Maturity Bond 69,642 36,673
Mortgage Securities 28,891 6,234
Purchases and sales of U.S. Government securities were:
In thousands
------------------------------
Portfolio Purchases Sales
- --------------------------------------------------------------------
Balanced $367,365 $359,075
Bond Index 437,304 415,782
Mortgage Securities 177,901 166,242
Income 716,023 704,037
Limited Maturity Bond 267,524 249,997
(B) Investments in Restricted Securities -- The High Yield and Partner
High Yield Portfolios own 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. For the High Yield and Partner High Yield
Portfolios, the aggregate value of restricted securities was $9,121,660
and $805,132 at June 30, 2004, which represented 1.08% and 0.86% of net
assets, respectively. The Portfolios have no right to require registration
of unregistered securities.
(C) Investments in High-Yielding Securities -- The High Yield and Partner
High Yield Portfolios invest primarily in high-yielding fixed-income
securities. Each of the other Portfolios except the Money Market Portfolio
may also invest in high-yielding securities. At the time of purchase,
these securities are rated within or below the "BB" major rating category
by Standard & Poor's Corporation or the "Ba" major rating category by
Moody's Investor Services, Inc. or are unrated and considered to be of
comparable quality. High Yield securities generally will involve more risk
than securities in the higher rating categories and are more likely to
react to developments affecting market risk, interest rate risk and credit
risk than are more highly rated securities.
(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 six
months ended June 30, 2004 were as follows:
Large Cap Growth Portfolio
------------------------------
Number of Premium
Contracts Amount
- --------------------------------------------------------------------
Balance at December 31, 2003 -- $--
Opened 5,558 508,080
Closed (4,695) (377,518)
Expired (292) (23,748)
Exercised (240) (31,679)
------------ ------------
Balance at June 30, 2004 331 $75,135
============ ============
Income Portfolio
------------------------------
Number of Premium
Contracts Amount
- --------------------------------------------------------------------
Balance at December 31, 2003 -- $--
Opened 1,175 386,349
Closed (525) (209,449)
Expired (650) (176,900)
Exercised -- --
------------ ------------
Balance at June 30, 2004 -- $--
============ ============
(6) INVESTMENTS IN AFFILIATES
Affiliated issuers, as defined under the Investment Company Act of 1940,
include those in which the Portfolio's holdings of an issuer represent 5%
or more of the outstanding voting securities of an issuer, or any
affiliated mutual fund. A summary of transactions for the six months ended
June 30, 2004, in the Money Market Portfolio, is as follows:
Gross Gross Balance of Dividend Income
Portfolios invested in the Purchases and Sales and Shares Held Values January 1, 2004 -
Money Market Portfolio Additions Reductions June 30, 2004 June 30, 2004 June 30, 2004
- -----------------------------------------------------------------------------------------------------------
Technology $8,900,091 $8,113,702 $2,586,312 $2,586,312 $6,921
Small Cap Stock 17,878,117 17,558,320 7,495,767 7,495,767 23,481
Small Cap Index 5,674,220 8,241,246 5,912,718 5,912,718 23,477
Mid Cap Growth II 6,625,309 5,907,485 717,824 717,824 2,401
Mid Cap Stock 12,712,876 13,590,929 2,560,365 2,560,365 11,559
Mid Cap Index 22,532,219 24,525,268 1,037,239 1,037,239 9,432
Large Cap Growth II 3,290,468 2,512,531 777,937 777,937 986
Large Cap Stock 6,135,947 7,376,689 7,158,938 7,158,938 24,207
Large Cap Index 533,711 1,128,086 7,485,366 7,485,366 25,485
Balanced 560,914 1,563,658 7,126,303 7,126,303 25,146
Partner High Yield 32,022,858 28,853,774 4,544,083 4,544,083 5,963
Bond Index 136,886 1,346,256 7,348,051 7,348,051 25,333
(7) 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 ten billion shares
as follows:
Shares Par
Portfolio Authorized Value
- -------------------------------------------------------------
Technology 200,000,000 $0.01
Partner Small Cap Growth 200,000,000 0.01
Partner Small Cap Value 200,000,000 0.01
Small Cap Stock 200,000,000 0.01
Small Cap Index 200,000,000 0.01
Mid Cap Growth 400,000,000 0.01
Mid Cap Growth II 200,000,000 0.01
Mid Cap Stock 200,000,000 0.01
Mid Cap Index 200,000,000 0.01
Partner International Stock 400,000,000 0.01
Partner All Cap 200,000,000 0.01
Large Cap Growth 1,000,000,000 0.01
Large Cap Growth II 200,000,000 0.01
Partner Growth Stock 200,000,000 0.01
Large Cap Value 200,000,000 0.01
Large Cap Stock 200,000,000 0.01
Large Cap Index 200,000,000 0.01
Real Estate Securities 200,000,000 0.01
Balanced 400,000,000 0.01
High Yield 1,000,000,000 0.01
Partner High Yield 200,000,000 0.01
Income 1,000,000,000 0.01
Bond Index 200,000,000 0.01
Limited Maturity Bond 200,000,000 0.01
Mortgage Securities 200,000,000 0.01
Money Market 2,000,000,000 0.01
Transactions in capital stock were as follows:
Portfolios
----------------------------------------------------------------------------------------
Partner Partner
Technology Small Cap Growth Small Cap Value
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 4,823,906 $28,284,259 1,845,852 $17,485,023 1,910,903 $22,453,853
Dividends and distributions reinvested -- -- -- -- 43,312 594,561
Redeemed (1,790,977) (10,309,156) (868,507) (7,758,706) (513,784) (6,014,688)
------------- ------------- ------------- ------------- ------------- -------------
Net change 3,032,929 $17,975,103 977,345 $9,726,317 1,440,431 17,033,726
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 2,179,623 $15,423,841 900,790 10,247,339 1,657,818 $23,592,258
Dividends and distributions reinvested -- -- -- -- 26,216 375,233
Redeemed (643,605) (4,472,975) (275,978) (3,111,760) (112,806) (1,598,926)
------------- ------------- ------------- ------------- ------------- -------------
Net change 1,536,018 $10,950,866 624,812 $7,135,579 1,571,228 $22,368,565
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Small Cap Small Cap Mid Cap
Stock Index Growth
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 4,452,675 $44,642,445 3,449,368 $45,186,656 5,024,073 $57,232,893
Dividends and distributions reinvested 1,481 12,405 114,528 1,225,992 -- --
Redeemed (1,726,441) (16,543,427) (2,367,059) (29,843,141) (4,661,508) (48,568,711)
------------- ------------- ------------- ------------- ------------- -------------
Net change 2,727,715 $28,111,423 1,196,837 $16,569,507 362,565 $8,664,182
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 1,864,094 $23,837,983 1,652,580 $27,203,498 2,457,613 $32,772,527
Issued in connection with acquisition of
LB Opportunity Growth Portfolio -- -- -- -- 20,462,181 264,788,810
Dividends and distributions reinvested 172,297 2,220,561 96,017 1,587,468 -- --
Redeemed (653,503) (8,320,550) (1,368,905) (22,524,853) (2,475,429) (32,615,469)
------------- ------------- ------------- ------------- ------------- -------------
Net change 1,382,888 $17,737,994 379,692 $6,266,113 20,444,365 $264,945,868
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Mid Cap Mid Cap Mid Cap
Growth II Stock Index
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 1,779,774 $12,765,663 4,042,917 $33,960,471 4,072,116 $40,363,265
Dividends and distributions reinvested -- -- 14,684 147,354 72,441 835,065
Redeemed (1,005,783) (6,994,956) (864,831) (7,222,548) (1,071,749) (10,270,767)
------------- ------------- ------------- ------------- ------------- -------------
Net change 773,991 $5,770,707 3,192,770 $26,885,277 3,072,808 $30,927,563
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 770,580 $6,667,963 1,403,860 $14,416,156 2,307,638 $27,464,148
Dividends and distributions reinvested -- -- 72,508 751,663 3,905 47,021
Redeemed (359,370) (3,094,361) (186,041) (1,896,036) (177,601) (2,097,509)
------------- ------------- ------------- ------------- ------------- -------------
Net change 411,210 $3,573,602 1,290,327 $13,271,783 2,133,942 $25,413,660
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Partner Partner Large Cap
International Stock All Cap Growth
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 6,187,136 $53,934,818 2,015,036 $13,798,255 18,663,152 $217,054,665
Issued in connection with acquisition of
AAL Aggressive Growth Portfolio -- -- -- -- 779,312 $4,208,880
Dividends and distributions reinvested 671,694 5,007,543 8,731 68,357 1,168,217 11,996,303
Redeemed (6,529,914) (55,215,685) (1,410,924) (9,416,992) (29,426,316) (335,169,557)
------------- ------------- ------------- ------------- ------------- -------------
Net change 328,916 $3,726,676 612,843 $4,449,620 (8,815,635) $(101,909,709)
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 4,923,206 $25,262,768 824,125 $6,515,788 4,664,416 $64,941,588
Issued in connection with acquisition of
AAL International Portfolio 11,818,908 145,322,569 -- -- -- --
Dividends and distributions reinvested 555,191 6,011,108 4,594 36,778 878,518 12,368,748
Redeemed (1,082,403) (11,545,924) (529,560) (4,166,197) (10,331,495) (143,650,381)
------------- ------------- ------------- ------------- ------------- -------------
Net change 16,214,902 $165,050,521 299,159 $2,386,369 (4,788,561) $(66,340,045)
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Large Cap Partner Large Cap
Growth II Growth Stock Value
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 1,883,565 $15,628,090 3,131,519 $27,795,351 7,287,280 $87,640,742
Issued in connection with acquisition of
AAL Equity Income Portfolio -- -- -- -- 3,881,231 $5,951,957
Dividends and distributions reinvested 3,299 29,963 11,159 113,741 206,594 2,015,737
Redeemed (882,097) (7,293,827) (1,037,698) (8,666,790) (1,063,796) (8,807,326)
------------- ------------- ------------- ------------- ------------- -------------
Net change 1,004,767 $8,364,226 2,104,980 $19,242,302 10,311,309 $86,801,110
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 605,820 $5,594,745 2,156,853 $22,315,541 5,342,864 $53,173,163
Dividends and distributions reinvested 5 45 72 757 27 270
Redeemed (364,439) (3,344,393) (239,269) (2,461,357) (292,469) (2,901,109)
------------- ------------- ------------- ------------- ------------- -------------
Net change 241,386 $2,250,397 1,917,656 $19,854,941 5,050,422 $50,272,324
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Large Cap Large Cap Real Estate
Stock Index Securities 1
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 22,962,035 $177,340,232 4,658,362 $80,875,043 4,541,051 $52,064,254
Dividends and distributions reinvested 153,420 1,312,597 536,219 7,932,231 107,242 1,357,767
Redeemed (916,500) (6,839,636) (2,675,101) (44,540,125) (555,081) (6,521,666)
------------- ------------- ------------- ------------- ------------- -------------
Net change 22,198,955 $171,813,193 2,519,480 $44,267,149 4,093,212 $46,900,355
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 10,188,296 $88,111,412 2,977,150 $59,580,261 3,420,786 $44,717,867
Dividends and distributions reinvested 99 863 420,809 8,496,133 22,800 305,958
Redeemed (246,706) (2,115,944) (1,507,420) (30,074,929) (192,642) (2,449,619)
------------- ------------- ------------- ------------- ------------- -------------
Net change 9,941,689 $85,996,331 1,890,539 $38,001,465 3,250,944 $42,574,206
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Partner
Balanced High Yield High Yield
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 5,371,450 $71,328,347 8,712,487 $42,181,021 6,625,582 $42,099,030
Dividends and distributions reinvested 1,616,171 19,552,920 14,684,952 70,324,837 698,907 4,438,738
Redeemed (5,778,503) (75,565,281) (21,403,217) (100,868,278) (3,134,237) (20,073,839)
------------- ------------- ------------- ------------- ------------- -------------
Net change 1,209,118 $15,315,986 1,994,222 $11,637,580 4,190,252 $26,463,929
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 2,998,383 $43,279,069 5,954,331 $30,420,405 3,317,295 $22,066,982
Dividends and distributions reinvested 1,118,126 16,194,049 6,703,508 34,161,688 438,644 2,903,383
Redeemed (2,839,112) (40,836,718) (9,915,003) (50,370,704) (631,476) (4,182,948)
------------- ------------- ------------- ------------- ------------- -------------
Net change 1,277,397 $18,636,400 2,742,836 $14,211,389 3,124,463 $20,787,417
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------------------------------------
Bond Limited
Income Index Maturity Bond
---------------------------- ---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Sold 6,121,083 $61,591,408 9,266,183 $98,674,088 9,831,117 $100,608,578
Dividends and distributions reinvested 4,956,115 49,881,065 907,860 9,651,828 743,874 7,611,565
Redeemed (23,057,585) (231,798,678) (4,302,734) (45,553,803) (4,827,404) (49,305,388)
------------- ------------- ------------- ------------- ------------- -------------
Net change (11,980,387) $(120,326,205) 5,871,309 $62,772,113 5,747,587 $58,914,755
============= ============= ============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 3,462,286 $35,249,654 3,232,689 $34,095,137 6,864,321 $69,833,200
Dividends and distributions reinvested 2,188,750 22,239,510 593,637 6,246,233 374,528 3,810,343
Redeemed (9,252,405) (93,992,910) (1,446,631) (15,145,179) (1,006,327) (10,256,137)
------------- ------------- ------------- ------------- ------------- -------------
Net change (3,601,369) $(36,503,746) 2,379,695 $25,196,191 6,232,522 $63,387,406
============= ============= ============= ============= ============= =============
Portfolios
----------------------------------------------------------
Mortgage Money
Securities /1/ Market
---------------------------- ----------------------------
Year Ended December 31, 2003 Shares Amount Shares Amount
- ------------------------------ ------------- ------------- ------------- -------------
Sold 3,926,000 $39,072,949 171,924,976 $171,924,976
Issued in connection with acquisition of
AAL Money Market Portfolio -- -- 69,462,396 $69,462,396
Dividends and distributions reinvested 44,197 438,661 2,643,168 2,643,168
Redeemed (1,181,571) (11,749,953) (273,640,417) (273,640,417)
------------- ------------- ------------- -------------
Net change 2,788,626 $27,761,657 (29,609,877) $(29,609,877)
============= ============= ============= =============
Six Months Ended June 30, 2004
- ------------------------------
Sold 1,859,316 $18,529,167 91,004,755 $91,004,755
Dividends and distributions reinvested 70,401 699,656 857,933 857,933
Redeemed (143,037) (1,420,076) (127,481,455) (127,481,455)
------------- ------------- ------------- -------------
Net change 1,786,680 $17,808,747 (35,618,767) $(35,618,767)
============= ============= ============= =============
/1/ Portfolio's inception was April 30, 2003. Activity for the year ended December 31, 2003 reflects eight months of operations.
(8) FORWARD CURRENCY CONTRACTS
As of June 30, 2004 the Partner International Stock Portfolio had entered into forward foreign currency contracts, as
summarized below, resulting in net unrealized depreciation of $5,865:
Expiration Contract Market Value Unrealized
Purchased Date Quantity Amount End of Period Depreciation
- -------------------------------------------------------------------------------------------------------
Japanese yen (JPY) 7/1/04 21,238,021 $195,742 $194,639 $1,103
Sold
Australian dollar (AUDC) 7/2/04 1,314,823 911,172 915,934 4,762
--------
TOTAL $5,865
========
(9) LINE OF CREDIT
Effective May 1, 2003, the Thrivent Series Fund, Inc., along with The AAL
Mutual Funds and The Lutheran Brotherhood Family of Funds entered into an
unsecured $75 million bank line of credit agreement with State Street Bank
and Trust Company. Borrowings under the agreement would bear interest at
the Federal Funds rate plus 0.50%. The Funds were allowed to borrow money
for temporary or emergency purposes to fund shareholder redemptions. The
Portfolios did not borrow against the line during the six months ended
June 30, 2004. The line of credit was allowed to expire on April 29, 2004.
(10) PROXY VOTING
The policies and procedures that the Fund uses to determine how to vote
proxies relating to portfolio securities are attached to the Fund's
Statement of Additional Information. You may request a free copy of the
Statement of Additional Information by calling 800-947-4836. You may also
review the Statement of Additional Information at the Thrivent Financial
web site (www.thrivent.com) or the SEC web site (www.sec.gov).
This page is intentionally left blank.
Thrivent Series Fund, Inc.
Financial Highlights
Technology Portfolio
- -----------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
6/30/2004 Ended Ended Ended
For a share outstanding throughout each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(e)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $6.94 $4.59 $7.87 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) (0.01) (0.01) (0.01) (0.02)
Net realized and unrealized gain/(loss)
on investments (b) 0.07 2.36 (3.27) (2.11)
---------- ---------- ---------- ----------
Total from Investment Operations 0.06 2.35 (3.28) (2.13)
---------- ---------- ---------- ----------
Less Distributions from
Net investment income -- -- -- --
Net realized gain on investments -- -- -- --
---------- ---------- ---------- ----------
Total Distributions -- -- -- --
---------- ---------- ---------- ----------
Net Asset Value, End of period $7.00 $6.94 $4.59 $7.87
---------- ---------- ---------- ----------
Total return (c) 0.76% 51.36% (41.71)% (21.30)%
Net assets, end of period (in millions) $52.2 $41.2 $13.3 $8.8
Ratio of expenses to average net assets (d) 0.73% 0.73% 0.74% 0.75%
Ratio of net investment income/(loss)
to average net assets (d) (0.35)% (0.36)% (0.50)% (0.40)%
Portfolio turnover rate 37% 68% 57% 44%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.93% 1.17% 1.59% 1.76%
Ratio of net investment loss to average
net assets (d) (0.55)% (0.80)% (1.35)% (1.41)%
Partner Small Cap
Growth Portfolio
- -----------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
6/30/2004 Ended Ended Ended
For a share outstanding throughout each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $11.07 $7.70 $10.55 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) (0.04) (0.04) (0.04) (0.01)
Net realized and unrealized gain/(loss)
on investments (b) 0.49 3.41 (2.81) 0.56
---------- ---------- ---------- ----------
Total from Investment Operations 0.45 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 $11.52 $11.07 $7.70 $10.55
---------- ---------- ---------- ----------
Total return (c) 4.02% 43.83% (27.02)% 5.50%
Net assets, end of period (in millions) $48.9 $40.1 $20.3 $5.7
Ratio of expenses to average net assets (d) 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income/(loss)
to average net assets (d) (0.68)% (0.57)% (0.52)% (0.74)%
Portfolio turnover rate 213% 52% 29% 0%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 1.20% 1.28% 1.11%
Ratio of net investment loss to average
net assets (d) (0.88)% (0.85)% (0.63)%
Partner Small
Cap Value Portfolio
- ----------------------------------------------------------------------------
Six Months
Ended Period
6/30/2004 Ended
For a share outstanding throughout each period (a) (unaudited) 12/31/2003(g)
---------- ----------
Net Asset Value, Beginning of Period $13.73 $10.00
---------- ----------
Income from Investment Operations
Net investment income/(loss) 0.01 0.01
Net realized and unrealized gain/(loss)
on investments (b) 1.25 4.15
---------- ----------
Total from Investment Operations 1.26 4.16
---------- ----------
Less Distributions from
Net investment income -- (0.01)
Net realized gain on investments (0.19) (0.42)
---------- ----------
Total Distributions (0.19) (0.43)
---------- ----------
Net Asset Value, End of period $14.80 $13.73
---------- ----------
Total return (c) 9.23% 41.55%
Net assets, end of period (in millions) $44.6 $19.8
Ratio of expenses to average net assets (d) 0.80% 0.80%
Ratio of net investment income/(loss)
to average net assets (d) 0.24% 0.12%
Portfolio turnover rate 145% 54%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 1.06% 1.69%
Ratio of net investment loss to average
net assets (d) (0.02)% (0.77)%
Small Cap
Stock Portfolio
- -----------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
6/30/2004 Ended Ended Ended
For a share outstanding throughout each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(e)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $12.34 $8.81 $11.09 $10.00
Income from Investment Operations
Net investment income/(loss) -- -- -- 0.01
Net realized and unrealized gain/(loss)
on investments (b) 1.01 3.53 (2.26) 1.10
---------- ---------- ---------- ----------
Total from Investment Operations 1.01 3.53 (2.26) 1.11
---------- ---------- ---------- ----------
Less Distributions from
Net investment income -- -- -- (0.01)
Net realized gain on investments (0.17) -- (0.02) (0.01)
---------- ---------- ---------- ----------
Total Distributions (0.17) -- (0.02) (0.02)
---------- ---------- ---------- ----------
Net Asset Value, End of period $13.18 $12.34 $8.81 $11.09
---------- ---------- ---------- ----------
Total return (c) 8.18% 40.19% (20.41)% 11.10%
Net assets, end of period (in millions) $185.7 $156.9 $87.9 $23.7
Ratio of expenses to average net assets (d) 0.77% 0.69% 0.69% 0.70%
Ratio of net investment income/(loss)
to average net assets (d) 0.02% 0.00% 0.04% 0.15%
Portfolio turnover rate 44% 122% 92% 46%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.80% 0.82% 0.96% 1.35%
Ratio of net investment loss to average
net assets (d) (0.01)% (0.13)% (0.23)% (0.50)%
Small Cap Index Portfolio
- --------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout each 6/30/2004 Ended Ended Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $15.83 $11.52 $13.59 $13.64 $13.20 $12.40
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) 0.05 0.07 0.05 0.05 0.06 0.06
Net realized and unrealized gain/(loss)
on investments (b) 1.50 4.29 (2.07) 0.82 1.44 1.43
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.55 4.36 (2.02) 0.87 1.50 1.49
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.06) (0.05) -- (0.05) (0.06) (0.06)
Net realized gain on investments -- -- (0.05) (0.87) (1.00) (0.63)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.06) (0.05) (0.05) (0.92) (1.06) (0.69)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $17.32 $15.83 $11.52 $13.59 $13.64 $13.20
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 9.79% 38.16% (14.87)% 6.38% 11.23% 12.19%
Net assets, end of period (in millions) $438.4 $394.8 $273.4 $324.5 $304.7 $226.0
Ratio of expenses to average net assets (d) 0.38% 0.40% 0.40% 0.39% 0.35% 0.35%
Ratio of net investment income/(loss)
to average net assets (d) 0.64% 0.52% 0.40% 0.40% 0.43% 0.49%
Portfolio turnover rate 11% 15% 17% 20% 46% 31%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.39% 0.40% 0.40% 0.40% 0.40% 0.41%
Ratio of net investment income/(loss)
to average net assets (d) 0.63% 0.52% 0.40% 0.39% 0.37% 0.44%
Mid Cap Growth Portfolio
- --------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout each 6/30/2004 Ended Ended Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $13.08 $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) 0.42 3.45 (3.39) (3.39) 2.24 5.49
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.42 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 $13.50 $13.08 $9.63 $13.04 $17.59 $16.62
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 3.16% 35.92% (26.09)% (19.74)% 13.37% 49.64%
Net assets, end of period (in millions) $769.9 $478.8 $348.8 $537.9 $588.6 $271.7
Ratio of expenses to average net assets (d) 0.47% 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income/(loss)
to average net assets (d) (0.08)% (0.03)% (0.06)% 0.12% 0.49% 0.26%
Portfolio turnover rate 76% 79% 51% 121% 117% 148%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.48% 0.44% 0.45%
Ratio of net investment income/(loss)
to average net assets (d) (0.09)% (0.07)% (0.11)%
Mid Cap Growth Portfolio II
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $8.19 $5.96 $10.60 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) (0.01) (0.03) (0.02) --
Net realized and unrealized gain/(loss)
on investments (b) 0.63 2.26 (4.60) 0.60
---------- ---------- ---------- ----------
Total from Investment Operations 0.62 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 $8.81 $8.19 $5.96 $10.60
---------- ---------- ---------- ----------
Total return (c) 7.67% 37.34% (43.66)% 5.99%
Net assets, end of period (in millions) $36.4 $30.5 $17.6 $6.1
Ratio of expenses to average net assets (d) 0.58% 0.90% 0.90% 0.90%
Ratio of net investment income/(loss)
to average net assets (d) (0.23)% (0.47)% (0.36)% (0.53)%
Portfolio turnover rate 149% 105% 171% 15%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 1.25% 1.34% 1.02%
Ratio of net investment income/(loss)
to average net assets (d) (0.90)% (0.91)% (0.48)%
(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) Since inception, March 1, 2001.
(f) Since inception, November 30, 2001.
(g) Since inception, April 30, 2003.
The accompanying notes to the financial statements are an integral part of this schedule.
Thrivent Series Fund, Inc.
Financial Highlights - continued
Mid Cap Stock Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(e)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $10.04 $7.60 $9.02 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.01 0.02 0.02 0.02
Net realized and unrealized gain/(loss)
on investments (b) 0.62 2.44 (1.42) (0.98)
---------- ---------- ---------- ----------
Total from Investment Operations 0.63 2.46 (1.40) (0.96)
---------- ---------- ---------- ----------
Less Distributions from
Net investment income -- (0.02) (0.02) (0.02)
Net realized gain on investments (0.10) -- -- --
---------- ---------- ---------- ----------
Total Distributions (0.10) (0.02) (0.02) (0.02)
---------- ---------- ---------- ----------
Net Asset Value, End of period $10.57 $10.04 $7.60 $9.02
---------- ---------- ---------- ----------
Total return (c) 6.26% 32.28% (15.46)% (9.61)%
Net assets, end of period (in millions) $90.9 $73.4 $31.3 $21.5
Ratio of expenses to average net assets (d) 0.68% 0.68% 0.68% 0.70%
Ratio of net investment income
to average net assets (d) 0.21% 0.31% 0.36% 0.41%
Portfolio turnover rate 80% 85% 59% 95%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.87% 1.01% 1.05% 1.45%
Ratio of net investment income/(loss)
to average net assets (d) 0.02% (0.02)% (0.01)% (0.34)%
Mid Cap Index Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(e)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $11.53 $8.65 $10.23 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.04 0.06 0.05 0.06
Net realized and unrealized gain/(loss)
on investments (b) 0.62 2.95 (1.54) 0.25
---------- ---------- ---------- ----------
Total from Investment Operations 0.66 3.01 (1.49) 0.31
---------- ---------- ---------- ----------
Less Distributions from
Net investment income -- (0.06) (0.05) (0.06)
Net realized gain on investments (0.01) (0.07) (0.04) (0.02)
---------- ---------- ---------- ----------
Total Distributions (0.01) (0.13) (0.09) (0.08)
---------- ---------- ---------- ----------
Net Asset Value, End of period $12.18 $11.53 $8.65 $10.23
---------- ---------- ---------- ----------
Total return (c) 5.75% 34.80% (14.65)% 3.11%
Net assets, end of period (in millions) $106.5 $76.2 $30.6 $14.3
Ratio of expenses to average net assets (d) 0.48% 0.36% 0.34% 0.35%
Ratio of net investment income
to average net assets (d) 0.73% 0.88% 0.79% 0.80%
Portfolio turnover rate 10% 25% 14% 20%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.50% 0.64% 0.83% 1.13%
Ratio of net investment income/(loss)
to average net assets (d) 0.71% 0.60% 0.30% 0.02%
Partner International Stock Portfolio
- --------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- --------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $10.62 $8.23 $10.02 $13.83 $16.93 $12.67
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.08 0.11 0.10 0.07 0.06 0.11
Net realized and unrealized gain/(loss)
on investments (b) 0.18 2.41 (1.85) (2.81) (2.73) 4.21
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.26 2.52 (1.75) (2.74) (2.67) 4.32
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.15) (0.13) (0.04) (0.05) -- (0.06)
Net realized gain on investments -- -- -- (1.02) (0.43) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.15) (0.13) (0.04) (1.07) (0.43) (0.06)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $10.73 $10.62 $8.23 $10.02 $13.83 $16.93
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 2.41% 31.27% (17.43)% (21.03)% (16.12)% 34.13%
Net assets, end of period (in millions) $599.1 $420.7 $323.3 $440.0 $561.3 $550.1
Ratio of expenses to average net assets (d) 0.96% 0.85% 0.85% 0.85% 0.85% 0.85%
Ratio of net investment income
to average net assets (d) 1.96% 1.28% 1.08% 0.68% 0.44% 0.89%
Portfolio turnover rate 58% 26% 20% 30% 38% 23%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.96% 0.96% 0.95%
Ratio of net investment income/(loss)
to average net assets (d) 1.96% 1.17% 0.98%
Partner All Cap Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $7.83 $6.35 $10.30 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) 0.01 0.02 (0.01) --
Net realized and unrealized gain/(loss)
on investments (b) 0.30 1.47 (3.93) 0.30
---------- ---------- ---------- ----------
Total from Investment Operations 0.31 1.49 (3.94) 0.30
---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.01) (0.01) -- --
Net realized gain on investments -- -- (0.01) --
---------- ---------- ---------- ----------
Total Distributions (0.01) (0.01) (0.01) --
---------- ---------- ---------- ----------
Net Asset Value, End of period $8.13 $7.83 $6.35 $10.30
---------- ---------- ---------- ----------
Total return (c) 4.03% 23.52% (38.33)% 3.10%
Net assets, end of period (in millions) $53.0 $48.6 $35.5 $6.4
Ratio of expenses to average net assets (d) 0.95% 0.95% 0.95% 0.95%
Ratio of net investment income/(loss)
to average net assets (d) 0.25% 0.26% (0.18)% (0.36)%
Portfolio turnover rate 108% 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 (d) 1.17% 1.12% 1.03%
Ratio of net investment income/(loss)
to average net assets (d) 0.03% 0.09% (0.26)%
Large Cap Growth Portfolio
- --------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- --------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $13.78 $10.62 $15.25 $24.06 $30.24 $23.51
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) 0.03 0.07 0.07 0.07 0.13 0.11
Net realized and unrealized gain/(loss)
on investments (b) 0.32 3.15 (4.63) (4.13) (1.18) 9.14
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.35 3.22 (4.56) (4.06) (1.05) 9.25
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.07) (0.06) (0.07) (0.05) (0.08) (0.11)
Net realized gain on investments -- -- -- (4.70) (5.05) (2.41)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.07) (0.06) (0.07) (4.75) (5.13) (2.52)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $14.06 $13.78 $10.62 $15.25 $24.06 $30.24
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 2.54% 30.49% (29.99)% (19.13)% (4.95)% 43.61%
Net assets, end of period (in millions) $2,462.0 $2,478.8 $2,004.7 $3,607.7 $4,695.7 $4,913.3
Ratio of expenses to average net assets (d) 0.45% 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income/(loss)
to average net assets (d) 0.36% 0.56% 0.48% 0.43% 0.48% 0.45%
Portfolio turnover rate 53% 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 (d) 0.45% 0.42% 0.42%
Ratio of net investment income/(loss)
to average net assets (d) 0.36% 0.54% 0.46%
Large Cap Growth Portfolio II
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $9.08 $7.40 $10.08 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income/(loss) 0.01 0.01 0.01 --
Net realized and unrealized gain/(loss)
on investments (b) 0.21 1.68 (2.68) 0.08
---------- ---------- ---------- ----------
Total from Investment Operations 0.22 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 $9.30 $9.08 $7.40 $10.08
---------- ---------- ---------- ----------
Total return (c) 2.36% 22.75% (26.53)% 0.89%
Net assets, end of period (in millions) $42.3 $39.1 $24.5 $5.9
Ratio of expenses to average net assets (d) 0.55% 0.80% 0.80% 0.80%
Ratio of net investment income/(loss)
to average net assets (d) 0.26% 0.10% 0.12% 0.05%
Portfolio turnover rate 123% 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 (d) 1.20% 1.26% 0.90%
Ratio of net investment income/(loss)
to average net assets (d) (0.39)% (0.36)% 0.02%
(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) Since inception, March 1, 2001.
(f) Since inception, November 30, 2001.
The accompanying notes to the financial statements are an integral part of this schedule.
Thrivent Series Fund, Inc.
Financial Highlights - continued
Partner Growth Stock Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $10.19 $7.79 $10.16 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.01 0.02 0.01 --
Net realized and unrealized gain/(loss)
on investments (b) 0.25 2.40 (2.37) 0.16
---------- ---------- ---------- ----------
Total from Investment Operations 0.26 2.42 (2.36) 0.16
---------- ---------- ---------- ----------
Less Distributions from
---------- ---------- ---------- ----------
Net Investment Income -- (0.02) (0.01) --
---------- ---------- ---------- ----------
Net Asset Value, End of period $10.45 $10.19 $7.79 $10.16
---------- ---------- ---------- ----------
Total return (c) 2.49% 31.05% (23.20)% 1.63%
Net assets, end of period (in millions) $91.4 $69.7 $36.8 $6.2
Ratio of expenses to average net assets (d) 0.80% 0.80% 0.80% 0.80%
Ratio of net investment income
to average net assets (d) 0.20% 0.26% 0.26% 0.37%
Portfolio turnover rate 15% 41% 37% 3%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.93% 0.96% 0.89%
Ratio of net investment income
to average net assets (d) 0.07% 0.10% 0.17%
Large Cap Value Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $9.76 $7.74 $10.14 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.06 0.09 0.07 0.01
Net realized and unrealized gain/(loss)
on investments (b) 0.31 2.02 (2.39) 0.13
---------- ---------- ---------- ----------
Total from Investment Operations 0.37 2.11 (2.32) 0.14
---------- ---------- ---------- ----------
Less Distributions from
---------- ---------- ---------- ----------
Net Investment Income -- (0.09) (0.08) --
---------- ---------- ---------- ----------
Net Asset Value, End of period $10.13 $9.76 $7.74 $10.14
---------- ---------- ---------- ----------
Total return (c) 3.83% 27.08% (22.85)% 1.44%
Net assets, end of period (in millions) $280.0 $220.4 $95.1 $6.9
Ratio of expenses to average net assets (d) 0.67% 0.60% 0.60% 0.60%
Ratio of net investment income
to average net assets (d) 1.31% 1.41% 1.39% 0.87%
Portfolio turnover rate 30% 32% 104% --
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.68% 0.68% 0.66%
Ratio of net investment income
to average net assets (d) 1.30% 1.33% 1.33%
Large Cap Stock Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(g)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $8.56 $7.08 $9.19 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.02 0.04 0.04 0.03
Net realized and unrealized gain/(loss)
on investments (b) 0.09 1.48 (2.11) (0.81)
---------- ---------- ---------- ----------
Total from Investment Operations 0.11 1.52 (2.07) (0.78)
---------- ---------- ---------- ----------
Less Distributions from
---------- ---------- ---------- ----------
Net Investment Income -- (0.04) (0.04) (0.03)
---------- ---------- ---------- ----------
Net Asset Value, End of period $8.67 $8.56 $7.08 $9.19
---------- ---------- ---------- ----------
Total return (c) 1.30% 21.36% (22.50)% (7.78)%
Net assets, end of period (in millions) $372.2 $282.4 $76.6 $51.7
Ratio of expenses to average net assets (d) 0.72% 0.64% 0.64% 0.65%
Ratio of net investment income
to average net assets (d) 0.58% 0.80% 0.67% 0.60%
Portfolio turnover rate 54% 33% 7% 1%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.73% 0.77% 0.86% 1.04%
Ratio of net investment income
to average net assets (d) 0.57% 0.67% 0.45% 0.21%
Large Cap Index Portfolio
- --------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- --------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $19.79 $15.68 $20.26 $24.12 $27.10 $22.90
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.12 0.24 0.23 0.21 0.23 0.25
Net realized and unrealized gain/(loss)
on investments (b) 0.52 4.10 (4.73) (3.13) (2.70) 4.42
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.64 4.34 (4.50) (2.92) (2.47) 4.67
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.23) (0.23) -- (0.21) (0.23) (0.25)
Net realized gain on investments -- -- (0.08) (0.73) (0.28) (0.22)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.23) (0.23) (0.08) (0.94) (0.51) (0.47)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $20.20 $19.79 $15.68 $20.26 $24.12 $27.10
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 3.25% 28.21% (22.21)% (12.15)% (9.18)% 20.52%
Net assets, end of period (in millions) $778.4 $725.0 $535.0 $755.4 $904.8 $873.8
Ratio of expenses to average net assets (d) 0.37% 0.36% 0.36% 0.34% 0.31% 0.32%
Ratio of net investment income
to average net assets (d) 1.26% 1.42% 1.24% 0.98% 0.87% 1.01%
Portfolio turnover rate (e) 1% 1% 6% 4% 4% 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 (d) 0.37% 0.36% 0.36% 0.35% 0.34% 0.35%
Ratio of net investment income
to average net assets (d) 1.26% 1.42% 1.24% 0.97% 0.84% 0.98%
Real Estate
Securities Portfolio
- ----------------------------------------------------------------------------
Six Months
Ended Period
6/30/2004 Ended
For a share outstanding throughout each period (a) (unaudited) 12/31/2003(h)
---------- ----------
Net Asset Value, Beginning of Period $12.66 $10.00
---------- ----------
Income from Investment Operations
Net investment income 0.21 0.20
Net realized and unrealized gain/(loss)
on investments (b) 0.65 2.80
---------- ----------
Total from Investment Operations 0.86 3.00
---------- ----------
Less Distributions from
Net investment income -- (0.20)
Net realized gain on investments (0.06) (0.14)
---------- ----------
Total Distributions (0.06) (0.34)
---------- ----------
Net Asset Value, End of period $13.46 $12.66
---------- ----------
Total return (c) 6.81% 30.02%
Net assets, end of period (in millions) $98.9 $51.8
Ratio of expenses to average net assets (d) 0.80% 0.80%
Ratio of net investment income
to average net assets (d) 4.16% 4.87%
Portfolio turnover rate (e) 59% 45%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for fees paid indirectly the ratios
would have been:
Ratio of expenses to average net assets (d) 0.91% 1.11%
Ratio of net investment income
to average net assets (d) 4.05% 4.56%
Balanced Portfolio
- -------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- -------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $14.45 $12.75 $14.38 $15.45 $16.72 $15.97
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.16 0.33 0.39 0.40 0.56 0.53
Net realized and unrealized gain/(loss)
on investments (b) 0.12 1.78 (1.72) (0.94) (0.67) 1.19
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.28 2.11 (1.33) (0.54) (0.11) 1.72
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.32) (0.41) -- (0.45) (0.56) (0.53)
Net realized gain on investments -- -- (0.30) (0.08) (0.60) (0.44)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.32) (0.41) (0.30) (0.53) (1.16) (0.97)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $14.41 $14.45 $12.75 $14.38 $15.45 $16.72
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 1.94% 17.17% (9.25)% (3.49)% (0.67)% 11.00%
Net assets, end of period (in millions) $737.4 $721.1 $620.7 $744.4 $803.6 $777.6
Ratio of expenses to average net assets (d) 0.37% 0.36% 0.36% 0.35% 0.32% 0.32%
Ratio of net investment income
to average net assets (d) 2.25% 2.49% 2.81% 2.70% 3.41% 3.26%
Portfolio turnover rate (e) 57% 69% 25% 29% 18% 17%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for fees paid indirectly the ratios
would have been:
Ratio of expenses to average net assets (d) 0.37% 0.36% 0.36% 0.35% 0.35% 0.36%
Ratio of net investment income
to average net assets (d) 2.25% 2.49% 2.81% 2.70% 3.38% 3.22%
(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) During the year ended December 31, 2003, the Balanced Portfolio began participating in mortgage dollar roll
transactions. The portfolio turnover calculation includes the effect of participating in these transactions.
(f) Since inception, November 30, 2001.
(g) Since inception, March 1, 2001.
(h) Since inception, April 30, 2003.
The accompanying notes to the financial statements are an integral part of this schedule.
Thrivent Series Fund, Inc.
Financial Highlights - continued
High Yield Portfolio
- --------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- --------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $5.14 $4.40 $5.41 $6.39 $9.09 $9.16
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.21 0.44 0.56 0.78 0.99 0.99
Net realized and unrealized gain/(loss)
on investments (b) (0.14) 0.73 (1.01) (0.98) (2.70) (0.07)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.07 1.17 (0.45) (0.20) (1.71) 0.92
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
---------- ---------- ---------- ---------- ---------- ----------
Net Investment Income (0.20) (0.43) (0.56) (0.78) (0.99) (0.99)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $5.01 $5.14 $4.40 $5.41 $6.39 $9.09
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 1.46% 28.00% (8.65)% (3.60)% (20.56)% 10.52%
Net assets, end of period (in millions) $844.0 $851.5 $719.9 $1,007.7 $1,150.3 $1,525.7
Ratio of expenses
to average net assets (d) 0.46% 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets (d) 8.21% 9.22% 11.64% 12.95% 12.16% 10.71%
Portfolio turnover rate (e) 42% 86% 79% 80% 62% 59%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.46% 0.43% 0.43%
Ratio of net investment income
to average net assets (d) 8.21% 9.19% 11.61%
Partner High Yield Portfolio
- -------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- -------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $6.74 $5.81 $6.33 $6.84 $7.69 $8.95
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.23 0.50 0.52 0.60 0.74 0.89
Net realized and unrealized gain/(loss)
on investments (b) (0.26) 0.93 (0.52) (0.50) (0.85) (1.26)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations (0.03) 1.43 -- 0.10 (0.11) (0.37)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
---------- ---------- ---------- ---------- ---------- ----------
Net Investment Income (0.22) (0.50) (0.52) (0.61) (0.74) (0.89)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $6.49 $6.74 $5.81 $6.33 $6.84 $7.69
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) (0.35)% 25.41% 0.40% 1.41% (1.46)% (4.45)%
Net assets, end of period (in millions) $93.5 $76.0 $41.1 $34.5 $33.6 $33.2
Ratio of expenses
to average net assets (d) 0.51% 0.41% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets (d) 6.86% 7.86% 8.89% 9.01% 10.19% 10.70%
Portfolio turnover rate (e) 62% 95% 100% 76% 99% 44%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.52% 0.59% 0.64% 0.65% 0.53% 0.50%
Ratio of net investment income
to average net assets (d) 6.85% 7.68% 8.65% 8.76% 10.06% 10.61%
Income Portfolio
- -------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- -------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $10.20 $9.83 $9.80 $9.71 $9.41 $10.21
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.22 0.45 0.51 0.61 0.64 0.59
Net realized and unrealized gain/(loss)
on investments (b) (0.22) 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 (0.22) (0.45) (0.51) (0.61) (0.64) (0.59)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $9.98 $10.20 $9.83 $9.80 $9.71 $9.41
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) (0.01)% 8.51% 5.75% 7.38% 10.36% (2.01)%
Net assets, end of period (in millions) $1,008.6 $1,067.1 $1,146.3 $1,224.2 $1,095.0 $1,066.0
Ratio of expenses
to average net assets (d) 0.45% 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets (d) 4.28% 4.47% 5.29% 6.12% 6.83% 6.09%
Portfolio turnover rate (e) 112% 251% 151% 190% 136% 91%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for directed brokerage transactions or fees
paid indirectly the ratios would have been:
Ratio of expenses to average net assets (d) 0.45% 0.42% 0.43%
Ratio of net investment income
to average net assets (d) 4.28% 4.45% 5.26%
Bond Index Portfolio
- -------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001 12/31/2000 12/31/1999
- -------------------------------------------------------------------------------------------------------------------
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $10.58 $10.66 $10.24 $10.03 $9.60 $10.36
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.21 0.42 0.51 0.55 0.64 0.62
Net realized and unrealized gain/(loss)
on investments (b) (0.21) (0.05) 0.46 0.27 0.43 (0.76)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations -- 0.37 0.97 0.82 1.07 (0.14)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.22) (0.45) (0.55) (0.61) (0.64) (0.62)
Net realized gain on investments (0.04) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.26) (0.45) (0.55) (0.61) (0.64) (0.62)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of period $10.32 $10.58 $10.66 $10.24 $10.03 $9.60
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) (0.07)% 3.59% 9.68% 8.47% 11.45% (1.35)%
Net assets, end of period (in millions) $263.3 $244.7 $183.9 $99.7 $59.9 $56.4
Ratio of expenses to average net assets (d) 0.40% 0.34% 0.35% 0.35% 0.35% 0.35%
Ratio of net investment income
to average net assets (d) 4.02% 3.90% 4.87% 5.28% 6.54% 6.33%
Portfolio turnover rate (e) 164% 213% 38% 51% 27% 20%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for fees paid indirectly the ratios
would have been:
Ratio of expenses to average net assets (d) 0.42% 0.41% 0.44% 0.49% 0.44% 0.44%
Ratio of net investment income
to average net assets (d) 4.00% 3.83% 4.78% 5.14% 6.45% 6.23%
Limited Maturity Bond Portfolio
- ------------------------------------------------------------------------------------------
Six Months
Ended Year Year Period
For a share outstanding throughout each 6/30/2004 Ended Ended Ended
period (a) (unaudited) 12/31/2003 12/31/2002 12/31/2001(f)
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period $10.21 $10.16 $9.91 $10.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.14 0.29 0.32 0.03
Net realized and unrealized gain/(loss)
on investments (b) (0.15) 0.15 0.25 (0.09)
---------- ---------- ---------- ----------
Total from Investment Operations (0.01) 0.44 0.57 (0.06)
---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.14) (0.29) (0.32) (0.03)
Net realized gain on investments (0.02) (0.10) -- --
---------- ---------- ---------- ----------
Total Distributions (0.16) (0.39) (0.32) (0.03)
---------- ---------- ---------- ----------
Net Asset Value, End of period $10.04 $10.21 $10.16 $9.91
---------- ---------- ---------- ----------
Total return (c) (0.12)% 4.48% 5.78% (0.61)%
Net assets, end of period (in millions) $277.7 $218.8 $159.3 $21.5
Ratio of expenses to average net assets (d) 0.47% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets (d) 2.79% 2.85% 3.11% 3.24%
Portfolio turnover rate (e) 124% 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 (d) 0.48% 0.46% 0.46%
Ratio of net investment income
to average net assets (d) 2.78% 2.79% 3.05%
Mortgage Securities
Portfolio
- ----------------------------------------------------------------------------
Six Months
Ended Period
6/30/2004 Ended
For a share outstanding throughout each period (a) (unaudited) 12/31/2003(g)
---------- ----------
Net Asset Value, Beginning of Period $9.99 $10.00
---------- ----------
Income from Investment Operations
Net investment income 0.18 0.19
Net realized and unrealized gain/(loss)
on investments (b) (0.13) (0.01)
---------- ----------
Total from Investment Operations 0.05 0.18
---------- ----------
Less Distributions from
Net investment income (0.18) (0.19)
Net realized gain on investments (0.01) --
---------- ----------
Total Distributions (0.19) (0.19)
---------- ----------
Net Asset Value, End of period $9.85 $9.99
---------- ----------
Total return (c) 0.44% 1.85%
Net assets, end of period (in millions) $45.1 $27.9
Ratio of expenses to average net assets (d) 0.50% 0.50%
Ratio of net investment income
to average net assets (d) 3.68% 2.94%
Portfolio turnover rate (e) 365% 921%
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for fees paid indirectly the ratios
would have been:
Ratio of expenses to average net assets (d) 0.64% 0.79%
Ratio of net investment income
to average net assets (d) 3.54% 2.65%
Money Market Portfolio
- -------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Year Year Year Year
For a share outstanding throughout 6/30/2004 Ended Ended Ended Ended Ended
each period (a) (unaudited) 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 $1.00
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net investment income 0.03 0.01 0.01 0.04 0.06 0.05
Net realized and unrealized gain/(loss)
on investments (b) -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.03 0.01 0.01 0.04 0.06 0.05
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions from
Net investment income (0.03) (0.01) (0.01) (0.04) (0.06) (0.05)
Net realized gain on investments -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.03) (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 $1.00
---------- ---------- ---------- ---------- ---------- ----------
Total return (c) 0.33% 0.84% 1.50% 3.96% 6.21% 4.94%
Net assets, end of period (in millions) $253.7 $289.3 $318.9 $407.7 $291.7 $294.9
Ratio of expenses to average net assets (d) 0.47% 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets (d) 0.66% 0.84% 1.49% 3.76% 6.03% 4.86%
Portfolio turnover rate (e) N/A N/A N/A N/A N/A N/A
If the Adviser had not reimbursed expenses
and the Portfolio had not received credits
for fees paid indirectly the ratios
would have been:
Ratio of expenses to average net assets (d) 0.47% 0.45% 0.44%
Ratio of net investment income
to average net assets (d) 0.66% 0.79% 1.45%
(a) All per share amounts have been rounded to the nearest cent.
(b) The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due
to the timing of sales and redemptions of fund shares.
(c) Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges.
Not annualized for periods less than one year.
(d) Computed on an annualized basis for periods less than one year.
(e) During the year ended December 31, 2003, the Bond Index and Mortgage Securities Portfolios began participating
in mortgage dollar roll transactions. The portfolio turnover calculation includes the effect of participating in
these transactions. For the Income and Limited Maturity Bond Portfolios, portfolio turnover rates prior to the
year ended December 3, 2003 included the effect of participation in mortgage dollar roll transactions.
(f) Since inception, November 30, 2001.
(g) Since inception, April 30, 2003.
The accompanying notes to the financial statements are an integral part of this schedule.
This page is intentionally left blank.
This page is intentionally left blank.
Results of Special Shareholder Meetings
AAL Variable Products Series Fund, Inc.
Special meetings of the shareholders of each of the Portfolios (the "AAL
Portfolios") of AAL Variable Product Series Fund, Inc. (the "Fund") were held
on April 7, 2004. The matters voted upon at the meetings and the shares cast
for, against, or to abstain are set forth as follows:
A. The proposed agreement and plan of reorganization with respect to the
International Portfolio whereby (a) all of the assets of the International
Portfolio would be transferred to the World Growth Portfolio of LB Series
Fund, Inc. ("LB Series Fund"), in exchange for shares of equal value from the
World Growth Portfolio; (b) the stated accrued and unpaid liabilities of the
International Portfolio will be assumed by the World Growth Portfolio; (c)
the International Portfolio will distribute pro rata to its shareholders, in
complete liquidation, the shares of the World Growth Portfolio received in
exchange for its net assets; and (d) the International Portfolio will cease
to exist.
For: 11,899,038.794 Against: 185,969.507 Abstain: 212,643.840
B. The proposed agreement and plan of reorganization between the Fund and LB
Series Fund, whereby (a) all of the assets of each of the AAL Portfolios
(other than the International Portfolio) would be transferred to a comparable
series of the LB Series Fund (each a "new LB Portfolio" and collectively the
"new LB Portfolios") in exchange for the new LB Portfolio's shares of equal
dollar value; (b) all liabilities of the AAL Portfolios would be assumed by
the comparable new LB Portfolio; (c) each AAL Portfolio would distribute pro
rata to its shareholders, in complete liquidation, the shares of the
corresponding new LB Portfolio received in exchange for its net assets; and
(d) each AAL Portfolio would cease to exist.
Technology Stock Portfolio For: 6,488,231.559 Against: 170,746.658 Abstain: 108,549.359
Small Cap Stock Portfolio For: 12,599,468.333 Against: 188,095.461 Abstain: 219,449.592
Small Cap Value Portfolio For: 1,757,093.496 Against: 30,422.059 Abstain: 34,490.135
Small Cap Index Portfolio For: 23,729,443.917 Against: 630,122.153 Abstain: 777,263.880
Mid Cap Stock Portfolio For: 7,339,864.619 Against: 146,174.204 Abstain: 233,953.852
Mid Cap Index Portfolio For: 6,997,870.789 Against: 122,689.741 Abstain: 164,135.045
Capital Growth Portfolio For: 34,436,474.896 Against: 761,536.972 Abstain: 1,058,654.645
Large Company Index Portfolio For: 35,239,539.668 Against: 969,074.495 Abstain: 1,063,951.227
Real Estate Securities Portfolio For: 4,737,975.667 Against: 53,771.771 Abstain: 143,471.143
Balanced Portfolio For: 47,261,825.831 Against: 974,144.698 Abstain: 1,843,092.056
High Yield Bond Portfolio For: 11,671,382.929 Against: 141,324.078 Abstain: 308,191.438
Bond Index Portfolio For: 22,590,575.690 Against: 450,129.480 Abstain: 728,588.808
Mortgage Securities Portfolio For: 3,082,831.113 Against: 38,250.832 Abstain: 72,647.093
Results of Special Shareholder Meetings
LB Series Fund, Inc.
Special meetings of the shareholders of each of the Portfolios of LB Series
Fund, Inc. (the "Fund") were held on February 10, 2004. The matters voted
upon at the meetings and the shares cast for, to withhold, against, or to
abstain are set forth on the following pages:
Proposal 1 -- To elect Directors of LB Series Fund, Inc.
To elect Pamela J. Moret as Director: For: 886,366,580.457 Withhold: 20,020,800.334
To elect F. Gregory Campbell as Director: For: 886,918,433.622 Withhold: 19,468,947.169
To elect Herbert F. Eggerding as Director: For: 886,909,251.663 Withhold: 19,478,129.128
To elect Noel K. Estenson as Director: For: 887,505,693.271 Withhold: 18,881,687.520
To elect Richard L. Gady as Director: For: 886,995,645.992 Withhold: 19,391,734.799
To elect Jodi L. Harpstead as Director: For: 886,935,138.770 Withhold: 19,452,242.021
To elect Connie M. Levi as Director: For: 885,738,747.413 Withhold: 20,648,633.378
To elect Edward W. Smeds as Director: For: 886,330,156.601 Withhold: 20,057,224.190
Proposal 2 -- To amend the Articles of Incorporation of LB Series Fund, Inc. to change its name to Thrivent Series Fund, Inc.
For: 873,093,060.410 Against: 17,865,178.650 Abstain: 15,429,141.731
Proposal 3A -- To amend the fundamental investment restriction on lending:
Opportunity Growth Portfolio For: 24,889,607.584 Against: 802,906.745 Abstain: 570,226.433
Small Cap Growth Portfolio For: 3,398,763.102 Against: 69,360.657 Abstain: 80,374.626
Mid Cap Select Growth Portfolio For: 3,260,353.262 Against: 70,037.766 Abstain: 18,016.705
Mid Cap Growth Portfolio For: 34,503,120.521 Against: 1,170,667.215 Abstain: 838,433.260
World Growth Portfolio For: 37,569,176.979 Against: 1,079,530.836 Abstain: 836,450.289
All Cap Portfolio For: 5,940,443.615 Against: 154,251.856 Abstain: 103,012.809
Growth Portfolio For: 170,532,245.531 Against: 5,928,126.999 Abstain: 4,029,428.465
Investors Growth Portfolio For: 4,087,375.007 Against: 113,340.230 Abstain: 37,977.148
Growth Stock Portfolio For: 6,457,442.113 Against: 130,260.140 Abstain: 93,628.285
Value Portfolio For: 21,123,248.760 Against: 408,405.197 Abstain: 497,346.344
High Yield Portfolio For: 157,040,269.130 Against: 4,224,467.116 Abstain: 3,854,041.548
Income Portfolio For: 99,117,629.720 Against: 3,020,837.670 Abstain: 2,933,707.332
Limited Maturity Bond Portfolio For: 19,933,239.137 Against: 488,113.379 Abstain: 460,621.240
Money Market Portfolio For: 269,914,130.713 Against: 9,871,573.277 Abstain: 6,735,192.050
Proposal 3B -- To amend the fundamental investment restriction on concentration of assets:
Opportunity Growth Portfolio For: 25,013,575.741 Against: 691,919.361 Abstain: 557,245.660
Small Cap Growth Portfolio For: 3,419,491.426 Against: 49,976.812 Abstain: 79,030.147
Mid Cap Select Growth Portfolio For: 3,277,934.788 Against: 53,454.206 Abstain: 17,018.739
Mid Cap Growth Portfolio For: 34,740,157.754 Against: 1,027,490.463 Abstain: 744,572.779
World Growth Portfolio For: 37,779,590.940 Against: 924,960.000 Abstain: 780,607.164
All Cap Portfolio For: 5,966,598.432 Against: 113,345.241 Abstain: 117,764.607
Growth Portfolio For: 171,757,042.581 Against: 4,886,294.209 Abstain: 3,846,464.205
Investors Growth Portfolio For: 4,164,646.052 Against: 49,099.902 Abstain: 24,946.431
Growth Stock Portfolio For: 6,506,256.349 Against: 89,038.238 Abstain: 86,035.951
Value Portfolio For: 21,135,975.009 Against: 375,029.029 Abstain: 517,996.263
High Yield Portfolio For: 157,381,410.176 Against: 4,051,732.359 Abstain: 3,685,635.259
Income Portfolio For: 99,588,924.865 Against: 2,525,059.137 Abstain: 2,958,190.720
Limited Maturity Bond Portfolio For: 20,036,969.267 Against: 369,435.480 Abstain: 475,569.009
Money Market Portfolio For: 270,476,500.400 Against: 9,249,808.712 Abstain: 6,794,586.928
Proposal 3C -- To amend the fundamental investment restriction on diversification:
Opportunity Growth Portfolio For: 25,168,198.397 Against: 575,511.780 Abstain: 519,030.585
Small Cap Growth Portfolio For: 3,422,624.019 Against: 51,450.441 Abstain: 74,423.925
Mid Cap Select Growth Portfolio For: 3,276,870.950 Against: 55,807.980 Abstain: 15,728.803
Mid Cap Growth Portfolio For: 34,900,662.579 Against: 842,181.966 Abstain: 769,376.451
World Growth Portfolio For: 38,051,497.501 Against: 701,388.101 Abstain: 732,272.502
All Cap Portfolio For: 5,962,879.052 Against: 114,146.362 Abstain: 120,682.866
Growth Portfolio For: 172,866,093.346 Against: 3,887,771.144 Abstain: 3,735,936.505
Investors Growth Portfolio For: 4,166,286.121 Against: 47,704.155 Abstain: 24,702.109
Growth Stock Portfolio For: 6,507,715.678 Against: 85,877.427 Abstain: 87,737.433
Value Portfolio For: 21,219,054.320 Against: 317,774.283 Abstain: 492,171.698
High Yield Portfolio For: 158,284,656.592 Against: 3,119,059.110 Abstain: 3,715,062.092
Income Portfolio For: 99,923,852.188 Against: 2,269,245.561 Abstain: 2,879,076.973
Limited Maturity Bond Portfolio For: 20,026,714.343 Against: 401,314.381 Abstain: 453,945.032
Money Market Portfolio For: 275,541,320.543 Against: 7,789,211.637 Abstain: 6,190,363.860
Proposal 3D -- To amend the fundamental investment restriction on underwriting the securities of other issuers:
Opportunity Growth Portfolio For: 24,821,660.586 Against: 837,287.171 Abstain: 603,793.005
Small Cap Growth Portfolio For: 3,407,357.708 Against: 65,186.946 Abstain: 75,953.731
Mid Cap Select Growth Portfolio For: 3,273,879.956 Against: 54,730.037 Abstain: 19,797.740
Mid Cap Growth Portfolio For: 34,519,054.656 Against: 1,191,883.094 Abstain: 801,283.246
World Growth Portfolio For: 37,510,993.677 Against: 1,139,609.293 Abstain: 834,555.134
All Cap Portfolio For: 5,927,119.694 Against: 154,420.057 Abstain: 116,168.529
Growth Portfolio For: 170,190,039.957 Against: 6,118,080.185 Abstain: 4,181,680.853
Investors Growth Portfolio For: 4,104,680.796 Against: 104,353.824 Abstain: 29,657.765
Growth Stock Portfolio For: 6,467,914.820 Against: 118,479.031 Abstain: 94,936.687
Value Portfolio For: 21,041,917.936 Against: 480,771.601 Abstain: 506,310.764
High Yield Portfolio For: 156,025,342.704 Against: 5,164,614.892 Abstain: 3,928,820.198
Income Portfolio For: 98,921,259.459 Against: 3,171,639.476 Abstain: 2,979,275.787
Limited Maturity Bond Portfolio For: 19,866,687.482 Against: 498,262.345 Abstain: 517,023.929
Money Market Portfolio For: 269,062,762.648 Against: 10,390,137.173 Abstain: 7,067,996.219
Proposal 3E -- To amend the fundamental investment restriction on the purchase or sale of real estate and commodities:
Opportunity Growth Portfolio For: 24,798,402.477 Against: 894,807.649 Abstain: 569,530.636
Small Cap Growth Portfolio For: 3,411,761.581 Against: 58,800.448 Abstain: 77,936.356
Mid Cap Select Growth Portfolio For: 3,267,706.003 Against: 62,348.501 Abstain: 18,353.501
Mid Cap Growth Portfolio For: 34,590,570.855 Against: 1,167,507.529 Abstain: 754,142.612
World Growth Portfolio For: 37,521,697.352 Against: 1,112,693.403 Abstain: 850,767.349
All Cap Portfolio For: 5,941,918.590 Against: 157,695.794 Abstain: 98,093.896
Growth Portfolio For: 170,088,871.806 Against: 6,256,267.898 Abstain: 4,144,661.291
Investors Growth Portfolio For: 4,117,432.159 Against: 84,473.774 Abstain: 36,786.452
Growth Stock Portfolio For: 6,492,063.424 Against: 100,404.004 Abstain: 88,863.110
Value Portfolio For: 21,022,514.099 Against: 508,469.172 Abstain: 498,017.030
High Yield Portfolio For: 156,372,330.416 Against: 4,974,814.137 Abstain: 3,771,633.241
Income Portfolio For: 98,833,993.613 Against: 3,236,279.707 Abstain: 3,001,901.402
Limited Maturity Bond Portfolio For: 19,965,841.501 Against: 452,307.026 Abstain: 463,825.229
Money Market Portfolio For: 270,037,369.563 Against: 10,419,757.055 Abstain: 6,063,769.422
Proposal 4 -- To authorize Thrivent Financial for Lutherans, upon approval of the Board of Directors, to enter into
and amend subadvisory agreements without shareholder approval
Opportunity Growth Portfolio For: 24,296,199.947 Against: 1,477,233.685 Abstain: 489,307.130
Mid Cap Growth Portfolio For: 33,842,403.226 Against: 1,976,900.013 Abstain: 692,917.757
World Growth Portfolio For: 36,935,804.576 Against: 1,835,762.064 Abstain: 713,591.464
Growth Portfolio For: 166,866,131.428 Against: 10,044,999.980 Abstain: 3,578,669.587
Value Portfolio For: 20,726,887.245 Against: 867,778.494 Abstain: 434,334.562
High Yield Portfolio For: 153,423,004.375 Against: 8,363,193.108 Abstain: 3,332,580.311
Income Portfolio For: 97,132,482.046 Against: 5,283,981.286 Abstain: 2,655,711.390
Limited Maturity Bond Portfolio For: 19,514,209.154 Against: 903,152.588 Abstain: 464,612.014
Money Market Portfolio For: 264,725,694.356 Against: 15,747,403.100 Abstain: 6,047,798.584
Results of Special Shareholder Meetings
Opportunity Growth Portfolio
A special meeting of the shareholders of the Opportunity Growth Portfolio
("Portfolio") was held on April 7, 2004. The purpose of the meeting was to
consider the proposed agreement and plan of reorganization whereby all of the
assets of the Portfolio would be transferred to the Mid Cap Growth Portfolio
in exchange for shares of equal value from the Mid Cap Growth Portfolio; (b)
the stated accrued and unpaid liabilities of the Portfolio would be assumed
by the Mid Cap Growth Portfolio; (c) the Portfolio would distribute pro rata
to its shareholders, in complete liquidation, the shares of the Mid Cap
Growth Portfolio received in exchange for its net assets; and (d) the
Portfolio would cease to exist. The shares cast for, against, or abstaining
are set forth as follows:
For: 25,694,894.273 Against: 701,841.492 Abstain 835,266.623
Thrivent Series Fund, Inc.
Thrivent Variable Life Account I
Thrivent Variable Annuity Account I
Thrivent Variable Annuity Account II
Thrivent Variable Annuity Account B
Thrivent Variable Annuity Account A
TLIC Variable Annuity Account A
Supplement to Prospectuses dated May 1, 2004
Thrivent Large Cap Value Portfolio
Matthew D. Finn, CFA, serves as portfolio manager of the Thrivent Large Cap
Value Portfolio. Mr. Finn also serves as portfolio manager of the Thrivent
Large Cap Value Fund, a series of an affiliated mutual fund group. Mr. Finn
joined Thrivent Financial. from U.S. Bancorp Asset Management, Inc. where he
was managing director and senior portfolio manager of the First American
Large Cap Value Fund since 2003. Prior to that, he was head of equities for
Advantus Capital Management Inc. from July 2001 to May 2003, and chief
investment officer of the growth and income group for Evergreen Investment
Management Co. from March 1998 to June 2001. Mr. Finn joined Thrivent
Financial in April of 2004.
The date of this Supplement is July 27, 2004.
Please include this Supplement with your Prospectus.
[GRAPHIC OMITTED: THRIVENT INVESTMENT MANAGEMENT TRADEMARK LOGO]
625 Fourth Ave. S., Minneapolis, MN 55415-1665
We're Listening to You!
In response to concerns regarding multiple mailings, we are sending one
semiannual report for Thrivent Series Fund, Inc. to each household. This
consolidation helps reduce printing and postage costs, thereby saving money.
If you wish to receive an additional copy of this report, call us toll free
at 800-847-4836.
[GRAPHIC OMITTED: THRIVENT FINANCIAL FOR LUTHERANS TRADEMARK LOGO]
625 Fourth Ave. S., Minneapolis, MN 55415-1665
www.thrivent.com [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
Not applicable to semiannual report
Item 3. Audit Committee Financial Expert
Not applicable to semiannual report
Item 4. Principal Accountant Fees and Services
Not applicable to semiannual report
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
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
There have been no material changes to the procedures by which shareholders may recommend nominees to
registrant's board of directors.
Item 10. Controls and Procedures
(a)(i) Registrant's President and Treasurer have concluded that registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act) are effective, 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) Registrant's President and Treasurer are aware of no change in registrant's internal controls
over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred
during registrant's most recent fiscal half-year that has materially affected, or is reasonably likely
to materially affect, registrant's internal control over financial reporting.
Item 11. Exhibits
(a) Certifications pursuant to Rule 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are
attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the
registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Date: September 1, 2004 THRIVENT SERIES FUND, INC.
By: /s/ Pamela J. Moret
--------------------------
Pamela J. Moret
President
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this
report has been signed below by the following persons on behalf of the registrant and in the capacities and on
the dates indicated.
Date: September 1, 2004 By: /s/ Pamela J. Moret
-----------------------------------------
Pamela J. Moret
President
Date: September 1, 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 Thrivent 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 officer(s) 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)
and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to
be designed under our supervision, 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) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the
reliability of financial reporting and the preparation of financial statements for external purposes in
accordance with generally accepted accounting principles;
c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report based on such evaluation; and
d) Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year
in the case of an annual report) that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to registrant's auditors and the audit
committee of the registrant's board of directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design or operation of internal controls
over financial reporting which are reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
b) Any fraud, whether or not material, that involves management or other employees who have a significant
role in the registrant's internal control over financial reporting.
Date: September 1, 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 Thrivent 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 officer(s) 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)
and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to
be designed under our supervision, 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) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for external purposes in accordance
with generally accepted accounting principles;
c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report based on such evaluation; and
d) Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year
in the case of an annual report) that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to registrant's auditors and the audit
committee of the registrant's board of directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design or operation of internal controls
over financial reporting which are reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
b) Any fraud, whether or not material, that involves management or other employees who have a significant
role in the registrant's internal control over financial reporting.
Date: September 1, 2004 /s/ Charles D. Gariboldi
-----------------------------------------
Charles D. Gariboldi
Treasurer
CERTIFICATION UNDER SECTION 906 OF SARBANES-OXLEY ACT OF 2002
Name of Registrant: Thrivent 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: September 1, 2004 /s/ Pamela J. Moret
-------------------------------------------
Pamela J. Moret
President
Date: September 1, 2004 /s/ Charles D. Gariboldi
---------------------------------------
Charles D. Gariboldi
Treasurer
Thrivent Series Fund
Filed: 2 Sep 04, 12:00am